### References

[1] R. Levy, Relative Strength as a Criterion for Investment Selection, Journal of Finance, pp. 595‐610, 1967.

[2] R. Balvers, Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies, Journal of Finance, pp. 745‐772, 2000.

[3] A. Richards, Winner‐Loser Reversals in National Stock Market Indices: Can They be Explained?, IMF Working Paper, 1997.

[4] J. Shelton, The Value Line Contest: a Test of Predictability of Stock‐Price Changes, Journal of Business, pp. 251‐269, 1967.

[5] F. Black, Yes Virginia there is Hope: Tests of the Value Line Ranking System, Financial Analysts Journal, 29, 1973.

[6] E. Fama and K. French, Size, Value and Momentum in International Stock Returns, Journal of Financial Economics, pp. 457‐472, 2012.

[7] L. Heckman, Valuation Ratios and Cross‐Country Equity Allocation, Journal of Investing, pp. 54‐63, 1996.

[8] C. Asness, J. Liew and R. Stevens, Parallels between the Cross‐Sectional Predictability of Stock and Country Returns, Journal of Portfolio Management, pp. 79‐87, 1997.

[9] N. Jegadeesh and S. Titman, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance, pp. 65‐91, 1993.

[10] MSCI country and regional indices, www.msci.com/market-cap-weighted-indexes

[11] F. DeBondt and R. Thaler, Does the Stock Market Overreact?, Proceedings of the 43rd Annual Meeting of the American Finance Association, pp. 28‐30, 1985.

[12] A. Lo, The Statistics of Sharpe Ratios, Financial Analysts Journal, pp. 36‐52, 2002.

[13] Winton Research, Blinded by Optimism, December 2013.

[14] J. Kruger, Superstition and the Regression Effect, Skeptical Inquirer, March/April 1999.

[15] B. Efron, Tweedie’s Formula and Selection Bias, Journal of the American Statistical Association, pp. 1602‐1614, 2011.

[16] D. Bailey, Pseudo‐Mathematics and Financial Charlatanism, Notices of the American Mathematical Society, pp. 458‐471, 2014.

[17] Wall Street Journal, Huge returns at low risk? Not so fast, 27 June 2014. , blogs.wsj.com/moneybeat/2014/06/27/huge-returns-at-low-risk-not-so-fast.

[18] Vanguard, Joined at the Hip: ETF and Index Development, July 2012, www.vanguard.com/pdf/s319.pdf.