International equity U.S. mutual funds and diversification benefits
نویسندگان
چکیده
This study examines whether U.S. international equity mutual funds provide out-of-sample diversification benefits in the presence of no short selling constraints. Ignoring economic state, do not benefits. However certain states. The are concentrated when lag one-month Treasury Bill return is lower than normal.
منابع مشابه
International Diversification with Factor Funds
We propose a new investment strategy employing “factor funds” to systematically enhance the mean-variance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market factor, adequately describe international stock returns, and by the direct link between investors’ portf...
متن کاملActive Timing Decisions of Equity Mutual Funds
In this paper we examine an aspect ofprofessional investment management which has not been adequately documented and studied; the extent to which equity mutualfund managers actively adjust their portfolio’s equity risk evosure over time. Estimates of a portfolio’s quarter-end beta are developed using the actual stock ho~~gs oft~~~ol~ at the quarter-end. Changes in these beta estimates fivm one ...
متن کاملPortfolio Diversification and Net Selectivity Performance of Mutual Funds in Iran by Using Fama Decomposition Model
T he main purpose of this paper is to analyze the performance of mutual funds in Iran by using Fama decomposition model (1972). Thus, daily data of 55 mutual funds during a four-year period from 21/3/2014 to 21/3/2018 were investigated. To achieve this goal, firstly, the performance of mutual funds was broken down into Fama components, and it was shown that the diversification perfor...
متن کاملThe Sharpe Ratio’s Market Climate Bias – Theoretical and Empirical Evidence from US Equity Mutual Funds
In this paper we analyze the influence of market climates on mutual fund Sharpe ratios. First, in a theoretical analysis based on a common factor model in performance analysis, we show that a significant bias results from market climate – in addition to the obvious influence of fund management performance. Market climate is determined by the random mean and standard deviation of market excess r...
متن کاملTime-varying performance of international mutual funds
Article history: Received 5 May 2010 Received in revised form 1 February 2012 Accepted 1 March 2012 Available online 8 March 2012 We examine the ability of oneand two-factor regime switching models to describe US, developed, and emerging market mutual fund returns. We find that a two-factor fixed transition probability model adequately describes the multivariate series of mutual fund returns wi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Review of Economics & Finance
سال: 2021
ISSN: ['1059-0560', '1873-8036']
DOI: https://doi.org/10.1016/j.iref.2021.06.010