Unexploited gains from international diversification : patterns of portfolio holdings around the world / Tatiana Didier, Roberto Rigobon, Sergio L. Schmukler.

Format:

Book

Author/Creator:

Didier, Tatiana.

Contributor:

National Bureau of Economic Research.

Rigobon, Roberto.

Schmukler, Sergio L.

Series:

Working paper series (National Bureau of Economic Research : Online) ; working paper no. 16629.

World Bank e-Library.

NBER working paper series ; working paper 16629

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

NBER working paper series vol. working paper 16629

Unexploited Gains from International Diversification

Place of Publication:

Cambridge, MA : National Bureau of Economic Research, c2010.

System Details:

data file

Summary:

"This paper studies how portfolios with a global investment scope are actually allocated internationally using a unique micro dataset on U.S. equity mutual funds. While mutual funds have great flexibility to invest globally, they invest in a surprisingly limited number of stocks, around 100. The number of holdings in stocks and countries from a given region declines as the investment scope of funds broadens. This restrictive investment practice has costs. A mean-variance strategy shows unexploited gains from further international diversification. Mutual funds investing globally could achieve better risk-adjusted returns by broadening their asset allocation, including stocks held by more specialized funds within the same mutual fund family (company). This investment pattern is not explained by lack of information or instruments, transaction costs, or a better ability of global funds to minimize negative outcomes. Instead, industry practices related to organizational factors seem to play an important role"--National Bureau of Economic Research web site.

Notes:

Print version record

December 2010.

Includes bibliographical references.

Publisher Number:

10.1596/1813-9450-5524