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"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.
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Unexploited gains from international diversification: patterns of portfolio holdings around the world
2010, National Bureau of Economic Research
Electronic resource
in English
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Book Details
Edition Notes
Title from PDF file as viewed on 4/7/2011.
Includes bibliographical references.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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- Created July 26, 2011
- 3 revisions
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October 17, 2020 | Edited by MARC Bot | import existing book |
August 4, 2012 | Edited by VacuumBot | Updated format '[electronic resource] :' to 'Electronic resource' |
July 26, 2011 | Created by LC Bot | Imported from Library of Congress MARC record |