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The performance of international equity portfolios

Author: Charles P Thomas; Francis E Warnock; Jon Wongswan; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2006.
Series: Working paper series (National Bureau of Economic Research), no. 12346.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"This paper evaluates the ability of U.S. investors to allocate their foreign equity portfolios across 44 countries over a 25-year period. We find that U.S. portfolios achieved a significantly higher Sharpe ratio than foreign benchmarks, especially since 1990. We test whether this strong performance owed to trading expertise or longer-term allocation expertise. The evidence is overwhelmingly against trading  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Charles P Thomas; Francis E Warnock; Jon Wongswan; National Bureau of Economic Research.
OCLC Number: 70234990
Description: 1 online resource (1 volume).
Series Title: Working paper series (National Bureau of Economic Research), no. 12346.
Responsibility: Charles P. Thomas, Francis E. Warnock, Jon Wongswan.

Abstract:

"This paper evaluates the ability of U.S. investors to allocate their foreign equity portfolios across 44 countries over a 25-year period. We find that U.S. portfolios achieved a significantly higher Sharpe ratio than foreign benchmarks, especially since 1990. We test whether this strong performance owed to trading expertise or longer-term allocation expertise. The evidence is overwhelmingly against trading expertise. While U.S. investors did abstain from momentum trading and instead sold past winners, we find no evidence that these past winners subsequently underperformed. In addition, conditional performance measures, which directly test reallocating into (out of) markets that subsequently outperformed (underperformed), suggest no significant trading expertise. In contrast, we offer strong evidence of longer-term allocation expertise: If we fix portfolio weights at the end of 1989 and do not allow reallocations, we still find superior performance in the recent period"--National Bureau of Economic Research web site.

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