Publication:
Unexploited Gains from International Diversification : Patterns of Portfolio Holdings around the World

Loading...
Thumbnail Image
Files in English
English PDF (381.5 KB)
244 downloads
Date
2013-01-22
ISSN
0034-6535
Published
2013-01-22
Abstract
Using unique data on mutual fund portfolios with different investment scopes, we study the extent of international diversification. Mutual funds invest in a surprisingly limited number of stocks—about 100. The number of holdings from a given region declines as the investment scope broadens. Moreover, unexploited gains exist from international diversification. Funds that invest globally could achieve better risk-adjusted returns by adding stocks held by more specialized funds within the same family. These findings are not driven by different sectoral allocations, lack of information or instruments, transaction costs, or different tail risks. Instead, organizational factors might play an important role.
Link to Data Set
Report Series
Other publications in this report series
Journal
Journal Volume
Journal Issue
Associated content
Citations