The Asset Allocation of Emerging Market Mutual Funds
August 1, 2001
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Summary
Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedicated emerging market equity funds, we assess the relevance of mean-variance optimization and benchmark following, finding strong evidence for both. We also present a framework to systematically extract useful information about market expectations from funds' holdings.
Subject: Asset allocation, Asset and liability management, Emerging and frontier financial markets, Financial institutions, Financial markets, Market capitalization, Mutual funds
Keywords: asset, asset allocation, benchmark index, benchmark indices arc, contagion, East Asia, Emerging and frontier financial markets, expected return, fund, fund manager, fund-managed portfolio, Global, holdings well, Market capitalization, MSCI benchmark weight, Mutual funds, portfolio, portfolio choice, portfolio weight, return, WP
Pages:
27
Volume:
2001
DOI:
Issue:
111
Series:
Working Paper No. 2001/111
Stock No:
WPIEA1112001
ISBN:
9781451853476
ISSN:
1018-5941
