## The Asset Allocation of Emerging Market Mutual Funds

_IMF Working Papers, August 1, 2001_

## Source details

**Canonical URL:** [The Asset Allocation of Emerging Market Mutual Funds](https://www.imf.org/en/publications/wp/issues/2016/12/30/the-asset-allocation-of-emerging-market-mutual-funds-15308)

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## Bibliographic details
- Authors: Piti Disyatat
- Published: August 1, 2001
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451853476.001

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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, the paper assesses the relevance of mean-variance optimization and benchmark following, finding strong evidence for both.
- The paper presents a framework to systematically extract useful information about market expectations from funds' holdings.

### Key findings
- Strong evidence for mean-variance optimization behavior among dedicated emerging market equity funds.
- Strong evidence for benchmark following by these funds.
- Portfolio rebalancing and benchmark following are relevant mechanisms in explaining international financial contagion phenomena.

### Analytical framework
- A framework is provided to systematically extract useful information about market expectations from funds' holdings (framework details and implementation are contained in the Working Paper).

### Subject areas and keywords
- 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

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- **The Asset Allocation of Emerging Market Mutual Funds - WP/01/111**
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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/30/the-asset-allocation-of-emerging-market-mutual-funds-15308_