International equity U.S. mutual funds and diversification benefits

Jonathan Fletcher

International Review of Economics & Finance, 2021, vol. 76, issue C, 246-257

Abstract: This study examines whether U.S. international equity mutual funds provide out-of-sample diversification benefits in the presence of no short selling constraints. Ignoring the economic state, international mutual funds do not provide out-of-sample diversification benefits. However international mutual funds do provide out-of-sample diversification benefits in certain economic states. The benefits are concentrated when the lag one-month U.S. Treasury Bill return is lower than normal.

Keywords: Diversification benefits; Resampled portfolio Efficiency™; Mutual funds (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:76:y:2021:i:c:p:246-257

DOI: 10.1016/j.iref.2021.06.010

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