Global Asset Allocation Shifts

Tim Kroencke, Maik Schmeling and Andreas Schrimpf

No 497, BIS Working Papers from Bank for International Settlements

Abstract: We show that global asset reallocations of U.S. fund investors obey a strong factor structure, with two factors accounting for more than 90% of the overall variation. The first factor captures switches between U.S. bonds and equities. The second reflects reallocations from U.S. to international assets. Portfolio allocations respond to U.S. monetary policy, most prominently around FOMC events when institutional investors reallocate from basically all other asset classes to U.S. equities. Reallocations of both retail and institutional investors show return-chasing behavior. Institutional investors tend to reallocate toward riskier, high-yield fixed income segments, consistent with a search for yield.

Keywords: Portfolio Rebalancing; Mutual Funds; Momentum; Search For Yield; Monetary Policy (search for similar items in EconPapers)
Pages: 70 pages
Date: 2015-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:497

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