The Asset Allocation of Emerging Market Mutual Funds

Piti Disyatat and R. Gaston Gelos ()

No 2001/111, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; expected return; portfolio; asset; fund; return; asset allocation; portfolio choice; contagion; fund manager; portfolio weight; fund-managed portfolio; benchmark index; holdings well; benchmark indices arc; MSCI benchmark weight; Emerging and frontier financial markets; Mutual funds; Market capitalization; Global; East Asia (search for similar items in EconPapers)
Pages: 27
Date: 2001-08-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=15308 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2001/111

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().