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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)

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