EconPapers    
Economics at your fingertips  
 

The Performance of International Equity Portfolios

Charles Thomas (), Francis Warnock and Jon Wongswan

No 12346, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper evaluates the ability of U.S. investors to allocate their foreign equity portfolios across 44 countries over a 25-year period. We find that U.S. portfolios achieved a significantly higher Sharpe ratio than foreign benchmarks, especially since 1990. We test whether this strong performance owed to trading expertise or longer-term allocation expertise. The evidence is overwhelmingly against trading expertise. While U.S. investors did abstain from momentum trading and instead sold past winners, we find no evidence that these past winners subsequently underperformed. In addition, conditional performance measures, which directly test reallocating into (out of) markets that subsequently outperformed (underperformed), suggest no significant trading expertise. In contrast, we offer strong evidence of longer-term allocation expertise: If we fix portfolio weights at the end of 1989 and do not allow reallocations, we still find superior performance in the recent period.

JEL-codes: F21 G11 G12 (search for similar items in EconPapers)
Date: 2006-07
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-rmg
Note: AP IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19) Track citations by RSS feed

Downloads: (external link)
http://www.nber.org/papers/w12346.pdf (application/pdf)

Related works:
Working Paper: The Performance of International Equity Portfolios (2006) Downloads
Working Paper: The Performance of International Equity Portfolios (2004) Downloads
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:nbr:nberwo:12346

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w12346

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2023-06-15
Handle: RePEc:nbr:nberwo:12346