Unexploited Gains from International Diversification : Patterns of Portfolio Holdings around the World

Didier, Tatiana; Rigobon, Roberto; Schmukler, Sergio L.

dc.creator	Didier, Tatiana
dc.creator	Rigobon, Roberto
dc.creator	Schmukler, Sergio L.
dc.date	2012-03-19T17:59:46Z
dc.date	2012-03-19T17:59:46Z
dc.date	2011-01-01
dc.date.accessioned	2023-02-17T20:50:47Z
dc.date.available	2023-02-17T20:50:47Z
dc.identifier	http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20110110085213
dc.identifier	http://hdl.handle.net/10986/3297
dc.identifier.uri	http://localhost:8080/xmlui/handle/CUHPOERS/243805
dc.description	This paper studies how portfolios with a global investment scope are allocated internationally using a unique micro dataset on U.S. equity mutual funds. While mutual funds have great flexibility to invest globally, they invest in a surprisingly limited number of stocks, around 100. The number of holdings in stocks and countries from a given region declines as the investment scope of funds broadens. This restrictive investment practice has costs. A mean-variance strategy shows unexploited gains from further international diversification. Mutual funds investing globally could achieve better risk-adjusted returns by broadening their asset allocation, including stocks held by more specialized funds within the same mutual fund family (company). This investment pattern is not explained by lack of information or instruments, transaction costs, or a better ability of global funds to minimize negative outcomes. Instead, industry practices related to organizational factors seem to play an important role.
dc.language	English
dc.relation	Policy Research working paper ; no. WPS 5524
dc.rights	CC BY 3.0 IGO
dc.rights	http://creativecommons.org/licenses/by/3.0/igo/
dc.rights	World Bank
dc.subject	ACCOUNTING
dc.subject	ARBITRAGE
dc.subject	ASSET ALLOCATION
dc.subject	ASSET ALLOCATIONS
dc.subject	ASSET GROWTH
dc.subject	ASSET HOLDINGS
dc.subject	ASSET MANAGERS
dc.subject	ASSET RETURNS
dc.subject	ASSETS UNDER MANAGEMENT
dc.subject	BALANCE SHEETS
dc.subject	BANKS
dc.subject	BASIS POINTS
dc.subject	BENCHMARK
dc.subject	BENCHMARK INDEX
dc.subject	BENCHMARK INDEXES
dc.subject	BINDING CONSTRAINT
dc.subject	BINDING CONSTRAINTS
dc.subject	CAPITAL FLOWS
dc.subject	CAPITAL MARKETS
dc.subject	CENTRAL BANK
dc.subject	COMMON STOCKS
dc.subject	CONFLICTS OF INTEREST
dc.subject	CORPORATE BEHAVIOR
dc.subject	COST OF CAPITAL
dc.subject	COUNTRY PORTFOLIOS
dc.subject	DATA AVAILABILITY
dc.subject	DEBT
dc.subject	DEVELOPING COUNTRIES
dc.subject	DEVELOPING COUNTRY
dc.subject	DEVELOPING ECONOMIES
dc.subject	DIVERSIFICATION
dc.subject	DIVERSIFICATION BENEFITS
dc.subject	DOMESTIC INVESTMENTS
dc.subject	DOMESTIC MUTUAL FUNDS
dc.subject	ECONOMIC ACTIVITY
dc.subject	EMERGING ECONOMIES
dc.subject	EMERGING EQUITY MARKETS
dc.subject	EMERGING MARKET
dc.subject	EMERGING MARKET ASSETS
dc.subject	EMERGING MARKET FUND
dc.subject	EMERGING MARKET FUNDS
dc.subject	EMERGING MARKET INDEX
dc.subject	EMERGING MARKETS
dc.subject	EQUITY MARKETS
dc.subject	EQUITY MUTUAL FUND
dc.subject	EQUITY MUTUAL FUND INDUSTRY
dc.subject	EQUITY MUTUAL FUNDS
dc.subject	EXCESS RETURNS
dc.subject	EXPOSURE
dc.subject	EXPOSURES
dc.subject	FINANCIAL INTEGRATION
dc.subject	FINANCIAL INTERMEDIARIES
dc.subject	FINANCIAL MARKETS
dc.subject	FINANCIAL SERVICES
dc.subject	FINANCIAL SERVICES INDUSTRY
dc.subject	FINANCIAL STUDIES
dc.subject	FINANCIAL SUPPORT
dc.subject	FINANCING COSTS
dc.subject	FOREIGN ASSETS
dc.subject	FOREIGN FUND
dc.subject	FOREIGN FUNDS
dc.subject	FOREIGN STOCKS
dc.subject	FUND AGE
dc.subject	FUND CATEGORIES
dc.subject	FUND INVESTMENTS
dc.subject	FUND MANAGER
dc.subject	FUND MANAGERS
dc.subject	FUND RETURNS
dc.subject	FUND SIZE
dc.subject	FUND TYPE
dc.subject	FUND TYPES
dc.subject	FUNDS OF FUNDS
dc.subject	GLOBAL ASSET
dc.subject	GLOBAL FUND
dc.subject	GLOBAL FUNDS
dc.subject	GLOBAL INVESTMENT
dc.subject	GLOBAL MUTUAL FUNDS
dc.subject	GLOBAL PORTFOLIO
dc.subject	GLOBALIZATION
dc.subject	HEDGE FUNDS
dc.subject	INCOME
dc.subject	INDIVIDUAL FUND
dc.subject	INDIVIDUAL FUNDS
dc.subject	INDIVIDUAL MUTUAL FUND
dc.subject	INDIVIDUAL MUTUAL FUNDS
dc.subject	INFORMATION SHARING
dc.subject	INFORMATION TECHNOLOGY
dc.subject	INSTITUTIONAL INVESTOR
dc.subject	INSTITUTIONAL INVESTORS
dc.subject	INSTRUMENT
dc.subject	INSURANCE
dc.subject	INSURANCE PREMIUM
dc.subject	INTERNATIONAL ASSET
dc.subject	INTERNATIONAL BANK
dc.subject	INTERNATIONAL CAPITAL
dc.subject	INTERNATIONAL CAPITAL MARKETS
dc.subject	INTERNATIONAL DIVERSIFICATION
dc.subject	INTERNATIONAL ECONOMICS
dc.subject	INTERNATIONAL EQUITY
dc.subject	INTERNATIONAL INVESTMENT
dc.subject	INTERNATIONAL INVESTMENTS
dc.subject	INTERNATIONAL INVESTORS
dc.subject	INTERNATIONAL MARKETS
dc.subject	INTERNATIONAL PORTFOLIO
dc.subject	INTERNATIONAL PORTFOLIOS
dc.subject	INVESTABLE ASSETS
dc.subject	INVESTING
dc.subject	INVESTMENT CHOICES
dc.subject	INVESTMENT DECISIONS
dc.subject	INVESTMENT FLOWS
dc.subject	INVESTMENT IN STOCKS
dc.subject	INVESTMENT OPPORTUNITIES
dc.subject	INVESTMENT PATTERN
dc.subject	INVESTMENT PATTERNS
dc.subject	INVESTMENT POLICIES
dc.subject	INVESTMENT RESTRICTIONS
dc.subject	INVESTMENT STRATEGIES
dc.subject	LACK OF INFORMATION
dc.subject	LEVEL OF RISK
dc.subject	LOW-INCOME COUNTRIES
dc.subject	MARKET CAPITALIZATION
dc.subject	MICRODATA
dc.subject	MIDDLE-INCOME COUNTRIES
dc.subject	MINIMUM INVESTMENT
dc.subject	MINIMUM INVESTMENT REQUIREMENTS
dc.subject	MUTUAL FUND
dc.subject	MUTUAL FUND COMPANIES
dc.subject	MUTUAL FUND COMPANY
dc.subject	MUTUAL FUND DATA
dc.subject	MUTUAL FUND FAMILIES
dc.subject	MUTUAL FUND FAMILY
dc.subject	MUTUAL FUND HOLDINGS
dc.subject	MUTUAL FUND INDUSTRY
dc.subject	MUTUAL FUND INVESTMENT
dc.subject	MUTUAL FUND INVESTMENTS
dc.subject	MUTUAL FUND MANAGERS
dc.subject	MUTUAL FUND PERFORMANCE
dc.subject	MUTUAL FUND PORTFOLIO
dc.subject	MUTUAL FUND PORTFOLIOS
dc.subject	MUTUAL FUND RETURNS
dc.subject	NAV
dc.subject	NET ASSET
dc.subject	NET ASSET VALUE
dc.subject	NET ASSETS
dc.subject	OFFSHORE FINANCIAL CENTERS
dc.subject	OPEN-ENDED FUNDS
dc.subject	PARTICULAR COUNTRIES
dc.subject	PARTICULAR COUNTRY
dc.subject	PENSION
dc.subject	PENSION FUNDS
dc.subject	PERFORMANCE EVALUATION
dc.subject	PERFORMANCE OF MUTUAL FUNDS
dc.subject	POLITICAL ECONOMY
dc.subject	PORTFOLIO
dc.subject	PORTFOLIO ALLOCATION
dc.subject	PORTFOLIO ALLOCATIONS
dc.subject	PORTFOLIO CHOICE
dc.subject	PORTFOLIO CHOICES
dc.subject	PORTFOLIO HOLDING
dc.subject	PORTFOLIO HOLDINGS
dc.subject	PORTFOLIO INVESTMENT
dc.subject	PORTFOLIO STRATEGY
dc.subject	PORTFOLIO WEIGHT
dc.subject	PORTFOLIO WEIGHTS
dc.subject	PORTFOLIOS
dc.subject	REGIONAL FUNDS
dc.subject	RETIREMENT SAVINGS
dc.subject	RETURN
dc.subject	RETURN DATA
dc.subject	RETURN DIFFERENCES
dc.subject	RETURN DIFFERENTIALS
dc.subject	RETURN HISTORY
dc.subject	RETURN VOLATILITY
dc.subject	RETURNS
dc.subject	RISK DIVERSIFICATION
dc.subject	RISK TAKING
dc.subject	SECURITIES
dc.subject	SECURITY HOLDING
dc.subject	STOCK HOLDINGS
dc.subject	STOCK TURNOVER
dc.subject	STOCK-PICKING
dc.subject	STOCKS
dc.subject	SUBSIDIZATION
dc.subject	TIME HORIZON
dc.subject	TRADING
dc.subject	TRADING COSTS
dc.subject	TRANSACTION
dc.subject	TRANSACTION COSTS
dc.subject	TYPES OF FUNDS
dc.subject	WORLD FUNDS
dc.title	Unexploited Gains from International Diversification : Patterns of Portfolio Holdings around the World
dc.type	Publications & Research :: Policy Research Working Paper
dc.coverage	The World Region
dc.coverage	The World Region