I use the simulation approach of Jobson and Korkie (J Portfolio Manag 7:70–74, 1981), combined with Michaud optimization (Michaud and Michaud, Efficient asset management: a practical guide to stock portfolio optimization and asset allocation, Oxford University Press, Oxford, 2008), to evaluate whether US international equity closed-end funds (CEF) provide out-of-sample diversification benefits. My study finds that international CEF do not provide diversification benefits across the whole sample period. However, the out-of-sample diversification benefits of international CEF do vary across economic states. I find that there are significant diversification benefits when the lagged one-month US Treasury Bill return is lower than normal, and when higher than normal, regardless of the benchmark investment universe used.

我使用 Jobson 和 Korkie (J Portfolio Manag 7:70–74, 1981) 的模拟方法，结合 Michaud 优化（Michaud 和 Michaud，有效资产管理：股票投资组合优化和资产配置实用指南，牛津大学出版社， Oxford, 2008)，以评估美国国际股票封闭式基金 (CEF) 是否提供样本外多元化收益。我的研究发现，国际 CEF 并没有在整个样本期间提供多元化收益。然而，国际 CEF 的样本外多元化收益确实因经济状态而异。我发现，当滞后的 1 个月美国国库券回报率低于正常水平时，以及高于正常水平时，无论使用何种基准投资范围，都会带来显着的多元化收益。