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Exploring the diversification benefits of US international equity closed-end funds
Financial Markets and Portfolio Management ( IF 1.5 ) Pub Date : 2021-06-29 , DOI: 10.1007/s11408-021-00397-1
Jonathan Fletcher

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.



中文翻译:

探索美国国际股权封闭式基金的多元化收益

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。

更新日期:2021-06-29
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