Download or read book The Performance of International Portfolios written by Charles P. Thomas and published by . This book was released on 2004 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We evaluate the performance of U.S. investors ̐international portfolios over a 25-year period. Portfolio returns are formed by first estimating monthly bilateral holdings in 44 countries using high-quality but infrequent benchmark surveys that enable us to eliminate the geographical bias in reported capital flows data. In their foreign equity portfolios, U.S. investors achieved a significantly higher Sharpe ratio than global benchmarks, especially since 1990. We uncover three potential reasons for this success. First, they abstained from returns-chasing behavior and instead sold past winners. Second, conditional performance tests provide no evidence that the superior (unconditional) performance owed to private information, suggesting that the successful exploitation of publicly available information played a role. Third, well-documented preferences for cross-listed and well-governed foreign firms appear to have served U.S. investors well. We also evaluate the unconditional performance of bond portfolios, about which less information is available, and find that U.S. investors achieved higher Sharpe ratios than global benchmarks, although the difference here is not statistically significant"--Federal Reserve Board web site.

Download or read book The Performance of International Equity Portfolios written by Charles P. Thomas and published by . This book was released on 2006 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Investments and Portfolio Performance written by Edwin J. Elton and published by World Scientific. This book was released on 2011 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the recent contributions of Edwin J. Elton and Martin J. Gruber to the field of investments. All of the articles in this book have been published in the leading finance and economic journals. Sixteen of the twenty articles have been published in the last ten years. This book supplements the earlier contributions of the editors published by MIT Press in 1999.

Download or read book Global Portfolios written by Robert Z. Aliber and published by McGraw-Hill Professional Publishing. This book was released on 1991 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: BUSINESS/ECONOMICS

Download or read book The Performance of Global Portfolio Recommendations written by Mary M. Bange and published by . This book was released on 2003 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we report the first empirical tests concerning the performance of international investment strategies recommended by a panel of investment houses from 1982 through 2001. The data for this study comes from surveys published in the Financial Report, a confidential newsletter purchased by The Economist Newspaper, Ltd., in 1989. In the surveys, the investment houses recommended strategic asset allocations among equity, bonds, and cash, as well as tactical equity allocations across six countries.The performance of the recommended portfolio weights are compared to several pre-specified static benchmark portfolios. We also compare the returns of the recommended portfolio weights to a set of 1,000 returns that are generated by randomly shuffling the recommended weights. As a final measurement, we test whether the investment houses had superior information after adjusting for a set of conditioning variables.In this sample, it appears that the investment houses had little skill at recommending tactical equity allocations across countries. However, it does appear that the investment houses, as a group, had some skill concerning strategic asset allocations. We find that the market crash of October 1987 may have had a profound effect on the strategic portfolio performance. Before the Crash, the investment houses, as a group, exhibit skill. That is, they outperform several static and dynamic benchmarks. After the Crash, it appears that the investment houses overweighted in bonds for a lengthly interval, which may have led to inferior performance.

Download or read book Portfolio Performance Measurement and Benchmarking Chapter 28 Global and International Equity Benchmarks written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.

Download or read book International Portfolio Management written by Mark Tapley and published by . This book was released on 1986 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Active Index Investing written by Steven A. Schoenfeld and published by John Wiley & Sons. This book was released on 2011-08-04 with total page 535 pages. Available in PDF, EPUB and Kindle. Book excerpt: For over three decades, indexing has become increasingly accepted by both institutional and individual investors. Index benchmarks and investment products that track them have been a driving force in the transformation of investment strategy from art to science. Yet investors’ understanding of the sophistication of this burgeoning field has lagged the growing use of index products. Active Index Investing is the definitive guide to how indexes are constructed, how index-based portfolios are managed, and how the world’s most sophisticated investors use index-based strategies to enhance performance, reduce costs and minimize the risks of investing. Active Index Investing provides a comprehensive overview of (1) the investment theories that are the foundation of index based investing, (2) best practices in benchmark construction, (3) the growing world of index-based investment vehicles, (4) cutting-edge index portfolio management techniq ues and (5) the myriad ways investors can and do capture the benefits of indexing. Active Index Investing has a unique format that captures the views and perspectives of over 40 of the investment industry’s leading experts and practitioners, while maintaining a holistic view of this complex subject matter. In addition to the Appendix and Glossary within the book, it features an E-ppendix, available at www.IndexUniverse.com

Download or read book Performance Measurement and Attribution of International Equity Portfolios a Practical Model for Canadian Investors written by and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Diversification of Investment Portfolios written by Cheol S. Eun and published by . This book was released on 1991 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Diversification in Bond Portfolios A Historical Performance Analysis written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study touches upon the phenomenon of investors deliberately over weighting the proportion of their assets invested in their home country, called home-bias. While researchers have focused on the reasons for this decision, only a few papers focus on the actual diversification benefits that these investors would get in the case of a full diversification of their investments. Furthermore, some researchers lead to think that the recent developments of the world economy and the ongoing globalization could impact the size of these benefits. As a matter of fact, a time trend analysis on the development of home-bias costs in equity portfolios could already highlight a negative trend over the last two decades. This study focuses on corporate bond portfolios as these instruments won in relevance for companies seeking alternative financing means. This study made use of a rather recent optimization procedure based on the Conditional Value-at-Risk (also called Expected Shortfall) that can cope with instruments showing non-normal returns in contrast to other more standard procedures like the mean-variance framework or optimization based on the Value-at-Risk. The results showed that home-bias costs did not decrease over the last decade for biased investors coming from all over the world. Also, the size of the diversification benefits that investors are ignoring through their home-bias seems not to be region and country specific or related to their development level.

Download or read book Macro Level Governance and International Portfolio Performance written by Vincent J. Hooper and published by . This book was released on 2008 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares the performance of 'good governance' and 'poor governance' portfolios at the country level for a time period spanning January 1st 1995 until 31st December 2002. Comparison between the two portfolio types are made on the basis of an equally weighted and value weighted constructions. Results indicate that 'good governance' portfolios outperform 'poor governance' portfolios for both return and risk measures. For value weighted portfolios, 'good governance' exhibited by far superior performance as compared to 'good governance' equally weighted portfolios. More strikingly we find that value weighted portfolios substantially outperformed the Morgan Stanley Composite World Index and the equally weighted portfolios tracked the World Index quite effectively especially with regard to our passive international investment strategy. This country-level evidence is consistent with research that has been conducted at firm-level that supports the notion that good governance leads to superior investment performance. However investing at the country level offers the advantage of improving the risk-return trade-off of portfolios through international diversification. The results have policy relevant implications for fund managers as they can achieve superior returns by passively investing in value weighted investable country indices in countries with good macro governance environments and consistently beat returns on World Market portfolio. However, the results of this study also suggest a time-varying level of importance placed upon governance as a driver of international stock market returns which is more marked after emerging market crises. In other words, the premium paid for good governance may have already dissipated at the country level. Finally, Morgan Stanley may consider producing a 'good governance' value weighted index as a benchmark which potentially could encourage countries to enhance their governance environments to be included in the index.

Download or read book International Investment Performance written by Allan Timmermann and published by . This book was released on 2020 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the international equity holdings of a large panel of UK pension funds. We find considerable evidence of market timing activity, as illustrated by the funds' decision to scale back investments in the US stock market during the 1990s. To explain this, we jointly model time-varying conditional moments and portfolio weight dynamics. Past returns do not adequately explain the funds' international portfolio flows and only matter for the short run. Instead we find that a substantial part of the evolution in portfolio weights is explained by time-varying conditional expected returns, volatilities and covariances with domestic equity returns. However, once we control for publicly known state variables, there is no evidence of extra market-timing skills and most funds appear to have earned small but negative returns from international market timing.

Download or read book Determinants of International Portfolio Performance written by Allan Timmermann and published by . This book was released on 2000 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Portfolio Theory and Performance Analysis written by Noel Amenc and published by John Wiley & Sons. This book was released on 2005-01-21 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an "art and craft" to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. In these bear market times, performance evaluation of portfolio managers is of central focus. This book will be one of very few on the market and is by a respected member of the profession. Allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques Puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement Takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits

Download or read book Global Risk Premia on International Investments written by and published by Springer-Verlag. This book was released on 2013-07-01 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Implementing unconditional as well as conditional beta pricing models, the author identifies global economic factors that affect the performance of international investments.

Download or read book International Portfolio Management written by Georgine M. Kryda and published by . This book was released on 1990 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Efficient international portfolio construction and management require an understanding of the: 1. Purpose of a portfolio and the role of diversification. 2. Theoretical process whereby optimal portfolios are established. 3. Real-world limitations on the portfolio opportunity set. 4. Quantitative relationship between potential reward and variability of returns for different types of portfolios. 5. Options offered by mutual funds as intermediaries between individual investors and overseas opportunities. This report develops a theoretical basis for the beneficial effects of ever-increasing diversification beyond domestic markets into overseas equities. It proceeds to introduce real-world constraints, such as country and currency risk and information deficiencies, into the portfolio construction process. Analyses and indices by which portfolio selection is conducted and measured are also described. Mutual funds are presented as the best approximation for the process of real-world optimal portfolio construction because of the funds' variety and resources to undertake extensive analysis. The Sharpe measure of a portfolio's excess return over its variability is detailed because it encapsulates the idea of a reward to risk ratio. ... Empirical testing of 29 international and global equity mutual funds over a five year period was conducted to reinforce theoretical expectations of portfolio performance. The Sharpe measure was the central criterion against which fund performance was evaluated. Conclusions of the mutual fund survey largely substantiate expectations regarding the behavior of different fund categories. The expectations and explanations offered for the observed performance reiterate concepts and constraints discussed in earlier chapters. Tempered by the individual investor's degree of risk aversion, these variables effectuate an understanding of the essential elements of portfolio construction in the investment climate of the late 1980s."--Author's Abstract.