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International equity U.S. mutual funds and diversification benefits

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  • Fletcher, Jonathan

Abstract

This study examines whether U.S. international equity mutual funds provide out-of-sample diversification benefits in the presence of no short selling constraints. Ignoring the economic state, international mutual funds do not provide out-of-sample diversification benefits. However international mutual funds do provide out-of-sample diversification benefits in certain economic states. The benefits are concentrated when the lag one-month U.S. Treasury Bill return is lower than normal.

Suggested Citation

  • Fletcher, Jonathan, 2021. "International equity U.S. mutual funds and diversification benefits," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 246-257.
    • Handle: RePEc:eee:reveco:v:76:y:2021:i:c:p:246-257
    DOI: 10.1016/j.iref.2021.06.010
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    More about this item

    Keywords

    Diversification benefits; Resampled portfolio Efficiency™; Mutual funds;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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