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International Asset Allocation with Time-Varying Investment Opportunities

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Author Info
Allan Timmermann (University of California, San Diego)
David Blake (Pensions Institute, Cass Business School, London)

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Abstract

This paper analyzes the international equity holdings of a large panel of U.K. pension funds. We model portfolio weights as a function of time-varying conditional moments and 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. Estimates of returns from international market timing suggest a net loss of 0.2% per annum for the average fund.

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File URL: http://www.journals.uchicago.edu/cgi-bin/resolve?JB780104
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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 78 (2005)
Issue (Month): 1 (January)
Pages: 71-98
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Handle: RePEc:ucp:jnlbus:v:78:y:2005:i:1:p:71-98

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Postal: The University of Chicago Press, Journals Division, P.O. Box 37005 Chicago, IL 60637
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  1. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, EconWPA. [Downloadable!]
  2. Albuquerque, Rui & Bauer, Gregor H & Schneider, Martin, 2006. "Global Private Information in International Equity Markets," CEPR Discussion Papers 5819, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  3. Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Research Paper Series 98, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  4. Manuel Ammann & Andreas Zingg, 2008. "Investment Performance of Swiss Pension Funds and Investment Foundations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(II), pages 153-195, June. [Downloadable!]
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This page was last updated on 2009-12-2.

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