International equity U.S. mutual funds and diversification benefits

Fletcher, Jonathan (2021) International equity U.S. mutual funds and diversification benefits. International Review of Economics and Finance, 76. pp. 246-257. ISSN 1059-0560 (https://doi.org/10.1016/j.iref.2021.06.010)

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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.

ORCID iDs

Fletcher, Jonathan ORCID logoORCID: https://orcid.org/0000-0003-0568-9145;
CORE (COnnecting REpositories)