The Asset Allocation of Emerging Market Mutual Funds

ByPiti Disyatat

August 1, 2001

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedicated emerging market equity funds, we assess the relevance of mean-variance optimization and benchmark following, finding strong evidence for both. We also present a framework to systematically extract useful information about market expectations from funds' holdings.

Subject: Asset allocation, Asset and liability management, Emerging and frontier financial markets, Financial institutions, Financial markets, Market capitalization, Mutual funds

Keywords: asset, asset allocation, benchmark index, benchmark indices arc, contagion, East Asia, Emerging and frontier financial markets, expected return, fund, fund manager, fund-managed portfolio, Global, holdings well, Market capitalization, MSCI benchmark weight, Mutual funds, portfolio, portfolio choice, portfolio weight, return, WP

Pages:
27
Volume:
2001
DOI:
https://doi.org/10.5089/9781451853476.001
Issue:
111
Series:
Working Paper No. 2001/111
Stock No:
WPIEA1112001
ISBN:
9781451853476
ISSN:
1018-5941

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