The performance of international portfolios
By: Charles P. Thomas, Francis E. Warnock, and Jon Wongswan.
Contributors: Warnock, Francis E.; Wongswan, Jon.
Series: International finance discussion papers ;; no. 817; International finance discussion papers (Online) ;; no. 817.
Publisher: Federal Reserve Board
Published: 2004
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "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.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 9/21/2004.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.