and bond funds, respectively, with return data.<sup>14</sup> The analyses in the paper that require fundreturn information are restricted to this subset of funds.

Because we do not know the detailed portfolio of each fund within a country, we use country-level indexes to compute returns and assume throughout the paper that all funds investing in a country experience the same return to their investments in that country, disregarding country-return heterogeneity across funds.<sup>15</sup> To this end we collect monthly, dividend-adjusted price indexes in U.S. dollars for stock markets (MSCI Standard Index, S&P Broad Market Index, and local sources for a total of 86 countries) and bond markets (JP Morgan sovereign bond index for 78 countries) in which mutual funds invest.<sup>16</sup> Analyses that require country-return information are restricted to those countries and time periods for which we could gather these data.

Table 1 shows the characteristics of the cleaned mutual fund sample (without constraining by return price availability). Panel A reports sample characteristics for equity/bond funds. There are 965 equity funds (85% of the original sample) with a median number of 47 observations per fund. The total number of bond funds is 111 (92% of the original sample) with a median number of 34 observations per fund. Panel B reports the number of funds and observations by different partitions. Of the total sample, 95% is actively managed and the rest passively managed. Also, almost 65% of the funds have their investment scope in Asia (excluding Japan), global markets, global emerging markets, or Europe. Moreover, Table 1 documents the number of funds and observations by domicile. The funds are primarily domiciled in developed market jurisdictions, in fact, 80% of the funds are domiciled (in order of importance by the number of funds) in Luxembourg, the U.S., the U.K., and Ireland.<sup>17</sup> Average total net assets (first computed within fund and then across all funds) is around 620 million U.S. dollars for both equity and bond funds.

> 14 Information on ISIN is not available for the EPFR Global mutual funds, so we match the return data with the EPFR Global data according to the mutual fund name and family, using an algorithm that compares the (Levenshtein) distance across names. We then manually screen out incorrect matches and complete the matching process. The total number of fund price observations is 255,510.

> 15 We believe this is a reasonable approximation given the documented synchronicity of returns across assets within countries, especially in developing countries (Morck et al., 2000). Furthermore, we find a strong correlation between the return of a fund computed directly from its NAV and the return computed from the portfolio of country investments and country-level returns, which provides additional validity to our approximation.

> 16 Time coverage is January 1999-November 2010 for stock market indexes and July 2002-November 2010 for bond market indexes. The total number of observations of stock and bond market indexes across countries and over time is 23,272.

> 17 Interested readers are referred to Raddatz and Schmukler (2011) for a classification of funds by mutual fund family and a more detailed description of the data.

8