RT Journal Article
SR Electronic
T1 Return Orthogonality and True Diversification Benefits of BRIC Securities
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 75
OP 79
DO 10.3905/jii.2019.10.1.075
VO 10
IS 1
A1 Javier Rodríguez
YR 2019
UL https://pm-research.com/content/10/1/75.abstract
AB In this study, the author examines and compares the US market risk exposure and true diversification benefits of emerging markets closed-end funds and exchange-traded funds. The author uses a two-factor econometric model and orthogonal returns to isolate both, US direct market risk and true diversification. Results show that exchange-traded funds that invest in emerging markets are a better vehicle for US-based investors to gain international diversification. In comparison to closed-end funds, exchange-traded funds provide truer international diversification and have less exposure to US market risk.TOPICS: Mutual fund performance, exchange-traded funds and applications