TY  - JOUR
AU  - Thomas,Charles P.
AU  - Warnock,Francis E.
AU  - Wongswan,Jon
TI  - The Performance of International Equity Portfolios
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12346
PY  - 2006
Y2  - July 2006
UR  - http://www.nber.org/papers/w12346
L1  - http://www.nber.org/papers/w12346.pdf
N1  - Author contact info:
Charles P. Thomas
Board of Governors
of the Federal Reserve System
20th Street and Constitution Avenue, NW
Washington DC 20551
E-Mail: charles.thomas@frb.gov

Francis E. Warnock
Darden Business School
University of Virginia
Charlottesville, VA 22906-6550
Tel: 434/924-6076
Fax: 434/243-8945
E-Mail: warnockf@darden.virginia.edu

Jon Wongswan
Phatra Securities Public Company Limited
11F Muang Thai-Phatra Office Tower 1
252/6 Ratchadapisek Road
Bangkok, 10310
Thailand
E-Mail: jon@phatrasecurities.com
M2  - featured in NBER digest on 2006-07-03
AB  - This paper evaluates the ability of U.S. investors to allocate their foreign equity portfolios across 44 countries over a 25-year period. We find that U.S. portfolios achieved a significantly higher Sharpe ratio than foreign benchmarks, especially since 1990. We test whether this strong performance owed to trading expertise or longer-term allocation expertise. The evidence is overwhelmingly against trading expertise. While U.S. investors did abstain from momentum trading and instead sold past winners, we find no evidence that these past winners subsequently underperformed. In addition, conditional performance measures, which directly test reallocating into (out of) markets that subsequently outperformed (underperformed), suggest no significant trading expertise. In contrast, we offer strong evidence of longer-term allocation expertise: If we fix portfolio weights at the end of 1989 and do not allow reallocations, we still find superior performance in the recent period.
ER  -