{"title":"Return Orthogonality and True Diversification Benefits of BRIC Securities","authors":"Javier Rodríguez","doi":"10.3905/jii.2019.10.1.075","DOIUrl":null,"url":null,"abstract":"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","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2019-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2019.10.1.075","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Index Investing","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jii.2019.10.1.075","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 0
Abstract
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
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