International mutual fund returns and Federal Reserve policy |
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| Institution: | 1. Association for Investment Management & Research, 560 Ray C. Hunt Drive, P.O. Box 3668, Charlottesville, VA 22903-0668, USA;2. BFRC Services, 1705 Owensville Drive, Charlottesville, VA 22901, USA;3. Northern Illinois University, School of Business, DeKalb, IL 60115-2854, USA;1. Lille University Hospital, CHU Lille, Thoracic Oncology Department, Lille, France;2. University Lille, Functional and Structural Platform, CHU Lille, Lille, France;3. Department of Pathology, Hospital Tenon, AP-HP, Paris, France;4. Department of Biochemistry and Molecular Biology, Hormonology Metabolism Nutrition Oncology, CHU Lille, Lille, France;5. University Lille, CNRS, Institut Pasteur de Lille, UMR 8161 - M3T - Mechanisms of Tumorigenesis and Targeted Therapies, F-59000 Lille, France;6. University Lille, CHU Lille, Institute of Pathology, UMR8161 CNRS, Institute of Biology of Lille, F-59000 Lille, France;7. Department of Molecular Oncology, Assistance Publique Hôpitaux de Marseille, Marseille, France;8. Department of Molecular Biology, Strasbourg University Hospital, Strasbourg, France;9. Unit of Pharmacogenomics, Department of Genetics, Institut Curie, Paris, France;10. Department of Pathology, CHU de Caen, Caen, France;11. Department of Pneumology, Nouvel Hôpital Civil, University Hospital, Strasbourg, France;12. Department of Pneumology, Grenoble University Hospital, Grenoble, France;13. Pneumology Department, Foch Hospital, Suresnes, France;14. Clinical Research Unit, French Cooperative Thoracic Intergroup (IFCT), Paris, France;15. Aix Marseille University, Assistance Publique Hôpitaux de Marseille, Multidisciplinary Oncology & Therapeutic Innovations Department, Marseille, France;p. Chest Department-Thoracic Oncology Expert Center, AP-HP, Groupe Hospitalier HUEP, Hopital Tenon, Paris, France, and Sorbonne University, Paris, France;1. School of Civil Engineering, Tianjin University, 300072, Tianjin, China;2. School of Environmental Science and Engineering, Tianjin University, 300072, Tianjin, China |
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| Abstract: | This study examines the performance of international mutual fund indexes across alternative Federal Reserve monetary policy environments. The results suggest that the benefits touted by advocates of international diversification may be less than previous studies indicate. Specifically, during restrictive US monetary policy periods, international mutual fund indexes provide lower excess returns than domestic counterparts. Additionally, the correlations between international mutual funds and domestic mutual funds are higher during restrictive monetary policy periods. This evidence may represent a partial explanation for the home country bias exhibited by US-based individual and institutional investors. |
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