Increasing correlation among international equity markets has prompted investors to seek new investment opportunities. To shed light on this issue for U.S. investors, this paper measures economic benefits of international equity diversification using mean-variance and higher-moments frameworks...

The emergence of tactical allocation and factor timing strategies has prompted professionals to devise various means of measuring tactical and timing skills. This paper proposes a new measure, based on the new cash flows into and out of asset segments of the portfolio, which can easily be...

Over the past decade, investors and financial advisors have shown renewed interest in increasing international equity exposure. Investors confront one of two key issues in making decisions on their strategic allocations, depending on the starting point of their portfolios: 1) for a U.S.-only...

Second moments of asset returns are important for risk management and portfolio selection. The problem of estimating second moments can be approached from two angles: time series and the cross-section. In time series, the key is to account for conditional heteroskedasticity; a favored model is...