We study the relative diversification potential of American Depository Receipts (ADRs) as compared to the underlying … shares as well as the relative diversification potential of closed-end country funds as compared to the foreign market … underlying shares are more useful for diversification purposes than ADRs and country funds when the U.S. stock market returns are …

(FOFs). In this paper we examine a new database that separates out for the first time the effects of diversification (the … variance reducing effects of diversification peter out once FOFs hold more than 20 underlying hedge funds. Yet the majority of … FOFs are more diversified than this. We find a new and surprising result that this excess diversification actually …

international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and … factor diversification are significant for both in- and out-of-sample periods, and for a realistic range of additional …

Funds of hedge funds are diversified investment vehicles that provide investors with diversification either across …