City Research Online

Global Asset Allocation Shifts

Kroencke, T.M., Schmeling, M. and Schrimpf, A. (2015). Global Asset Allocation Shifts (Report No. BIS Working Papers No 497). Bank for International Settlements.

Abstract

We show that global asset reallocations of U.S. fund investors obey a strong factor structure, with two factors accounting for more than 90% of the overall variation. The first factor captures switches between U.S. bonds and equities. The second reflects reallocations from U.S. to international assets. Portfolio allocations respond to U.S. monetary policy, most prominently around FOMC events when institutional investors reallocate from basically all other asset classes to U.S. equities. Reallocations of both retail and institutional investors show return-chasing behavior. Institutional investors tend to reallocate toward riskier, high-yield fixed income segments, consistent with a search for yield.

Publication Type: Monograph (Working Paper)
Additional Information: © Bank for International Settlements 2015. A ll rights reserved. BIS copyright policy can be found at http://www.bis.org/terms_conditions.htm#Copyright_and_Permissions
Publisher Keywords: Portfolio Rebalancing, Mutual Funds, Momentum, Search For Yield, Monetary Policy
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Departments: Cass Business School > Finance
Related URLs:
URI: http://openaccess.city.ac.uk/id/eprint/16864
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