Country Rotation and International Mutual Fund Performance
研究发现，国际股票基金通过主动调整国家资产配置（即国家轮换）能获得超额收益，轮换强度越大的基金价值增加越多，且基金减持某国资产后该国市场表现不佳，表明基金具备国家市场择时能力。
Abstract International equity funds attain superior subsequent performance by actively changing their country asset allocations, which we capture through a new measure of active country rotation intensity. Across funds, those that rotate country allocations with the greatest intensity on average have the highest value added. We offer evidence that a fund’s change of holdings in a country is associated with future outperformance in those specific holdings. Outperformance is concentrated on the downside when funds sell down country holdings before subsequent poor country market returns. Overall, our findings affirm that active international mutual funds have country market timing abilities.