Abstract
One of the main benefits that has flowed from increasing capital markets liberalization has been the opportunities that this has provided to facilitate international diversification. This paper aims to determine the benefits of the asset allocation process undertaken by fund managers in 15 countries. The benefits analysed are whether the fund managers have added value to their portfolios by generating higher risk adjusted returns. In addition, the minimum risk portfolios are determined for the international markets represented by the 15 countries and a minimum risk benchmark is constructed. The analysis was conducted using data from 1983 to 1993 and the data were provided by the Union Bank of Switzerland Asset Management Group (UBSAM).