This paper examines the investment effects of home bias in the equity allocations of the Brazilian pension fund market:
- Brazilian pension funds have had a particularly large home bias in their equity allocations compared to developed markets.
- An examination of the characteristics, performance and return-to-risk profiles of the equity market in Brazil from 2008 through March 2021 shows that maintaining a home bias has been costly for Brazilian-based investors.
- The analysis also highlights the effects the depreciating Brazilian real had on returns.
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