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July 15, 2026Manchester SchoolOpen Access

The Effects of U.S. Monetary Policy Shocks on Portfolio Diversification

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Authors

RHRong HuangDKDimos KambouroudisDMDavid G. McMillan

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Overview

Randomized trial investigates portfolio responses to U.S. monetary policy changes, suggesting new hedging strategies for investors.

Key Points

  • This research aims to evaluate how changes in U.S. monetary policy affect various portfolio types and their diversification benefits.
  • Constructed four portfolio types: U.S.-only, stock-bond (60/40), international stock, and asset diversified portfolios.
  • Included assets such as S&P 500, MSCI EAFE, MSCI EM, gold, oil, and U.S. 10-year Treasury notes.
  • Examined the relationship between U.S. monetary policy changes and portfolio performance.
  • Identified U.S. monetary policy as a significant risk factor across global asset markets.
  • Noted that most asset markets, except 10-year Treasury notes, do not react to expected monetary policy changes.
  • Found that risk-averse investors might consider 10-year Treasury notes and stock-bond portfolios for hedging amidst monetary policy volatility.

Cite This Study

Huang et al. (2026) studied this question.

synapsesocial.com/papers/6a5723c288b21df875480735https://doi.org/10.1111/manc.70059
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Also Consider

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  1. 1Valuation effects of U.S. monetary policy tightening: The roles of foreign exposure2026
  2. 2Financial Crisis and the Global Transmission of U.S. Monetary Policy Surprises2022
  3. 3Dynamic Effects of U.S. Monetary Policy, Unconventional Tools, and Trade Integration2025
  4. 4The Effect of Monetary Policy Shocks on Stock Returns and Firm Characteristics in the US2025
  5. 5Monetary Policy without Moving Interest Rates: The Fed Non-Yield Shock2024 · 3 citations