Evaluating the Performance of International Mutual Funds

Evaluating the Performance of International Mutual Funds

In this paper, we examine the performance of a sample of fifteen U.S.-based internationally diversified mutual funds between 1982 and 1988. Two performance measures are used, the Jensen measure and the positive period weighting measure proposed by Grinblatt and Titman. We find no evidence that the f...

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Veröffentlicht in:The Journal of finance (New York) 1990-06, Vol.45 (2), p.497-521
Hauptverfasser: CUMBY, ROBERT E., GLEN, JACK D.
Format: Artikel
Sprache:eng
Schlagworte:
Benchmarks
Economic models
Economic performance
Efficient markets
Financial portfolios
Index funds
International
Investment trusts
Investors
Manycountries
Marginal utility
Mutual funds
Portfolio diversification
Portfolio management
Portfolio performance
Regression analysis
Return on capital
Studies
Term weighting
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Beschreibung
Zusammenfassung:In this paper, we examine the performance of a sample of fifteen U.S.-based internationally diversified mutual funds between 1982 and 1988. Two performance measures are used, the Jensen measure and the positive period weighting measure proposed by Grinblatt and Titman. We find no evidence that the funds, either individually or as a whole, provide investors with performance that surpasses that of a broad, international equity index over this sample period.
ISSN:0022-1082
1540-6261
DOI:10.1111/j.1540-6261.1990.tb03700.x