Evaluating the Performance of International Mutual Funds

摘要: In this paper, we examine the performance of a sample fifteen U.S.-based internationally diversified mutual funds between 1982 and 1988. Two measures are used, Jensen measure positive period weighting proposed by Grinblatt Titman. We find no evidence that funds, either individually or as whole, provide investors with surpasses broad, international equity index over period. IT IS WIDELY RECOGNIZED diversification may produce significant reductions in systematic risk. One way for to achieve such without investing costly information acquisition is through funds. addition providing diversification, do fund managers possess provides superior returns an uninformed investor? While considerable on behavior now exists, there surprisingly little about funds.' This paper attempts remedy deficiency empirical utilized paper. The first widely used (1968, 1969) measure, which uses security market line evaluate performance. second Titman's (1989b) measure. popular, subject well known limitations, most important possibility errors inference arise when manager timer. particular, indicate poor possesses utilizes timing information. suggested Titman not these problems but has other limitations. plan follows. Section I briefly discusses compares it Jensen's order obtain valid benchmark must be mean-variance efficient from point view