Comparative measures of performance for U.S.-based international equity mutual funds

Global equity fund performance, portfolio concentration, and the fundamental law of active management

“…Several studies on international equity mutual funds suggests that multiple common factors jointly do a good job of describing the returns on international equity portfolios (such as Gallo and Swanson, 1996), although other studies suggest a single-factor model is useful (e.g., Cumby and Glen, 1990). Global market, style, country, and sector factors are likely important candidates for inclusion in models of global equity fund We measure portfolio concentration by taking the R-squared values from regressions of funds' excess returns on excess market returns:…”

The comparative role of iShares and country funds in internationally diversified portfolios

“…For the entire period, the out-of-sample Sharpe ratio (0.0592) of iShares portfolios is higher than the Sharpe ratio (0.0076) of country fund portfolios. The differential between the two portfolios (i.e., country fund portfolios minus iShares 19 For further clarification and following Cumby and Glen (1990) and Gallo and Swanson (1996), the MSCI world market index in local currency and the dollar index returns are also tested to explain the return-generating function of the funds. The world index, like the local index, is significant in all instances.…”

Performance of separately managed international equity accounts: How important are country momentum effects?

“…Potential survivorship bias aside, these results imply that SMAs experienced a performance advantage over domestic mutual funds, which generally have not outperformed market proxies (Jensen (1968), Gruber (1996), and Carhart (1997)). Although early performance studies generally revealed international mutual fund performance comparable to that of global market proxies (Block, Stanley and Sneddon (1989), Cumby and Glen (1990), Eun, Kolodny and Resnick (1991), Droms and Walker (1994)), evidence of superior performance is reported by Gallo and Swanson (1996) using a multi-factor model, and by Shukla and Singh (1997) over 1988 The PSN database is maintained by Informa Investment Solutions. PSN recently merged with a leading competitor, Mobius.…”