Investment Performance of International Mutual Funds

Abstract

In this paper we add several new perspectives to the growing body of empirical evidence on the investment performance of international mutual funds by applying a pooled cross-sectional/time-series regression methodology to a large data base over an extended period. Risk-adjusted and unadjusted investment returns are not related to whether a fund is load or no-load, and asset size, expense ratios, and turnover rates are not related to investment performance. We find no reward for paying a load fee when investing in mutual funds. It is noteworthy that performance is not affected by fund size, given the explosive growth of international mutual funds.

American equity mutual funds in European markets: Hot hands phenomenon and style analysis

“…However, regarding statistical significance, the majority of funds underperformed any benchmark. These results are in accordance with previous studies (Cumby and Glen, 1990;Droms and Walker, 1994;Pushner et al, 2001) and partially explain the 'home bias puzzle'. Second, we found little evidence for a 'hot hands' phenomenon in contrast to Hendricks et al's (1990) results concerning US funds investing in America.…”

“…However, other studies provide evidence for active management (Ginblatt and Titman, 1989;Hendricks et al, 1990). Concerning international diversification of the US funds the results were also mixed (Cumby and Glen, 1990;Droms and Walker, 1994;De Santis and Gerard, 1997).…”

Manager education and mutual fund performance

“…27 A finding that turnover is not related to performance is consistent with some of the previous literature. Both Ippolito (1989) and Droms and Walker (1994) find that turnover is not significantly related to fund performance. Conversely, Grinblatt and Titman (1994) along with Chevalier and Ellison, find that turnover is significantly and positively related to fund performance.…”

Determinants of variation in mutual fund returns

“…Fabozzi and Francis, 1979;Alexander and Stover, 1980), and the performance of international mutual funds (e.g. Cumby and Glen, 1990;Droms and Walker, 1994a;and Rao and Aggarwal, 1987). In a recent comprehensive monograph, Shukla and Trzcinka (1992) provide a review of 25 years of literature concerned with performance evaluation of managed portfolios and synthesize the basic issues and methods in performance evaluation.…”