Evaluating the Performance of International Mutual Funds

Authors

  • ROBERT E. CUMBY,

  • JACK D. GLEN

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    • Stern School of Business, New York University and Wharton School, University of Pennsylvania, respectively. Jack D. Glen acknowledges financial support from the Geewax-Terker Research Program in Financial Instruments. The comments of Mark Grinblatt and David Modest are acknowledged with thanks.

ABSTRACT

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.

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