International Mutual Funds: MSCI Benchmarks and Portfolio Evaluation

47 Pages Posted: 8 Jan 2012

See all articles by George Comer

George Comer

Georgetown University - Department of Finance

Javier Rodriguez

University of Puerto Rico; University of Puerto Rico - Escuela Graduada de Administración de Empresas (EGAE)

Date Written: January 7, 2012

Abstract

We examine the sensitivity of estimates of abnormal performance to models that vary in the degree to which they explicitly control for variation in the regional and emerging market allocations of diversified international mutual funds. Models based on the most commonly used global MSCI benchmarks indicate that the funds have average positive abnormal performance. This positive performance is driven by funds with the greatest emerging markets and Pacific region exposure. When we measure performance against a model which includes MSCI benchmarks for the U.S, Europe, Pacific region, and Emerging Markets, average fund performance turns negative and significant.

Keywords: portfolio evaluation, international mutual funds, foreign mutual funds, world mutual funds, MSCI

JEL Classification: G10, G11, G29

Suggested Citation

Comer, George and Rodriguez, Javier, International Mutual Funds: MSCI Benchmarks and Portfolio Evaluation (January 7, 2012). Available at SSRN: https://ssrn.com/abstract=1981327 or http://dx.doi.org/10.2139/ssrn.1981327

George Comer (Contact Author)

Georgetown University - Department of Finance ( email )

585 Hariri Building
Georgetown University
Washington, DC 20057
United States
202-687-0676 (Phone)

Javier Rodriguez

University of Puerto Rico ( email )

Río Piedras
Puerto Rico

University of Puerto Rico - Escuela Graduada de Administración de Empresas (EGAE) ( email )

San Juan, 00918
Puerto Rico

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