An Evaluation Of Internationally Diversified Mutual Funds

Abstract

This paper compares the risk adjusted performance of three groups of mutual funds:  1) funds that invest in specific regions of the world but not in the United States, 2) funds that invest in foreign securities and in US securities, and 3) funds that restrict their investment to the US over the period from February 1978 to December 1982.  Sharpe and Treynor measures are used for performance comparison.  Contrary to theory, the funds that invest only in the US outperformed the other two groups of funds.  The funds that restricted their investment to a specific region of the world performed worse than the other two groups of funds.