International Mutual Funds Performance and Persistence across the Universe of Performance Measures

Performance Persistence in Mutual Funds:

* The authors thank Russ Wermers for conversations related to performance persistence. The authors will not enter into any correspondence with members of the public concerning this report.

Time-varying performance of international mutual funds

Article history: Received 5 May 2010 Received in revised form 1 February 2012 Accepted 1 March 2012 Available online 8 March 2012 We examine the ability of oneand two-factor regime switching models to describe US, developed, and emerging market mutual fund returns. We find that a two-factor fixed transition probability model adequately describes the multivariate series of mutual fund returns wi...

Mutual fund performance with learning across funds

The average level and cross-sectional variability of fund alphas are estimated from a large sample of mutual funds. This information is incorporated, along with the usual regression estimate of alpha, in a (roughly) precision-weighted average measure of individual fund performance. Substantial ‘‘learning across funds’’ is documented, with significant effects on investment decisions. In a Bayesi...

On Performance and Persistence of Mutual Funds in China By

The Performance of Open-End International Mutual Funds

1 Federal Reserve Bank of Atlanta E C O N O M I C R E V I E W Third Quarter 2001 diversify their portfolios into foreign markets. Indeed, the net new cash flow into international funds in 2000 was $49.9 billion (ICI 2001). Most advocates of international investing focus on the diversification benefits of adding assets that have relatively low correlations with domestic stock portfolios. Another...