Comparative measures of performance for U.S.-based international equity mutual funds
Article Abstract:
Some 37 US-based international mutual funds were observed from 1985 to 1993 to measure their performance based on an international index model and an International Arbitrage Pricing Theory (IAPT) two-factor model. While the index model found that international funds perform as well as the market proxy, the IAPT model concluded that international funds are superior in investment performance. The two models were also found to produce different relative performance rankings. The multifactor IAPT model better reflects the international equity return-generating process.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1996
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The performance of global bond mutual funds
Article Abstract:
Returns on global bond mutual funds were found to be sensitive to exchange rate movements. This was gleaned from a 1988-1995 study of the risk and return characteristics of global bond funds, which had been unable to show superior performance, with performance negatively related to fund expenses. While these actively managed funds had high exposure to the European, Canadian and US bond markets, they proved to be less sensitive to the Japanese bond index and the yen's movements.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1999
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Commercial bank mutual fund activities: implications for bank risk and profitability
Article Abstract:
The effect of mutual fund activities on bank holding company risk and profitability from 1987 to 1994 was examined. Results show a significant decline in bank risk, which suggests that mutual fund activities moderated the banking industry's systematic risk. Mutual fund activities likewise boosted banking profitability. These findings show that mutual funds are materially rewarding potential business partners for bank holding companies.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1996
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