THE PERFORMANCE OF GLOBAL AND INTERNATIONAL MUTUAL FUNDS

This study examines the risk-adjusted returns using Sharpe’s Index, Treynor’s Index, and Jensen’s Alpha for five portfolios of international mutual funds and for three time periods: 1985 through 1994, 1985-1989, and 1990-1994. The benchmarks for comparison were the U. S. market proxied by the Vanguard Index 500 mutual fund and a portfolio of funds that invest solely in U. S. stocks. The results show that for 1985 through 1994 the portfolios of international mutual funds outperformed the U. S. market and the portfolio of U. S. mutual funds under Sharpe’s and Treynor’s indices. During 1985-1989, the international fund portfolio outperformed both the U. S. market and the domestic fund portfolio, while the portfolio of Pacific Rim funds outperformed both benchmark portfolios. Returns declined below the stock market and domestic mutual funds during 1990-1994.