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The Performance, Asset Allocation, and Investment Style of International Equity Managers

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  • Bhargava, Rahul
  • Gallo, John G
  • Swanson, Peggy E

Abstract

This paper evaluates the performance of 114 international equity managers over the January 1988-December 1997 period. Performance tests are conducted using Sharpe (1966) and Jensen (1968) performance methodologies. The managers are divided into mutual fund (n = 54) and separately managed fund (n = 60) investment management categories. Each management category is further divided by foreign and world (global) investment objectives. Three major findings are reported. First, international equity managers, on average, were unable to outperform the MSCI World market proxy during the sample period. However, world managers did perform better than their foreign counterparts. Second, geographic asset allocation and equity style allocation decisions enhanced the performance of international managers during the sample period. Third, separately managed funds outperformed mutual funds during the period studied when mutual fund returns are measured net of management fees. The apparent managed performance advantage abates, however, when mutual fund returns are adjusted to include management fees. Thus, we find no significant difference in the performance of the management categories when returns are measured gross of fees. Copyright 2001 by Kluwer Academic Publishers

Suggested Citation

  • Bhargava, Rahul & Gallo, John G & Swanson, Peggy E, 2001. "The Performance, Asset Allocation, and Investment Style of International Equity Managers," Review of Quantitative Finance and Accounting, Springer, vol. 17(4), pages 377-395, December.
    • Handle: RePEc:kap:rqfnac:v:17:y:2001:i:4:p:377-95
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    Cited by:

    1. Jiong Gong & Ping Jiang & Shu Tian, 2016. "Contractual mutual fund governance: the case of China," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 543-567, April.
    2. Ching-Chang Wang & Jerry Yu, 2018. "The holdings markup behavior of mutual funds: evidence from an emerging market," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 393-414, February.
    3. Larrymore, Norris L. & Rodriguez, Javier, 2007. "Active fund management: Global asset allocation funds," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 244-256, July.
    4. Rodri­guez, Javier, 2008. "Market timing: A global endeavor," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 545-556, December.
    5. Yao Zheng & Eric Osmer, 2018. "The Relationship between Hedge Fund Performance and Stock Market Sentiment," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-29, September.
    6. Łukasz Dopierała & Magdalena Mosionek-Schweda & Daria Ilczuk, 2020. "Does the Asset Allocation Policy Affect the Performance of Climate-Themed Funds? Empirical Evidence from the Scandinavian Mutual Funds Market," Sustainability, MDPI, vol. 12(2), pages 1-23, January.

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