Global And International Fund Performance Evaluation

This study examines the performance of the global and international equity funds based in Europe (France, Germany and Italy) and China (QDII funds). The equity funds with a minimum of 800 trading days are selected from the Bloomberg and Tsinghua Financial Database without survivorship bias. The findings suggest that the there are diversification benefits of the global and international equity funds for individual investors and the global fund groups show the greatest total risk reduction. The risk-adjusted overall performance (Sharpe ratio and Jensen’s alpha) of the funds is below that of the MSCI benchmark. There is also weak evidence of poor market-timing ability of the fund managers. Consistent with previous findings of domestic funds, there is a negative correlation between the managers’selection ability and market-timing ability. Finally, the performance of funds in Europe and China displays more similarities than differences. The QDII funds in China report more impressive absolute returns but higher risk, which possibly due to the short sample period of the funds and their heavy asset allocation in Asia-Pacific markets.