Evaluating the Performance of World Allocation Funds

Srinidhi Kanuri, D. Malhotra
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引用次数: 0

Abstract

This study analyzes the risk-adjusted performance of world allocation mutual funds, from January 1994 to March 2021 by comparing them to various benchmark indices. We found that world allocation mutual funds were highly correlated with benchmark indices. They also had lower absolute- and risk-adjusted performance compared to benchmark indices. We also computed the six-factor alpha (Carhart four factors plus excess returns of FTSE Total World Ex US and Barclays Aggregate Bond Index) during this time and found that world allocation funds had significantly negative alpha. All these results indicate that world allocation funds would have been better off with passively managed index funds.
评估世界分配基金的绩效
本研究通过将世界配置型共同基金与各种基准指数进行比较,分析了1994年1月至2021年3月世界配置型基金的风险调整后业绩。我们发现,世界配置共同基金与基准指数高度相关。与基准指数相比,它们的绝对业绩和风险调整后的业绩也较低。我们还计算了这段时间内的六因子阿尔法(Carhart四因子加上富时环球指数(FTSE Total World Ex US)和巴克莱综合债券指数(Barclays Aggregate Bond Index)的超额回报),发现世界配置基金的阿尔法显著为负。所有这些结果都表明,如果采用被动管理的指数基金,世界配置基金会过得更好。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Journal of Wealth Management
Journal of Wealth Management Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
1.10
自引率
0.00%
发文量
32
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