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See detailA structural analysis of mutual fund performance: a comparative study for domiciliation places
Razafitombo, Hery; Terraza, Virginie UL

in Journal of Index Investing (2011), 1(4), 81-91

The objective of this paper is to show similarities or differences of funds’ performance according to their domiciliation. Based on performance‐risk approach, it seems to be a little evidence of ... [more ▼]

The objective of this paper is to show similarities or differences of funds’ performance according to their domiciliation. Based on performance‐risk approach, it seems to be a little evidence of differences between groups of domicile using a classical descriptive analysis. In order to improve the consistency of our study, we implement a structural analysis in order to compare each domiciliation place. This structural analysis consists to construct fund synthetic indexes that capture the time structure of the mutual fund performance. Synthetic funds are funds portfolios which aim to duplicate a fund market in order to represent alternative benchmarks to compare the performance of investment funds. Risk analyses of indexes confirm some results obtained by the descriptive analysis and the gaps between the MSCI and fund synthetic indexes. We show that using the MSCI carelessly as a risk measure for much riskier market environments may lead the investor to severely underestimate downside risks and thus Value at Risk. [less ▲]

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