A structural analysis of mutual fund performance: a comparative study for domiciliation places

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.