PT  - JOURNAL ARTICLE
AU  - Srinidhi Kanuri
AU  - Davinder Malhotra
TI  - Evaluating the Performance of World Allocation Funds
AID  - 10.3905/jwm.2021.1.158
DP  - 2021 Nov 27
TA  - The Journal of Wealth Management
PG  - jwm.2021.1.158
4099  - https://pm-research.com/content/early/2021/11/26/jwm.2021.1.158.short
4100  - https://pm-research.com/content/early/2021/11/26/jwm.2021.1.158.full
AB  - 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 U.S. 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.