RT Journal Article
SR Electronic
T1 Evaluating the Performance of World Allocation Funds
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP jwm.2021.1.158
DO 10.3905/jwm.2021.1.158
A1 Srinidhi Kanuri
A1 Davinder Malhotra
YR 2021
UL https://pm-research.com/content/early/2021/11/26/jwm.2021.1.158.abstract
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.