COMPARATIVE MEASURES OF PERFORMANCE FOR US-BASED INTERNATIONAL EQUITYMUTUAL FUNDS

This paper compares an international two-index model to an Internation al Arbitrage Pricing Theory (IAPT) two-factor model to evaluate the pe rformance of 37 U.S.-based international mutual funds over the 1985-19 93 period. Results from the index model confirm prior research that in ternational funds perform as well as the market proxy. In contrast, th e IAPT model implies superior investment performance by the internatio nal funds. Moreover, the two models produce different relative perform ance rankings. Intertemporal comparisons of the models indicate that t he multifactor IAPT model better reflects the international equity ret urn-generating process.