The objective of this article is to show similarities or differences in funds’ performance according to their domiciliation. Based on a performance—risk approach, there seems to be little evidence of differences between groups of domicile using a classical descriptive analysis. The authors implement a structural analysis in order to compare each domiciliation place. This structural analysis constructs synthetic fund indexes that capture the time structure of the mutual fund performance. Synthetic funds are 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 synthetic fund 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.