This paper proposes a generalized functional form CAPM model for international closed-end country funds performance evaluation. It examines the effect of heterogeneous investment horizons on the portfolio choices in the global market. Empirical evidences suggest that there exist some empirical anomalies that are inconsistent with the traditional CAPM. These inconsistencies arise because the specification of the CAPM ignores the discrepancy between observed and true investment horizons. A comparison between the functional forms for share returns and NAV returns of closed-end country funds suggests that foreign investors, may have more heterogeneous investment horizons compared to the U.S. counterparts. Market segmentation and government regulation does have some effects on the market efficiency. No matter which generalized functional model we use, the empirical evidence indicates that, on average, the risk-adjusted performance of international closed-end fund is negative even before the expenses.