Investing in a Global World
48 Pages Posted: 10 Mar 2011 Last revised: 22 Jun 2011
Date Written: June 21, 2011
We examine active retail mutual funds and institutional products with a mandate to invest in international equity markets between 1991 and 2009. Using global and regional factor models, we find no reliable evidence of alphas in the aggregate or on average. The right tail of the distribution contains some large alphas. Decomposing stock selection from country selection, we find little evidence of superior stock picking abilities in the extreme right tail. Luck versus skill tests show that funds in the tails are there due to luck. Persistence tests also show little evidence of continuation in superior performance.
Keywords: International, Portfolio Management, Performance
JEL Classification: G11, G15, G23
Suggested Citation: Suggested Citation