Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter?
Posted: 21 Jun 2011 Last revised: 28 Mar 2014
Date Written: November 9, 2012
This is the first paper analyzing the impact of index momentum factors on the performance of international and global equity funds. Extending an international, index-based version of the Fama and French (1993) three-factor model by adding the factors of country momentum and sector momentum, we find that more than 50% of funds exhibit significant exposure to at least one of these factors. Including both new factors in performance evaluation clearly impacts results when analyzing (i) the risk-adjusted performance, (ii) the performance persistence of funds, and (iii) luck versus skill in the cross-section of funds. Our main results are robust against models which additionally cover a stock-based momentum factor as well as single country, regional and sector factors.
Keywords: International Equity Funds, Global Equity Funds, Country Momentum, Sector Momentum, Fund Performance, Fund Ranking
JEL Classification: G11, G12, G15
Suggested Citation: Suggested Citation