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Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter?

Posted: 21 Jun 2011 Last revised: 28 Mar 2014

Bernhard Breloer

Friedrich-Alexander-University (FAU) Erlangen-Nürnberg

Hendrik Scholz

Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg

Marco Wilkens

University of Augsburg

Date Written: November 9, 2012

Abstract

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

Breloer, Bernhard and Scholz, Hendrik and Wilkens, Marco, Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter? (November 9, 2012). Journal of Banking and Finance, Vol. 43, 2014. Available at SSRN: https://ssrn.com/abstract=1868443 or http://dx.doi.org/10.2139/ssrn.1868443

Bernhard Breloer (Contact Author)

Friedrich-Alexander-University (FAU) Erlangen-Nürnberg ( email )

Finance and Banking
Lange Gasse 20
Nuernberg, Bavaria 90403
Germany
+49 911 5302429 (Phone)

HOME PAGE: http://www.finanzierung.wiso.uni-erlangen.de

Hendrik Scholz

Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg ( email )

Finance and Banking
Lange Gasse 20
Nürnberg, Bavaria 90403
Germany
0049-911-5302649 (Phone)
0049-911-5302466 (Fax)

HOME PAGE: http://www.finanzierung.wiso.uni-erlangen.de

Marco Wilkens

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4124 (Phone)
+49 821 598 4223 (Fax)

HOME PAGE: http://www.wiwi.uni-augsburg.de/bwl/wilkens/team/wilkens_marco/

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