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Investment Style and Performance: Evidence for International Equity Mutual Funds

30 Pages Posted: 23 Dec 2013 Last revised: 10 Sep 2014

Bernhard Breloer

Friedrich-Alexander-University (FAU) Erlangen-Nürnberg

Date Written: August 31, 2014


In this paper we study the performance and performance persistence of international equity mutual funds with a focus on fund investment styles. Using a best-fit index methodology, we sort funds yearly based on the style dimensions of size and value/growth, as well as on regional categories (Europe, Pacific and emerging markets). In doing so, we find that (i) the performance of international funds clearly differs regarding style and regional categories, (ii) based on a five-factor alpha, most international style portfolios exhibit performance persistence, and (iii) top performing SMID-cap portfolios and top performing emerging market portfolios show significant and positive alphas. Moreover, using a conditional five-factor alpha as alternative ranking criteria further improves the prediction of future international fund performance.

Keywords: International equity funds, Fund investment styles, Style classification, Performance persistence, Conditional performance

JEL Classification: G11, G15

Suggested Citation

Breloer, Bernhard, Investment Style and Performance: Evidence for International Equity Mutual Funds (August 31, 2014). Available at SSRN: or

Bernhard Breloer (Contact Author)

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

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


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