A Performance Evaluation Model for Global Macro Funds

International Journal of Finance & Banking Studies, Vol.3 No.1, pp. 161-171, 2014

Posted: 30 Dec 2013 Last revised: 10 May 2016

See all articles by Adam Zaremba

Adam Zaremba

Poznań University of Economics and Business; University of Dubai

Date Written: December 29, 2013

Abstract

The paper concentrates on value and size effects in country portfolios. It contributes to academic literature threefold. First, I provide fresh evidence that the value and size effects may be useful in explaining the cross-sectional variation in country returns. The computations are based on a broad sample of 66 countries in years 2000-2013. Second, I document that the country-level value and size effects are indifferent to currency conversions. Finally, I introduce an alternative macro-level Fama-French model, which, contrary to its prototype, employs country-based factors. I show that applying this modification makes the model more successful in evaluation of funds with global investment mandate than the standard CAPM and FF models.

Keywords: Fama-French model, value premium, size premium, country returns, cross section of returns, hedge funds, investment performance

JEL Classification: G11, G12, G14, G15

Suggested Citation

Zaremba, Adam, A Performance Evaluation Model for Global Macro Funds (December 29, 2013). International Journal of Finance & Banking Studies, Vol.3 No.1, pp. 161-171, 2014 . Available at SSRN: https://ssrn.com/abstract=2372959 or http://dx.doi.org/10.2139/ssrn.2372959

Adam Zaremba (Contact Author)

Poznań University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

University of Dubai ( email )

Academic City
Dubai, 14143
United Arab Emirates

HOME PAGE: http://adamzaremba.pl/

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