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
Date Written: December 29, 2013
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: Suggested Citation