Global Equity Fund Performance: An Attribution Approach
30 Pages Posted: 23 Feb 2015 Last revised: 6 Mar 2016
Date Written: March 3, 2016
We use portfolio holdings data to examine the performance of 143 global equity funds over the period 2002 to 2012. We find that the average global equity manager outperforms their benchmark by 1.2% to 1.4% per annum before fees. Attribution analysis reveals that the prime source of excess return relates to selecting stocks that beat their local markets. Modest contributions arise from country selection, most notably in emerging markets; while currency effects are mixed. Our findings support giving consideration to active management in global equity markets, at least for institutional investors who pay fees below 1% per annum.
Keywords: global equity funds, performance attribution, market efficiency, emerging markets, portfolio management
JEL Classification: G23
Suggested Citation: Suggested Citation