Global Equity Fund Performance: An Attribution Approach
30 Pages Posted: 12 Mar 2016 Last revised: 10 Feb 2017
Date Written: June 10, 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 accounts that pay fees below 1% per annum.
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