Global Equity Fund Performance: An Attribution Approach

30 Pages Posted: 12 Mar 2016 Last revised: 10 Feb 2017

See all articles by David R. Gallagher

David R. Gallagher

Rozetta Institute

Graham Harman

Russell Investments

Camille Schmidt

SuperRatings

Geoff Warren

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

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Date Written: June 10, 2016

Abstract

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.

Suggested Citation

Gallagher, David R. and Harman, Graham and Schmidt, Camille and Warren, Geoffrey J., Global Equity Fund Performance: An Attribution Approach (June 10, 2016). Financial Analysts Journal, Vol. 73(1): 56-71, 2017. Available at SSRN: https://ssrn.com/abstract=2746276 or http://dx.doi.org/10.2139/ssrn.2746276

David R. Gallagher

Rozetta Institute ( email )

Sydney

Graham Harman

Russell Investments ( email )

909 A Street
Tacoma, WA 98402
United States

Camille Schmidt (Contact Author)

SuperRatings

Australia

Geoffrey J. Warren

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics ( email )

CBE Building 26C
Kingsley Sreet, Acton
Canberra, ACT 0200
Australia

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