Global Equity Fund Performance Evaluation with Equity and Currency Style Factors
55 Pages Posted: 18 Oct 2016 Last revised: 19 Oct 2018
Date Written: October 17, 2018
We propose a portfolio holdings-based method for evaluating global equity funds that decomposes excess returns versus benchmark indices into contributions from six equity and three currency ‘style factors’, and alpha. The method is used to characterize sources of performance for institutional global equity funds from 2002 to 2012. The average fund generates insignificant excess returns of 0.19% per quarter, reflecting contributions from style factor exposures of -0.13% and alpha of 0.32%. We also show that performance varies with fund style. Our analysis demonstrates how portfolio holdings-based analysis may be applied in global markets, while highlighting the importance of currency exposures.
Keywords: Global Equities, Performance Evaluation, Active Management, Currency
JEL Classification: G23
Suggested Citation: Suggested Citation