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• W2512802142 abstract "We propose a method for global equity fund performance evaluation that extends existing research by addressing both equity and currency factor exposures. Returns in excess of the risk-free rate are decomposed into contributions arising from the market, exposure to six equity and three currency ‘style factors’, and alpha. The method supports an understanding of how exposures to both equity and currency factors contribute to the performance of funds investing across markets. We apply the method using a database that includes holdings for USD-based institutional global equity funds from 2002 to 2012. We find that USD-based global equity managers generate negative but insignificant alpha after accounting for equity and currency style factors. We also find that performance varies with style: significant negative alpha is generated over the period by funds exposed to value, low momentum and low return on equity. Our results are relevant to institutional investors and investment consultants who wish to better understand the sources of performance for global equity funds." @default.
• W2512802142 created "2016-09-16" @default.
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• W2512802142 date "2016-09-03" @default.
• W2512802142 modified "2023-09-23" @default.
• W2512802142 title "Global equity fund performance evaluation with equity and currency style factors" @default.
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• W2512802142 doi "https://doi.org/10.4225/50/583e0150dac42" @default.
• W2512802142 hasPublicationYear "2016" @default.
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