Camille H. Schmidt

Working paper

3 Sep 2016

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...

Working paper

3 Mar 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...

Working paper

Video podcast

30 Sep 2015

Our contribution to funds management research is in matching qualitative information sourced from the fund manager with their own quantitative data concerning what assets they own, how they trade, and how their portfolios are managed. We find that survey responses are informative of characteristic values...

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