Working paper

Global equity fund performance: an attribution approach

3 Mar 2016
DOI

https://doi.org/10.4225/50/583f55015519f
Description

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 investors who pay fees below 1% per annum.

Publication Details
Identifiers: 
DOI: 
10.4225/50/583f55015519f
Published year only: 
2016
34
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