Global equity fund performance adjusted for equity and currency factors

David R. Gallagher; Graham Harman; Camille H. Schmidt; Geoffrey J. Warren

doi:10.1111/acfi.12831

Global equity fund performance adjusted for equity and currency factors

David R. Gallagher^*, Graham Harman, Camille H. Schmidt, Geoffrey J. Warren

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

We present a method for evaluating performance of global equity funds that decomposes excess returns versus market indices into contributions from six equity and three currency factors plus alpha. We apply the method to a sample of institutional fund mandates, and uncover outperformance stemming from stock selection while finding that both equity and currency factor exposures detract from returns. Our methodological contribution is to propose a portfolio holding-based approach for identifying return sources for funds investing internationally that can account for multiple factor exposures including those arising from currency.

Original language	English
Pages (from-to)	1535-1565
Number of pages	31
Journal	Accounting and Finance
Volume	62
Issue number	S1
DOIs	https://doi.org/10.1111/acfi.12831
Publication status	Published - Apr 2022

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10.1111/acfi.12831

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KW - Performance attribution

KW - Performance evaluation

KW - Portfolio holdings

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Global equity fund performance adjusted for equity and currency factors

Abstract

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