Global Equity Fund Performance: An Attribution Approach

Article
  1. Poor
  2. Satisfactory
  3. Good
  4. Very Good
  5. Excellent

Average: 4 (12 ratings)

Financial Analysts Journal
First Quarter 2017 | Vol. 73 | No. 1 | 16 pages
Source: CFA Institute
David R. Gallagher Graham Harman Camille H. Schmidt Geoffrey J. Warren

US$0.00 Member | US$0.00 Candidate | US$0.00 Nonmember

Read

Summary

Using data on portfolio holdings, we examine the performance of 143 global equity funds over 2002–2012. We find that the average global equity manager outperforms the benchmark by 1.2%–1.4% a year before fees. Attribution analysis reveals that the prime source of excess return is selecting stocks that beat their local markets. Modest contributions come from country selection, most notably in emerging markets, whereas currency effects are mixed. Our findings support considering active management in global equity markets, at least for institutional accounts that pay annual fees of less than 1%.


View more information

Topics
Credits · About the CE Program
1 CE (including 0 SER) Manage CE Credits

People who viewed this page also viewed:

Article
Are Cash Flows Better Stock Return Predictors Than Profits?
CFA Institute: Financial Analysts Journal
Article
Inefficiencies in the Pricing of Exchange-Traded Funds
CFA Institute: Financial Analysts Journal
Article
Fundamental Indexing in Global Bond Markets: The Risk Exposure Explains It All
CFA Institute: Financial Analysts Journal

Loading ...