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Global equity fund performance adjusted for equity and currency factors
Accounting & Finance ( IF 2.473 ) Pub Date : 2021-07-30 , DOI: 10.1111/acfi.12831
David R. Gallagher 1 , Graham Harman 2 , Camille H. Schmidt 3 , Geoffrey J. Warren 4
Affiliation  

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.

中文翻译:

经股票和货币因素调整的全球股票基金业绩

我们提出了一种评估全球股票基金业绩的方法,该方法将超额回报与市场指数分解为六个股票和三个货币因素加上阿尔法的贡献。我们将该方法应用于机构基金委托样本,发现股票选择带来的优异表现,同时发现股票和货币因素敞口都会降低回报。我们在方法论上的贡献是提出了一种基于投资组合持有的方法,用于确定国际投资基金的回报来源,该方法可以解释多种因素敞口,包括来自货币的敞口。
更新日期:2021-07-30
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