Since 2014
A Performance Evaluation Model for Global Macro Funds
International Journal of Finance & Banking Studies
View Archive Info| Field | Value | |
| Title |
A Performance Evaluation Model for Global Macro Funds
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| Creator |
Zaremba, Adam; Poznan University of Economics
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| Subject |
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Fama-French model, value effect, size effect, country returns, cross section of returns, hedge funds, investment performance evaluation |
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| Description |
The paper concentrates on value and size effects in country portfolios. It contributes to academic literature threefold. First, I provide fresh evidence that the value and size effects may be useful in explaining the cross-sectional variation in country returns. The computations are based on a broad sample of 66 countries in years 2000-2013. Second, I document that the country-level value and size effects are indifferent to currency conversions. Finally, I introduce an alternative macro-level Fama-French model, which, contrary to its prototype, employs country-based factors. I show that applying this modification makes the model more successful in evaluation of funds with global investment mandate than the standard CAPM and FF models.
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| Publisher |
SSBFNET
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| Contributor |
—
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| Date |
2014-02-19
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://www.ssbfnet.com/ojs/index.php/ijfbs/article/view/287
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| Source |
International Journal of Finance & Banking Studies (ISSN: 2147- 4486); Vol 3, No 1 (2014): January; 161-172
2147-4486 |
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| Language |
eng
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| Relation |
http://www.ssbfnet.com/ojs/index.php/ijfbs/article/view/287/345
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