@article{842de34caf4c40c18045c6208bec86c2,
title = "Global equity fund performance adjusted for equity and currency factors",
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.",
author = "Gallagher, {David R.} and Graham Harman and Schmidt, {Camille H.} and Warren, {Geoffrey J.}",
note = "Funding Information: The authors gratefully acknowledge invaluable comments provided by Ron Bird, Colin Bowers, Zhe Chen, Mark Delaney, Paul Dou, Robert Faff, Peter Gardner, Gerry Garvey, John Griffin, Adrian Lee, Adrian Looi, Innes McKeand, Jerry Parwada, Tom Smith, Terry Walter and Russ Wermers. We also thank participants at the UBS Quant Conference in Sydney; a workshop at AustralianSuper in Melbourne; MFS Investment Forums in Auckland, Melbourne and Sydney; a CFA Society of Sydney seminar; and a presentation to members of the Q‐Group, the CFA Society of Sydney and CFA candidates in Sydney. The authors are also appreciative of the ongoing support from Russell Investments in conducting this research, and the generous financial support provided by the Centre for International Finance and Regulation (CIFR). We also thank the Editor (Tom Smith) and an anonymous referee for their very helpful input. Publisher Copyright: {\textcopyright} 2021 Accounting and Finance Association of Australia and New Zealand.",
year = "2022",
month = apr,
doi = "10.1111/acfi.12831",
language = "English",
volume = "62",
pages = "1535--1565",
journal = "Accounting and Finance",
issn = "0810-5391",
publisher = "Wiley-Academy",
number = "S1",
}