A Performance Evaluation Model for Global Macro Funds

Abstract

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.

Keywords: {'name': 'Fama-French model'}, {'name': 'value effect'}, {'name': 'size effect'}, {'name': 'country returns'}, {'name': 'cross section of returns'}, {'name': 'hedge funds'}

Authors & affiliations

Adam Zaremba
Affiliation not supplied

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