A Performance Evaluation Model for Global Macro Funds

Adam Zaremba ()

International Journal of Finance & Banking Studies, 2014, vol. 3, issue 1, 161-172

Abstract: The paper concentrates on value and size effects in country portfolios. It contributes to academic literature threefold. First, I providefresh 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: Fama-French model; value effect; size effect; country returns; cross section of returns; hedge funds; investment performance evaluation (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:rbs:ijfbss:v:3:y:2014:i:1:p:161-172

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