Open AccessA Performance Evaluation Model for Global Macro Funds
Author(s) -
Adam Zaremba
Publication year - 2016
Publication title -
international journal of finance and banking studies
Language(s) - English
Resource type - Journals
ISSN - 2147-4486
DOI - 10.20525/.v3i1.177
Subject(s) - macro , mandate , currency , value (mathematics) , economics , econometrics , investment (military) , sample (material) , monetary economics , financial economics , mathematics , statistics , computer science , political science , physics , politics , law , programming language , thermodynamics
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.