Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter?

Breloer B, Scholz H, Wilkens M (2014)


Publication Language: English

Publication Type: Journal article

Publication year: 2014

Journal

Publisher: Elsevier

Book Volume: 43

Pages Range: 58-77

DOI: 10.1016/j.jbankfin.2014.01.041

Abstract

This is the first paper analyzing the impact of index momentum factors on the performance of international and global equity funds. Extending an international, index-based version of the Fama and French (1993) three-factor model by adding the factors of country momentum and sector momentum, we find that more than 50% of funds exhibit significant exposure to at least one of these factors. Including both new factors in performance evaluation clearly impacts results when analyzing (i) the risk-adjusted performance, (ii) the performance persistence of funds, and (iii) luck versus skill in the cross-section of funds. Our main results are robust against models which additionally cover a stock-based momentum factor as well as single country, regional and sector factors.

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APA:

Breloer, B., Scholz, H., & Wilkens, M. (2014). Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter? Journal of Banking & Finance, 43, 58-77. https://doi.org/10.1016/j.jbankfin.2014.01.041

MLA:

Breloer, Bernhard, Hendrik Scholz, and Marco Wilkens. "Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter?" Journal of Banking & Finance 43 (2014): 58-77.

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