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A Performance Evaluation Model for Global Macro Funds

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  • Adam Zaremba

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.

Suggested Citation

  • Adam Zaremba, 2014. "A Performance Evaluation Model for Global Macro Funds," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 3(1), pages 161-172, January.
    • Handle: RePEc:rbs:ijfbss:v:3:y:2014:i:1:id:409
    DOI: 10.20525/ijfbs.v3i1.177
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    References listed on IDEAS

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