Investing In A Global World
The authors examine active retail mutual funds and institutional products with a mandate to invest in international equity markets between 1991 and 2009. Using global and regional factor models, they find no reliable evidence of alphas in the aggregate or on average. The right tail of the distribution contains some large alphas. Decomposing stock selection from country selection, they find little evidence of superior stock picking abilities in the extreme right tail. Luck versus skill tests show that funds in the tails are there due to luck. Persistence tests also show little evidence of continuation in superior performance.