Investing in a Global World

We examine active retail mutual funds and institutional products with a mandate to invest ininternational equity markets between 1991 and 2009. Using global and regional factor models,we find no reliable evidence of alphas in the aggregate or on average. The right tail of thedistribution contains some large alphas. Decomposing stock selection from country selection, wefind little evidence of superior stock picking abilities in the extreme right tail. Luck versus skilltests show that funds in the tails are there due to luck. Persistence tests also show little evidenceof continuation in superior performance.[...]