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...

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...

This paper studies the impact of market climate on the classic Jensen alpha (JA) of funds. We show analytically that the one-factor JA of a fund consists of i) the fund's alpha based on the assumed multi-factor model and ii) further components that are subject to market phases of factor...