Raw returns

Four-factor alpha

All countries

Non-US

US

All countries

Non-US

US

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

(9)

(10)

(11)

(12)

Performance

0.0572***

0.0570***

0.0469***

0.0488***

0.0752***

0.0749***

0.0492***

0.0482***

0.0385***

0.0397***

0.0673***

0.0656***

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

Performance × institutional

0.0015

−0.0267***

0.0011

0.0008

−0.0179***

0.0009

(0.60)

(0.00)

(0.78)

(0.43)

(0.00)

(0.84)

Institutional

0.0014

0.0006

0.0120***

0.0258***

−0.0083***

−0.0089***

0.0015

−0.0027

0.0122***

0.0214***

−0.0079***

−0.0116***

(0.35)

(0.80)

(0.00)

(0.00)

(0.00)

(0.00)

(0.30)

(0.24)

(0.00)

(0.00)

(0.00)

(0.00)

Log Size

−0.0051***

−0.0051***

−0.0039***

−0.0039***

−0.0077***

−0.0077***

−0.0049***

−0.0049***

−0.0037***

−0.0037***

−0.0074***

−0.0074***

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

Log Family Size

0.0020***

0.0020***

0.0012***

0.0012***

0.0032***

0.0032***

0.0022***

0.0022***

0.0013***

0.0013***

0.0034***

0.0034***

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

Log Age

−0.0125***

−0.0125***

−0.0105***

−0.0105***

−0.0150***

−0.0150***

−0.0120***

−0.0121***

−0.0100***

−0.0100***

−0.0144***

−0.0144***

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

(0.00)

Fee

−0.2738***

−0.2739***

−0.1730***

−0.1741***

−0.6299***

−0.6305***

−0.2645***

−0.2650***

−0.1773***

−0.1778***

−0.5628***

−0.5656***

(0.00)

(0.00)

(0.01)

(0.01)

(0.00)

(0.00)

(0.00)

(0.00)

(0.01)

(0.01)

(0.00)

(0.00)

Flows

0.1846***

0.1846***

0.1754***

0.1752***

0.1943***

0.1943***

0.1881***

0.1881***

0.1779***

0.1778***

0.2002***

0.2003***