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*** |