To better understand the sources of outperformance, we undertake an attribution analysis that decomposes investor returns into that from (1) the selection of Pan-European funds, (2) the selection of country funds, (3) the selection of sector funds, and (4) the timing of country weights implied by the selection of country funds. This analysis shows that the superior returns associated with the macroeconomic-driven strategies arise from the last three sources of performance, and not from choosing Pan-European funds. These Pan-European funds, while providing lower-cost diversication, do not exhibit exploitable alphas, either time-varying or unconditional. .
