We also add, to the four-factor model above, country-specic market indexes in some of our analysis to performance models for country-focused funds. For instance, when we turn to such models, a UK fund will have, in addition to the Pan-European factors, a UK market index in a ve- factor model. 11 These augmented models help to control for persistent fund loadings on unpriced factors, as described by Pastor and Stambaugh (2002a). Adding such factors can help tighten the predictive distribution for fund alphas, which can be benecial for the construction of portfolios. .
