Determinants of Bond Mutual Fund Performance

Gudikunst, Arthur C.; McCarthy, Joseph

doi:10.3905/jfi.1992.408041

Cited by 11 publications

(2 citation statements)

References 8 publications

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“…Nevertheless, bond index funds confront some issues that stock index funds don't address (Gudikunst, 1992;Mossavar-Rahmani, 1991;Reichenstein, 1998;Lochoff, 1998). It is actually more difficult for mutual fund companies to manage a bond index fund than a stock index fund (Granito, 1987).…”

Section: Index Funds In Bond Investingmentioning

confidence: 99%

Characteristics and Performance of U.S. Bond Funds in Index Investing

Chang

Swales

Bowdidge

2006

JFI

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This abstract was created post-production by the JFI Editorial Board. A well-diversified portfolio should contain bonds. This study has identified all bond index funds and ETFs currently available as avenues to diversify portfolios. The authors of this study find the "almost" index funds identified by Ferri (2002) tum out to be gems: they have low expense ratios and the lowest turnover, while exhibiting mostly the lowest risk and highest riskadjusted returns. Pure index funds, with low expense ratios and turnover, have performed well in the past ten years based on Morningstar's ratings, but below average in the past three years. Enhanced index funds have the highest expense ratios, extremely high turnover, average or high risk and always the lowest risk-adjusted returns. As newcomers, bond ETFs have the lowest expense ratios and comparable returns, but they underperformed "almost" and pure index funds in the areas of turnover, risks and risk-adjusted returns.

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Section: Index Funds In Bond Investingmentioning

confidence: 99%

Characteristics and Performance of U.S. Bond Funds in Index Investing

Chang

Swales

Bowdidge

2006

JFI

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“…Although initially applied to stocks funds, this measure has also been extended to bond funds (as in Blake et al (1993) and Gudikunst and McCarthy (1992)). Besides the traditional criticisms (e.g., estimation errors and appropriateness of the benchmark), equation (1) assumes that beta is constant.…”

Section: Unconditional and Conditional Models Of Evaluationmentioning

confidence: 99%

Conditioning Information and European Bond Fund Performance

Silva¹,

Cortez²,

Armada³

2003

Euro Fin Management

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In this paper we evaluate the performance of European bond funds using unconditional and conditional models. As conditioning information we use variables that we find to be useful in predicting bond returns in the European market. The results show that, in general, bond funds are not able to outperform passive strategies. These findings are robust to whatever model (unconditional versus conditional and single versus multi-index) we use. The multi-index model seems to add some explanatory power in relation to the single-index model. Furthermore, when we incorporate the predetermined information variables, we can observe a slight tendency towards better performance. This evidence is consistent with previous studies on stock funds and comes in support of the argument that conditional models might allow for a better assessment of performance. However, our results suggest that the impact of additional risk factors seems to be greater than the impact of incorporating predetermined information variables.

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Robust performance measures for high yield bond funds

Lipton

Kish

2010

The Quarterly Review of Economics and Finance

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Determinants of Bond Mutual Fund Performance

Cited by 11 publications

References 8 publications

Characteristics and Performance of U.S. Bond Funds in Index Investing

Characteristics and Performance of U.S. Bond Funds in Index Investing

Conditioning Information and European Bond Fund Performance

Robust performance measures for high yield bond funds

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