Diversification benefits and persistence of US-based global bond funds

Emerging Market Bond Funds: A Comprehensive Analysis

“…In all regressions except Regression 6, the size variable is significantly positively related to total return and risk‐adjusted return, which contradicts the results for equity funds (e.g., see Chen, Hong, Ming, and Jeffrey, 2004) but are consistent with Philpot, Hearth, Rimbey, and Schulman (1998) for investment‐graded bond funds and Polwitoon and Tawatnuntachai (2006) for global bond funds. The positive relation of size indicates that large bond funds might benefit from economies of scale.…”

“…These results suggest that (a) information about past performance can help earn higher risk-adjusted returns, (b) a three-year measurement period provides higher predictability than a one-year measurement period and (c) the Sharpe ratio is a better predictive measure of future performance than holding period return. The second finding differs from Polwitoon and Tawatnuntachai (2006), who report that the one-year measurement period has higher predictive power than the three-year measurement period for global bond funds. For all ranking criteria, the ranking correlations of emerging bond funds are greater than the correlations of global bond funds.…”

“…Wilson and Jones (1990) find a January effect of corporate bonds in early subperiods of their sample period but not in later subperiods. Polwitoon and Tawatnuntachai (2006) find no seasonality for global bond funds. To examine seasonality of emerging bond funds, we run regressions between the average monthly performance of the funds, total and risk‐adjusted returns, and dummy variables for each calendar month except March, which we use as the comparison month because the average return (0.996%) in March is closet to the average return (0.997%) of all months for the funds.…”

“…Following Polwitoon and Tawatnuntachai (2006), we define global bond funds as U.S.‐based funds that invest in both U.S. and international bond markets. We select bond funds that state an objective of investing in worldwide bond markets and are classified as international or worldwide bond funds by Morningstar.…”

Эффективность Международной Диверсификации С Точки Зрения Управляющего Паевым Инвестиционным Фондом

“…В статье Питера Кристофферсена и Виханга Эррунзы [4] показано, что в течение последних 40 лет происходит снижение выгод, предлагаемых глобальной диверсификацией портфеля. В работе Сирапата Пулвитона и Орани Таватнунтачая [5] продемонстрировано, что доходность глобально диверсифицированных фондов превышает доходность национальных фондов США на 0.5-1.0 п.п.…”