Robust performance measures for high yield bond funds

Return Chasing in Bond Funds

“…Although Hendricks, Patel, and Zeckhauser [1993] observe persistent performance in the highest-alpha equity funds, Carhart [1997] shows that most of the effect was the result of momentum in returns and not manager skill. Lipton and Kish [2010] also observe persistence in high-yield bond funds. In the earliest study, Blake, Elton, and Gruber [1993] do not observe any persistence in returns, but Huij and Derwall [2008] find consistent alphas for U.S. bond funds.…”

“…The most common methods use one or more of the Barclays Capital Bond indices (formerly Lehman Brothers indices), as in Blake, Elton, and Gruber [1993], Lipton and Kish [2010], and Comer and Rodriguez [2011]. Studies are not consistent with the choice or number of risk factors.…”

Review on behavioral economics and behavioral finance

“…Aiken et al (2015) examine the performance of the portfolio containing funds of hedge funds. Using SRs, Jensen's alphas and information ratios to examine the performance for different high yield bond mutual funds, Lipton and Kish (2010) find that the rankings of funds based on robust SRs are different from those of Jensen's alphas and information ratios. examine the optimal hedging decision for commodities with mean-reverting price processes.…”