The role of active management and asset allocation policy on government and corporate bond fund returns

Ofer Arbaa and Eva Varon

Borsa Istanbul Review, 2018, vol. 18, issue 3, 167-175

Abstract: The role of asset allocation policy and active management on equity mutual fund returns has been a popular research topic, while there is almost no literature on the subject covering bond funds. We check sources of performance for Israeli corporate and government bond funds, which together account for above 70% of the Israeli mutual fund market, using a unique monthly database of approximately 10-years. Our results reveal that active management is far more important than policy for corporate bond fund returns, which is mainly attributable to managers' security selection skills. The reverse is true for government bond funds and strategic long term policies account for a larger part of excess market return variability. Furthermore, if we take into account management fees, government bond funds lose from active management. The greater heterogeneity of investments open to corporate bond funds is a possible explanation for the difference in results.

Keywords: Active management; Bond funds; Corporate bonds; Policy; Security selection; Timing (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.sciencedirect.com/science/article/pii/S2214845018300036 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bor:bistre:v:18:y:2018:i:3:p:167175

Access Statistics for this article

More articles in Borsa Istanbul Review from Research and Business Development Department, Borsa Istanbul Contact information at EDIRC.
Bibliographic data for series maintained by Ahmet Palu ().