How skilful are US fixed-income fund managers?

Andrew Clare, Keith Cuthbertson, Dirk Nitzsche and Niall O'Sullivan

International Review of Financial Analysis, 2021, vol. 74, issue C

Abstract: We develop a performance evaluation model that incorporates the factors proposed by Huij and Derwall (2008) and a fund-specific benchmark to analyse the performance of US fixed income funds. Using the full sample, and accounting for the possibility of false discoveries, we find that fund management companies extract most of any abnormal performance produced by their fund managers. Our sub-sample analysis indicates that after the Global Financial Crisis (GFC) there was a substantial increase in the number of bond funds with: both positive gross-of-fee alpha and positive net-of-fee alpha performance; and also a reduction in funds with negative-alpha performance. However, because the GFC was such a unique event, it would still be difficult to conclude that these managers offer value for money for investors compared to passive alternatives.

Keywords: Mutual fund bond performance; False discovery rates (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000168

DOI: 10.1016/j.irfa.2021.101673

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