Selection and Timing Skill in Bond Mutual Fund Returns: Evidence from Bootstrap Simulations

Lifa Huang (), Wayne Y. Lee and Craig G. Rennie
Additional contact information
Lifa Huang: Sam M. Walton College of Business, University of Arkansas, WCOB 475, Fayetteville, AR 72701, USA
Wayne Y. Lee: Sam M. Walton College of Business, University of Arkansas, WCOB 475, Fayetteville, AR 72701, USA
Craig G. Rennie: Sam M. Walton College of Business, University of Arkansas, WCOB 475, Fayetteville, AR 72701, USA

JRFM, 2025, vol. 18, issue 2, 1-50

Abstract: We show that U.S. open-end actively managed domestic bond mutual fund managers possess selection and short-term timing skills based on monthly returns from 1999 to 2016. Parametric tests bias against finding evidence of manager skill, and correction for precision of alpha matters most when true alpha is uncertain. Our bootstrap simulations use precision-adjusted alpha (t(α)) controlling for luck without relying on parametric statistics. We find: the top 50 percent of bond mutual fund managers generate positive precision-adjusted alpha net of expense; selection skill contributes to long-term fund performance; and timing skill adds to short-term fund results, especially for government bond funds compared to corporate bond funds.

Keywords: bond market; mutual funds; risk; ?; ?; performance; simulation (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2025
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/1911-8074/18/2/62/pdf (application/pdf)
https://www.mdpi.com/1911-8074/18/2/62/ (text/html)

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:gam:jjrfmx:v:18:y:2025:i:2:p:62-:d:1579809

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().