Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective

Gueorgui Konstantinov ()
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Gueorgui Konstantinov: LBBW Asset Management

Financial Markets and Portfolio Management, 2016, vol. 30, issue 3, No 4, 337-365

Abstract: Abstract The main focus of this paper is the managerial skill or alpha of global bond funds. Analysis of the global bond market shows that both currency and bond-related returns are an integral part of the global fixed-income exposure. The present work deals with regression-based style analysis and other established methods in the bulk of finance journals literature, using both currency and fixed-income factors, and investigates the alpha of the globally invested fixed-income portfolios. There is empirical evidence that, between May 2007 and January 2015, global bond funds delivered significantly positive alpha. There is also an indication that periods of depreciation of the basis currency of the funds (EUR) improves fund performance, and market turmoil and negative events destroy alpha. During the Euro crisis and Fed tapering, the funds generated sustainable positive excess alpha. A division of the sample into two sub-samples gives more insight into the excess return. Additional robustness estimations deliver qualitatively similar results.

Keywords: Global fixed-income funds; Currencies; Mutual funds; Style analysis; Time-series regressions; Alpha (search for similar items in EconPapers)
JEL-codes: F21 F31 G12 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s11408-016-0271-y

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