Estimation of interest rates’ impact on mutual funds’ performance in the USA

Nikita Artamonov (), Anna Voronina (), Nikita Emelyanov () and Aleksei Kurbatskii ()
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Nikita Artamonov: MGIMO University, Moscow, Russian Federation
Anna Voronina: Eurasian Economic Commission, Moscow, Russian Federation
Nikita Emelyanov: Sistema-capital, Moscow, Russian Federation
Aleksei Kurbatskii: Moscow School of Economics, Lomonosov Moscow State University, Moscow, Russian Federation
Authors registered in the RePEc Author Service: Alexey Nikolaevich Kurbatskiy

Applied Econometrics, 2020, vol. 58, 55-75

Abstract: The article examines the impact of US government Treasury bonds yield on the return of mutual funds relative to the respective benchmark. The sample includes 376 American funds over 12 years of observations from 2006 to 2017 using data from Bloomberg and the highly specialized CRSP database. Panel data model with fixed individual effects was constructed in which the dependent variable is the so-called tracking error, obtained as the difference between the return of the Fund and the return of the benchmark. The explanatory variables are a number of micro-variables and the yield of government bonds. It turns out that the yield of US government bonds is a significant factor for the mutual funds “alpha”, which in practice should allow them to hedge against the risk of underperformance.

Keywords: mutual funds; S&P500 index; tracking error; government bond yields (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 G17 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0394

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