A comparison of corporate versus government bond funds

George Comer () and Javier Rodriguez ()

Journal of Economics and Finance, 2013, vol. 37, issue 4, 495-510

Abstract: We examine four separate classifications (high quality corporate, general corporate, government Treasury, and general government) of investment grade bond funds over the 1994–2009 period. We verify that distinct differences exist in investment styles across the classifications. We also document significant differences in performance as corporate funds outperform government funds by a risk adjusted average of 8 to 53 basis points on an annual basis depending on the model used. The performance differences are not strictly a function of expenses and are robust to alternative evaluation metrics. An examination of cash flows to the funds indicates that investment dollars are driven by the differences in risk adjusted performance. Copyright Springer Science+Business Media, LLC 2013

Keywords: Fixed Income Funds; Portfolio Evaluation; Cash Flows; G20; G23 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s12197-011-9193-8

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