Quantifying Alpha of Active Managers: A Case Study on Factor-Based Performance Attribution in Fixed-Income

J. Traut, A. Simonov and M. Meitner

Research Journal for Applied Management (RJAM), 2022, vol. 3, issue 1, 85-115

Abstract: This paper contributes to the ongoing debate of whether active investing is still worthwhile in presence of factor investing. It provides a universal framework that selects presumably factor-heavy fixed-income funds. To test the framework, returns of an exemplary fund are neutralized for factor exposures. Roughly 60% of returns are attributed to factors and the remaining 40% are interpreted as the manager's alpha. While these results are only valid for this particular fund, the analysis provides a better understanding of the active/passive discussion in fixed-income and contributes worthy insights to the fund manager selection and performance evaluation literature and practice.

Keywords: Factors; factor investing; fixed-income; manager selection; performance attribution; performance evaluation; portfolio management; style investing (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ismrja:324725

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