A Stochastic Discount Factor-Based Approach for Fixed-Income Mutual Fund Performance Evaluation

Mohamed A. Ayadi and Lawrence Kryzanowski

Chapter Chapter 10 in Numerical Methods in Finance, 2005, pp 193-226 from Springer

Abstract: Abstract A general asset pricing framework is used to derive a conditional nonlinear asset pricing kernel that accounts efficiently for time variation in expected returns and risk, and is suitable to perform (un)conditional evaluations of fixed-weight and dynamic investment strategies. The negative abnormal unconditional performance of Canadian fixed-income mutual funds over the period 1985 – 2000 weakly improves with conditioning. The unconditional-based superior performance of larger over smaller funds that weakens with limited conditioning is somewhat alleviated with an expansion of the conditioning set.

Keywords: Mutual Fund; Excess Return; Bond Index; Price Kernel; Conditioning Information (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/0-387-25118-9_10

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