Measuring the timing ability and performance of bond mutual funds

• 成果类型: Article
• 署名作者: Chen, Yong; Person, Wayne; Peters, Helen
• 署名单位: Virginia Polytechnic Institute & State University; University of Southern California; Boston College; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.05.009
• 发表日期: 2010
• 页码: 72-89
• 关键词: mutual funds; Market timing; Bond funds; Investment Performance Evaluation

摘要

This paper evaluates the ability of bond funds to market time nine common factors related to bond markets. Timing ability generates nonlinearity in fund returns as a function of common factors, but there are several non-timing-related sources of nonlinearity. Controlling for the non-timing-related nonlinearity is important. Funds' returns are more concave than benchmark returns, and this would appear as poor timing ability in naive models. With controls, the timing coefficients appear neutral to weakly positive. Adjusting for nonlinearity, the performance of many bond funds is significantly negative on an after-cost basis, but significantly positive on a before-cost basis. (C) 2010 Elsevier B.V. All rights reserved.