Exploring the performance of US international bond mutual funds

被引：0

作者：

Fletcher, Jonathan ^{[1
,2
]}

Littlejohn, Elizabeth ^{[1
]}

Marshall, Andrew ^{[1
]}

机构：

[1] Univ Strathclyde, Dept Accounting & Finance, Glasgow, Scotland

[2] Univ Strathclyde, Dept Accounting & Finance, Stenhouse Bldg, 199 Cathedral St, Glasgow G40QU, Scotland

来源：

FINANCIAL REVIEW | 2023年 / 58卷 / 04期

关键词：

Bayesian analysis; international bonds funds; performance; regime-switching; MEAN-VARIANCE; NAIVE DIVERSIFICATION; CONSTRAINTS; STRATEGIES; PORTFOLIOS; EFFICIENCY; CURRENCY; RETURNS; IMPACT;

D O I：

10.1111/fire.12355

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use a Bayesian regime switching approach to examine the performance enhancement of adding US international bond funds to a domestic bond universe pre and post the Global Financial Crisis (GFC) during January 1999 and May 2022. We find that the international bond funds provide large significant performance enhancement pre the GFC, with an increase in Certainty Equivalent Return (CER) performance of 0.595% (monthly), but none post the GFC. The performance enhancement pre GFC is driven by Large Emerging Market bond funds, which is likely fueled by a substantial drop in the Emerging Market central bank policy rates pre GFC.

引用

页码：765 / 782

页数：18

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