Fixed-income fund performance: Role of luck and ability in tail membership

被引：26

作者：

Ayadi, Mohamed A. ^{[2
]}

Kryzanowski, Lawrence ^{[1
]}

机构：

[1] Concordia Univ, John Molson Sch Business, Montreal, PQ, Canada

[2] Brock Univ, Fac Business, Dept Finance Operat & Informat Syst, St Catharines, ON L2S 3A1, Canada

来源：

JOURNAL OF EMPIRICAL FINANCE | 2011年 / 18卷 / 03期

关键词：

Performance measurement; Conditioning; Bond funds; Block bootstrap; EXPECTED RETURNS; MUTUAL FUNDS; BOND FUNDS; BOOTSTRAP ANALYSIS; COVARIANCE-MATRIX; CROSS-SECTION; RISK PREMIA; SURVIVORSHIP; INFORMATION; PERSISTENCE;

D O I：

10.1016/j.jempfin.2011.02.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The risk-adjusted performance (alphas) of a comprehensive and survivorship-free sample of Canadian bond funds after (before) management-related costs is negative (positive) and is weakly sensitive to the choice of the return-generating process. A conditional multi-factor model that captures maturity differences and default risk best describes the return-generating process of these funds. Examination of funds in the tails of the performance distribution using the block-bootstrap method suggests that "bad luck" causes the before costs underperformance of extreme left-tail funds and no fund possesses truly superior management skills. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：379 / 392

页数：14

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