How skilful are US fixed-income fund managers?

dc.check.date2023-01-14
dc.check.infoAccess to this article is restricted until 24 months after publication by request of the publisher.en
dc.contributor.authorClare, Andrew
dc.contributor.authorCuthbertson, Keith
dc.contributor.authorNitzsche, Dirk
dc.contributor.authorO'Sullivan, Niall
dc.date.accessioned2021-02-15T12:51:10Z
dc.date.available2021-02-15T12:51:10Z
dc.date.issued2021-01-14
dc.date.updated2021-02-15T12:41:57Z
dc.description.abstractWe develop a performance evaluation model that incorporates the factors proposed by Huij and Derwall (2008) and a fund-specific benchmark to analyse the performance of US fixed income funds. Using the full sample, and accounting for the possibility of false discoveries, we find that fund management companies extract most of any abnormal performance produced by their fund managers. Our sub-sample analysis indicates that after the Global Financial Crisis (GFC) there was a substantial increase in the number of bond funds with: both positive gross-of-fee alpha and positive net-of-fee alpha performance; and also a reduction in funds with negative-alpha performance. However, because the GFC was such a unique event, it would still be difficult to conclude that these managers offer value for money for investors compared to passive alternatives.en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.articleid101673en
dc.identifier.citationClare, A., Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2021) 'How skilful are US fixed-income fund managers?', International Review of Financial Analysis, 74, 101673 (12pp). doi: 10.1016/j.irfa.2021.101673en
dc.identifier.doi10.1016/j.irfa.2021.101673en
dc.identifier.endpage12en
dc.identifier.issn1057-5219
dc.identifier.journaltitleInternational Review of Financial Analysisen
dc.identifier.startpage1en
dc.identifier.urihttps://hdl.handle.net/10468/11066
dc.identifier.volume74en
dc.language.isoenen
dc.publisherElsevier B.V.en
dc.rights© 2021, Elsevier Inc. All rights reserved. This manuscript version is made available under the CC BY-NC-ND 4.0 license.en
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/en
dc.subjectFalse discovery ratesen
dc.subjectMutual fund bond performanceen
dc.titleHow skilful are US fixed-income fund managers?en
dc.typeArticle (peer-reviewed)en
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