Fixed-income fund performance: Role of luck and ability in tail membership
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.
Year of publication: |
2011
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Authors: | Ayadi, Mohamed A. ; Kryzanowski, Lawrence |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 18.2011, 3, p. 379-392
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Publisher: |
Elsevier |
Keywords: | Performance measurement Conditioning Bond funds Block bootstrap |
Saved in:
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