Measuring Bond Mutual Fund Performance with Portfolio Characteristics

44 Pages Posted: 22 Mar 2008 Last revised: 23 Dec 2015

See all articles by Fabio Moneta

Fabio Moneta

Telfer School of Management, University of Ottawa

Date Written: January 1, 2015

Abstract

This paper studies the performance of U.S. taxable bond mutual funds employing a novel data set of portfolio weights. Active fund managers exhibit outperformance before costs and fees generating, on average, gross returns of 1% per annum over the benchmark portfolio constructed using past holdings (approximately the same magnitude as expenses and transaction costs combined). The performance measure based on portfolio holdings appears to predict future fund performance and provide information not contained in the standard measures. These results are relevant for investors and provide new evidence that supports the value of active mutual fund management in the fixed-income markets.

Keywords: Bond mutual funds, Performance evaluation, Portfolio holdings

JEL Classification: G11, G23

Suggested Citation

Moneta, Fabio, Measuring Bond Mutual Fund Performance with Portfolio Characteristics (January 1, 2015). EFA 2008 Athens Meetings Paper, Journal of Empirical Finance, Volume 33, September 2015, Pages 223–242 , Available at SSRN: https://ssrn.com/abstract=1100766 or http://dx.doi.org/10.2139/ssrn.1100766

Fabio Moneta (Contact Author)

Telfer School of Management, University of Ottawa ( email )

136 Jean-Jacques Lussier Street
Ottawa, Ontario K1N 6N5
Canada

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