The Performance of Global Bond Mutual Funds

34 Pages Posted: 19 May 1997

See all articles by Miranda Lam

Miranda Lam

Bertolon School of Business

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Abstract

I study the risk and return characteristics of international bond mutual funds during 1988-1995. These actively managed funds do not demonstrate superior performance, net of expenses, against a wide range of benchmarks and I show that fund expenses are negatively related to performance. I find that returns on international bond funds are sensitive to exchange rate movements, while controlling for local currency returns on international bond indices. The funds have high exposure to the European, Canadian and U.S. bond markets and they are least sensitive to the Japanese Bond index and movements in Japanese Yen. I also find that the funds do not outperform a U.S. index, suggesting that U.S. investors did not gain diversification benefits using international bond funds.

JEL Classification: G12, G15

Suggested Citation

Lam, Miranda, The Performance of Global Bond Mutual Funds. Available at SSRN: https://ssrn.com/abstract=62 or http://dx.doi.org/10.2139/ssrn.62

Miranda Lam (Contact Author)

Bertolon School of Business ( email )

Salem State University
Salem, MA 01970-5353
United States

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