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

Mohamed A. Ayadi and Lawrence Kryzanowski

Journal of Empirical Finance, 2011, vol. 18, issue 3, 379-392

Abstract: 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.

Keywords: Performance; measurement; Conditioning; Bond; funds; Block; bootstrap (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:18:y:2011:i:3:p:379-392

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