Measuring the Timing Ability and Performance of Bond Mutual Funds / Yong Chen, Wayne Ferson, Helen Peters.

Format:

Book

Author/Creator:

Chen, Yong.

Contributor:

National Bureau of Economic Research.

Ferson, Wayne.

Peters, Helen.

Series:

Working Paper Series (National Bureau of Economic Research) no. w15318.

NBER working paper series no. w15318

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2009.

Summary:

This paper evaluates the ability of bond funds to "market time" nine common factors related to bond markets. Timing ability generates nonlinearity in fund returns as a function of common factors, but there are several non-timing-related sources of nonlinearity. Controlling for the non-timing-related nonlinearity is important. Funds' returns are more concave than benchmark returns, and this would appear as poor timing ability in naive models. With controls, the timing coefficients appear neutral to weakly positive. Adjusting for nonlinearity the performance of many bond funds is significantly negative on an after-cost basis, but significantly positive on a before-cost basis.

Notes:

Print version record

September 2009.