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How Skillful are Fixed-Income Fund Managers?

Nitzsche, D. ORCID: 0000-0003-2441-1288, Cuthbertson, K., Clare, A. and O'Sullivan, N. (2021). How Skillful are Fixed-Income Fund Managers?. International Review of Financial Analysis,

Abstract

We develop a performance evaluation model that incorporates the factors proposed by Huij and Derwall (2008) and a fund-specific benchmark to analyse the performance of US fixed income funds. Using the full sample, and accounting for the possibility of false discoveries, we find that fund management companies extract most of any abnormal performance produced by their fund managers. Our sub-sample analysis indicates that after the Global Financial Crisis (GFC) there was a substantial increase in the number of bond funds with: both positive grossof-fee alpha and positive net-of-fee alpha performance; and also a reduction in funds with negative-alpha performance. However, because the GFC was such a unique event, it would still be difficult to conclude that these managers offer value for money for investors compared to passive alternatives.

Publication Type: Article
Additional Information: © 2021. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
Publisher Keywords: Mutual Fund Bond Performance; False Discovery Rates
Subjects: H Social Sciences > HF Commerce > HF5601 Accounting
H Social Sciences > HG Finance
Departments: Business School > Finance
Date Deposited: 06 Jan 2021 15:51
URI: https://openaccess.city.ac.uk/id/eprint/25465
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