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The Performance of Corporate-Bond Mutual Funds: Evidence Based on Security-Level Holdings


Gjergji Cici


College of William and Mary - Mason School of Business

Scott Gibson


College of William and Mary - Mason School of Business

December 1, 2010

AFA 2011 Denver Meetings Paper

Abstract:     
This is the first study of corporate-bond mutual fund performance that examines detailed security-level holdings and returns. The new database allows us to decompose the costs and benefits of active management. In contrast to prior research on equity funds that shows evidence of stock-selection ability, we do not find evidence consistent with bond fund managers, on average, being able to select corporate bonds that outperform other bonds with similar characteristics. We find neutral to weakly positive evidence of ability to time corporate bond characteristics. Overall results show that the costs of active management on average appear larger than the benefits.

Number of Pages in PDF File: 53

Keywords: corporate bonds, mutual funds, performance, selectivity, timing, style

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Date posted: March 5, 2010 ; Last revised: December 22, 2010

Suggested Citation

Cici, Gjergji and Gibson, Scott, The Performance of Corporate-Bond Mutual Funds: Evidence Based on Security-Level Holdings (December 1, 2010). AFA 2011 Denver Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1564486 or http://dx.doi.org/10.2139/ssrn.1564486

Contact Information

Gjergji Cici (Contact Author)
College of William and Mary - Mason School of Business ( email )
P.O. Box 8795
Williamsburg, VA 23187-8795
United States
757-221-1826 (Phone)
George Scott Gibson
College of William and Mary - Mason School of Business ( email )
P.O. Box 8795
Williamsburg, VA 23187-8795
United States
757/221-1673 (Phone)
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