Evaluating Bond Fund Sector Timing Skill

47 Pages Posted: 25 Aug 2005

See all articles by George Comer

George Comer

Georgetown University - Department of Finance

Date Written: August 17, 2005

Abstract

Reported portfolio data indicate that bond fund managers engage in sector timing behavior. I use simulation procedures to examine the ability of various versions of the Treynor and Mazuy (1966) timing specification to detect positive sector timing skill. Results indicate that the models are unable to detect timing ability at reasonable skill levels for the majority of managers. Alternative measures which compare actual fund returns to the returns from passive strategies using the previous period's sector weights are better able to detect positive ability at reasonable skill levels. When applied to a sample of general government bond funds, these measures indicate managers may possess positive sector timing ability.

Suggested Citation

Comer, George, Evaluating Bond Fund Sector Timing Skill (August 17, 2005). Available at SSRN: https://ssrn.com/abstract=785209 or http://dx.doi.org/10.2139/ssrn.785209

George Comer (Contact Author)

Georgetown University - Department of Finance ( email )

585 Hariri Building
Georgetown University
Washington, DC 20057
United States
202-687-0676 (Phone)

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