Bond Fund Disappearance: What’s Return Got to Do with it?
47 Pages Posted: 18 Jun 2011 Last revised: 14 May 2012
Date Written: May 14, 2012
In their seminal paper on bond fund performance, Blake, Elton and Gruber (1993) state that survivorship bias is unimportant for this market segment. Many bond fund studies have since been published without treating survivorship bias despite the dramatic changes in the market over the last 20 years. We fill this gap by analyzing survivorship bias and disappearance of bond funds comprehensively. As key determinants we identify fund size and flows. Compared to equity funds, returns have minor influence on disappearance. However, we find statistically significant and economically relevant survivorship bias, in particular for certain asset classes like corporate bond funds.
Keywords: fund disappearance, bond mutual fund performance, survivorship bias
JEL Classification: G11, G12
Suggested Citation: Suggested Citation