Bond Fund Performance: Does Management Activity Pay?

58 Pages Posted: 6 Dec 2017 Last revised: 22 Dec 2017

Martin Rohleder

University of Augsburg

Date Written: December 21, 2017


This study contributes robust evidence for a non-positive activity-performance relation in bond funds. Specifically, timing activity is negatively related to performance and selection is mostly unrelated to it. Selection is positive only during the 2000s while timing remains strongly negative. Hence, management activity does not pay, especially in recent years! For corporate bond funds, intensive derivative use, net long derivative holdings, larger size, higher fees, lower flow risk and a non-fundamental investment approach signal a less negative relation. For government bond funds, the results are overall weaker and suggest that management ability is generally lower than in corporate bond funds.

Keywords: Bond funds, activity, duration-adjusted performance, complex instruments, quant vs. fundamental

JEL Classification: G20, G11, G23

Suggested Citation

Rohleder, Martin, Bond Fund Performance: Does Management Activity Pay? (December 21, 2017). Available at SSRN: or

Martin Rohleder (Contact Author)

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
+49 821 598 4120 (Phone)

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