The Performance of US Bond Mutual Funds
28 Pages Posted: 8 Apr 2019
Date Written: March 19, 2019
We evaluate the performance of the US bond mutual fund industry using a comprehensive sample of bond funds over a long time period from January 1998 to February 2017. In this one study, we examine bond fund selectivity, market timing and performance persistence. We evaluate bond funds relative to their self-declared benchmarks and in terms of both gross-of-fee returns and net-of-fee returns. We document considerable abnormal performance among funds both to the fund (gross returns) and to the investor (net returns). Bond fund performance is found to be superior in the post financial crisis period. However, past strong performance cannot be relied upon to predict future performance. Finally, while some funds exhibit market timing ability; we find a predominance of negative market timing among US bond mutual funds.
Keywords: mutual funds, bond funds, benchmark returns, market timing, persistence.
JEL Classification: G11, G12, G14
Suggested Citation: Suggested Citation