The Performance of US Bond Mutual Funds

28 Pages Posted: 8 Apr 2019

See all articles by Andrew Clare

Andrew Clare

City University London - Sir John Cass Business School

Niall O'Sullivan

University College Cork

Meadhbh Sherman

University College Cork

Sheng Zhu

Cork University Business School and Centre for Investment Research, University College Cork; Central China Securities Co., Ltd

Date Written: March 19, 2019

Abstract

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

Clare, Andrew D. and O'Sullivan, Niall and Sherman, Meadhbh and Zhu, Sheng, The Performance of US Bond Mutual Funds (March 19, 2019). International Review of Financial Analysis, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3355619 or http://dx.doi.org/10.2139/ssrn.3355619

Andrew D. Clare

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Niall O'Sullivan (Contact Author)

University College Cork ( email )

Department of Economics
University College Cork
Cork, n/a
Ireland

Meadhbh Sherman

University College Cork ( email )

Sheng Zhu

Cork University Business School and Centre for Investment Research, University College Cork ( email )

College Road
Cork
Ireland

Central China Securities Co., Ltd ( email )

Shanghai
China

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