Looking under the Hood of Active Credit Managers
Financial Analysts Journal, 2020, 76( 2): 82–102
41 Pages Posted: 21 Jun 2019 Last revised: 30 Apr 2020
Date Written: June 1, 2019
Extensive research has explored the style exposures of actively managed equity funds. We conduct an exhaustive set of returns- and holdings-based analyses to understand actively managed credit funds. We find that credit long/short managers tend to have high passive exposure to the credit risk premium. In contrast, we find that high-yield-focused long-only managers provide less exposure to the credit risk premium than their respective benchmarks. For both credit hedge funds and long-only credit mutual funds, we find that neither have economically meaningful exposures to well-compensated systematic factors.
Keywords: corporate bonds, fixed income mutual funds, fixed income hedge funds
JEL Classification: G12, G14, M41
Suggested Citation: Suggested Citation