Looking under the Hood of Active Credit Managers
35 Pages Posted: 21 Jun 2019
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; there is the potential for a powerful diversifier to be added to a typical credit allocation.
Keywords: corporate bonds, fixed income mutual funds, fixed income hedge funds
JEL Classification: G12; G14; M41
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