Fixed Income Mutual Fund Performance During and After a Crisis: A Canadian Case

Journal of Economics and Finance. https://doi.org/10.1007/s12197-021-09541-z

35 Pages Posted: 22 Mar 2021

See all articles by Laleh Samarbakhsh

Laleh Samarbakhsh

Ryerson University - Ted Rogers School of Management

Meet Shah

Ryerson University - Ted Rogers School of Management

Date Written: October 5, 2020

Abstract

This study investigates the performance of the fixed income mutual funds industry, focusing on Canadian fixed income funds before, during, and after the 2008 global financial crisis. After recessionary shocks, investors look for ways to diversify their systematic risks. We investigate Canadian fixed income funds’ excess returns and dollar fund flow and show that the funds significantly underperform bond markets throughout the study period after controlling for fund characteristics and macroeconomic factors. Consistent with previous studies, we find that this underperformance is more apparent during market downturns. Indicating a spiral relationship, these results suggest that institutional investors perform poorly during financial crises, which is also observable in the volatility patterns in dollar fund flow. We also find that the flow is positively related to the crisis period, indicating that the dollar fund flow in fixed income funds reported a positive value during the recession, signifying an inflow.

Keywords: financial crisis; fixed income, fund flow, mutual fund

JEL Classification: C32, G11, G31

Suggested Citation

Samarbakhsh, Laleh and Shah, Meet, Fixed Income Mutual Fund Performance During and After a Crisis: A Canadian Case (October 5, 2020). Journal of Economics and Finance. https://doi.org/10.1007/s12197-021-09541-z, Available at SSRN: https://ssrn.com/abstract=3798678

Laleh Samarbakhsh (Contact Author)

Ryerson University - Ted Rogers School of Management ( email )

Toronto, ON
Canada

Meet Shah

Ryerson University - Ted Rogers School of Management ( email )

350 Victoria Street
Toronto, Ontario M5B 2K3
Canada

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