Corporate and Government Bond Funds: An Analysis of Investment Style, Performance, and Cash Flows

40 Pages Posted: 13 Sep 2006

See all articles by George Comer

George Comer

Georgetown University - Department of Finance

Javier Rodriguez

University of Puerto Rico; University of Puerto Rico - Escuela Graduada de Administración de Empresas (EGAE)

Date Written: September 11, 2006

Abstract

We examine four separate classifications (high quality corporate, general corporate, government Treasury, and general government) of investment grade bond funds over the 1994-2004 period. We verify that distinct differences exist in investment styles across the classifications. We also document significant differences in performance as corporate funds outperform government funds on a risk adjusted basis. The performance results are robust to alternative evaluation metrics. An examination of cash flows to the funds indicates that bond fund investors are aware of the performance difference and have directed their investment dollars accordingly.

Keywords: fixed income funds, portfolio evaluation, cash flows

JEL Classification: G10, G11

Suggested Citation

Comer, George and Rodriguez, Javier, Corporate and Government Bond Funds: An Analysis of Investment Style, Performance, and Cash Flows (September 11, 2006). Available at SSRN: https://ssrn.com/abstract=929490 or http://dx.doi.org/10.2139/ssrn.929490

George Comer (Contact Author)

Georgetown University - Department of Finance ( email )

585 Hariri Building
Georgetown University
Washington, DC 20057
United States
202-687-0676 (Phone)

Javier Rodriguez

University of Puerto Rico ( email )

Río Piedras
Puerto Rico

University of Puerto Rico - Escuela Graduada de Administración de Empresas (EGAE) ( email )

San Juan, 00918
Puerto Rico

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