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Fixed-income fund performance: Role of luck and ability in tail membership

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  • Ayadi, Mohamed A.
  • Kryzanowski, Lawrence
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    Abstract

    The risk-adjusted performance (alphas) of a comprehensive and survivorship-free sample of Canadian bond funds after (before) management-related costs is negative (positive) and is weakly sensitive to the choice of the return-generating process. A conditional multi-factor model that captures maturity differences and default risk best describes the return-generating process of these funds. Examination of funds in the tails of the performance distribution using the block-bootstrap method suggests that "bad luck" causes the before costs underperformance of extreme left-tail funds and no fund possesses truly superior management skills.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 18 (2011)
    Issue (Month): 3 (June)
    Pages: 379-392

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    Handle: RePEc:eee:empfin:v:18:y:2011:i:3:p:379-392

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    Web page: http://www.elsevier.com/locate/jempfin

    Related research

    Keywords: Performance measurement Conditioning Bond funds Block bootstrap;

    References

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