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Exploring the performance of US international bond mutual funds

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  • Jonathan Fletcher
  • Elizabeth Littlejohn
  • Andrew Marshall

Abstract

We use a Bayesian regime switching approach to examine the performance enhancement of adding US international bond funds to a domestic bond universe pre and post the Global Financial Crisis (GFC) during January 1999 and May 2022. We find that the international bond funds provide large significant performance enhancement pre the GFC, with an increase in Certainty Equivalent Return (CER) performance of 0.595% (monthly), but none post the GFC. The performance enhancement pre GFC is driven by Large Emerging Market bond funds, which is likely fueled by a substantial drop in the Emerging Market central bank policy rates pre GFC.

Suggested Citation

  • Jonathan Fletcher & Elizabeth Littlejohn & Andrew Marshall, 2023. "Exploring the performance of US international bond mutual funds," The Financial Review, Eastern Finance Association, vol. 58(4), pages 765-782, November.
    • Handle: RePEc:bla:finrev:v:58:y:2023:i:4:p:765-782
    DOI: 10.1111/fire.12355
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    References listed on IDEAS

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