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Robust performance measures for high yield bond funds

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  • Lipton, Amy F.
  • Kish, Richard J.

Abstract

We examine performance measures for high yield bond mutual funds, which are a considerable percentage of taxable bond investments, but have not been widely studied. High yield funds exhibit persistence in their monthly returns, so we calculate Sharpe ratios using methods that incorporate the serial correlation of returns. We find that high yield fund rankings using raw returns and conventionally calculated Sharpe ratios are different from those using trailing standard deviations and robust standard errors. High yield fund rankings based on robust Sharpe ratios also differ from those computed using multi-index Jensen's alphas and information ratios. When measured by risk-adjusted returns, high yield bond fund managers do not add much value.

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  • Lipton, Amy F. & Kish, Richard J., 2010. "Robust performance measures for high yield bond funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 332-340, August.
  • Handle: RePEc:eee:quaeco:v:50:y:2010:i:3:p:332-340
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    References listed on IDEAS

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