Performance Of Fixed-income Funds Research Articles

Relationship between Portfolio Distribution, Management, and Composition and the Performance of Brazilian Fixed-Income Investment Funds (2011-2018)

This study analyzes the relationship between portfolio distribution, management, and composition indicators and the performance of fixed-income funds in Brazil. It provides support to investors when making decisions regarding their investments. A sample composed of 1039 Brazilian fixed-income funds from January 2011 to December 2019 was analyzed using a panel data analysis methodology and considering robust standard errors. The performance fee charged by funds was found to be the variable that most helped increase the performance of Brazilian fixed-income funds. In addition, portfolios characterized by a higher proportion of fixed-income assets, less experienced management, managers concurrently responsible for a large number of funds, and greater net assets contributed substantially to improved fund performance, by generating the best risk-adjusted returns.

Impact of sponsorship on fixed-income fund performance

Abstract Mutual fund sponsors differ in their transparencies (public or private), ownerships (mutual or stock), distribution/servicing channels, affiliations, brand reputational values, manager abilities and access to information. We find that performance differences among Canadian fixed-income funds differentiated by sponsor and fund types are mainly driven by cost minimization and to a less extent by managerial abilities. Funds sponsored by Banks exhibit lower fees and superior return performances, on average, over those sponsored by Insurers, Financial cooperatives, and Independents even after controlling for various fund and sponsor characteristics. Higher benchmark-adjusted returns for bank-sponsored funds are consistent with their lower fees and informational advantages, mainly due to their nation-wide, lower-cost distribution/service channels, and their affiliate activities.

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

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.