Fixed-income fund performance: Role of luck and ability in tail membership |
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| Authors: | Mohamed A. Ayadi Lawrence Kryzanowski |
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| Affiliation: | a Department of Finance, Operations, and Information Systems, Faculty of Business, Brock University, St. Catharines, ON, Canadab John Molson School of Business, Concordia University, Montreal, QC, Canada |
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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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| Keywords: | G11 G12 |
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