Exploring the performance of US international bond mutual funds

Fletcher, Jonathan and Marshall, Andrew and Littlejohn, Elizabeth (2023) Exploring the performance of US international bond mutual funds. Financial Review. ISSN 0732-8516 (https://doi.org/10.1111/fire.12355)

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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.

ORCID iDs

Fletcher, Jonathan ORCID logoORCID: https://orcid.org/0000-0003-0568-9145, Marshall, Andrew ORCID logoORCID: https://orcid.org/0000-0001-7081-1296 and Littlejohn, Elizabeth;
  • Item type:Article
    ID code:85634
    Dates:
    Date
    Event
    3 June 2023
    Published
    3 June 2023
    Published Online
    19 May 2023
    Accepted
    Keywords:U.S international bond funds, Global Financial Crisis (GFC), bond portfolios, Finance, Finance
    Subjects:Social Sciences > Finance
    Department:Strathclyde Business School > Accounting and Finance
    Depositing user: Pure Administrator
    Date deposited:30 May 2023 15:49
    Last modified:28 Aug 2023 11:42
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/85634
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