Diversification Opportunities through Fixed-income Managed Funds in Eastern Europe

Abstract

In measuring the performance characteristics of fixed-income mutual funds in the emerging economies of Eastern Europe, we use a sample of funds domiciled in Poland, Hungary and the Czech Republic, finding failure to surpass passive benchmarks even before considering the impact of expenses on overall returns. Market timing on the part of fund managers is found but in higher moment testing, being overwhelmed though by seemingly full replication of passive benchmark strategies followed. Results are negatively influenced by stock market returns in the relative markets, while public information variables appear to enclose informational content proven useful to fund managers. JEL Classification: G11, G15, G23