The Performance of Bond Mutual Funds

Blake, Christopher R.; Elton, Edwin J.; Gruber, Martin J.

doi:10.1086/296609

Cited by 357 publications

(208 citation statements)

References 15 publications

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“…In this section we present the results of regression model (2) to explain the determinants of funds" performance. Table 4 presents the model"s estimations for expense ratio, purchase and redemption fees, age, and the dummy variable which accounts for the bank ownership of the fund.…”

Section: Regression Results In Explaining Performancementioning

confidence: 99%

Measuring the Effectiveness of Online Advertising: The Tunisian Context

Khalifa

2014

IJME

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Section: Regression Results In Explaining Performancementioning

confidence: 99%

Measuring the Effectiveness of Online Advertising: The Tunisian Context

Khalifa

2014

IJME

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“…betas or coefficients) to the independent variables are indicative of the overall style of the asset (Robertson et al, 2000:11). The factor models also have an application in determining the excess return of a fund earned over time (Jensen, 1968;Brown & Goetzmann, 1995;Blake, Elton & Gruber, 1993). Determining excess returns 9 Factors based on seasonality and serial correlation (Arnott et al, 1989:30).…”

Section: Determining Fund Style: Building a Research Foundation Priormentioning

confidence: 99%

“…Given the two different asset classes that were analysed, the researchers argued that the input of different risk factors to forecast future returns will differ from one asset class to the next. Brown and Goetzmann (1995) as well as Blake et al (1993) used multi-factor models to evaluate the performance of mutual funds and bond mutual funds respectively. 10 The return on a proxy for the market portfolio over and above the risk-free rate of interest.…”

Section: Determining Fund Style: Building a Research Foundation Priormentioning

confidence: 99%

Return-based style analysis of domestic targeted absolute and real return unit trust funds in South Africa

Louw¹,

Beer²

2012

COC

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By means of return-based style analysis (RBSA), heterogeneous style sub-categories were identified within the targeted absolute and real return (TARR) category of the South African unit trust market to create a framework for sub-categorisation. The study dealt with TARR funds and their place within the investment universe. The literature review emphasised the importance of asset allocation, which supports the use of RBSA to identify asset allocation and further provided a motivation for the semi-strong form of RBSA applied to the sample data. The findings suggest that in general, return-based style analysis applied to each fund identifies the asset allocation for the fund and is valid and that the collective results of return-based style analysis applied to the funds can be used to create a framework for sub-categorisation

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“…15 Blake, Elton and Gruber (1993) suggest to including a high-yield bond index to capture differences in return across bond funds. 16 All returns on mutual funds are computed after expenses and returns on eight benchmark indexes are before expenses.…”

Section: Table 2 Herementioning

confidence: 99%

The Efficiency of Pension Plan Investment Menus: Investment Choices in Defined Contribution Pension Plans

Tang

Mitchell

2008

SSRN Journal

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Few previous studies have explored whether defined contribution retirement saving plans offer sufficiently diversified investment menus, though it is likely that these menus significantly shape workers' accumulations of retirement wealth. This paper assesses the efficiency and performance of 401(k) investment options offered by a large group of US employers. We show that most plans are efficient compared to market benchmark indexes. Three performance measures underscore the fact that these plans tend to offer a sensible investment menu, when measured in terms of the menus' mean-variance efficiency, diversification, and participant utility. The key factor contributing to plan efficiency and performance has to do with the types of funds offered, rather than the total number of investment options provided. The Efficiency of Pension Plan Investment Menus: Investment Choices in Defined Contribution Pension PlansDefined contribution (DC) plans have become a central financial investment vehicle for retirement saving; in the US, for instance, there were 42.4 million active participants involved in almost half a million 401(k) plans with assets totaling almost $2 trillion (EBRI, 2005).Moreover, assets in 401(k) plans represent the sole source of retirement funding for a substantial fraction of 401(k) participants (Poterba, Venti and Wise 2007). There is a rich literature on participants' investment decisions in 401(k) plans, but much less attention has been paid to plan menus. 1 This paper uses a rich new dataset on over 1,500 plans provided by Vanguard to study the characteristics and efficiency 2 of 401(k) investment menus and investigate factors that affect plan performance.Although plan sponsors have substantial freedom in setting up 401(k) investment menus, the 1974 Employee Retirement Income Security Act requires that they take responsibility for offering participants investment options with appropriate risk and return features, and monitoring the investment vehicles to make sure they continue to be appropriate. Thus it is useful to investigate the characteristics of various 401(k) plans, to evaluate whether they are satisfactorily offering employees such "appropriate" investment opportunities. It has also been noted that, over time, employers have added investment options to 401(k) plans. 3 Therefore the question arises, as to whether adding more funds is necessarily better. To address this question, we explore factors that influence the efficiency of 401(k) plans, to see whether plan sponsors might enhance plan performance by adding investment choices. Additionally, recent proposals have suggested introducing individually-managed accounts into the U.S. Social Security system (Cogan and 1 For example, Madrian, and Shea (2001) and Choi, Laibson, Madrian, and Metrick (2001) show that automatic enrollment increases 401(k) participation rates and participants tend to stay with the default contribution rate and fund allocation; Ameriks and Zeldes (2004) and Agnew, Balduzzi, and Sunden (2003) document inertia in...

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The Performance of Bond Mutual Funds

Cited by 357 publications

References 15 publications

Measuring the Effectiveness of Online Advertising: The Tunisian Context

Measuring the Effectiveness of Online Advertising: The Tunisian Context

Return-based style analysis of domestic targeted absolute and real return unit trust funds in South Africa

The Efficiency of Pension Plan Investment Menus: Investment Choices in Defined Contribution Pension Plans

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