کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
980432 1480463 2010 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Robust performance measures for high yield bond funds
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Robust performance measures for high yield bond funds
چکیده انگلیسی

We examine performance measures for high yield bond mutual funds, which are a considerable percentage of taxable bond investments, but have not been widely studied. High yield funds exhibit persistence in their monthly returns, so we calculate Sharpe ratios using methods that incorporate the serial correlation of returns. We find that high yield fund rankings using raw returns and conventionally calculated Sharpe ratios are different from those using trailing standard deviations and robust standard errors. High yield fund rankings based on robust Sharpe ratios also differ from those computed using multi-index Jensen's alphas and information ratios. When measured by risk-adjusted returns, high yield bond fund managers do not add much value.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 50, Issue 3, August 2010, Pages 332–340
نویسندگان
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