Exploring the performance of US international bond mutual funds

Jonathan Fletcher, Andrew Marshall, Elizabeth Littlejohn

Research output: Contribution to journalArticlepeer-review

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.

Original languageEnglish
Pages (from-to)765-782
Number of pages18
JournalFinancial Review
Volume58
Issue number4
Early online date3 Jun 2023
DOIs
Publication statusPublished - 30 Nov 2023

Keywords

  • U.S international bond funds
  • Global Financial Crisis (GFC)
  • bond portfolios

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