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- Title
Exploring the performance of US international bond mutual funds.
- Authors
Fletcher, Jonathan; Littlejohn, Elizabeth; Marshall, Andrew
- 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.
- Subjects
BOND funds; BOND market; GLOBAL Financial Crisis, 2008-2009; EMERGING markets; BANKING policy; INTERNATIONAL markets
- Publication
Financial Review, 2023, Vol 58, Issue 4, p765
- ISSN
0732-8516
- Publication type
Article
- DOI
10.1111/fire.12355