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• W3133656564 abstract "Performance regressions lever expected benchmark returns linearly to the risk exposures of the fund. The interest rate (IR) risk premium, however, usually follows a decreasingly upward-sloping yield curve, characterizing the nonlinearity between expected return and IR risk exposure—for example, maturity or duration. If the exposures of the fund and the benchmark differ, this discrepancy causes alpha to deviate from the active bond selection performance it is supposed to measure. Performance ratings and investor flows are affected by this alpha deviation. Our simple remedy is to individually match funds and benchmarks using their durations. Beta and R2 are candidates for alternative matchings." @default.
• W3133656564 created "2021-03-15" @default.
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• W3133656564 date "2021-02-25" @default.
• W3133656564 modified "2023-09-27" @default.
• W3133656564 title "Maturity-Matched Bond Fund Performance" @default.
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• W3133656564 doi "https://doi.org/10.1080/0015198x.2020.1865695" @default.
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