{"title":"债券共同基金业绩：来自技能比率和错误发现率的证据","authors":"Lifa Huang, Wayne Y. Lee, Craig G. Rennie","doi":"10.1111/fire.12432","DOIUrl":null,"url":null,"abstract":"<p>This paper applies a Skill Ratio under a False Discovery Rate (FDR) framework to bond mutual funds showing many bonds mutual fund managers are skilled primarily to the benefit of fund sponsors. Our Skill Ratio is the <i>t</i>-statistic of realized gross value added <span></span><math>\n <semantics>\n <mrow>\n <mo>(</mo>\n <mrow>\n <mi>RV</mi>\n <msub>\n <mi>A</mi>\n <mi>G</mi>\n </msub>\n </mrow>\n <mo>)</mo>\n </mrow>\n <annotation>$( {{\\mathrm{RV}}{{\\mathrm{A}}_{\\mathrm{G}}}} )$</annotation>\n </semantics></math> based on investible Morningstar benchmark-adjusted monthly returns times the natural logarithm of assets under management (AUM). We apply a new simulation process for FDR that mitigates small sample bias and mis-discovery on tails. For 571 actively managed domestic bond mutual fund managers between 1999 and 2016, 28.7% are skilled, including 36.3% of 226 corporate funds and 17.3% of 345 government funds.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"60 3","pages":"865-894"},"PeriodicalIF":2.1000,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fire.12432","citationCount":"0","resultStr":"{\"title\":\"Bond mutual fund performance: Evidence from the skill ratio and false discovery rate\",\"authors\":\"Lifa Huang, Wayne Y. Lee, Craig G. Rennie\",\"doi\":\"10.1111/fire.12432\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>This paper applies a Skill Ratio under a False Discovery Rate (FDR) framework to bond mutual funds showing many bonds mutual fund managers are skilled primarily to the benefit of fund sponsors. Our Skill Ratio is the <i>t</i>-statistic of realized gross value added <span></span><math>\\n <semantics>\\n <mrow>\\n <mo>(</mo>\\n <mrow>\\n <mi>RV</mi>\\n <msub>\\n <mi>A</mi>\\n <mi>G</mi>\\n </msub>\\n </mrow>\\n <mo>)</mo>\\n </mrow>\\n <annotation>$( {{\\\\mathrm{RV}}{{\\\\mathrm{A}}_{\\\\mathrm{G}}}} )$</annotation>\\n </semantics></math> based on investible Morningstar benchmark-adjusted monthly returns times the natural logarithm of assets under management (AUM). We apply a new simulation process for FDR that mitigates small sample bias and mis-discovery on tails. For 571 actively managed domestic bond mutual fund managers between 1999 and 2016, 28.7% are skilled, including 36.3% of 226 corporate funds and 17.3% of 345 government funds.</p>\",\"PeriodicalId\":47617,\"journal\":{\"name\":\"FINANCIAL REVIEW\",\"volume\":\"60 3\",\"pages\":\"865-894\"},\"PeriodicalIF\":2.1000,\"publicationDate\":\"2025-02-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fire.12432\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"FINANCIAL REVIEW\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/fire.12432\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"FINANCIAL REVIEW","FirstCategoryId":"1085","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/fire.12432","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
摘要
本文将错误发现率（FDR）框架下的技能比率应用于债券共同基金，表明许多债券共同基金经理的技能主要是为了基金发起人的利益。我们的技能比率是实现总增加值（RV A G）$ ({{\mathrm{RV}}{{\mathrm{A}}_{\mathrm{G}}}})$的t统计量，基于可投资的晨星基准调整后的月收益乘以自然收益资产管理规模的对数。我们应用了一种新的FDR模拟过程，减轻了小样本偏差和尾部的错误发现。在1999年至2016年期间，571名积极管理的国内债券共同基金经理中，28.7%的人是熟练的，其中226只公司基金中有36.3%，345只政府基金中有17.3%。
Bond mutual fund performance: Evidence from the skill ratio and false discovery rate
This paper applies a Skill Ratio under a False Discovery Rate (FDR) framework to bond mutual funds showing many bonds mutual fund managers are skilled primarily to the benefit of fund sponsors. Our Skill Ratio is the t-statistic of realized gross value added based on investible Morningstar benchmark-adjusted monthly returns times the natural logarithm of assets under management (AUM). We apply a new simulation process for FDR that mitigates small sample bias and mis-discovery on tails. For 571 actively managed domestic bond mutual fund managers between 1999 and 2016, 28.7% are skilled, including 36.3% of 226 corporate funds and 17.3% of 345 government funds.
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