TY  - JOUR
AU  - Chen,Yong
AU  - Ferson,Wayne
AU  - Peters,Helen
TI  - Measuring the Timing Ability and Performance of Bond Mutual Funds
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15318
PY  - 2009
Y2  - September 2009
UR  - http://www.nber.org/papers/w15318
L1  - http://www.nber.org/papers/w15318.pdf
N1  - Author contact info:
Yong Chen
Department of Finance
Pamplin College of Business
1016 Pamplin Hall (0221)
Virginia Tech
Blacksburg, VA 24061
Tel: 540-231-4377
Fax: 540-231-3155
E-Mail: yong.chen@vt.edu

Wayne E. Ferson
Department of Finance
and Business Economics
University of Southern California
3670 Trousdale Parkway Suite 308
Los Angeles, CA 90089-0804
Tel: 213/740-5615
Fax: 213/740-6650
E-Mail: ferson@marshall.usc.edu

Helen Peters
Department of Finance
Boston College
140 Commonwealth Ave
Chestnut Hill, MA. 02467
E-Mail: helen.peters.1@bc.edu
AB  - This paper evaluates the ability of bond funds to "market time" nine common factors related to bond markets.  Timing ability generates nonlinearity in fund returns as a function of common factors, but there are several non-timing-related sources of nonlinearity. Controlling for the non-timing-related nonlinearity is important.  Funds' returns are more concave than benchmark returns, and this would appear as poor timing ability in naive models.  With controls, the timing coefficients appear neutral to weakly positive. Adjusting for nonlinearity the performance of many bond funds is significantly negative on an after-cost basis, but significantly positive on a before-cost basis.
ER  -