Emerging Market Bond Funds: A Comprehensive Analysis
Posted: 3 Dec 2007
We analyze U.S.-based emerging market bond funds over a ten-year (1996-2005) complete cycle of ups and downs in the dominant emerging bond markets. Emerging market bond funds outperform comparable domestic and global bond funds. The results are robust across both conditional and unconditional models. The funds also provide international diversification benefits to U.S. and international bond and equity portfolios. The funds exhibit persistence in performance and seasonality. Active funds, large funds and funds with high minimum purchases perform better on a total return basis but not on a risk-adjusted basis.
Keywords: Emerging markets, bond mutual funds, international diversification, international mutual funds, performance persistence
JEL Classification: G11, G12, G15
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