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6 Bond fund performance measurement.(Portfolio Performance Evaluation)
- Article from:
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Foundations and Trends in Finance
- Article date:
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April 1, 2006
- Author:
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;
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Copyright informationCOPYRIGHT 2006 Now Publishers, Inc. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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6.1 Fixed Income Models
Elton et al. (1993; 1995) were the seminal academic studies of the performance of bond style mutual funds. They used versions of the classical multibeta model alphas described above, where the factors are selected to address the risks most likely to be important for fixed income portfolios.
Ferson et al. (2006a) brought modern term structure models to the problem of measuring bond fund performance. These models specify a continuous-time stochastic process for the underlying state variable(s). For example, let X be the state variable following a diffusion process:
dX = [micro]([X.sub.t])dt + [sigma]([X.sub.t])dw, (6.1)
where dw is the ...
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