Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/283003 
Year of Publication: 
2024
Series/Report no.: 
CFR Working Paper No. 24-01
Publisher: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Abstract: 
Mutual fund families are increasingly assigning traders to manage corporate bond mutual funds. Using this setting to study the role of traders in investment management, we document that trader managers identify and exploit short-term trading opportunities at lower transaction costs. These skills are particularly valuable during periods of market stress. Moreover, trader managers exhibit sophisticated risk management behavior: They reduce credit risk during periods of market stress and take more maturity risk during periods of large interest rate fluctuations, while holding portfolios with greater convexity. The combination of these skills produces relative outperformance during periods of large interest rate fluctuations.
Subjects: 
traders
fund managers
transaction costs
corporate bonds
JEL: 
G11
G23
D83
J24
Document Type: 
Working Paper

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