Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324725 
Year of Publication: 
2022
Citation: 
[Journal:] Research Journal for Applied Management (RJAM) [ISSN:] 2701-6633 [Volume:] 3 [Issue:] 1 [Year:] 2022 [Pages:] 85-115
Publisher: 
BoD – Books on Demand GmbH, Norderstedt
Abstract: 
This paper contributes to the ongoing debate of whether active investing is still worthwhile in presence of factor investing. It provides a universal framework that selects presumably factor-heavy fixed-income funds. To test the framework, returns of an exemplary fund are neutralized for factor exposures. Roughly 60% of returns are attributed to factors and the remaining 40% are interpreted as the manager's alpha. While these results are only valid for this particular fund, the analysis provides a better understanding of the active/passive discussion in fixed-income and contributes worthy insights to the fund manager selection and performance evaluation literature and practice.
Subjects: 
Factors
factor investing
fixed-income
manager selection
performance attribution
performance evaluation
portfolio management
style investing
Document Type: 
Article

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