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Using a sample of 103 surviving and non-surviving global bond funds over a long sample period of 1998 to 2022, we perform a comprehensive analysis of the funds under our modified Sharpes (1992) style analysis model. We find that dynamic style analysis is useful in explaining time-series and cross-sectional and in predicting future returns of global bond funds. The dynamic style analysis also allows us to examine asset allocation over time. The results show that, during 2001 to 2014, funds shift their allocations from intermediate-term bonds to world corporate bonds and from world corporate bonds to emerging market bonds in search of higher returns at the price of credit quality.
Polwitoon et al. (Wed,) studied this question.
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