Maturity-Matched Bond Fund Performance
研究发现，债券基金业绩回归中，若基金与基准的利率风险暴露不匹配，会导致alpha偏离真实的主动选券能力，进而影响业绩评级和投资者资金流动。提出用久期匹配基金和基准的简单修正方法。
Performance regressions lever expected benchmark returns linearly to the risk exposures of the fund. The interest rate (IR) risk premium, however, usually follows a decreasingly upward-sloping yield curve, characterizing the nonlinearity between expected return and IR risk exposure—for example, maturity or duration. If the exposures of the fund and the benchmark differ, this discrepancy causes alpha to deviate from the active bond selection performance it is supposed to measure. Performance ratings and investor flows are affected by this alpha deviation. Our simple remedy is to individually match funds and benchmarks using their durations. Beta and R2 are candidates for alternative matchings.