Open AccessUse of Interest Rate Derivatives by U.S. Based Domestic and Global Bond Mutual Funds
Author(s) -
Michael J. Tomas,
Sylvie Bouriaux
Publication year - 2009
Publication title -
journal of management research
Language(s) - English
Resource type - Journals
ISSN - 1941-899X
DOI - 10.5296/jmr.v1i2.45
Subject(s) - bond , mutual fund , business , equity (law) , fund of funds , closed end fund , income fund , interest rate , monetary economics , finance , economics , fund administration , political science , market liquidity , law
We investigate the use of interest rate derivatives by U.S. based domestic and global bond mutual funds. Using SEC filings and monthly return data, we document the use of derivatives across subcategories of bond funds and examine differences in returns between users and non-users of derivatives. Compared with previous studies on equity mutual funds, our bond mutual fund sample shows a wider use of derivatives. However, as with previous studies on equity funds, our results show no overall difference in fund returns for non-users and users of derivatives. One exception is the Global Bonds fund subcategory.