PT  - JOURNAL ARTICLE
AU  - Mary Fjelstad
TI  - Modeling the Performance of Active Managers in the Euroland Bond Market
AID  - 10.3905/jfi.1999.319228
DP  - 1999 Jun 30
TA  - The Journal of Fixed Income
PG  - 32--45
VI  - 9
IP  - 1
4099  - https://pm-research.com/content/9/1/32.short
4100  - https://pm-research.com/content/9/1/32.full
AB  - With the advent of the European Monetary Union on January 1, 1999, historical fixed-income management results became irrelevant. To asses the potential of value–added strategies, this article simulates various European bond management strategies using historical returns from a market that is likely to be similar to the new market – the U.S. bond market. The model assesses the ability of an active manger to add value by successfully selecting between different asset classes, represented by indexes. With successful forecasts 55% of the time, both active–duration management and sector rotation strategies add value. The results also provide some ideas for manager risk control and portfolio monitoring.