Finance Seminar with Jaewon Choi, Gies College of Business & University of Illinois Urbana-Champaign

On Friday, March 15, 2024, Jaewon Choi, Gies College of Business & University of Illinois Urbana-Champaign, will be giving a seminar on the paper: Passive bond fund management is an oxymoron (or the case for the active management of bond funds)

Friday, March 15, 2024 - 11:00 to 12:15

The Department of Finance is proud to announce the upcoming seminar with Jaewon Choi, Gies College of Business & University of Illinois Urbana-Champaign.

Jaewon Choi will present: Passive bond fund management is an oxymoron (or the case for the active management of bond funds)

Abstract: In sharp contrast to equity funds, passive bond funds underperform the majority of active bond funds. First, bond indexes include numerous illiquid bonds, making passive investing a near-impossible task. Facing a difficult trade-off between tracking their benchmark and maintaining liquidity, passive bond funds become active and hold relatively liquid bonds, while sacrificing performance. Second, the lack of positive skewness in bond returns reduces the advantages of holding a broad-market index. Holding individual bonds frequently outperforms the benchmark, making passive investing less attractive. Consistent with these two channels, the average active bond fund outperforms the passive counterpart, while the most active ones—those with high active share in particular—substantially outperform passive funds (0.74% annually, t-stat = 2.40).

Location:
Solbjerg Plads 3
2000 Frederiksberg
Room: SPs03
More information will follow.
 

The page was last edited by: Department of Finance // 03/08/2024