“Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings” by Jingzhi Huang
Penn State University
University at Albany-SUNY
This paper examines the ability of government bond fund managers to time the bond market, based on their monthly or quarterly holdings of Treasury securities during the period 1997-2006. We find that, on average, government bond funds exhibit significantly positive timing ability at the one-month horizon, under an unconditional holdings-based timing measure. In particular, our results indicate that fund managers specializing in Treasury securities are more likely to better time the bond market than general government bond fund managers who invest in a combination of Treasury, mortgage-backed, and agency securities. However, we find that managers' actions based on public information can explain the documented positive timing ability, namely, that the average government bond fund has neutral conditional market-timing ability once public information is controlled for.