Journal of Asset Management

, Volume 18, Issue 6, pp 433–456 | Cite as

Bond mutual funds and complex investments

  • Markus Natter
  • Martin RohlederEmail author
  • Dominik Schulte
  • Marco Wilkens
Original Article


We are the first to analyze bond mutual funds’ permission and use of complex investments such as derivatives, restricted securities, and securities lending. Based on unique regulatory information from the SEC’s N-SAR filings, we show that most complex investments do not affect fund performance or risk. However, interest rate futures (IRF) are harmful to bond funds. Bond funds engaging in IRF (46.94% of all bond funds) underperform nonusers by economically meaningful 54 basis point of alpha p.a. Our results reveal that bond funds employ IRF for speculation as they increase funds’ exposure toward interest rate risk.


mutual fund performance bond funds performance derivatives interest rate futures 

JEL Classification

G11 G12 


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Copyright information

© Macmillan Publishers Ltd 2017

Authors and Affiliations

  • Markus Natter
    • 1
  • Martin Rohleder
    • 1
    Email author
  • Dominik Schulte
    • 2
  • Marco Wilkens
    • 1
  1. 1.Chair of Finance and BankingUniversity of AugsburgAugsburgGermany
  2. 2.Tecta Invest GmbHMunichGermany

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