Risk-adjusted performance of Romanian Bond Funds during the global economic crisis

摘要

Bond funds faced the global financial crisis by offering a safer and profitable investment alternative in comparison to equity and balanced funds. The paper analyzes the evolution of Romanian bond funds industry during 2007-2009 and tries to assess the risk-adjusted performance of these investment vehicles. Panel data analysis results in positive alphas over the examined period regardless of the proxy benchmark. We used both the Romanian market index BET and the ROBOR 12-M series as benchmarks. The results show that during the crisis, Romanian bond funds managed to attain positive HPR and positive risk adjusted performance.