Using factor models we empirically investigate the performance of European Monetary Union (EMU) bond managers. We find that (1) alpha is time varying, (2) bond managers exhibit alpha in the short run as opposed to long-term prior to the Global Financial Crisis (GFC), and (3) bond fund alpha is associated with government bond funds and funds with heavy exposure to government bonds. Our factor models do not detect alpha in corporate and high-yield bond funds on average. We observe that alpha was much higher in the period prior to the GFC that began in 2008. The number of funds in our sample generating alpha dropped significantly after that crisis and remained very low from 2008 to 2017 as EMU markets recovered. We apply three models to evaluate EMU bond fund manager alpha. We use the two bond-market related Fama-French factors – term and default. In addition, we use the three equity market-related Fama-French factors – size, value, and market – together with the momentum factor. We find evidence that the bond market-related Fama-French factors are significant for the EMU bond funds in our sample, but the equity market-related Fama-French factors are not. By applying factor analysis to the returns of EMU bond funds, we (1) identify the economic drivers of EMU bond market returns and (2) show the performance of bond portfolio managers regarding alpha prior to the GFC and explain the possible lack of alpha after the GFC.

使用因子模型，我们经验性地调查了欧洲货币联盟（EMU）债券经理的表现。我们发现（1）Alpha是随时间变化的；（2）债券管理人在短期内表现为alpha，而不是在全球金融危机（GFC）之前的长期；并且（3）债券基金Alpha与政府债券相关。基金和大量承受政府债券敞口的基金。我们的因子模型平均无法检测到公司和高收益债券基金的alpha。我们观察到，在2008年全球金融危机开始之前的这段时间内，阿尔法的水平要高得多。在危机发生后，样本中产生阿尔法的资金数量显着下降，并且随着EMU市场的复苏，从2008年至2017年，该水平一直处于非常低的水平。我们应用三种模型来评估EMU债券基金经理的alpha值。我们使用与债券市场相关的两个Fama-French因素-期限和违约。此外，我们使用与股票市场相关的三个Fama-French因素–规模，价值和市场–以及动量因子。在我们的样本中，我们发现有证据表明，与债券市场相关的Fama-French因素对EMU债券基金具有重要意义，但与股票市场相关的Fama-French因素却不那么重要。通过对EMU债券基金的收益进行因子分析，我们（1）确定EMU债券市场收益的经济驱动力，并且（2）在GFC之前显示债券投资组合经理关于alpha的表现，并解释在GFC之前关于alpha的可能缺乏全球金融危机。但是与股票市场相关的Fama-French因素却不然。通过对EMU债券基金的收益进行因子分析，我们（1）确定EMU债券市场收益的经济驱动力，并且（2）在GFC之前显示债券投资组合经理关于alpha的表现，并解释在GFC之前关于alpha的可能缺乏全球金融危机。但是与股票市场相关的Fama-French因素却不然。通过对EMU债券基金的收益进行因子分析，我们（1）确定EMU债券市场收益的经济驱动力，并且（2）在GFC之前显示债券投资组合经理关于alpha的表现，并解释在GFC之前关于alpha的可能缺乏全球金融危机。