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2021 Honors Thesis: Phoebe Lei


Phoebe Lei

Title of Thesis:

Bond Fund Performance and Flows During the COVID-19 Crisis


Jeong Ho (John) KimMiguel R. Rueda (Political Science), Bree Ettinger (Mathematics)


We investigate the performance and flows of bond mutual funds during the COVID-19 crisis period with a focus on their relationship with different measures of sustainability. Through the analysis of factor-adjusted returns, we find that bond mutual funds underperformed in the market during the crisis period but outperformed both before and after the crisis. We also document that bond mutual funds with higher ESG ratings generated higher crisis-period returns compared to their lower-rated counterparts. Moreover, bond mutual funds with investment exclusions attracted more money before the COVID-19 crisis and performed better during the crisis. These results suggest that sustainable bond mutual funds are more resilient to large negative shocks. Furthermore, investors were able to exploit this advantage and invested in these sustainable funds as a hedging strategy before the crisis struck.

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