This paper evaluates the performance of government bond mutual funds with stochastic discount factors from continuous-time term structure models. The approach addresses the interim trading bias described by Goetzmann, Ingersoll and Ivkovic (2000) and Ferson and Khang (2002). It replaces the ad...

We evaluate the performance of fixed income mutual funds using stochastic discount factors from continuous-time term structure models. Time-aggregation of the models for discrete returns generates additional empirical quot;factors,quot; and these factors contribute significant explanatory power...