Impact Of Macroeconomic Variables On The Performance Of Mutual Funds
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Impact Of Macroeconomic Variables On The Performance Of Mutual Funds
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Author : CMA(Dr.) Ashok Panigrahi
language : en
Publisher:
Release Date : 2020
Impact Of Macroeconomic Variables On The Performance Of Mutual Funds written by CMA(Dr.) Ashok Panigrahi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Over the period, investment in mutual funds has played an important role in the financial market and its popularity has increased at a very fast rate. India has seen phenomenal growth in both the number and size of diversified equity mutual funds in recent years. The market associated with mutual funds is always subjected to market risk. In such circumstances, it is very hard for the investor to maintain his investment portfolio. Normally the performance of an equity-diversified mutual fund depends upon the stock market performance. In India, the performance of mutual funds has been volatile because of several macro-economic factors. The purpose of this study is to examine the impact of economic events on the risk-adjusted returns/performance of mutual funds in India. The study sought to establish the effect of macroeconomic variables on the financial performance of selected mutual funds in India. For the calculation of impact, researcher has selected four equity mutual funds comprising of Aditya Birla Sun Life Equity Fund, Axis Long Term Equity Fund, ICICI Prudential Long Term Equity Fund and HDFC Equity Fund. The research concludes that the influence of macroeconomic variables is about 52% on the performance of Mutual Funds.
Impact Of Tunisian Revolution On The Relationship Between Macroeconomic Factors And Mutual Funds Performance
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Author : Marwa Zouaoui
language : en
Publisher:
Release Date : 2019
Impact Of Tunisian Revolution On The Relationship Between Macroeconomic Factors And Mutual Funds Performance written by Marwa Zouaoui and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This paper aims first at determining the different macroeconomic factors that explain the variability of Tunisian mutual funds (UCITS) returns in the period of 2006 - 2016. Second, the paper tries to determine the effect of the Tunisian revolution on the relationship between the studied macroeconomic factors and returns of these investment funds. To this end, we will compare the impact of these variables on returns during the pre- and post-revolution period. The results show that all the macroeconomic factors significantly explain the variation of Tunisian UCITS funds returns. Moreover, the results reveal that the revolution has a significant impact on the relationship between our macroeconomic factors and returns. We also found that the impact of macroeconomic variables on UCITS funds returns, before and after 2011, is not the same. These findings may bear on the political, security, social, and economic instability that has been observed in Tunisia since 2011 and which has significantly influenced the studied macroeconomic factors.
Determinants Of Mutual Funds Performance In Pakistan
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Author : Muhammad Asad
language : en
Publisher:
Release Date : 2019
Determinants Of Mutual Funds Performance In Pakistan written by Muhammad Asad and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
The aim of this thesis is to investigate various fund attributes influencing returns of Pakistani mutual funds. For this ten types of Mutual funds were selected for the period of 2015-17, and the effect of six micro and two macro fund specific variables on their returns were analyzed. Models have analyzed the effect of all factors in different categories of funds & for different classes of funds. Results showed that the attributes having impact on mutual fund return are risk and expense ratio positively. Some variables have no impact on fund returns i.e. fund size, fund age, and risk return coefficient, moreover macroeconomic factors (GDP and Interest rate) & risk adjusted return have negative relation on fund returns. Macro factors impact have difficult to analyzed with mutual fund return because relation of fund returns mostly depends on its micro factors and its fund manager expectation regarding market. However macro -economic factors affect the overall fund market or any specific class of funds. Sector wise analyze describes the detail effect of each variable in this research, however expense ratio have positive effect on fund return in conventional return but negative for Islamic fund returns.
A Study On The Effect Of Macroeconomic Variables On Indian Mutual Funds
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Author : Mihir Dash
language : en
Publisher:
Release Date : 2008
A Study On The Effect Of Macroeconomic Variables On Indian Mutual Funds written by Mihir Dash and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Indian financial markets have witnessed very high levels of volatility in recent months, with a sharp decline in the BSE-SENSEX from a peak of around 21,000 points to a nadir below 11,000 points, with as much as a 700-point fall on one single day. Indian economic conditions have also seemed to stagnate, with an overall slow-down in economic growth, along with the pressures of increasing crude oil prices and increasing inflation. In fact, the overall global scenario has also been quite bleak, especially with the onset of recession in the US. Mutual fund investments, which are generally considered to be less risky than other financial instruments such as shares and debentures, have also suffered in the general atmosphere of volatility. The present study investigates the effect of macroeconomic variables on mutual fund schemes, in terms of returns and volatility. The study uses the Granger causality test to analyze these effects. The results of these causality tests would identify the specific macroeconomic factors which affect the returns and volatility of particular mutual fund schemes, which, on the one hand, would enable fund managers to manage the risk profiles of their portfolios more effectively; and, on the other hand, would enable investors to understand the specific risk factors affecting their investments, so that they can take more informed investment decisions pertaining to mutual funds. The data to be used in the study were the weekly returns and volatilities of different macroeconomic variables, such as market returns (calculated from the BSE-SENSEX), USD/INR and EURO/INR exchange rates, interest rates (Mumbai Inter-Bank Offer rates), inflation rates, and crude oil prices, over the period October '06 - June '08. The weekly returns and volatilities of a sample of major mutual fund schemes over the same period would be considered for the analysis.
Performance Of Mutual Funds
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Author : G. Gregoriou
language : en
Publisher: Springer
Release Date : 2015-12-04
Performance Of Mutual Funds written by G. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-04 with Business & Economics categories.
This book responds to a growing demand for mutual funds. This timely collection of original papers focuses on changes of international investment in Europe, the US and New Zealand. Using a fresh approach, innovative techniques and various models this book assesses performance and provides an understanding of mutual funds on an international level.
Macroeconomics Made Simple Investing By Interpreting The Financial Markets
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Author : Stefano Calicchio
language : en
Publisher: Stefano Calicchio
Release Date : 2024-02-01
Macroeconomics Made Simple Investing By Interpreting The Financial Markets written by Stefano Calicchio and has been published by Stefano Calicchio this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-02-01 with Business & Economics categories.
What is macroeconomics and how does it work? What are the practical implications of macroeconomic data? How can you apply this knowledge to improve your investment results? For the first time, a practical and accessible handbook explains the mechanisms of macroeconomics as they apply to financial investments. Within this book you will learn the basics of macroeconomics and how to apply them in managing your investment portfolio. In particular, you will discover: - How to use macroeconomics to make informed investment decisions. - How to find the main sources of global macroeconomic data. - How to identify and manage investment risks. - Concrete case studies showing the practical application of the knowledge acquired in the book. - Tests and food for thought for your own investing activities. - And much more! From global sources of macroeconomic data to long-term investment strategies, risk management and financial market analysis, this book provides the know-how you need to start applying the principles of macroeconomics to investing. Don't waste any more time with useless and expensive theoretical textbooks: with this guide you will have the basic knowledge you need to understand what is happening in the financial markets in a more informed way.
Swing Pricing And Fragility In Open End Mutual Funds
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Author : Dunhong Jin
language : en
Publisher: International Monetary Fund
Release Date : 2019-11-01
Swing Pricing And Fragility In Open End Mutual Funds written by Dunhong Jin and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-11-01 with Business & Economics categories.
How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
Impacts Of Economic Events On Performance Of Mutual Funds
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Author : Sushil Gupta
language : en
Publisher:
Release Date : 2018
Impacts Of Economic Events On Performance Of Mutual Funds written by Sushil Gupta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Recent years have witnessed phenomenal growth in both the number and size of diversified equity mutual funds in India. But performance of mutual fund in India has been volatile because of several macro-economic factors. In the top-down approach to evaluate the investment in stock markets, economic risk tops the list and its importance cannot be understated. Principally performance of equity diversified mutual fund depends upon the stock market performance. The purpose of this study is to examine the impact of economic events on the risk-adjusted returns/performance of mutual funds in India using event study methodology. For the calculation of impact, Researcher has selected two mutual fund schemes (ICICI Prudential Balanced fund - Direct Plan - Growth & ICICI Prudential Dynamic-Direct Plan- Growth). This methodology addresses the problems of multiple event days and calendar clustering. The economic event considered for the research are recent global or cross border event (BREXIT- Britain Exit from the European Union) and Domestic event (GST- Goods and Services Tax). For the event study the event window of 11 days (i.e. 5 business days before and 5 business days after the event day including event day) will consider for abnormal return and estimation window of 11 days consider for normal return. The time gap for Normal and Abnormal return is 180 days. The event date of BREXIT has taken 24th June 2016 (National declaration of the European Union referendum result) and for GST has taken 03rd August 2016 (GST Amendment Bill passed in Rajya Sabha). In the proposed research Endeavour, researcher's shall made an attempt to identify that holder of equity mutual funds may earn abnormal return in response to above mentioned events and in the given period of time.
Do Macroeconomic Variables Have An Effect On The Us Stock Market
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Author : Dennis Sauert
language : en
Publisher: GRIN Verlag
Release Date : 2010-10-12
Do Macroeconomic Variables Have An Effect On The Us Stock Market written by Dennis Sauert and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10-12 with Business & Economics categories.
Seminar paper from the year 2010 in the subject Economics - Case Scenarios, grade: 1.0, Berlin School of Economics, language: English, abstract: The objective of this paper is to examine whether the unanticipated change of specific macroeconomic variables influences the US stock market represented by the S&P 500 using monthly data from 1986 to 2007. Thereby, the performance of the arbitrage pricing theory of Ross (cp. Ross, S., 1976) shall be studied. To explain the behavior of the US stock market return the paper contains the five predefined variables consumer price index (CPI), industrial production index (IPT), money stock M1 (M1), total consumer credit outstanding (TCC) and the term structure of interest rates (Term) which are approximately similar to those variables used by Ross (cp. Chen N. F. et al., 1986, pp. 383-403). Applying the OLS method, it was found that CPI, IPT and Term are negatively related to the US stock return. It was also detected that M1 affects the stock market lagging 8 months and 12 months. However, the test statistics showed that TCC has rather no impact on the US stock market return. To ensure that the ultimate results are not spurious, care will be taken in regards to autocorrelation, multicollinearity, serial correlation as well as heteroskedasticity.
Essays On Mutual Fund Performance
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Author : Gulnara R. Zaynutdinova
language : en
Publisher:
Release Date : 2015
Essays On Mutual Fund Performance written by Gulnara R. Zaynutdinova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Chapter two investigates timing abilities of alpha-opportunities by mutual fund managers. Active portfolio management is costly and may not deliver higher net returns to investors in the absence of sufficient alpha-opportunities when, e.g., stock returns are predominantly driven by systematic factors and highly correlated. Thus, mutual funds should engage in less active trading when stock valuation is expected to be less divergent. Our results show that mutual funds on average have the ability timing alpha-opportunities, with large-value and large-growth funds exhibiting the strongest timing skill. The results are robust when we control for past fund flows and returns, macroeconomic variables, and other potential timing skills. More importantly, funds with significantly positive timing skill earn 0.05% higher monthly returns, as measured by four-factor alpha, in subsequent month than those with negative timing skill. Our study contributes to the existing literature by proposing a novel measure to assess an important attribute of mutual fund active management ability.
