Risk in the shadows: Macroeconomic shifts and their effects on Bangladeshi mutual funds
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Author(s)Shaikh Masrick HasanLink to ORCID Index: https://orcid.org/0000-0002-5321-119X
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Tawfiq Taleb TawfiqLink to ORCID Index: https://orcid.org/0000-0003-0666-875X
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Md. Mahedi HasanLink to ORCID Index: https://orcid.org/0000-0003-3163-2601
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K. M. Anwarul IslamLink to ORCID Index: https://orcid.org/0000-0002-5305-6724
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DOIhttp://dx.doi.org/10.21511/imfi.21(4).2024.30
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Article InfoVolume 21 2024, Issue #4, pp. 371-384
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21 Downloads
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Creative Commons Attribution 4.0 International License
This study examines the downside risk, measured by semi-standard deviation and lower partial moment, and downside risk-adjusted return, measured by the Sortino ratio and Information ratio of Bangladeshi mutual funds. The study aims to explore the effect of macroeconomic variables such as deposit rate, broad money supply, GDP growth rate, remittance, exports and imports payments on downside risk and risk-adjusted returns. Month-wise downside risk and risk-adjusted return measures of 27 mutual funds are computed using the 12-month rolling window method, covering the period from January 2016 to December 2023. Here, the random effects model is utilized, and the results show that semi-standard deviation has a significant and positive relationship with deposit rate, broad money, and GDP growth rate and a negative relationship with export and remittance. Another downside risk measure, lower partial moment, is significantly and positively related to export and remittance but negatively related to deposit rate, broad money, and GDP growth. On the other hand, the risk-adjusted return Sortino ratio has a significant and positive relationship with the deposit rate, remittance, and GDP growth rate but also has a negative relationship with exports. Furthermore, the information ratio has a significant and positive relation with deposit rate, import and remittance, and a negative relation with GDP growth rate. Overall findings suggest that when broad macroeconomic factors performed well, mutual funds face reduced downside risk and increased risk-adjusted return, and vice versa. Practitioners and institutional investors can use this evidence in their decision-making in an asymmetric market situation.
- Keywords
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JEL Classification (Paper profile tab)G10, G11, G12, G24
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References51
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Tables5
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Figures0
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- Table 1. Description of variables
- Table 2. Descriptive statistics
- Table 3. Correlation matrix
- Table 4. Regression results of the impact of macroeconomic factors on downside risk and risk-adjusted return of mutual funds (Random effect model)
- Table 5. Regression results of the impact of macroeconomic factors on mutual funds’ downside risk and risk-adjusted return (Robust Random Effect Model)
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The performance evaluation of the state-owned enterprise’s stocks in Indonesia
Dolly Parlagutan Pulungan ,
Sugeng Wahyudi ,
Suharnomo Suharnomo ,
Harjum Muharam
doi: http://dx.doi.org/10.21511/imfi.16(2).2019.12
Investment Management and Financial Innovations Volume 16, 2019 Issue #2 pp. 140-149 Views: 1117 Downloads: 164 TO CITE АНОТАЦІЯState-owned enterprises (SOEs) play a strategic role in the Indonesian economy. In Indonesia, SOEs have contributed around 16.41% for the Indonesian state budget. Many Indonesian state-owned enterprises (SOEs) have listed their stocks on the Indonesia Stock Exchange. However, the study on the performance of SOEs’ stocks is still relatively limited and tends to use indicators such as Sharpe Index, Treynor Ratio or Jensen Index. In addition to using indicators such as Sharpe Index, Treynor Ratio or Jensen Index, this study examines the performance of SOEs’ stocks using Adjusted Sharpe Index, Adjusted Jensen Index and Sortino Ratio that can measure the downside risk of those stocks. The objective of this study is to analyze the performance of the SOEs’ stocks in Indonesia. The sample in this research were 19 SOEs’ stocks listed on Indonesia Stock Exchange during the period from January 2013 until April 2019. The result of this research indicated that INAF (PT Indo Farma) stocks had the best performance when measured by using all measurement methods. The performing stocks came from the construction sector and the pharmaceutical sector. Therefore, investors are suggested to give more attention to SOEs from the pharmaceutical sector and the construction sector.
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A taxonomic evaluation of Indian mutual funds’ performance and its determinants – Post-pandemic
K. Riyazahmed ,
B. Anitha Kumari ,
B. Diwakar Naidu
doi: http://dx.doi.org/10.21511/imfi.19(2).2022.15
Investment Management and Financial Innovations Volume 19, 2022 Issue #2 pp. 180-190 Views: 656 Downloads: 273 TO CITE АНОТАЦІЯThe COVID-19 pandemic has caused significant disruption in financial markets worldwide and impacted the performance of investment avenues like mutual funds. It has been a challenging scenario for all mutual funds to sustain the pre-pandemic performance. To understand the mutual fund investment scenario further, this study focused on examining the post-pandemic performance in the year 2021 of various categories of mutual funds, the significance of scheme characteristics in determining the performance, risk-adjusted performance, and outperformance of various categories of funds. Out of 4,305 mutual fund schemes, tax planning funds (58%), sectoral funds (57%), and equity diversified funds (55%) achieved better returns. Further, using the ordinary least squares (OLS) regression, the study estimated the effect of fund characteristics like scheme category, scheme type, scheme access type along with the fund’s tracking error and corpus size on funds’ return. The results show that tax planning, sectoral, and equity diversified funds significantly outperform. Tracking error significantly reduces the fund return by 4.52%. Scheme type, scheme access type, and corpus size were not significant. Equity, index, pension, and balanced category funds exhibit risk-adjusted performance, and only bond funds were able to outperform the respective benchmarks. The study adds to the existing literature by investigating the post-pandemic performance determinants of mutual funds.
