Performance Evaluation of Bangladeshi Mutual Fund: An Analysis of Monthly Return Based on Net Asset Value

Abstract

The popularity of mutual fund investing among private investors has grown dramatically all over the world during last 40 years. Therefore, the research in mutual fund has increased significantly. Despite this huge demand of mutual fund investing, only a few researches on mutual fund have been conducted in Bangladesh. In this paper an attempt is made to evaluate the performance of 15 close-ends Bangladeshi mutual funds traded in DSE (Dhaka stock exchange) based on monthly net asset value. For this purpose the methodologies employed in this study are risk adjusted performance measures suggested by Jensen, Treynor, and Sharpe widely known as Jensen alpha, Treynor ratio, Sharpe ratio. DSEX index has used as a proxy for benchmark index. The study found that over the research period (from 2013 to 2017) 12 out of 15 funds got superior return compared to benchmark index return. In addition to, diversification, market timing and selectivity skill of fund managers are tested with help of co-efficient of determination (R2), quadratic regression of Treynor and Mazuy and Fama decomposition model respectively. The paper found that 9 out of 15 funds are well diversified and have reduced its unique risk. Finally this paper has revealed no statistically significant timing skill but moderate level of selectivity in mutual fund market of Bangladesh. Keywords: