Analysis of mutual funds’ performance in selected country during the financial crisis period

Ing. Arta Hashimi

Master's thesis

Abstract:

The United States sub-prime financial crisis of 2007-2008 affected the performance of all financial instruments, including the Mutual Funds Industry. Nonetheless, the relative magnitude of the effect with respect to specific types of instruments in comparison to that of the overall market remains an important point of academic contention. This study examines the performance of the U.S. Mutual Fund Industry relative to the overall market performance between January 2003 and December 2012 with the aim of empirically identifying the idiosyncratic behavior of Mutual Funds during the crisis. To capture the impact of the crisis the examination period is divided in three parts: before, during, and after the crisis. With 1585 U.S. mutual funds and the value-weighted S&P 500 Index benchmark, performance was examined through raw return comparison, simple and multiple regression-based models, as well as popular mutual fund performance ratios. Overall, this study finds that the performance of the Mutual Funds Industry was more sensitive than the S&P 500 Index to changes in the economy, thus leading to an underperformance of the Mutual Funds Industry in all three periods under examination.

Keywords

Mutual Fund Industry, Performance evaluation, United States, Financial crisis 2007-2008

Language used: English

Date on which the thesis was submitted / produced: 16. 5. 2014

Thesis defence

• Date of defence: 16. 6. 2014
• Supervisor: Ing. Dagmar Linnertová, Ph.D.
• Reader: Ing. Galina Deeva

Masaryk University

Faculty of Economics and Administration

Master programme / field:
Economic Policy and Administration / Financial Management (Eng.)