Profitability and Riskiness of mutual funds in Mexico

Ing. José Manuel Franco Pérez

Master's thesis

Anotácia:

In this paper, we evaluate and analyze the performance of 7 open-end mutual funds in the Republic of Mexico for the period 2018-2022, with the primary objective of testing the justification for the existence of lower risk in the growth of mutual funds that invest mainly in the United States than funds that invest primarily in Mexico itself. The risk-weighted returns of the mutual funds are compared to the leading Mexican stock market index, BOLSAA.MX, and the NASDAQ Index, ^IXIC, representing the American market, while the Sharpe Ratio (Si), Treynor Ratio (Ti), and Jensen or Alpha Index (Ai) were used as performance measures. The results indicate that portfolios of Mexican mutual funds have superior performance relative to the Mexican market portfolio but could be better than the American market portfolio.

Abstract:

In this paper, we evaluate and analyze the performance of 7 open-end mutual funds in the Republic of Mexico for the period 2018-2022, with the primary objective of testing the justification for the existence of lower risk in the growth of mutual funds that invest mainly in the United States than funds that invest primarily in Mexico itself. The risk-weighted returns of the mutual funds are compared to the leading Mexican stock market index, BOLSAA.MX, and the NASDAQ Index, ^IXIC, representing the American market, while the Sharpe Ratio (Si), Treynor Ratio (Ti), and Jensen or Alpha Index (Ai) were used as performance measures. The results indicate that portfolios of Mexican mutual funds have superior performance relative to the Mexican market portfolio but could be better than the American market portfolio.

Keywords

Mutual fund, Riskiness, Profitability, Returns, Over-perform, Underperform, Daily returns, Securities, Stock exchanges, Investment strategy, Debt instruments, Volatility, Systematic risk

Jazyk práce: English

Datum vytvoření / odevzdání či podání práce: 12. 5. 2023

Obhajoba závěrečné práce

• Obhajoba proběhla 21. 6. 2023
• Vedúci: doc. Ing. Tomáš Plíhal, Ph.D.
• Oponent: Ph.D. Axel Alejandro Araneda Barahona

Masaryk University

Faculty of Economics and Administration

Master programme / odbor:
Finance / Finance