A Macroeconomic Analysis of Factors Influencing the Performance of Mutual Funds in Morocco

The dataset comprises 6,966 fund-year observations for 550 Moroccan mutual funds (Organismes de Placement Collectif en Valeurs Mobilières, OPCVMs) spanning 22 years from 2003 to 2024, forming an unbalanced panel. Funds are classified into five types: Long-Term Bond (4,393 observations, 63.1%), Equity (991, 14.2%), Diversified (825, 11.8%), Money Market (684, 9.8%), and Short-Term Bond (73, 1.1%). For each fund-year, the dataset contains fund identifiers (RIC code and fund name), annual performance metrics — including the Sharpe ratio, Treynor ratio, Sortino ratio (with both risk-free and zero thresholds), Omega ratio, Jensen's alpha, Carhart four-factor alpha, and Fama–French five-factor alpha, together with their associated standard errors, t-statistics, and rolling-window R-squared values — as well as fund characteristics including total net assets (TNA, in millions of MAD; median 265.8, maximum 20,571.2), fund age in years (range 2–46), and market beta and annual return volatility estimated from 36-month rolling windows. Jensen's, Carhart, and FF5 alphas are available for 5,103–5,122 observations, as these require valid beta estimates and are undefined for money market funds. Nine macroeconomic variables are included at the annual country level with complete coverage across all observations: GDP growth (range −7.2% to 8.2%), consumer price inflation (0.3%–6.7%), broad money growth (3.1%–18.1%), exchange rate annual percentage change (−13.1% to 16.2%), stocks traded as a percentage of GDP (2.3%–26.7%), FDI net inflows as a percentage of GDP (0.7%–4.0%), trade openness as a percentage of GDP (52.3%–100.9%), Political Stability (World Governance Indicator, range −0.70 to −0.38), and the central bank policy rate (1.5%–3.5%). All macroeconomic variables are sourced from the World Bank World Development Indicators and Bank Al-Maghrib, and are constant within each year as Morocco constitutes the single country of analysis.