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

The excel includes panel data analysis to explore these relationships over the period from 2010 to 2023, using annual data, resulting in a total of 3,052 observations. To provide a comprehensive analysis, the study categorizes mutual funds into four types: long-term bonds (1,358 observations), equity funds (868 observations), money market funds (462 observations), and short-term bonds (364 observations) collectively representing the mutual fund sector in Morocco. This categorization enables a detailed assessment of how macroeconomic factors influence each type of mutual fund differently. Data for mutual fund performance is sourced from DataStream. The performance measures, including the Sharpe Ratio, Treynor Ratio, and Jensen’s Alpha, are calculated based on extracted Net Asset Values (NAV), weekly returns, market benchmarks, and computed beta values. The macroeconomic variables such as inflation, exchange rate, GDP growth, money supply, imports, foreign direct investment (FDI), and political stability are obtained from the International Monetary Fund (IMF) and the World Bank’s World Development Indicators (WDI) database. · The Sharpe Ratio quantifies excess return per unit of total risk calculated as where 𝑅𝑝 is the portfolio return, 𝑅𝑓 is the risk-free rate, and 𝜎𝑝 is the standard deviation of portfolio returns. · The Treynor Ratio measures excess return per unit of systematic risk, given by with 𝛽𝑝 representing the portfolio’s beta relative to the market. · Jensen’s Alpha captures excess return over the expected return under the Capital Asset Pricing Model (CAPM), computed as where 𝑅𝑚 is the market return.