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.

本数据集涵盖2003年至2024年共计22年间，550只摩洛哥共同基金（法语全称：Organismes de Placement Collectif en Valeurs Mobilières，简称OPCVMs）的6966条基金-年度观测值，构成非平衡面板数据集。该类基金共划分为5大类：长期债券型基金（4393条观测值，占比63.1%）、股票型基金（991条，14.2%）、混合型基金（825条，11.8%）、货币市场型基金（684条，9.8%）以及短期债券型基金（73条，1.1%）。

每条基金-年度观测项包含两类核心信息：其一为基金标识信息，包括RIC代码与基金名称；其二为年度业绩指标，具体涵盖夏普比率（Sharpe ratio）、特雷诺比率（Treynor ratio）、索提诺比率（Sortino ratio，含无风险阈值与零阈值两种计算口径）、欧米茄比率（Omega ratio）、詹森阿尔法（Jensen's alpha）、卡哈特四因子阿尔法（Carhart four-factor alpha）以及法玛-弗伦奇五因子阿尔法（Fama–French five-factor alpha），同时附带上述指标对应的标准误、t统计量与滚动窗口R²值。此外还包含基金特征变量：总净资产（TNA，单位：百万摩洛哥迪拉姆MAD；中位数为265.8，最大值为20571.2）、基金存续年限（范围为2~46年），以及基于36个月滚动窗口估算得到的市场贝塔与年度收益波动率。

由于詹森阿尔法、卡哈特四因子阿尔法与法玛-弗伦奇五因子阿尔法需要有效的贝塔估算值，且货币市场基金无法计算该类指标，因此仅在5103~5122条观测值中可获取该三类阿尔法数据。

数据集同时包含9个年度层面的国家宏观经济变量，覆盖全部观测值：GDP增长率（区间为-7.2%~8.2%）、消费者物价通胀率（0.3%~6.7%）、广义货币供应量增长率（3.1%~18.1%）、汇率年度变动百分比（-13.1%~16.2%）、股票交易总额占GDP比重（2.3%~26.7%）、外商直接投资净流入占GDP比重（0.7%~4.0%）、贸易开放度占GDP比重（52.3%~100.9%）、政治稳定性指标（世界治理指标（World Governance Indicator），区间为-0.70~-0.38）以及中央银行政策利率（1.5%~3.5%）。

所有宏观经济变量均取自世界银行世界发展指标（World Bank World Development Indicators）与摩洛哥中央银行（Bank Al-Maghrib）；由于本次分析仅涉及摩洛哥单一国家，各年度的宏观经济变量为年度固定值。