Comparative Performance of Bangladeshi Mutual Funds During Covid-19 and Non-Covid-19 Periods: An Empirical Analysis of Risk and Risk-Adjusted Returns

Performance of Mutual Funds

Abstract

This investigation intends to compare the performance of Bangladeshi mutual funds between Covid-19 and non-Covid-19 periods. This study utilizes monthly data of twenty-seven mutual funds from January 2016 to December 2023 and performs both univariate (paired samples t-test) and multivariate panel data analysis methods. The 12-months rolling-window technique is utilized to measure the risk parameters (beta and standard deviation) and risk-adjusted return parameters (Treynor and Sharpe ratios) which are used as the proxy of the performance measures. The Hausman test and Breusch-Pagan Lagrange Multiplier test confirm that the random effect model is appropriate for the study. The result of the paired samples t-test indicates that the Covid-19 period exhibits statistically significantly higher risk and risk-adjusted returns than that of the non-Covid-19 period except for the Treynor ratio. Consequently, the results of the multivariate analysis show that the Covid-19 epidemic appears to have a statistically significant impact on risk and risk-adjusted performance metrics of mutual funds, with the exception of the Treynor ratio where effects of macroeconomic variables are controlled. These findings indicate that during the Covid-19 epidemic, mutual fund performance improved remarkably. This research helps mutual fund managers and investors understand performance shifts during Covid-19 and offers policymakers insights into how macroeconomic factors influenced mutual fund performance during economic disruptions. In addition, this empirical evidence extends the existing literature by highlighting the resilience of Bangladeshi mutual funds during the global turmoil.

Covid-19, Mutual Funds, Performance, Risk-Adjusted Return, T-test, Risk, Bangladesh, Panel Data.