The effect of the macro-finance environment on mutual funds during the global financial crisis. How have mutual funds recovered over the years and how has COVID-19 affected them?

Abstract

Last decades, mutual funds have attracted the attention of investors worldwide. These investment products are especially attractive for private investors who aim to increase their income. Recent years, literature has focused on the impact of a variety of factors, including macroeconomic variables, on mutual funds’ performance. However, mutual funds’ returns have not been extensively investigated and this thesis aims to shed light on this topic. More specifically, the impact of several macroeconomic variables on different mutual funds depending on their rating performance has been investigated. Moreover, there is no existing study focusing on the U.S. mutual funds’ returns, which motivated us to fill this gap in the literature and provide some findings, since U.S. capital markets are of major importance for investors worldwide and a variety of different stakeholders would be interested in identifying the macroeconomic determinants of U.S. mutual funds’ returns. From a technical point of view, the models that have been applied are based on the Arbitrage Pricing Theory model. The findings of the study show that in most cases the U.S. dollar index and FED interest rates are included in the final models for mutual funds’ returns, based on whether their coefficients are statistically significant. Finally, the relationships between the mutual funds’ returns and macroeconomic variables is indicated that change during crises like the GFC and COVID-19 pandemic