International Journal of Economics & Management Sciences

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1 International Journal o Economics & Management Sciences Research Article Research Article International Journal o Economics & Management Sciences Bilob, Int J Econ Manag Sci 2017, 6:3 DOI: / Oen Access OMICS International Perormance Evaluation o Bangladeshi Mutual Fund: An Analysis o Monthly Return Based on Net Asset Value Md. Nurul Kabir Bilob* Deartment o Finance and Banking, Begum Rokeya University, Rangur, Bangladesh Abstract The oularity o mutual und investing among rivate investors has grown dramatically all over the world during last 40 years. Thereore, the research in mutual und has increased signiicantly. Desite this huge demand o mutual und investing, only a ew researches on mutual und have been conducted in Bangladesh. In this aer an attemt is made to evaluate the erormance o 15 close-ends Bangladeshi mutual unds traded in DSE (Dhaka stock exchange based on monthly net asset value. For this urose the methodologies emloyed in this study are risk adjusted erormance measures suggested by Jensen, Treynor, and Share widely known as Jensen alha, Treynor ratio, Share ratio. DSEX index has used as a roxy or benchmark index. The study ound that over the research eriod (rom 2013 to out o 15 unds got suerior return comared to benchmark index return. In addition to, diversiication, market timing and selectivity skill o und managers are tested with hel o co-eicient o determination (R2, quadratic regression o Treynor and Mazuy and Fama decomosition model resectively. The aer ound that 9 out o 15 unds are well diversiied and have reduced its unique risk. Finally this aer has revealed no statistically signiicant timing skill but moderate level o selectivity in mutual und market o Bangladesh. Keywords: Mutual unds; Bangladesh; Net asset value; Beta; Unique risk; Jensen alha; Diversiication; Selectivity JEL classiication: G10, G11, G23 Introduction Soon ater the develoment o ortolio theories and Caital Asset Pricing Model (CAPM in 1960s the analysis in mutual und erormance has increased extensively and likewise, the oularity o investing in mutual unds among rivate investors has grown considerably around the world during the last 40 years. In Bangladesh the market value o mutual und has increased rom aroximately Tk. 7.5 million in 1980 to more than Tk. 280 billion in Notwithstanding this huge increase in market only ew studies have been conducted in evaluating Bangladeshi mutual und erormance. Hence, the aim o conducting this study is to rovide the evaluation o growth oriented Bangladeshi mutual und erormance on the basis o monthly return comared to benchmark return [1-3]. Having substantial und and roessional management skill, it is easy or large investors to invest their money in a diversiied ool o securities. On the other hand small investors are oten unable to diversiy their investment with limited und. Mutual und, an investment vehicle, creates an oortunity or investors, esecially or small investors, to take advantages o investing in roessionally managed diversiied ool o securities with law costs. A mutual und is a inancial intermediary that collects money rom money investors and invests the money in stocks, bonds, short-term money-market instruments, other securities or assets, or some combination o these investments deending uon the objectives and need o the investors. Functionally mutual unds are two tyes oen-end mutual und and close-end mutual und. In case o oen-end mutual unds, subscrition and redemtion o shares at Net Asset Value (NAV er share are allowed on eretual basis whereas close-end unds with a seciic maturity eriod sell a ixed number o shares at one time (in an initial ublic oering and latter trades on secondary market. In 1980, state-owned investment agency Investment Cororation o Bangladesh (ICB turned into the ioneer in launching mutual unds in the caital market o Bangladesh. Latter a series o close-end und had been oered by ICB. The then irst ever rivate organization, AIMS comes into lay in 1999 or organizing mutual unds in Bangladesh. Mutual unds develoed at a snail's ace over the eriod o time and had only been close-ended since beginning o its oeration in the caital market. In 2010, Prime Finance Asset Management Comany introduced the irst-ever oen-end mutual und in the caital market. Ater that, various mutual unds came to the market and mainly oerated under the BSEC (Mutual Fund Rules-2001, Trust Act, 1882 and Registration Act, All the related arties involved in the caital market emloy their most o the eort to assess inormation about the erormance o active strategy o und management comare to assive strategy o und management. Manager, investor and researcher generally want to know whether the active und managers are able to generate suerior return over benchmark market return. The close-end mutual und traded in Dhaka Stock Exchange reviewed in this study all into active und management category whereas DSEX reviewed all into assive und management strategy. The main urose o this study is to evaluate the erormance o close-end mutual und comare to the benchmark index. The aer is organized as ollows. In the next section the article describes the current scenario o caital market o Bangladesh and mutual und market, section 3 concentrates on earlier studies o mutual und erormance evaluation i.e., review o related literature. section 4 describe research objective, section 5 describes sources o data, samle design, and methodology, section 6 resent erormance evaluation *Corresonding author: Md. Nurul Kabir Bilob, Deartment o Finance and Banking, Begum Rokeya University, Rangur, Bangladesh; Tel: ; nkbilob@brur.ac.bd, bi @gmail.com Received May 12, 2017; Acceted May 22, 2017; Published May 25, 2017 Citation: Bilob NK (2017 Perormance Evaluation o Bangladeshi Mutual Fund: An Analysis o Monthly Return Based on Net Asset Value. Int J Econ Manag Sci 6: 428. doi: / Coyright: 2017 Bilob NK. This is an oen-access article distributed under the terms o the Creative Commons Attribution License, which ermits unrestricted use, distribution, and reroduction in any medium, rovided the original author and source are credited.

2 Citation: Bilob NK (2017 Perormance Evaluation o Bangladeshi Mutual Fund: An Analysis o Monthly Return Based on Net Asset Value. Int J Econ Page 2 o 7 techniques, emirical results and discussion. Section 7 enumerates limitation o this study and Section 8 concluding remarks. Current Status o Mutual Fund Market in Bangladesh At resent mutual und exeriences lower osition based on the sector-wise transactions among all the sector-wise listed securities in Dhaka Stock Exchange nevertheless massive market value o mutual und has increased rom 1980 to An analysis o the sector-wise transactions o listed securities o the DSE showed that the mutual unds sector secured almost lower osition in FY with 1.21% o the total transactions. At the end o iscal total numbers o listed securities stands at 559 at Dhaka Stock Exchange Limited. O the securities, 292 are Equity Comanies, 36 mutual Funds, 8 Debentures, 221 Treasury Bonds and 2 Cororate Bonds. Total issued caital o these securities stands at Tk. 1,127,410 mn or US$ 14,380 mn total number o certiicates stands at 57,141 mn. The total number listed securities stood at 555 at Dhaka Stock Exchange Limited at the end o iscal. O the securities, 283 were equity comanies, 41 mutual Funds, 8 Debentures, 221 Treasury Bonds, 2 Cororate Bonds. Total issued caital o these securities stood at Tk. 1,091,953 mn or US$ 14,035 mn and the total number o certiicate stood 53,590 mn. At the beginning o the FY , total 41 mutual Funds were listed with unit value o Tk. 43,650 mn and market value o Tk. 28,850 mn. During the FY , 2 new mutual unds got listed through IPO with unit value o Tk. 1,543 mn and 8 mutual Funds delisted during the FY At the end o FY total numbers o listed mutual unds stood 35 with unit value o Tk. 46,062 mn and market value o Tk. 30,280 mn. At the beginning o the FY , total 41 mutual Funds were listed with unit value o Tk. 40, mn. During the FY , 1 new mutual und got listed through IPO with unit value o Tk mn and 1 mutual und delisted during the FY At the end o FY total number o listed mutual unds stood 41 with unit value o Tk. 43, mn. Mutual und reresents 1.15% o total tradable market caitalization in FY where as it was 1.07% in the FY Besides close-end mutual und current some oen-end mutual unds are managed by dierent asset management comanies (AMCs in Bangladesh such as Investment Cororation o Bangladesh (ICB, ICB Asset Management Co. Ltd. (a subsidiary o ICB, VIPB Asset Management Comany limited, VANGUARD Asset Management Limited, LR Global Bangladesh Asset Management Comany (BAMCO etc. Review o Related Literature Numerous theoretical and emirical researches have been conducted on the erormance evaluation o mutual und both in the context o develoed and develoing countries around the world. This section resents a brie review. Brown and Vickers [4] conducted a study on mutual und ortolio activity, erormance, and market imact and ound that erormance o unds, on an average, is almost similar to that o comosite markets rom which und managers select securities. The study reveals that there has no linked between variations in und ortolio turnover rates and variations in erormance, and und ortolio activity inluences market rices, esecially in the short run or individual securities. Share s [3] article is among the earliest research to evaluate the erormance o mutual unds using some o the concet rom modern ortolio theory. He has develoed a comosite measure that considers return and risk. He evaluated the erormance o 34 oen-end mutual unds during the eriod by the measures develoed by him. He concluded that the average mutual und erormance was distinctly inerior to an investment in the DJIA (Dow Jones Industrial Average. It was also revealed in his study that good erormance was associated with low exense ratio and only low relationshi was discovered between und size and erormance. A study erormed by Treynor and Mazuy [2] ound that none o the investment managers o the 57 unds ( outguess the market and that these managers should not be held resonsible or ailing to anticiate changes in market direction. Jensen [1], evaluated 115 unds erormances using alha which is an indicator o the und managers orecasting ability. He ound that und managers did not have suerior erormance to oset their research exenses and management ees. To evaluate objectives and erormance o 123 mutual und using monthly data or the eriod McDonald(1974 v has examined our measures; non-risk-adjusted measure o average return, reward-tovolatility ratio, Jensen's alha, reward-to-variability ratio and ound that signiicant erormance o und are not being recorded dierently than the market overall. Kon and Jen [5] used Shar-Lintner-Mossine (SLM and Black models o market equilibrium to examine mutual und stock selectivity erormance when management is concurrently engaged in market timing activities. He ound that on average, und managers as well as individuals are unable to select individual securities erectly to cou u with the exenses and ees o research, management and commission. E. Fama [6] introduced a model or evaluating investment erormance o managed ortolios. He recommended that the overall erormance o managed ortolios could be broken down into several comonents. He argued that the observed return o a und could be, due to the ability o und managers, to ick u the best securities at a given level o risk (their selectivity ability. Some ortion o this return could also arise due to the rediction o general market rice movements (their market timing ability. Fama suggested that return on a ortolio could be subdivided into two arts-the return or security selection and return or bearing risk. Various iner subdivisions o both selectivity and risk were also suggested. The model develoed by him, combined concets rom modern theories o ortolio selection and caital market equilibrium with those o traditional concets o what constitute good ortolio management [7]. To evaluate market timing and investment erormance o a samle o 67 mutual unds, Chang and Lewellen [8] emloy a markettiming and security selection test methodology and und no evidence o skilul market timing or suerior security selection abilities. Henriksson and Robert [9] rovided an equation and Henriksson [10] estimated this equation or 116 mutual unds ( and ound little evidence o market timing ability. Grinblatt and Titman [11,12] ound that suerior erormance may exist among mutual unds but exenses eliminate abnormal investor return thereby investors cannot take advantage o the ortolio managers' skills. Volkman [13] ound that in a high volatility eriods only ew managers o 332 unds ( are able to redict market movements although most o the unds outerorm the market via security selection. A research conducted by Jayadev [14] in India ound that mutual unds have not erormed better than their benchmark indicator and und managers are not suiciently able to use their market timing

3 Citation: Bilob NK (2017 Perormance Evaluation o Bangladeshi Mutual Fund: An Analysis o Monthly Return Based on Net Asset Value. Int J Econ Page 3 o 7 and selectivity skills. Motivated by Jayadev [14], Dave [15], Thomas [16] and Kulkarni [17] all the author try to evaluate erormance o mutual und in india and ound very little evidence that mutual unds outerorm benchmark index und. Qamruzzaman [18] investigate erormance o mutual und schemes in Bangladesh considering 32 mutual unds based on risk adjusted erormance measures suggested by Jenson, Treynor and Share and ound that many unds made abnormal returns comaring to the market returns. For evaluating erormance o mutual und in Bangladesh, widely known risk adjusted erormance ratios are also used by Das [19], Rahman et al. [20]. Objectives o the Study The main objective o this aer is to evaluate the overall erormance o mutual und in Bangladesh. This study has set the ollowing seciic objectives relating to mutual unds erormance ; I. To measure the returns earned by the samle mutual unds and comare against the benchmark market return in terms o risk. II. To ind out the mutual und schemes oering the advantages o diversiication, market timing and selectivity o securities to their investors. Data and Methodology To deict a synosis o current erormance trend o the Bangladesh mutual und industry, secondary data has been used in this study. The data source is Monthly Net Asset Value (NAV based on the current market rice ublished in the Dhaka stock Exchange (DSE news server. Monthly NAV is the last announced NAV by the resective manger o any articular month. DSEX Index is assumed as market index or the benchmark market index. Further 6-month ost oice savings instrument has been assumed as benchmark or the risk ree rate. The samle in this study consist o 15 mutual und traded in DSE having maturity over 4 years and the samle eriod is February 2013 to March 2017 (50 month. For the urose o satisying main objective as well as seciic objectives raised in objective section this aer has initially calculated monthly returns based on the NAVs o iteen unds and simle averages o such returns (AR. The net asset values (NAV have been corrected to include dividends at T+4 month, where T is the declaration month. It has been assumed that the dividend will aect NAV in the 4th month o declaration. Total risk or both ortolios and market, systematic risk and unsystematic risk (unique risk have been measured with the hel o Standard Deviation (, Beta co-eicient (β and Standard Deviation o Error term (SDEt resectively. Latter dierent methodologies suggested by Jenson, Treynor, Share, Fama, Treynor and Mauzy have been emloyed to conclude about the overall mutual unds market o Bangladesh. Perormance Analysis o Mutual Funds: Emirical Results and Discussion a The Jensen s alha Michael Jensen (1968 has introduced a ortolio erormance measure called Jensen alha also known as Jensen ratio. Jensen alha reresent the dierence between the actual return o the ortolio and required return o the ortolio or exected return o the ortolio at a given level o systematic risk as measured by its beta. In case o Jensen's alha underlying assumtions o Caital Asset Pricing Model (CAPM holds true without being tested [21]. Jensen s alha is comuted by the ollowing equation: a =AR -EAR Where, a is the Jensen Alha AR is the average ortolio return EAR =Equilibrium Average Return=AR +β (Ar m Positive alha indicates suerior return o a ortolio hence better ortolio erormance and negative alha indicates worse erormance o the ortolio against the bench mark, i.e., the market index. The result shows (Table 1; Column 2 that based on dividend adjusted return twelve unds out o iteen could generate ositive Jensen alha. Although three unds show negative alha, on overall basis und industry alha is ositive alha o O the iteen mutual unds under consideration it has been ound that PRIME1MF with alha o got the highest Jensen alha. Precisely, inding overall ositive alha rom this study indicates that unds are able to generate higher return than equilibrium return using CAPM. b The Treynor ratio Treynor (1965 was the irst researcher develoing a comosite measure o ortolio erormance which is called Treynor ratio. It is the ratio o the risk remium to the volatility o the return measured by ortolio systematic risk (beta. This is why this ratio is commonly known as reward-to-volatility ratio. Treynor ratio rovides a measure o excess return er unit o systematic risk (beta. The underlying assumtion o the Treynor index is that a multi-asset ortolio diversiies unsystematic risk away and the relevant risk that remains is systematic risk (beta. Treynor ratio is calculated as: AR T = β Where T is the Treynor ratio Treynor ratio o market is: ARm T = = AR β 1 [ ] m m m βm Here, excess returns o market over risk ree return (AR m AR are the benchmark. Greater value o the ortolio over the market indicates a suerior erormance o the und. The result shows (Table 1; Columns 3 and 4 that all the unds excet GREENDELMF, MBL1STMF and DBH1STMF have exerienced higher than market return in case o Treynor ratio also called reward to volatility ratio i.e., return er unit o systematic risk (β. ABB1STMF got the highest excess return over risk-ree return ( or taking er unit o systematic risk (β ollowed by 1JANATAMF (0.8813, POPULAR1MF (0.8395, PHPMF1 (0.6889, IFIC1STMF ( The aoresaid two measures o ortolio erormance are based on the standard CAPM security market line. Both measures only consider systematic risk (beta as a relevant risk and ignore unique risk. Hence,

4 Citation: Bilob NK (2017 Perormance Evaluation o Bangladeshi Mutual Fund: An Analysis o Monthly Return Based on Net Asset Value. Int J Econ Page 4 o 7 The Jensen s alha (α The Treynor ratio (T Benchmark market return Trynor ratio (T m The Share ratio: (S Benchmark market return Share ratio (S m 1STPRIMFMF GREENDELMF ABB1STMF TRUSTB1MF PRIME1ICBA POPULAR1MF PHPMF MBL1STMF IFIC1STMF ICBEPMF1S ICBAMCL2ND ICB3RDNRB ICB2NDNRB DBH1STMF JANATAMF Overall osition /Industry Table 1: Risk adjusted erormance measure. it is necessary to evaluate the erormance o the und in terms o its total risk. The ollowing measure is used or the urose. c The Share ratio The Share ratio is a risk-adjusted measure o erormance develoed by William Shar, which is oten used to evaluate the erormance o a ortolio and its manager. The Shar ratio uses standard deviation to measure total risk o a ortolio rather than to consider only the systematic risk summarized by beta actor. This ratio basically indicates risk remium return earned er unit o total risk. Share introduced the ollowing reward to variability ratio (known as shar ratio as ollows: AR S = The bench mark is extra return o market in excess o risk ree return associated with market ortolio s total risk: AR m Sm = m A und which erormed better according to irst two measures namely Jensen and Treynor measures and not according to the third measures indicates the direction in which und manager has to change the ortolio structure. The result shows (Table 1; Column 5 and 6 that 12 unds out o iteen unds have generated higher Shar ratio also called reward to variability ratio i.e., return er unit o total risk (ϭ than that o benchmark market index. 1TJANATAMF ( got the highest excess return over risk-ree return or taking er unit o total risk. The general conclusion in Table 1 is that most o the unds have been able to over-erorm their assive benchmark. In addition Table 1 concludes that over the research eriod, overall osition o mutual und in Bangladesh is better than benchmark index. d Diversiication It can be ossible to remove unsystematic risk (unique risk through well diversiication o ortolio. The statistical tool, coeicient o determination (R 2 can be used to measure diversiication. Coeicient o determination (R 2 can be obtained by regressing the ortolio s additional return (r -r against the market additional returns (r m -r. A high value indicates greater diversiication o und and vice-versa [22]. The result shows (Table 2 that over the research eriod, mutual unds selected or this study have R 2 within 0.46 to Nine unds have ound with strong R 2 (ranging rom 0.74 to 0.85 means that return generated by those unds are mostly deends on systematic risk (β. Though other six unds have ound lower R 2 means that mangers are taking some level o diversiiable risk (unsystematic risk. From Table 2 it can be identiied that ABB1STMF with low R 2 (0.46 has exerienced high unique risk ( relative to its total risk ( Both 1STPRIMFMF and ICBAMCL2ND value have exerienced high R 2 (0.85 indicating that those unds are well diversiied and have reduced its unique risk (E. e Market timing A und manager who would like to reer market timing, structures the ortolio to have a relatively high beta during a market rise and relatively low beta during market decline. Because o this investors will beneit out o both the market rise and market all situations. Treynor and Mazuy were the irst to roose estimating such a line by adding a squared term to the usual linear index model: r t -r t =a+b (r mt -r t +c(r mt -r t 2 +ε t Where, r t is the ortolio return, and a, b and c are estimated by regression analysis. I c turns out to be ositive, we have evidence o timing ability, because this last term will make the characteristic line steeer as (r mt -r t is larger [23]. The result shows (Table 3 that excet 1STPRIMFMF ( all the unds have ositive c value meaning that these unds consist high beta securities at the time o high market return and low beta securities at the time o low market return. None o the ositive c-coeicient has been ound statistically signiicant at any level o signiicance. Moreover using Treynor and Mauzy Quadratic equation Table 3 shows a (alha which reresent selectivity o und. Out iteen 11 unds have ositive selectivity but none o the und is statistically signiicant at any level o signiicance.

5 Citation: Bilob NK (2017 Perormance Evaluation o Bangladeshi Mutual Fund: An Analysis o Monthly Return Based on Net Asset Value. Int J Econ Page 5 o 7 Total risk ( Systematic risk (β Unsystematic risk (E Diversiication (R 2 1STPRIMFMF GREENDELMF ABB1STMF TRUSTB1MF PRIME1ICBA POPULAR1MF PHPMF MBL1STMF IFIC1STMF ICBEPMF1S ICBAMCL2ND ICB3RDNRB ICB2NDNRB DBH1STMF JANATAMF Table 2: Risk and diversiication. a i P-value o a i b i c i P-value o c i 1STPRIMFMF GREENDELMF ABB1STMF TRUSTB1MF PRIME1ICBA POPULAR1MF PHPMF MBL1STMF IFIC1STMF ICBEPMF1S ICBAMCL2ND ICB3RDNRB ICB2NDNRB DBH1STMF JANATAMF Table 3: Treynor and Mauzy quadratic equation. (t=50 The general conclusion in Table 3 is that und managers o all the 15 unds have been unable to achieve both statistically signiicant market timing and selectivity. Selectivity Selectivity means the ability o a und manager to generate return by selecting undervalued securities (riced lower than their intrinsic value at a oint o time. It can be known with the hel o Fama s (1972 decomosition measure: ( AR AR ( AR m m A ositive high value indicates that the und has achieved suerior returns and investors are beneited out o the selectivity exercised by the Fund Manager. Table 4 resent breaks u o Portolio returns with the hel o Fama s decomosition measure. The result shows (Table 4; Column 5 out o 15 unds 12 unds have ositive values indicating that unds have earned suerior monthly return because o the security selection ability on the art o the und managers. For GREENDELMF ( MBL1STMF ( DBH1STMF ( , the net selectivity is negative. It means that und managers have taken diversiiable risk that has not been comensated by the extra returns. Table 5 shows that based on dividend adjusted return all the unds excet GREENDELMF (0.7753, MBL1STMF, ( DBH1STMF ( earned higher than benchmark market index. On the other hand some mutual unds have higher total risk and some mutual unds have lower total risk than benchmark. In addition some unds return are more sensitive (beta than market and some unds return are less sensitive. But it doesn t mean anything until the risk adjusted return is analysed. Table 5 also shows that over research eriod rom February 2013 to March 2017 on an average mutual und earned return o % monthly with standard deviation o monthly based on monthly NAV. Whereas average monthly return o DSEX index in this eriod was with the standard deviation o which indicates mutual unds erormance was better than DSEX index. Limitations o the Study This study has some limitations. These are given below: a The study only ocuses on 15 closed-end mutual unds out o 36 traded in Dhaka stock Exchange (DSE because o unavailability o data. b The eriod o study is restricted to 50 month starting rom

6 Citation: Bilob NK (2017 Perormance Evaluation o Bangladeshi Mutual Fund: An Analysis o Monthly Return Based on Net Asset Value. Int J Econ Page 6 o 7 1. Risk ree 2. Imact o 3. Imact o imerect 4. Return or 5. Net suerior 6. % o net 7. Portolio return return (R systematic risk taking risk return due to selectivity o total (1+4+5 β *(AR m diversiication ( β * (2+3 selectivity return [(AR -( / m * m AR (AR m m ] 1STPRIMFMF GREENDELMF ABB1STMF TRUSTB1MF PRIME1ICBA POPULAR1MF PHPMF MBL1STMF IFIC1STMF ICBEPMF1S ICBAMCL2ND ICB3RDNRB ICB2NDNRB DBH1STMF JANATAMF Average monthly return on mutual und (AR Table 4: Break u o ortolio returns. Average monthly return on Benchmark (AR m Average monthly risk ree return (AR Portolio risk ( Risk o the benchmark ortolio ( m Volatility (β (Digit 1STPRIMFMF GREENDELMF ABB1STMF TRUSTB1MF PRIME1ICBA POPULAR1MF PHPMF MBL1STMF IFIC1STMF ICBEPMF1S ICBAMCL2ND ICB3RDNRB ICB2NDNRB DBH1STMF JANATAMF Descritive summary statistics o mutual unds and DSEX index Perormance o Mutual Fund (Monthly NAV Perormance o DSEX Average return Average return Standard deviation Standard deviation Maxima Maxima Minima Minima Median Median Table 5: Return and risk on ortolios (igure in %. February, 2013 to evaluate the erormance o selected mutual und but not rom their commencement. c This aer only consider monthly net asset value (NAV to evaluate the erormance o selected mutual und but most closed-end mutual unds are currently traded in Dhaka Stock Exchange at 20-40% discount to net asset value (NAV even less than their ace value due to 2010 share swindle. d The study is limit only to Bangladeshi mutual und industry. Concluding Remarks To mobilize savings and accelerate economic growth o a country, mutual und oers numerous advantages o diversiication, variety, lexibility, as well as tax beneit to the investors. In a develoed country, mutual und industry is growing day by day, but develoing countries, like Bangladesh, the conditions o mutual und industry are ar behind. This aer rovides an overview o the Bangladeshi mutual und industry and examines the erormance o mutual unds by using risk adjusted erormance models. It has been ound that most o the Closed-end mutual unds can beat benchmark market index (DSEX in terms o risk and return. Moreover diversiication, selection and timing ability have been analyzed by alying various dierent models as the co-eicient o determination (R 2, quadratic Treynor, Mazuy model and Fama decomosition model. Concerning diversiication, selection

7 Citation: Bilob NK (2017 Perormance Evaluation o Bangladeshi Mutual Fund: An Analysis o Monthly Return Based on Net Asset Value. Int J Econ Page 7 o 7 and timing ability it has been revealed that there is a good amount o diversiication, moderate level o selectivity but no signiicant relationshi between timing skill and return o unds. Bangladesh is now acing some severe roblems regarding the develoment o mutual und industry which in turns make the job more diicult or Fund managers. Though most o the selected unds over research eriod are over-erorm benchmark market index but market index itsel is underestimated. In Bangladesh most investors have general lack o trust or roessionally skilled mutual und manager because o irregular redemtion o closed-end und. Recently High interest rate o government savings roduct, Lack o demand, Lack o disclosures by the mutual und managers, Lack o insection, High transaction cost, High inlation, Inexerienced investor are creating very tough time or the industry. Timing skill was not also evident or mutual und market or Bangladesh. To achieve this beta o the unds are required to adjust according to the market movement. Close-end mutual unds should be redeemed by und managers on the date o its maturity mentioned on the rosectus and trust document which may hel mangers to gain investors trust [24,25]. They should disclose all the relevant inormation o their diversiied ool o securities to ublic. BSEC (Bangladesh Security and Exchange commission should be insecting and monitoring the und s ortolio, oeration and investment decision rocess on regular basis [26-29]. Finally Bangladesh should develo its oor erormance in mutual und market by develoing its macroeconomic environment, institutional environment, equity market develoment, cororate governance, voice and accountability, olitical stability, inancial stability and regulatory quality. Reerences 1. Jensen MC (1968 The Perormance o Mutual Funds in the Period Journal o Finance 23: Treynor JL, Mazuy KK (1966 Can Mutual Funds Outguess the Market? Harvard Business Review 44: Share WF (1966 Mutual Fund Perormance. Journal o Business 39: Brown F, Vickers D (1963 Mutual Fund Portolio Activity, Perormance, and Market Imact. The Journal o Finance 18: Dave SA (1998 The Challenges o the Mutual Fund. Industry In: The Future o Fund Management in India Tushar Waghmare (ed., Tata McGraw Hills, New Delhi, : Thomas S (1998 Perormance evaluation o Indian Funds. In: The Future o Fund Management in India, Tushar Waghmare (ed., Tata McGraw Hills, New Delhi, : Kulkarni V (1998 Fund Evaluation at CRISIL. 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