Twenty-fourth International Conference on Knowledge, Culture, and Change in Organizations

Abstract

This paper examines the effects of macroeconomic variables as interest rate, inflation rate, and exchange rate on the performance of mutual funds in the Philippines from 2008 to 2019 (data for 2020-2022 were not included due to their extreme volatility). OLS and polynomial regression were initially tested for goodness of fit. The OLS regression was better suited for the analysis as it has a lower standard deviation. The r-squared, beta and standard deviation were used to test the risk exposure of the funds. Augmented Dickey Fuller test statistic (ADF) was used to test the presence of a unit root. The standard deviations showed that the changes or volatility of the funds were not significant. For the investor, a quick adjustment in the mutual fund portfolio will provide a hedge against inflation rate. The t-tests of significance of the macroeconomic variables to the mutual funds were not significant, that is, their effects on the changes of the fund values were not significant except for some with DW > 2.209 which reflects a serious concern. The F-test significance of the derived regression equations was not significant which can be inferred that these are not valid tools to predict the values of the mutual based on macroeconomic variables as inflation rate, interest rate and inflation rate.