Comparative performance and market sensitivity analysis of the funds of UCB Asset Management Limited

Abstract

The relative performance and market sensitivity of three open-ended funds managed by UCB Asset Management Limited are discussed UCB AML First Mutual Fund, Taqwa Growth Fund, and Income Plus Fund. The method of calculating monthly returns is based on daily NAV data and the analysis is explained through descriptive statistics, correlation, and regression analysis. Equity funds are compared with DSEX index and the income fund is compared with the changes in the rate of 91-day Treasury Bill. Results indicate that AML is highly market sensitive with a Beta of 0.695 whereas TGF is moderately sensitive with a Beta of 0.186. Income Plus Fund is negatively correlated with changes in the rate of T-Bills with Beta of -1.591. The findings offer empirical data to aid in investor decision making and fund communication strategies of the UCB Asset Management Limited.