Defining and Designing a Model to Predict the Performance of Mutual Funds by Using Macroeconomic Variables in Tehran Stock Exchange

Abstract

Given the importance of the mutual funds in capital market and the role ofthese funds in the capital market development, the expected return of funds is very important. In thisstudy, the macroeconomic variables were investigated to predict the performanceof mutual funds in Tehran Stock Exchange.  In this study theperformance of 67 mutual funds in Tehran Stock Exchange for the December 2008to 29 March 2013were reviewed. Macroeconomicvariables consisted of oil prices,inflation, liquidity, exchange rate, theprice of gold and the housing price indices.Data analysis was done by multiple linear regression models and artificial neuralnetwork (ANN). Results indicated asignificant relationship among the rate of inflation, liquidity, exchangerate and housing price indices and return of funds. A model was offered to predictthe performance of mutual funds.