IFTA2020: Time-series analysis of Japanese mutual fund performance: Considerations on asset flow and return

After a series of institutional reforms to promote “a flow from savings to investments,” Japanese mutual funds have come under the spotlight as a potentially useful way to build assets in Japanʼs aging society. This paper, therefore, looks at the main trends in the Japanese open-end fund market over the past 20 years and then uses time-series analysis focusing on asset flow and return to analyze Japanese open-end funds overall and by product category. Net asset value (NAV) was broken down into net asset value per share (NAVPS) and unit number, and the relation between changing rates of NAVPS and those of unit number was examined. The results show a correlation with a time lag in some categories (e.g., unit number for the current month tends to rise when the previous monthʼs NAVPS has risen).

Koki Nozawa, MFTA, is a fund analyst with Institute of Asset Management Research at Nikko Research Center, Inc. Nikko Research Center, Inc is a leading research firm that assists investment companies, institutional investors and securities firms in their investment product, marketing, distribution, customer retention and business development efforts.

 He offers portfolio analysis, development of NBA* investment trust/stock models, research and analysis of investment trusts and hedge funds, and other tools to provide information and consulting services on asset management to a wide range of investors, including financial institutions, educational institutions and other public-interest corporations and non-listed companies. He also offers financial institutions consulting services from an Asset-Liability Management (ALM) perspective to ensure efficient investment risk management.

(*)  NBA: Nikko Bond Analysis is a system offered by SMBC Nikko Securities Inc. to primarily financial institutions and other corporate investors for managing and analyzing financial products.

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