Historical simulation of risk and return in Mutual funds through Value at risk Analysis

Abstract

The study focuses on the financial distress of different mutual funds on their return and risk level by the help of historical simulation method that trade in volatile market environment. Value at risk explains that how a financial institution can estimate their risk level to mitigate their financial loss. With mutual fund application in mind, this paper proposes the Historical Simulation method and Value at risk analysis, with emerging funds performing better than old ones.  In addition, statistical tests show that the larger potential loss the mutual fund currently is undertaking, the lower return of mutual fund will be.