double beta model

Gold tradable funds on the Tehran Capital Market are a new tool that allows investors to invest in gold without physically buying it, which creates a safe investment option with returns close to gold.

This study analyzed seven gold funds from the point of view of tracking error and the double-beta model under two bullish and bearish market regimes. Fund data for the period 2015- 2023 were extracted with daily frequency and analyzed with univariate and multivariate regression models.

The results obtained from the regression analysis show that tracking efficiency is different in the two market regimes, while it is less in the bullish market regime. This situation shows that the pricing of gold ETFs is more dynamic in a bull market regime. The results also show that the alpha coefficients of ETFs in some funds in the down market are negative and not significant, which indicates the low performance of this fund under the down market conditions, while the alpha in the funds in the up market regime indicates that the proper performance of this fund in the market is bullish. The beta coefficients of gold ETFs are significantly different from the beta coefficient of the model index in the down market for only two funds, Zarafam and Mesghal, and in the up market for all funds, indicating that the yield of the funds is not affected by the model index. In addition, by examining the two regimes of the rising and falling markets, the results obtained from the regression model show that the tracking efficiency in the two market regimes is different in terms of influence on most funds, as the tracking error in gold funds is influenced by factors such as the volume of transactions. (liquidity), daily fluctuations (noise), and absolute value of price deviation (arbitrage).

Originality/Value:

 Unlike mutual funds, which are evaluated based on risk and return criteria, an investor should choose and select investments by considering how far the fund can follow its model index.