PERFORMANCE, TIMING AND SELECTIVITY SKILLS OF INDIAN EQUITY MUTUAL FUNDS: AN EMPIRICAL APPROACH
Keywords:
Performance of mutual funds, selectivity, timing, diversificationAbstract
The study aims at evaluating the performance of Indian equity mutual funds and further to do attribution analysis of managerial performance on the parameters of diversification, timing and selectivity for the period 2008-10. Based on the performance for 2008-10, top ten open ended growth funds have been selected for the study. We have evaluated the performance of funds using Sharpe index, Treynor index and Jensen alpha. The Treynor-Mazuy model is used to test the timing and Fama measure is used to test the selectivity skills of mutual fund managers. The research findings show that on an average mutual funds track their benchmark and an investor is benefitted by the less risky investment. The results have implications for investors as mutual funds outperform the market and attribution analysis shows that ‘managerial acumen’ is present. The results are in contradiction with previous research in developed markets.
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