Abstract
This study is an attempt to evaluate the investment management of Indian mutual funds in terms of the timing abilities of fund managers during May 31, 2000 to March 31, 2012. The study has also adopted conditional performance evaluation measure in order to evaluate performance of Indian mutual funds. The results relating to the market timing skills of fund managers based on unconditional Treynor–Mazuy and Henriksson–Merton models have revealed that majority of the fund managers were unable to time the market correctly during the period under consideration. However, conditioning only on public information improves the coefficient of determination.
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Notes
The authors constructed a database of 404 equity schemes. However, majority of those schemes disappeared within the period of study. Only 80 schemes were left with data for entire study period.
It is found from the websites of the different mutual funds that the balanced schemes of the sample invest 60–70 % of their fund in equity and the rest in the debt security. So, they are very much exposed to equity. Besides, it is also found that such balanced schemes use CRISIL Balanced Fund Index as the benchmark index which is the benchmark for equity-oriented hybrid portfolios and is a blend of the CNX Nifty Index (65 %) and the CRISIL Composite Bond Fund Index (35 %). This is why the study has treated these schemes as equity schemes.
(i) Introduction of derivatives trading, compulsory rolling settlement and 99 % VaR-based margin system, liberalized policies for FDI and FII participation in the domestic economy, etc., and (ii) bifurcation of UTI, FRBM Act, NREGA Act, Sub-prime crisis, etc.
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Dhar, J., Mandal, K. Market timing abilities of Indian mutual fund managers: an empirical analysis. Decision 41, 299–311 (2014). https://doi.org/10.1007/s40622-014-0036-2
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DOI: https://doi.org/10.1007/s40622-014-0036-2