 Stock composition of mutual funds and fund style: a time series decomposition approach towards testing for consistencyInternational Journal of Business Forecasting and Marketing Intelligence, 2018, vol. 4, issue 3, 235-292 Abstract: In this paper, we present a generic approach for checking the consistency between the proclaimed style of a mutual fund and the actual fund composition. We use a method of time series decomposition of stock prices to ascertain whether their inclusion in a particular style of fund is justified. It has been our contention that some share prices have a strong trend component in their time series, some show seasonality, while some share prices exhibit strong random component. We have chosen a sample of 11 equity-based mutual funds of varying styles, from Indian financial market and analysed whether the style of the fund matches with the stock composition of the fund. We feel that the retail investors, who buy into certain funds on the basic trust that fund managers have the requisite expertise, should know whether the portfolio matches what they promise. A detailed analysis of the results show that, while in majority of cases the actual allocation of funds is consistent with the corresponding fund style, there have been some notable deviations too. Keywords: mutual fund; time series decomposition; trend; seasonal; random; R programming language; non-parametric statistical tests. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbfmi:v:4:y:2018:i:3:p:235-292 Access Statistics for this article More articles in International Journal of Business Forecasting and Marketing Intelligence from Inderscience Enterprises Ltd |
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