 Efficiency of mutual funds and performance measurement in India: an empirical investigationNaliniprava Tripathy International Journal of Business Excellence, 2017, vol. 13, issue 2, 217-237 Abstract: The present study investigates the performance of mutual fund schemes, selectivity and market timing skill of fund managers by using Sharpe model, Treynor's model, Jensen alpha, information ratio, M-square model, Sortino ratio, Treynor-Mazuy and Henriksson-Merton models. The study uses daily observation of NAV and NIFTY index over the period of August 2008 to August 2014. The results of the study suggests that most of the mutual fund schemes indicate good performance and professional management selectivity skills in fund analysis as per Treynor ratio, Sharpe ratio, M square model, Sortino ratio and Jensen's alpha. The study also finds the evidence of reversal performance and persistence of mutual funds as per information ratio indicating presence of market efficiency in the long run. The study reveals that 43% mutual fund managers are able to time the market correctly during the period of study under both the models. The study concludes that an investor is required to take wise investment decisions by analysing the return and risk parameters of the mutual funds' to achieve their investment objectives. Keywords: mutual funds; MFs; performance evaluation; market timing; India. (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:ijbexc:v:13:y:2017:i:2:p:217-237 Access Statistics for this article More articles in International Journal of Business Excellence from Inderscience Enterprises Ltd |
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