A Study of Investment Style Timing of Mutual Funds in India

S. Pavithra and Parthajit Kayal ()
Additional contact information
S. Pavithra: Madras School of Economics (MSE), Behind Government Data Centre
Parthajit Kayal: Madras School of Economics (MSE), Behind Government Data Centre

Asia-Pacific Financial Markets, 2023, vol. 30, issue 1, No 4, 49-72

Abstract: Abstract We investigate the market return timing ability of fund managers of actively managed Indian mutual funds of various categories (small-cap, mid-cap, large-cap, and multi-cap funds) for the period of 2014 to 2019. To assess the exposure of different investment factors like market, value, momentum, and size, we use the 4-factor model. Further, we use the Treynor Mazuy and Henriksson Merton models, to study the timing ability of the magnitude and direction of the style, respectively. We observe that value investing has the least style timing, followed by momentum. The extent of size timing is highest, but the direction timing is least in small-cap. Mid-cap funds place second in size factor timing. The market timing factor shows best results for multi and large-cap funds while showing moderately better results for the other two compared to the value factor. Our findings add another dimension to mutual fund performance evaluation and provide a better understanding of the investment style suitable for different funds. These findings could help fund managers in returns maximisation returns by using the right style.

Keywords: Prediction; Asset management; Fund house; Ability; Value; Growth (search for similar items in EconPapers)
JEL-codes: G11 G12 G23 G41 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s10690-022-09368-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:apfinm:v:30:y:2023:i:1:d:10.1007_s10690-022-09368-6

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10690/PS2

DOI: 10.1007/s10690-022-09368-6

Access Statistics for this article

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().