References (28)


Citations (1)



Analysis of Components of Investment Performance - An Empirical Study of Mutual Funds in India

Ananda S

Goa Institute of Management

V. Murugaiah

Kuvempu University

December 18, 2006

10th Indian Institute of Capital Markets Conference

In this paper, an attempt has been made to examine the components and sources of investment performance in order to attribute it to specific activities of Indian fund managers. It also attempts to identify a part of observed return which is due to the ability to pick up the best securities at given level of risk. For this purpose, Fama's methodology is adopted here. The study covers the period between April 1999 and March 2003 and evaluates the performance of mutual funds based on 113 selected schemes having exposure more than 90% of corpus to equity stocks of 25 fund houses. The empirical results reported here reveal the fact that the mutual funds were not able to compensate the investors for the additional risk that they have taken by investing in the mutual funds. The study concludes that the influence of market factor was more severe during negative performance of the funds while the impact selectivity skills of fund managers was more than the other factors on the fund performance in times of generating positive return by the funds. It can also be observed from the study that selectivity, expected market risk and market return factors have shown closer correlation with the fund return.

Number of Pages in PDF File: 14

Keywords: Performance Evaluation, Overall Performance, Selectivity skills, Diversification skills, Risk

JEL Classification: G10, G11, G12, G23

Open PDF in Browser Download This Paper

Date posted: February 11, 2007  

Suggested Citation

S, Ananda and Murugaiah, V., Analysis of Components of Investment Performance - An Empirical Study of Mutual Funds in India (December 18, 2006). 10th Indian Institute of Capital Markets Conference. Available at SSRN: http://ssrn.com/abstract=961999 or http://dx.doi.org/10.2139/ssrn.961999

Contact Information

Ananda S (Contact Author)
Goa Institute of Management ( email )
Goa, Goa 403006
V. Murugaiah
Kuvempu University ( email )
Shimoga Dist.
Shankaraghatta, Karnataka 577 451
Feedback to SSRN

Paper statistics
Abstract Views: 7,195
Downloads: 1,848
Download Rank: 4,739
References:  28
Citations:  1

© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.312 seconds