Performance Persistence of Indian Fund of Mutual Funds: With Special Reference to Bull and Bear Market

21 Pages Posted: 14 Nov 2013

See all articles by Muruganandan S

Muruganandan S

PSG College of Technologies, Department of Humanities

Date Written: November 14, 2013

Abstract

This paper examines the performance persistence of Indian Fund of Mutual Funds (FoFs) during the period from January 2nd 2007 to December 31st 2010. The entire study period classified into three sub-periods based on the movement of BSE 500 index closing value and they are named as First Bull Market Period, Bear Market Period and Second Bull Market Period. The performance of individual FoFs in each sub-period are assessed by employing the performance measures of average excess return, Sharpe ratio and Jensen’s alpha. After testing the performance of the sample funds, contingence table is created by classifying the sample funds as winner or loser. Malkiel Z-test, Brown and Goetzmann Z-test and Khan and Rude Chi-square test is used to test the performance persistence of sample funds and found that the fund excel in the bull market do not expect to do well in the bear market. This study also concluded that the investors cannot earn above average risk adjusted return in the bull market period by hiring the above median performer of earlier bull market period.

Keywords: Performance Persistence; Contingency table; Bull and Bear markets; Indian Fund of Mutual Funds

JEL Classification: G01, G11, G14, G29

Suggested Citation

S, Muruganandan, Performance Persistence of Indian Fund of Mutual Funds: With Special Reference to Bull and Bear Market (November 14, 2013). Available at SSRN: https://ssrn.com/abstract=2354296 or http://dx.doi.org/10.2139/ssrn.2354296

Muruganandan S (Contact Author)

PSG College of Technologies, Department of Humanities ( email )

Peelamadu
Coimbatore
Coimbatore, Tamilnadu 641004
India

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