1PhD Student, School of Business Studies, Punjab Agricultural University, Ludhiana, Punjab, India
2Assistant Professor, School of Business Studies, Punjab Agricultural University, Ludhiana, Punjab, India
3Associate Professor, School of Business Studies, Punjab Agricultural University, Ludhiana, Punjab, India
*Corresponding author email id: mgupta@pau.edu
**chetna005_vashisht@yahoo.co.in
Online published on 29 December, 2017.
Empirical evidence on mutual fund performance largely focused on its measurement and persistence. Fund managers’ ability in terms of stock selection and market timing has also been studied but there is hardly any evidence which relates the same to mutual fund rating, especially in Indian context. The present study fills this gap.
A total of 107 equity diversified mutual fund growth schemes have been studied for their fund managers’ ability using both conditional and unconditional models and further ability was assessed among categories of mutual funds on the basis of mutual fund rating. Both conditional and unconditional models were used in the study.
The models confirm the presence of stock selection ability, largely positive and significant and presents mixed results on market timing ability. Mutual fund rating was found to be determinant in case of stock selection ability and not market timing ability.
The present study provides an input to the investor that higher rated fund may become superior in terms of stock selection. Better stock selection may provide better returns to the investor. On the other hand, if, market timing is the objective of mutual fund investor, he may not realise the same by investing in higher rated funds.
Stock selection ability, Market timing ability, Mutual fund rating, Treynor Mazuy model, Henriksson Merton model
