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Journal: International Journal of Business Management & Research (IJBMR) (Vol.3, No. 3)

Publication Date:

Authors : ;

Page : 129-136

Keywords : Mutual Fund Performance; Persistence; Jensen’s Alpha; Contingency Tables;

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Mutual fund performance has been a subject of interest for researchers as well as practitioners for long. The objective of this paper is to study the persistence in performance of equity-oriented mutual funds in India over the period 2009-2012. This study utilizes a sample of 103 equity-oriented mutual funds with growth objective for this purpose. The broad based S&P CNX Nifty and 91-day Treasury bill yields are taken as proxy for market returns and risk free rate respectively. Weekly, monthly, and quarterly measures of Jensen’s alpha are computed to estimate the performance of mutual funds. By applying parametric as well as non-parametric approach, the persistence in performance (Jensen’s alpha) is tested. The results do not provide any significant evidence of persistence in performance of mutual funds over time. KEYWORDS: Mutual Fund Performance, Persistence, Jensen’s Alpha, Contingency Tables

Last modified: 2013-07-29 21:13:41