Market-timing Performance of the Open-ended Income and Growth Mutual Fund Schemes: An Empirical Study
Published: 2013
Author(s) Name: Subrata Roy, Shantanu Kumar Ghosh |
Author(s) Affiliation: Dr.Subrata is employed at Rabindra Mahavidyalaya; Prof. Shantanu is working with Univ. of Burdwan
Locked
Subscribed
Available for All
Abstract
The present study seeks to examine the markettiming
performance of the open-ended income and
growth mutual fund schemes’ managers in India over
the period from January 2001 to December 2011.
The data for the proposed study are obtained from
the website of Association of Mutual Funds in India
(AMFI). Here, Treynor and Mazuy model is used.
However, the empirical findings bring out that the
market-timing performances of both types of schemes
are not statistically significant. It is also observed
from the analysis that eight schemes are statistically
significant. Consequently, the average market-timing
performance is also unsatisfactory for the income
(0.007) as well as growth (-0.095) schemes. But, the
mean test reveals that they are approximately equal
performers. On the whole, owing to the insignificant
market-timing performance, the fund managers of both
types of schemes have failed to earn abnormal rate of
return by applying the strategy of market outguessing
from the volatile capital market. This speaks against
the superior market-timing ability of the open-ended
mutual fund managers in India.
Keywords: Mutual Fund, Performance Evaluation, Market-timing, Treynor and Mazuy Model, BSE Sensex
View PDF