A Pragmatic Investigation of the Mutual Fund Performance Determinants

The research study attempts to make the mutual fund (MF) investor understand how the various risk parameters like Alpha, Asset under management, Beta, Expense Ratio, R-Squared, Sharpe Ratio, Sortino Ratio, and Standard deviation impact the returns of the MF. This information is instrumental to make dynamic investor choices. To narrow down the scope of the study analysis of 193 schemes of the top 15 MFs was considered. Only MFs with a minimum of 5 years of existence were considered. The relationship between the funds’ parameters was found using correlation and multiple regression statistical techniques. It was observed that the Sharpe ratio and Sortino ratio had a high positive correlation with the returns of the MF. The highest contributing regression predictor to explain the performance of the MF was the Sharpe ratio followed by Alpha, Expense ratio, & Asset under management.