International Journal of Financial Management

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Conditional Selectivity Performance of Indian Mutual Fund Managers


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1 Associate Professor, Department of Commerce, Mahatma Gandhi Central University, Motihari, Bihar, India, India
     

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In India, the performance evaluation of mutual fund based on the conditional model is scanty. This study focuses particularly on stock selection performance of the selected open-ended mutual fund schemes under the framework of conditional investment performance measure, over the period 2001 to 2019, by taking into consideration monthly closing NAV values. The study also considers 91-day Treasury bill rate as risk-free rate. Along with this, the study examines the difference in performances between the traditional model (unconditional) and the conditional model. The regression result is the absence of heteroscedasticity and multicollinearity problems. The time series data is also free from unit root. It is observed that the significant stock-selection performance is reduced after inclusion of public information in the conditional model, and the alpha values of the schemes are also reduced, compared to the unconditional model. The statistical test shows insignificant difference between the two measures.

Keywords

Conditional Model, Ferson, Mutual Fund, Performance Appraisal, Selectivity, Traditional Model
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  • Conditional Selectivity Performance of Indian Mutual Fund Managers

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Authors

Subrata Roy
Associate Professor, Department of Commerce, Mahatma Gandhi Central University, Motihari, Bihar, India, India

Abstract


In India, the performance evaluation of mutual fund based on the conditional model is scanty. This study focuses particularly on stock selection performance of the selected open-ended mutual fund schemes under the framework of conditional investment performance measure, over the period 2001 to 2019, by taking into consideration monthly closing NAV values. The study also considers 91-day Treasury bill rate as risk-free rate. Along with this, the study examines the difference in performances between the traditional model (unconditional) and the conditional model. The regression result is the absence of heteroscedasticity and multicollinearity problems. The time series data is also free from unit root. It is observed that the significant stock-selection performance is reduced after inclusion of public information in the conditional model, and the alpha values of the schemes are also reduced, compared to the unconditional model. The statistical test shows insignificant difference between the two measures.

Keywords


Conditional Model, Ferson, Mutual Fund, Performance Appraisal, Selectivity, Traditional Model

References