Performance Evaluation of Mutual Fund Industry (A Study with Special Reference to UTI and Reliance Mutual Fund)

The MUTUAL FUND INDUSTRY

Evaluating Mutual Fund Performance

We study standard mutual fund performance measures, using simulated funds whose characteristics mimic actual funds. We find that performance measures used in previous mutual fund research have little ability to detect economically large magnitudes ~e.g., three percent per year! of abnormal fund performance, particularly if a fund’s style characteristics differ from those of the value-weighted m...

Risk Behavior and Performance Benchmarks in the Mutual Fund Industry

The determinants of risk tolerance play an essential role in asset pricing. In this paper, I develop and test empirically a behavioral model of investor risk strategies. Difficulty in quantifying many of the elements of behavioral theories has so far necessitated experimental, rather than empirical, evaluation of most such models. Therefore, the methodology employed in this paper – testing a be...

Mutual fund performance with learning across funds

The average level and cross-sectional variability of fund alphas are estimated from a large sample of mutual funds. This information is incorporated, along with the usual regression estimate of alpha, in a (roughly) precision-weighted average measure of individual fund performance. Substantial ‘‘learning across funds’’ is documented, with significant effects on investment decisions. In a Bayesi...

Measuring Skill in the Mutual Fund Industry∗

Using the dollar-value that a mutual fund adds as the measure of skill, we find that the average mutual fund adds about $2 million per year and that this skill persists for as long as 10 years. We further document that investors recognize this skill and reward it by investing more capital with better funds. Better funds earn higher aggregate fees, and there is a strong positive correlation betw...