Mutual Fund Performance Prediction

Qamar, Hassan and Singh, Sanjay (2016) Mutual Fund Performance Prediction. In: International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, 13/08/2016, NITK, Surathkal.

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Abstract

It is increasingly seen that non parametric frontier method has become a popular method in predicting the performance of investment fund. This paper uses the non-parametric method to analyze the efficiency and performance of mutual funds. The methodology uses Data Envelopment Analysis (DEA) to predict the performance of fund in coming years. Factor such as mutual fund returns, turnover rate, volatility, expense ratio are used to find the relative efficiency of funds using DEA. The end result not only provides funds with good return but at the same time these funds are consistent in performance and stable in nature. The methodology is applied to a sample of 46 Indian equity funds over the period 2006-2015. The time frame for implementing this analysis is three, five, and ten years evaluation respectively. The results are obtained on the basis of comparison with crisil and valueresearch rating system. Our results provide practical application for investor to choose the best fund among all. It also help fund manager in better management of funds.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: Mutual Funds, Data Envelopment Analysis, Quan
Subjects: Engineering > MIT Manipal > Information and Communication Technology
Depositing User: MIT Library
Date Deposited: 15 Oct 2016 10:04
Last Modified: 15 Oct 2016 10:04
URI: http://eprints.manipal.edu/id/eprint/147145

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