International Journal of Research in Finance and Management
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E-ISSN: 2617-5762|P-ISSN: 2617-5754

2024, Vol. 7, Issue 1

Measures of mutual fund performance: Risk, return and risk adjusted, performance persistence and forecasting ability

Sunil Kumar and Mohinder Singh

The landscape of investment vehicles has expanded significantly in recent decades, with mutual funds emerging as a preferred choice for investors seeking a balance between diversification and professional management. This research paper delves into the multifaceted realm of "Measures of Mutual Fund Performance," aiming to unravel the diverse measures employed to evaluate the effectiveness and success of mutual funds. These measures are broadly classified as measurement of risk, return, risk adjustment performance, persistence, and forecasting ability of the fund managers. For the analysis of risk-adjusted performance different measures i.e. Treynor’s ratio, Sharpe’s ratio, information ratio and Stock selection measures i.e. Jensen alpha, Fama and French Model and Carhart models are discussed. The study also discussed the performance persistence approaches i.e. parametric approach and non-parametric approach. Additionally, the study delves into forecasting ability measures, focusing on stock selection (micro forecasting) and market timing (macro forecasting) skills of fund managers. For that purpose, Treynor and Mazuy (1966) and Henriksson and Merton (1981) models are discussed in both their conditional and unconditional versions. The findings of the study can be crucial for investors, fund managers, and policymakers in making informed decisions regarding mutual fund investments.
Pages : 47-55 | 103 Views | 43 Downloads
How to cite this article:
Sunil Kumar, Mohinder Singh. Measures of mutual fund performance: Risk, return and risk adjusted, performance persistence and forecasting ability. Int J Res Finance Manage 2024;7(1):47-55. DOI: 10.33545/26175754.2024.v7.i1a.281
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