Selecting and timing efficiency of mutual fund managers in India

Abstract

Historically, returns based measures of performance are used as indicators of decision making abilities of mutual fund manager. An alternative way is to look at how the portfolio holdings change over a period of time. Holdings based measures provide more insights on the quality of the portfolio manager. In this project, we would analyze the different holding based performance measures to understand the selection and timing criteria of mutual fund managers in India. We would use Grinblatt Titman (GT) performance measure, Characteristic Selectivity and Timing performance measure as the base for our study. These measures would be compared with three returns based measures of Treynor, Sharpe and Jensen.