Mutual fund performance prediction

Hassan Qamar; Sanjay Singh

doi:10.1109/DISCOVER.2016.7806257

Mutual fund performance prediction

Hassan Qamar, Sanjay Singh

Department of Information and Communication Technology, Manipal Institute of Technology, Manipal

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

2 Citations (Scopus)

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 value research 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.

Original language	English
Title of host publication	2016 IEEE International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, DISCOVER 2016 - Proceedings
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	185-189
Number of pages	5
ISBN (Electronic)	9781509016235
DOIs	https://doi.org/10.1109/DISCOVER.2016.7806257
Publication status	Published - 01-01-2016
Event	2016 IEEE International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, DISCOVER 2016 - Mangalore, India Duration: 13-08-2016 → 14-08-2016

Conference

Conference	2016 IEEE International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, DISCOVER 2016
Country/Territory	India
City	Mangalore
Period	13-08-16 → 14-08-16

All Science Journal Classification (ASJC) codes

Artificial Intelligence
Electrical and Electronic Engineering
Computer Networks and Communications
Hardware and Architecture

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10.1109/DISCOVER.2016.7806257

Cite this

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title = "Mutual fund performance prediction",

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 value research 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.",

author = "Hassan Qamar and Sanjay Singh",

year = "2016",

month = jan,

day = "1",

doi = "10.1109/DISCOVER.2016.7806257",

language = "English",

pages = "185--189",

booktitle = "2016 IEEE International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, DISCOVER 2016 - Proceedings",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

address = "United States",

note = "2016 IEEE International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, DISCOVER 2016 ; Conference date: 13-08-2016 Through 14-08-2016",

}

Qamar, H & Singh, S 2016, Mutual fund performance prediction. in 2016 IEEE International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, DISCOVER 2016 - Proceedings., 7806257, Institute of Electrical and Electronics Engineers Inc., pp. 185-189, 2016 IEEE International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, DISCOVER 2016, Mangalore, India, 13-08-16. https://doi.org/10.1109/DISCOVER.2016.7806257

TY - GEN

T1 - Mutual fund performance prediction

AU - Qamar, Hassan

AU - Singh, Sanjay

PY - 2016/1/1

Y1 - 2016/1/1

N2 - 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 value research 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.

AB - 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 value research 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.

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DO - 10.1109/DISCOVER.2016.7806257

M3 - Conference contribution

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BT - 2016 IEEE International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, DISCOVER 2016 - Proceedings

PB - Institute of Electrical and Electronics Engineers Inc.

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Y2 - 13 August 2016 through 14 August 2016

ER -

Mutual fund performance prediction

Abstract

Conference

All Science Journal Classification (ASJC) codes

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