Mutual fund performance prediction

Hassan Qamar, Sanjay Singh

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (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 languageEnglish
Title of host publication2016 IEEE International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, DISCOVER 2016 - Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages185-189
Number of pages5
ISBN (Electronic)9781509016235
DOIs
Publication statusPublished - 01-01-2016
Event2016 IEEE International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, DISCOVER 2016 - Mangalore, India
Duration: 13-08-201614-08-2016

Conference

Conference2016 IEEE International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, DISCOVER 2016
CountryIndia
CityMangalore
Period13-08-1614-08-16

Fingerprint

Data envelopment analysis
Managers

All Science Journal Classification (ASJC) codes

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

Cite this

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 (pp. 185-189). [7806257] Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/DISCOVER.2016.7806257
Qamar, Hassan ; Singh, Sanjay. / Mutual fund performance prediction. 2016 IEEE International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, DISCOVER 2016 - Proceedings. Institute of Electrical and Electronics Engineers Inc., 2016. pp. 185-189
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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

Mutual fund performance prediction. / Qamar, Hassan; Singh, Sanjay.

2016 IEEE International Conference on Distributed Computing, VLSI, Electrical Circuits and Robotics, DISCOVER 2016 - Proceedings. Institute of Electrical and Electronics Engineers Inc., 2016. p. 185-189 7806257.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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