Mutual fund performance prediction

Hassan Qamar, Sanjay Singh
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引用次数: 2

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.
共同基金业绩预测
非参数前沿法越来越成为预测投资基金业绩的一种常用方法。本文采用非参数方法对共同基金的效率和绩效进行了分析。该方法使用数据包络分析(DEA)来预测基金未来几年的业绩。利用共同基金的收益率、换手率、波动率、费用率等因素,运用DEA方法寻找基金的相对效率。最终的结果不仅为基金提供了良好的回报,同时这些基金的业绩一致,性质稳定。该方法应用于2006年至2015年期间46只印度股票基金的样本。实现这一分析的时间框架分别是3年、5年和10年的评估。通过与危机和价值研究评级体系的比较,得出了上述结论。研究结果为投资者在众多基金中选择最佳基金提供了实际应用。同时也有助于基金经理更好地管理基金。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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