Evaluating Performance of Mutual Fund Manager Through Attribution Analysis Technique

Journal Name: 
Journal of Accounting and Finance
Volume: 
Vol. 29 - No. 2
Authors: 
Author Name Designation Organization
Parag Rijwani
Abstract: 

Mutual fund managers following active investing strategy are expected to make investment in specific stocks based on their intrinsic value and take timely investment calls in order to outperform an investment benchmark index. This outperformance is measured by Jensen Alpha. This paper examines the effect of fund manager decisions on mutual fund performance. Using security holdings of sample equity diversified Indian mutual fund schemes from March 2015 2015 to July 2015 and  Brinson’s model of Performance Attribution, active return of fund is decomposed into sector allocation, security selection and interaction effect. To study the effect of  these variables on mutual fund returns, panel data analysis is used. The findings state that security selection and interaction has no significant effect on predicting mutual fund performance. Sector allocation has an evidence of having significant effect on predicting mutual fund performance.