文章基本信息

标题：Conditional selectivity performance of Indian mutual fund schemes: An empirical study
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作者：Subrata Roy
期刊名称：Management Science Letters
印刷版ISSN：1923-9335
电子版ISSN：1923-9343
出版年度：2015
卷号：5
期号：6
页码：577-590
DOI：10.5267/j.msl.2015.4.008
出版社：Growing Science
摘要：The present study seeks to examine the stock-selection performance of the sample open-ended equity mutual fund schemes of Birla Sun Life Mutual Fund Company based on traditional and conditional performance measures. It is generally expected that inclusion of some relevant predetermined public information variables in the conditional CAPM provides better performance estimates as compared to the traditional measures. The study reports that after inclusion of conditioning public information variables, the selectivity performances of the schemes have dramatically improved relative to the traditional measure and also found that conditional measure is superior to traditional measure in statistical test.
关键词：Conditional Model; Jensen; Ferson & Schadt; Birla Sunlife; Selectivity; Traditional Model