Empirical Investigation of Market Efficiency and Mutual Fund Performance in India: A Quantitative Approach

Abstract

This study examines 30 Indian mutual funds' performance, persistence, and market timing skills between August 2019 and August 2024—a time frame that saw substantial changes in the economy. The study shows that almost 63% of fund managers produced positive risk-adjusted returns using risk-adjusted performance metrics and the Treynor-Mauzy and Henriksson-Merton models, indicating skilful stock selection. For a selection of funds, evidence of market timing abilities was discovered. According to the IR measures, the industry as a whole has demonstrated reasonable performance, with about 30% of schemes being skilfully handled by fund managers, despite the lack of performance persistence. This demonstrates that investors can rely on their stock selection skills in the expanding Indian mutual fund sector. There may be greater policy ramifications for the fund management sector if fund management expertise is taken into consideration. To improve our comprehension of fund performance in the Indian context, future studies should use conditional market timing models, increase the sample size, and include fund features.