Mutual Funds Performance Evaluation with Holding-Based Approach

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Kalani, Alireza | 2024

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 57779 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Talebian, Masoud; Ebrahimnejad, Ali
Abstract:
To evaluate the investment performance of mutual funds, we employ a holding-based approach instead of solely focusing on the overall fund return. The data on fund portfolio composition enables the analysis and measurement of the fund manager's stock selection ability and market timing. We focus on funds in the Iranian market from 1398 to 1402. Based on statistical tests, fund managers, as a whole, could not achieve a higher yield than the market yield. When examined separately, the index of stock selection ability was not significant, while the market timing index was significant at the 10% level
Keywords:
Stock Selection ; Fund Holdings ; Market Timing ; Mutual Fund ; Business Process Performance Measurment

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