Market Timing and Selectivity Skills of Mutual Fund Managers in India: An Empirical. Study of Equity Funds. Abstract

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1 Market Timing and Selectivity Skills of Mutual Fund Managers in India: An Empirical Professor B. S. Bodla Professor, University School of Management, Kurukshetra University, Haryana, India Study of Equity Funds Abstract Generally, the focus in evaluating the overall performance of a mutual fund has been on fund manager s skill in security selection, which involves micro forecasting i.e. the ability of fund manager in identifying securities with underestimated price. But in constructing a portfolio, timing of investment is as important as selection of securities. Market timing ability embodies in whether fund manager can judge correctly the trend of market and regulate investment combination according to judgment of trend. This paper is an empirical assessment of the performance of mutual fund managers in terms of market timing and selectivity, within the framework suggested by Henriksson and Merton (1981). The study examines the performance of 27 Equity Mutual Funds. The reference period for the study is January 2002 to June The results of the study reveal that the mutual funds in India have been able to compensate the investors for the additional risk that they have taken by investing in the mutual funds. However, the majority of the selected mutual fund managers do not possess market timing ability; rather they are relying a little bit on stock selection. The study also concluded a negative association between the market timing and stock selectivity of funds. Key Words: Mutual Funds, Equity Funds, Market Timing, Stock Selectivity I. Introduction The mutual fund industry in India has evolved from a single player monopoly in 1964 to a fast growing, competitive market over the years. Beside others, this growth can be attributed to continuous reforms, liberalization and strong regulatory framework. The concept of Mutual Funds was Indianized only in the later part of the twentieth century in the year 1964 with its roots embedded into Unit Trust of India (UTI). The UTI consolidated its position by offering a variety of products and extending its reach throughout the country during the first phase ( ) of its development. During the second phase (1987- Professor B. S. Bodla Delhi School of Professional studies and Research 1

2 93), the public sector banks and financial institutions sponsored mutual fund marked their arrival. In third phase ( ), the permission was given to private sector funds including foreign fund management companies (most of them entering through joint venture with Indian promoters) to enter the mutual fund industry in This event provided a wide range of choice to investors and brought in more competition in the industry. The fourth phase ( ) started with SEBI regulations of The fifth phase ( ) saw a significant growth in funds mobilized and the emergence of uniformity in industry. In the current phase (2004- till date), the mutual fund industry is consolidating its growth. Simultaneously, more international mutual fund players have entered India like Fidelity, Franklin Templeton Mutual fund etc. The rationale behind a mutual fund is that there are large number of investors who lack the time and the skills to manage their money. The professional fund managers, acting on behalf of the Mutual Fund, manage the investments (investor's money) for the benefit of investors in return for a management fee. From the beginning, the performance of portfolio managers have been an increasingly important issue among financial analysts because it is important to know whether the professional managers of Mutual Funds add value to the portfolios they manage or they merely create excessive transaction costs through their active management. Evaluation of performance of mutual funds is not only important for the investors but also for fund managers evaluating the effectiveness of their strategies. The assessment of fund managers performance influences the investors to allocate their money into different mutual funds. It may directly or indirectly influence the compensation of the fund managers. Several measures of performance of managed portfolio have been developed by linking portfolio return with the risk. Generally, the focus in evaluating the overall performance of a mutual fund has been on fund manager s skill in security selection, which involves micro forecasting i.e. the ability of fund manager in identifying securities with underestimated price. But in constructing a portfolio, timing of investment is as important as selection of securities. Market timing ability embodies in whether fund manager can judge correctly the trend of market and regulate investment combination according to judgment of trend. If fund manager judges that bull market is coming, fund manager can locate investment combination through reducing cash proportion in investment combination and improving value of securities owned, on the contrary, if fund manager perceives the knocking of the door by bear market, fund manager can locate investment combination through increasing cash proportion in investment combination and lowering value of securities owned. In other words, when it is predicted that stock market is to rise, the fund will increase equity Professor B. S. Bodla Delhi School of Professional studies and Research 2

3 investment, reduce creditor's rights investment and increase investment proportion in industry with higher equity investment value. As a result, the market value of total investment is increased. When it is predicted that stock market is to fall, reverse operation will be carried out. Several measures of performances of managed portfolio have been developed by establishing a relation between return and risk of the portfolio. The credit of developing the measures for performance evaluation of managed portfolio goes to Sharpe (1966), Treynor (1966), and Jensen M C (1968) whose contributions are widely received and acknowledged both by academicians and practitioners as well. But they fail to separate the ability of the managers in terms of market timing and selectivity. Jensen (1968) evaluated the performance of mutual funds using the Single Index market model. Jensen s model took the constant return in the regression equation as a measure of performance of mutual funds. This measure states that, if the fund manager has the capability to identify under-valued securities, the intercept (alpha) would be positive indicating better performance and vice versa. Jensen s measure assumes a stable beta for mutual funds. Hence, it does not provide an unbiased estimate of mutual fund s performance. Over the years, the focus shifted to fund manager s skills in security selection which involves forecasting of price movements of individual stocks and identifying under or overvalued. Now a day, market timing is a vital activity in the investment decision making process. It is possible for fund managers to generate superior return by timing the market correctly, in addition to stock selection techniques. Thus, not only by micro forecasting efforts but also by macro market timing activity, a capable fund manager can generate superior returns in the face of volatile stock markets. A very small number of researches are devoted to the study of market timing and stock selectivity skills of fund managers in India. A review of some of such studies is presented in next section. The present paper is organized as follows. First section introduces the problem in hand. Second section, briefly explain the relevant empirical studies. Third part describes the data along with methodology. Fourth section presents results of the study regarding timing as well as selection ability of the fund manager. Along with this, the section also included the empirical results regarding risk and non-risk adjusted measures of mutual funds. The final section, presents the summary and conclusions of the study. Literature Review Professor B. S. Bodla Delhi School of Professional studies and Research 3

4 Several empirical studies concerning the market timing and selectivity skills of mutual fund managers are appraised in this section. Treynor and Mazuy (1966), developed a model of testing market timing abilities of fund managers and found significant timing ability in only one out of 57 funds in their sample. Fama (1972) suggested that overall performance of a managed portfolio could be broken down into several components. FAMA said that while observed return of a fund could be due to the ability of fund managers to pick up best securities at a given level of risk (selectivity), it could also arise due to prediction of general market price movements i.e. their timing ability. Selectivity can be further decomposed into net selectivity and diversification. Henriksson (1984) uses the test of Henriksson and Merton (1981) and finds that only 3 out of 116 funds exhibit significant positive timing ability. Kon and Jen (1979) found a large number of funds engaged in market timings activities, but in an extended analysis, Kon (1983) found little evidence that they were successful. Chug and Lewellen (1984) also tested market timing and stock selection skills of fund managers and found little evidence of such skills. Chua and Woodward (1986) carried out the test for Canadian, US and UK funds for the period They found that the market timing performance of the mutual funds was, in general, poor. Coggin Fabozzi Rahman (1993), using Treynor Mazuy (1966) and Bhattacharya P fleiderer (1983) models, examined the performance for a random sample of 71 US equity pension fund managers for the period January 1983 through December The results suggest that pension fund managers are on average better stock pickers than market timers. More specifically, the average selectivity measure is positive and the average timing measure is negative regardless of the choice of benchmark portfolio or estimation model. Gallo and Swanson (1996) considered a series of international mutual funds in order to determine among others - time management skills of the fund managers. According to the empirical results obtained, the particular fund managers are not market timing capable, although they did show selectivity skills. Goetzmann et al (2000) argued that monthly frequency might fail to capture the contribution of manager s timing abilities to mutual funds, because for most of the funds, the decision regarding market exposures is made more frequently than monthly. Eleni Thanou (2008) examined the risk adjusted overall performance of 17 Greek Equity Mutual Funds between the years 1997 and The result indicate that the majority of the funds under examination Professor B. S. Bodla Delhi School of Professional studies and Research 4

5 followed closely the market, achieved overall satisfactory diversification and some of them consistently outperformed the market, while the results in market timing are mixed, with most funds displaying negative market timing capabilities. During the last one decade some very interesting and useful studies have been performed to determine the market timing and stock selections skills of fund managers in India. These are reviewed here. Mishra (2002) evaluates the performance of mutual funds based on 24 schemes having at least 24 monthly data covering the period between April 1992 and December 1996 and. The study concluded that about 25% of the schemes possess timing skills and 29% had negative timing parameter indicating that these schemes brought about changes in their portfolio based on a wrong forecast of the market trend. Gupta (2000) used both Treynor & Mazuy Model and Henriksson and Merton model to test the market timing abilities of 73 Indian mutual fund schemes during and found little evidence of meaningful market timing ability. Tripathy (2006) evaluated the market timing abilities of fund managers of thirty-one tax planning schemes in India over the period December, 1995 to January, 2004 by using both Treynor & Mazuy Model and Henriksson and Merton model. The study indicates that the fund managers have not been successful in reaping returns in excess of the market, rather they are timing the market in the wrong direction. Chander (2006) and Deb, Banerjee and Chakrabarti (2007) point to the unsuccessful market timing abilities of investment managers in India. Sehgal and Jhanwar (2008) found that the evidence on selectivity improves marginally when the study use higher frequency data such as daily returns instead of monthly returns. Raju and Rao (2009) showed strong evidence of lack of market timing and weak evidence of positive stock selection across 60 schemes of all categories of funds. In order to measure the market timing ability of fund managers, two important models, namely Treynor and Mazuy and Henriksson and Merton, have been used with the BSE sensex and NSE Nifty as market proxies. The study of Kundu (2009) finds no significant and conclusive evidence in support of superior stock selection activity of the mutual fund managers in India during the period of recent stock market bull run. Thus, most of the studies reviewed indicate that the fund managers possess stock picking abilities but the skills to determine market timings are seen lacking both in India and abroad. But all the studies conducted Professor B. S. Bodla Delhi School of Professional studies and Research 5

6 so far in Indian context cover relatively a short time period and therefore one cannot generalize the findings of previous studies. Further, a few studies have included the risk adjusted measure with selectivity and timing performance of mutual funds. Hence, the literature survey reveals that there is still further scope for a research in this area. The present study is an attempt in this direction and it aims to measure the performance of mutual fund mainly with two aspects (1) evaluating stock selection skills and (2) the market timing abilities of the fund managers. Besides examining the market timing and selectivity abilities of Indian mutual fund managers, the study also evaluates their performance in terms of average returns, both unadjusted as well as risk adjusted. The study endeavors to test the following null hypotheses:- H 0 : Mutual fund managers don t have distinct market timing abilities. H 0 : Mutual fund managers don t demonstrate evidence of distinct Stock Selectivity abilities. H 0 : There is no difference between the performance of the Equity schemes of mutual funds and benchmark market return. Data and Methodology The present study examines 27 equity mutual funds by considering daily data on net assets value from January 2002 to June The study consider a longer time period as its focus is the evaluation of fund manager s selectivity and market timing skill performance during up and down market conditions. The data used for the study are weekly returns for each fund, calculated from the daily net asset value (NAV). All the mutual fund data in this study are obtained from the data base and website of the Association of Indian Mutual Funds, Bluechip India and individual Mutual Funds web site. S&P CNX Nifty Index is taken as benchmark as it is a widely used index by both practitioners and researchers. Further, the weekly yields on 91-day Treasury bills (T-bills) are used as a surrogate for the riskfree rate of return. Treasury bill data have been collected from the web site of RBI and data on S&P CNX Nifty Index from the website of NSE. In terms of methodology, several methods are utilized to check both the risk adjusted performance and the timing & selectivity ability of Indian Fund managers. Average return, standard deviation, portfolio beta and Professor B. S. Bodla Delhi School of Professional studies and Research 6

7 R 2 have been calculated to know their actual return, risk and diversification. Firstly, the daily NAV is converted into average weekly NAV, and then Fund s weekly return (Rp) is calculated. Market Return (R m ) is computed by taking the difference between market indices of current week and previous week and dividing the difference by market index for the preceding week. The returns so obtained are multiplied by 100 so as to obtain percentage weekly return. The total risk is calculated by determining the standard deviation of weekly returns. Beta which is a measure of systematic risk has been calculated as follows: Beta ( ) = Cov (R P, R m ) / σ 2 m Where, σ 2 m = Variance of weekly return of the market Cov (R p, R m ) = Covariance of return of fund and market portfolio Coefficient of Determination (R 2 ) is the square of Coefficient of Co-relation between portfolio return and market return. It is a comprehensive measure for indicating the percentage variation in the funds return which is accounted for by the market return. In order to examine risk adjusted return performance various established measures such as Sharpe ratio, Treynor ratio, have been applied. Jensen alpha and Fama have been applied for investigating the stock selectivity. To examine the market timing ability & selectivity of portfolio managers, Henriksson and Merton (1981) have been applied. Michael C Jensen (1968) measure based on Capital Asset Pricing Model (CAPM) is used to find out the stock selection ability of the mutual fund managers by regressing excess fund returns with the excess market returns. An unsuccessful manager has a Jensen s that is significantly negative, while a superior manager obtains a positive value of. This model can be presented as follows: Jensen Alpha ( ) = R p E (R p ) Where, E (R p ) = R f + (R m R f ) β p Fama s Components of Investment Performance: In this paper the performance of the selected funds has also been examined in terms of Fama s Components of Investment Performance Measure. In terms of Professor B. S. Bodla Delhi School of Professional studies and Research 7

8 Fama s framework, portfolio return constitutes the following four components: (a) Risk-free return, (b) compensation for systematic risk, (c) compensation for diversification and (d) net selectivity. The different components have been worked out as follows: Risk-free return: given Compensation for systematic risk: [β (R m R f )], Compensation for diversification: [R m R f ] [σ p /σ m β], and Net selectivity: [R p R f ]) [σ p /σ m ] [(R m R f ]. Henriksson and Merton (1981): The portfolio beta in the Henriksson and Merton study is assumed to switch between two betas. A large value if the market is expected to do well i.e. when R m >R f up market and a small value otherwise i.e. when R m <R f (down market). Therefore, it is argued that a successful market timer would select a high up market beta and a low down-market beta. Thus such a relationship can be estimated by equation using a dummy variable. R p - R f = a + β(r m - R f ) + γ[d (R m - R f )] +Ep Where D is a dummy variable that equals 0 for R m >R f and 1 otherwise, so that beta of the portfolio is β in an up market and (β-γ) in a down markets. Parameter γ indicates the difference between the two betas and significant value of γ would indicate market timing ability of the fund managers, while the parameter alpha (a) represent the stock selection ability of the fund managers. Test of Significance: To test whether the difference between the performance of a fund and the market is significant, we have applied t-test at 5% level of significance. Results and Discussion Table 1 presents the summarized results of the weekly return, risk and diversification of equity schemes for the period from January 2002 to June It is evident from the table that each and every scheme has succeeded in providing a positive return to the mutual fund investors. Average weekly return, for the above mentioned duration varies from percent to percent for various funds. The overall average weekly return of sample schemes has been found percent. In terms of overall average return, the top five performers are: Reliance Vision Fund (.683%), Franklin India Prima Fund (.638%), Franklin India Professor B. S. Bodla Delhi School of Professional studies and Research 8

9 Bluechip Fund (.565%), Reliance Growth Fund (.546%) and Canara Robecco Equity (.543%). The Religare Growth and Religare Equity comprise the lowest two ranks with and percent weekly return. During the study period, however, 17 of the 27 funds, representing 62.96% of the total sample, have managed to achieve average weekly returns in excess to the return of Nifty. It is also apparent from the table 1 that, on an average, the equity schemes have earned 0.045% excess return as compared to market return. Regarding total risk (σ p ) of mutual fund the table presents that the standard deviation of weekly return is 3.72% for the entire sample. Fund wise analysis of risk shows that Religare Contra Fund is the most risky followed, in downside, by ING Midcap, Canara Robecco Infrastructure, Canara Robecco Growth and L&T Growth Fund. As many as 14 schemes out of 27 have been found more risky as compared to market. Beta value calculated with reference to fund return and S&P CNX Nifty, shows that majority of schemes is lying between 0.6 and 0.9. On the basis of the size of the beta, Canarra Robeco Infrastructure, ING Midcap, and Canara Robeco Emerging Equity have got top three positions respectively. In Contrast, UTI Top 100 Funds shows the lowest value of Beta follwed, in upside, by Fidelity India Special Situation and Canara Robecco Equity diversified fund. Only two schemes i.e. Canara Robecco Infrastructure and ING Midcap fund, have high systematic risk. The calculated average beta of all sample schemes is 0.805, reflecting, a moderate level of systematic risk. To judge the relationship between fund s return, and market return correlation is determined between them. The correlation coefficient is found higher than 0.5 in case of most of schemes except only one scheme (UTI Top 100 Funds). A further glance through the table provides that the sample schemes are well diversified as indicated by R 2 which is showing values greater than 0.70 for majority of schemes. The Maximum level of diversification is seen for Religare Growth Fund (0.892). Table 2 presents performance of equity mutual funds as measured according to risk adjusted performance measures namely Sharpe Ratio and Treynor Ratio. Both the Sharpe ratio and Treynor ratio are found positive for each and every scheme meaning thereby that the Equity Schemes have succeeded in providing the risk premium to fund investors. The Sharpe ratio is found the highest (0.179) in Reliance Vision Fund followed by Franklin India Bluechip Fund (0.149) and Franklin India Prima Fund (0.145), where as it is found the lowest in case of Religare Equity Fund (0.005) followed, in upside, by Religare Growth Fund (0.012) and Fidelity International Opportunity Fund (0.015). Table further shows that 18 (67%) schemes Professor B. S. Bodla Delhi School of Professional studies and Research 9

10 have Sharpe ratio higher than that of the market. It means that a large majority of Equity schemes have outperformed the Benchmark, S&P CNX Nifty, according to Sharpe measure. To get further insights, t-test was applied to examine the significance of difference in the risk premium offered by the Equity schemes and the Benchmark. The values of t-test, indicates that such differences are insignificant in case of all schemes except only two i.e. Franklin India Bluechip Fund, Reliance NRI Equity Fund. Hence, the variation in the performance of benchmark and the mutual funds is negligible as per Sharpe s model. Treynor ratio is found the highest in case of Reliance vision Fund followed by Canara Robecco Equity Diversified and Franklin India Prima Fund. The table indicates that of 27 schemes, 23 schemes have outperformed the benchmark, NSE Nifty as per Treynor measures. The results of the t-test indicate that hypothesis of no difference between Treynor ratio of a fund and that of market is accepted at 0.05 level in case of each scheme. It means both ratios do not differ significantly and hence the performance of equity schemes is similar to that of stock market. To examine the selectivity skills of fund managers, Jensen model and Fama model are used. The results of these two models are shown in Tables 3 and 4 respectively. It is obvious from table 3 that, out of 27 schemes, 22 equity schemes have positive alpha values indicating superior performance of the schemes than that of the market. Ranking of schemes according to the value of α indicates that the first rank is obtained by Reliance Vision Fund followed by Franklin India Prima Fund and Canara Robecco Equity Diversified. However, ING Midcap Fund has stood at the last rank, followed, by Canara Robecco Emerging Equity and Religare Growth Fund. The null hypothesis that α = 0 is accepted in case of each scheme except one Franklin India Bluechip Fund because the p value is above 0.05 in each case. Hence, the α values are positive but they are not significant meaning thereby that none of the fund managers has stock picking performance except one i.e. Franklin India Bluechip. Table 4 which gives us results regarding Fama s Components of performance for the Equity Schemes under investigation indicates positive net selectivity in case of 18 schemes and negative net selectivity in 9 schemes. This implies that fund managers make superior selection for majority of schemes as they offer excess portfolio return in comparison to the expected return at diversifiable risk. However, on the selectivity aspect, 4 schemes namely Fidelity International Opportunity fund, ING Core Equity, UTI Master Value Fund and UTI top 100 Funds, have earned the positive return but net selectivity of these schemes turns negative, so it would mean that the fund managers have taken diversifiable risk that has not been Professor B. S. Bodla Delhi School of Professional studies and Research 10

11 compensated by the extra returns. It is also important to report that all the schemes, which have shown negative selectivity following Jensen criteria (table 3), have also scored negative selectivity with same values following Fama measures. The table 4 also reveals that, at overall level, the average risk premium is found high (0.196 percent) and it is approximately 50 percent portion of the actual average weekly return(0.405%) earned by sample schemes. This might be because of higher level of systematic risk assumed by the schemes as their beta is seen between 0.8 and 1. On the whole, the average selectivity skills of the fund managers have contributed to extra weekly return of percent but after taking compensation for the inadequate diversification, average net selectivity has left with the return of 0.04 percent. So it can be said that, in general, the mutual fund managers in India are able to generate a low level of superior return by their stock selection ability. The evidence of positive stock selection ability has been further confirmed by Henriksson-Merton models (HM) model as reported in Table 5. While this table indicates the positive α value for all sample schemes but it is found significant, at 5 percent level, in case of only 11 schemes out of 27. These findings are consistent with the findings obtained by other studies focusing on international and national equity funds [Gallo & Swanson, (1996); Block et al (1989); Chander (2006); Soumya Guha Deb (2007); Sehgal and Jhanwar (2008)]. The results of Henriksson-Merton models (HM) shows that the market timing ability of fund managers is virtually absent, as there is strong evidence of a negative market timing ability shown by the occurrence of negative and significant value of γ for majority of schemes. It is found that managers of only two schemes, viz, Sahara Midcap and Reliance Growth Fund possess market timing skills. But, the t-value for γ was not found statistically significant at 5 per cent level even for these two schemes. So the empirical results do not lend support to the hypothesis that Indian fund managers are able to time the market appropriately. These results are similar to those found by other researchers utilising data from Indian mutual funds [(Raju and Rao, (2009); Deb, Banerjee and Chakrabarti, (2007); and Tripathy, (2006)]. In nutshell, it can be said that none of the schemes rewarded the investors and the main constraint on the portfolio managers is that they cannot book the profits when the market is in boom phase due to lack of depth in the market. The study also attempts to calculate Spearman s rank correlation between the ranks of various selectivity measurement criterion and the results in this regard are given in Table 6. The extent of association between Professor B. S. Bodla Delhi School of Professional studies and Research 11

12 the ranking under Jensen (1968), Fama (1972) and Henriksson Merton models (1981) is highly significant at 0.01 and 0.02 levels. The correlation is found higher (0.897) between Jensen & Fama as compared to that between Jensen & HM and between Fama & HM. The study has also tried to examine whether there is any close association between the market timing abilities and selectivity skills. The Karl Pearsons Coefficient of Correlation for this is Thus, the relation between α and γ (Henriksson-Merton models) is significantly very strong at 0.01 level but negative which affirm that fund managers with superior stock selection abilities are not good market timers and vice-versa. Conclusions This paper investigates the performance of mutual fund managers in India in terms of risk adjusted performance of the funds and market timing & stock selectivity skills of fund managers. The period under study ranges from January 2002 to June The overall average weekly return of sample schemes works out for this duration and the same is found higher than that of the market return for the similar duration. The beta value for most of the schemes is found less than one but more than 0.7. It implies that these schemes tend to hold portfolios which are less risky than the market portfolio. The majority of schemes indicate towards a well diversification of portfolios as the coefficient of determination stood above The difference in return per unit of risk as offered by the select schemes and that of benchmark is not found significant at 0.05 level in case of both Sharpe Ratio and Treynor Ratio except only two schemes as per Sharpe ratio. The results pertaining to the selectivity skills of fund managers have revealed that majority of schemes possess positive net selectivity based on Fama criterion and in terms of Jensen criterion also, the stock selection ability of portfolio managers have found positive for majority of schemes. The result of stock selection skills abilities based on Fama are also confirmed by the HM model. However, the empirical findings do not reveal any general ability of the fund managers to time the market correctly. In nutshell, it may be concluded that a majority of the mutual fund managers of equity funds are not successful in market timing of investment decision and are relying a little bit on stock selection. Professor B. S. Bodla Delhi School of Professional studies and Research 12

13 REFERENCES Anand, S and Murugaiah, V (July-September 2007), Analysis of Components of Investment Performance An Empirical Study of Mutual Funds in India, Indian Journal of Capital Market, pp Chander, R (2005), Empirical Investigation on the Investment Managers Stock Selection Ability: The Indian Experience, The ICFAI Journal of Applied Finance, Vol. 11, No. 7, pp Chaudhary, Kapil (2007), The Component of Investment Performance of Fund Managers: Evidences from Indian Capital Market, Abhigyan Quest for Excellence, Vol. 15, No. 2, pp Deb, Souma, Banerjee and Chakrabarti (2007), Market Timings and Stock Selection Ability of Mutual Funds in India: An Empirical Investigation, Vikalpa, Vol. 32, No. 2 pp Dhar, Joyjit, Investment Management of Mutual Funds: Evidence of Timing and Selectivity from India during , George, Athanassakos, Peter, Carayannopoulos and Marie, Racine (2002), Mutual Fund Performance in Canada, , Canadian Investment Review. Henriksson, R. and. Merton, R (1981), On Market Timing and Investment Performance, Journal of Business, Vol. 57, No. 4, pp Kon, S. J (1983), The Market Timing Performance of Mutual Fund Managers, Journal of Business, Vol. 56, No. 3, pp Kundu, Abhijit (2009), Stock Selection Performance of Mutual Fund Managers in India: An Empirical Study, Journal of Business and Economic Issues, Vol. 1, No. 1, pp Mishra, Biswadeep (2002), Selectivity and Timings Skills of Mutual Funds in India: An Empirical Analysis, The ICFAI Journal of Applied Finance, Vol. 8, No. 5, pp Raju, B Phaniswara and Rao, K Malikaarjuna (2009), Market Timing Ability of Selected Mutual Funds in India: A Comparative Study, The ICFAI Journal of Applied Finance, Vol. 15, No.13, pp Thanou, Eleni (2008), Mutual Fund Evaluation During Up and Down Market Conditions: The Case of Greek Equity Mutual Funds, International Research Journal of Finance and Economic, Issue 13 Professor B. S. Bodla Delhi School of Professional studies and Research 13