AN ANALYSIS OF PERFORMANCE PERSISTENCE IN INDIAN MUTUAL FUND USING HURST EXPONENT
DOI:
https://doi.org/10.47413/vidya.v3i1.308Keywords:
Mutual funds, Performance persistence, Rescaled range analysis, Hurst exponent, FractalAbstract
We empirically investigated the presence of long memory in financial return series data of selected equity oriented mutual funds in India. The Hurst exponent, a non parametric test was used as the measurement of performance persistence to show presence of long memory. We used Net Asset Value (NAV) of 33 equity oriented growth based Indian mutual funds from different categories which showed a diversified picture of the mutual fund industry in India for the period 2003-2019. We empirically found that the degree of performance persistence is positive in case of selected funds and a few funds showed randomness or Brownian motion. The result suggested that the performance persistence exists in Indian mutual funds, applying the Rescaled Range method of Hurst exponent analysis.
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