Unconditional Asset Pricing Models: Performance of Indian Equity Mutual Funds

Abstract

This study evaluates the performance of Indian Mutual Funds using various risk-adjusted models. Here we used 167 actively managed equity schemes over fourteen years retrieved from the most prominent openly available database maintained by the AMFI since its inception. Instead, we used the daily data rather than the low-frequency monthly or quarterly data. The active managers make decisions proactively regarding macroeconomic events, which the high-frequency data can better explain. We have estimated scheme-wise and the overall performance using CAPM, Fama- French, Carhart, 3M, and 4M models. Results contribute to the literature by proving the existence of superior Indian fund performance. Further, the study concludes that the 4M model is a better model for capturing the performance of Indian Mutual Funds.