Journal of Financial Risk Management, 2019, 8, 43-54 http://www.scirp.org/journal/jfrm ISSN Online: 2167-9541 ISSN Print: 2167-9533 DOI: 10.4236/jfrm.2019.82004 Jun. 4, 2019 43 Journal of Financial Risk Management Performance Base Empirical Analysis of Mutual Fund of Nepal Tara Prasad Upadhyaya, Sirjana Chhetri Tribhuvan University, Lumbini Banijya Campus, Butwal, Nepal Email: tpug1969@gmail.com, sirjanachhetri01@gmail.com Abstract The paper analyzes the returns earned by the sample mutual funds ben- chmarking with market return. It also assesses whether they are taking ad- vantages of diversification, market timing and selectivity of securities to their investors. Secondary data of eight sample mutual funds’ have been used from 2015 to 2018 published by Nepal Stock Exchange and respective fund man- ager. Risk adjusted performance measures Jensen alpha, Treynor ratio and Sharpe ratio have been used to analyze return in terms of risk and Co-efficient of Determination (R 2 ), Quadratic Regression of Treynor and Mazuy and Fa- made composition model are employed to assess diversification, market tim- ing and selectivity ability of fund manager. The result explores that funds that are operated from 36 months over-perform benchmark market index and those funds operated for 16 months are suffering from very low return. Fur- ther evidence shows that low amount of diversification, moderate level of se- lectivity and no significant relationship between timing skill and return of funds. Keywords Mutual Fund, Risk, Benchmark, Return 1. Introduction A Mutual Fund is an investment vehicle that pools funds from various investors and invests the funds in stocks, bonds, short-term money-market instruments, other securities or assets or some combination of these investments. The prima- ry goal behind investment in mutual fund is to earn good return with compara- tively low risk. The popularity of mutual fund investment among private investors has grown dramatically all over the world during last 40 years. Therefore, mutual fund per- How to cite this paper: Upadhyaya, T. P., & Chhetri, S. (2019). Performance Base Em- pirical Analysis of Mutual Fund of Nepal. Journal of Financial Risk Management, 8, 43-54. https://doi.org/10.4236/jfrm.2019.82004 Received: March 19, 2019 Accepted: June 1, 2019 Published: June 4, 2019 Copyright © 2019 by author(s) and Scientific Research Publishing Inc. This work is licensed under the Creative Commons Attribution International License (CC BY 4.0). http://creativecommons.org/licenses/by/4.0/ Open Access