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Author: Narayan Rao Sapar
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
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Book Description
In this paper the performance evaluation of Indian mutual funds in a bear market is carried out through relative performance index, risk-return analysis, Treynor's ratio, Sharp's ratio, Sharp's measure, Jensen's measure, and Fama's measure. The data used is monthly closing NAVs. The source of data is website of Association of Mutual Funds in India (AMFI). Study period is September 98-April 02 (bear period). We started with a sample of 269 open ended schemes (out of total schemes of 433) for computing relative performance index. Then after excluding the funds whose returns are less than risk-free returns, 58 schemes were used for further analysis. Mean monthly (logarithmic) return and risk of the sample mutual fund schemes during the period were 0.59% and 7.10%, respectively, compared to similar statistics of 0.14% and 8.57% for market portfolio. The results of performance measures suggest that most of the mutual fund schemes in the sample of 58 were able to satisfy investor's expectations by giving excess returns over expected returns based on both premium for systematic risk and total risk.
Author: Narayan Rao Sapar
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
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Book Description
In this paper the performance evaluation of Indian mutual funds in a bear market is carried out through relative performance index, risk-return analysis, Treynor's ratio, Sharp's ratio, Sharp's measure, Jensen's measure, and Fama's measure. The data used is monthly closing NAVs. The source of data is website of Association of Mutual Funds in India (AMFI). Study period is September 98-April 02 (bear period). We started with a sample of 269 open ended schemes (out of total schemes of 433) for computing relative performance index. Then after excluding the funds whose returns are less than risk-free returns, 58 schemes were used for further analysis. Mean monthly (logarithmic) return and risk of the sample mutual fund schemes during the period were 0.59% and 7.10%, respectively, compared to similar statistics of 0.14% and 8.57% for market portfolio. The results of performance measures suggest that most of the mutual fund schemes in the sample of 58 were able to satisfy investor's expectations by giving excess returns over expected returns based on both premium for systematic risk and total risk.
Author: Kaushik Bhattacharjee
Publisher:
ISBN:
Category :
Languages : en
Pages : 10
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Book Description
This paper calculates the Performance Change measure (PCM) developed by Grinblatt amp; Titman (Journal of Business, 1993, vol. 66, no. 1)for a sample of 50 Indian mutual funds over a period of 26 months. PCM as a measure has some advantages compared to the traditional measures, the most important one being - it is free from using a benchmark portfolio and consequently the resulting biases arising out of usage of such a portfolio. So by using PCM as a measure, this paper, without using any benchmark, attempts to asses whether the selected mutual funds are able to provide above-normal return on average - using no more information than what is available to the common investor. PCM has been calculated for one month, one quarter, and one year lag. And using PCM as a measure the study finds that though in the short term, the mutual funds were unable to generate above-normal return but on the average the combined PCM of all the mutual funds is significantly different from zero, which are in agreement with the original findings of Grinblatt amp; Titman, in this Indian context.
Author: Dr. Subrata Roy
Publisher: RED'SHINE Publication. Pvt. Ltd
ISBN: 9395456353
Category : Antiques & Collectibles
Languages : en
Pages : 235
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Book Description
Author: Soumya Guha Deb
Publisher: LAP Lambert Academic Publishing
ISBN: 9783844321111
Category :
Languages : en
Pages : 332
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Book Description
The mutual funds in India have registered significant growth and emerged as important financial intermediaries during the past decade or so, manifested by increased mobilization of funds and the increasing number of schemes and investors. To fulfill the expectations of millions of unit holders, the mutual funds are required to function as successful institutional investors. Evaluating performance of mutual fund managers vis-a-vis such a goal, is important for both the investors as well as the fund managers. Fund managers in India, periodically publish various performance reports using standard measures, which may not actually reflect the true investment performance of the funds. The present study evaluated the performance of the equity mutual funds in India during the period from 2000 to 2006, using a new framework.A number of new performance indicators are used for the purpose, and it is hoped that this attempt should highlight the efficiency and true competence of fund managers and augment the existing framework for identifying successful fund managers. It should benefit the investors, regulators, fund managers and other participants in the mutual fund industry in gene
Author: Muruganandan S
Publisher:
ISBN:
Category :
Languages : en
Pages : 16
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Book Description
This paper examines the performance of Indian Fund of Mutual Funds (FoFs) during the period from April 2008 to March 2011. The performance of each FoFs during the study period is assessed by employing the performance measures of average excess return, Sharpe ratio and Jensen's alpha. Sharpe ratio and Jensen alpha indicate that most of the selected funds give higher return than the market index for the given level of risk. Hence, it is concluded that the selected funds outperformed the benchmark index i.e. BSE 500 index during the study period.
Author: Sharad Panwar
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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Book Description
The study used sample of public-sector sponsored amp; private-sector sponsored mutual funds of varied net assets to investigate the differences in characteristics of assets held, portfolio diversification, and variable effects of diversification on investment performance for the period May, 2002 to May, 2005. The study found that public-sector sponsored funds do not differ significantly from private-sector sponsored funds in terms of mean returns%. However, there is a significant difference between public-sector sponsored mutual funds and private-sector sponsored mutual funds in terms of average standard deviation, average variance and average coefficient of variation (COV). The study also found that there is a statistical difference between sponsorship classes in terms of e SDAR (excess standard deviation adjusted returns) as a performance measure. When residual variance (RV) is used as the measure of mutual fund portfolio diversification characteristic, there is a statistical difference between public-sector sponsored mutual funds and private-sector sponsored mutual funds for the study period. The model built on testing the impact of diversification on fund performance and found a statistical difference among sponsorship classes when residual variance is used as a measure of portfolio diversification and excess standard deviation adjusted returns as a performance measure. RV, however, has a direct impact on Sharpe fund performance measure.
Author: G. Sekhar
Publisher: Springer
ISBN: 1137407999
Category : Business & Economics
Languages : en
Pages : 201
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Book Description
Dr. Sekhar offers comprehensive knowledge on the mutual fund industry in India and provides ready-made practical information for investors. He presents an overview of investment patterns for both public and private sector mutual funds, and analyses the performance of selected schemes using various measures of risk.
Author: Bijan Roy
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
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Book Description
One of the most important developments in the field of finance during last forty years is the mutual fund performance evaluation technique. The traditional techniques use the unconditional moments of the returns. Such techniques cannot capture the time-varying element of expected return. As a consequence Ferson and Schadt (96) advocate a technique called conditional performance evaluation, designed to address this problem. This paper utilizes that technique on a sample of 89 Indian mutual fund schemes, over the period of 1999:1 to 2003:7. The broad based Samp;P CNX 500 is used in the study as benchmark. The study uses the lagged information variables - T-bill yield, dividend yields, term structure yield spread and a dummy for April-effect. The paper measures the performance with both unconditional and conditional form of - CAPM, Treynor-Mazuy model and Henriksson-Merton model. We examine the effect of incorporating lagged information variables into the evaluation of mutual fund managers' performance in Indian context. The result suggests that the use of conditioning lagged information variables improves the performance of the mutual fund schemes, causing the alphas to shift towards the right and reducing the number of negative timing coefficients. Tech rally of 1999 to 2001 is a major event in the history of Indian capital market. We have also incorporated the impact of the tech rally in the conditional models by introducing a dummy variable indicating the period of rally in tech stocks. We found that fund managers' performance as well as timing skill worsens with the inclusion of this dummy.
Author: Bhavinkumar Arvindbhai Patel
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659119019
Category :
Languages : en
Pages : 324
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Book Description
Mutual funds in India: a comprehensive review is an outcome of extensive research work carried out by Dr. Bhavinkumar A. Patel. The basic objectives of this book includes (A) In-depth analysis of mutual fund industry in India (B) Performance evaluation of selected growth oriented schemes operating in India by different blue chip companies and (C) Analysis of perception of investors, brokers and fund managers. This book focuses on the real life growth and development of the mutual fund industry in India considering different parameters like Assets Under Management (AUM), fund mobilized, redemption and repurchase of funds, total schemes launched and in operation under different categories, analysis of growth oriented mutual fund schemes by applying well established measures like Sharpe, Treynor, Jensen and Fama's Net Selectivity. Moreover, it also highlight the perception of investing community and mutual fund professionals. This book would surely provide strong platform to students and professors of finance, mutual fund research scholars, practicing mutual fund professionals and investing community at large.
Author: Nalini Prava Tripathy
Publisher: Excel Books India
ISBN: 9788174465351
Category : Investments
Languages : en
Pages : 284
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Book Description
This well organised, lucidly written textbook explains the basic concepts of mutual fund, operational policies, practices, investment in securities, some aspects of portfolio management, selection, mutual fund marketing, and detailed analysis of the latest developments in mutual fund industries. Apart from this, the book is well equipped with the fundamentals of research with details of statistical tools required for analysis in research work.This comprehensive book is intended as a text for students of management, research scholars, and is a useful reference for practising managers and investors as well as finance professionals who have an interest in this increasingly expanding area. It would also be immensely useful to those pursuing professional courses in marketing and finance area.Key Features:v Pedagogically rich to help students retain and apply chapter conceptsv Comprehensive coverage of Indian financial regulatory bodies and practicesv Discusses in detail about the current status of development and future prospects of mutual fund industry in Indiav Provides exercises to test the students grasp of the subjectv Cases in the Indian contextv Highlights latest trends with figures and tables
