Abstract
The objective of the study is to analyze performance of the equity diversified mutual fund on the basis of risk-adjusted return over the last 3 years. Future predictions have been made based on this obtained data, which is then matched with the actual values of average return and the return by the buy-and-hold strategy of the investor over the next 1, 2, and 3 years using regression techniques. To get better results, we use bootstrapping and then check the results again. The indices used are Sharpe ratio, Treynor ratio, coefficient of variation, and information ratio, with RBI treasury bill rate as the risk-free rate. The results obtained indicate that most of the indices do not work well in Indian markets, and so there is a need to change the formulae to suit our needs.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Carhart, M.M.: On persistence in mutual fund performance. J. Financ. 52(1), 57–82 (1997)
Grinblatt, M., Titman, S.: The persistence of mutual fund performance. J. Financ. 47(5), 1977–1984 (1992)
Stutzer, M.: Fund managers may cause their benchmarks to be priced ‘risks’. J. Invest. Manag. 1(3), 1–13 (2003)
Elton, E.J., Gruber, M.J., Blake, C.R.: The persistence of risk-adjusted mutual fund performance. J. Bus. 69(2), 133–157 (1996)
Treynor, J.L., Majuy, K.: Can mutual funds outguess the market? Harv. Bus. Rev. 43, 131–136 (1966)
Bhattacharjee, K., Roy, B.: Fund performance measurement without benchmark—a case of select Indian mutual funds. In: 10th Capital Markets Conference, Indian Institute of Capital Markets Paper, December 2006
Deb, S.G., Banerjee, A., Chakrabarti, B.B.: Performance of Indian equity mutual funds vis-a vis their style benchmarks: an empirical exploration. In: 10th Capital Markets Conference, Indian Institute of Capital Markets, December 2006
Sharpe, W.F.: The Sharpe ratio. J. Portf. Manag. 21(1), 49–58 (1994)
Goodwin, T.H.: The information ratio. Financ. Anal. J. 54(4), 34–43 (1998)
Acknowledgments
I must thank Prof. Rajen K. Sinha and Dr. Siddhartha P. Chakrabarty for providing me with all the support and motivation for carrying out the research.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2016 Springer International Publishing Switzerland
About this paper
Cite this paper
Ritesh, R. (2016). Analysis of Performance of Indices for Indian Mutual Funds. In: Chen, K., Ravindran, A. (eds) Forging Connections between Computational Mathematics and Computational Geometry. Springer Proceedings in Mathematics & Statistics, vol 124. Springer, Cham. https://doi.org/10.5176/2251-1911_CMCGS14.21_19
Download citation
DOI: https://doi.org/10.5176/2251-1911_CMCGS14.21_19
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-16138-9
Online ISBN: 978-3-319-16139-6
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)