Download or read book Fund Performance Measurement Without Benchmark A Case of Select Indian Mutual Funds written by Kaushik Bhattacharjee and published by . This book was released on 2013 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Measuring Mutual Fund Performance written by Varun Dawar and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In early January 2015, in his home office in Mumbai, India, Sandeep Gupta, pondered if the investment strategy he had used for the previous ten years was the optimal strategy and whether he should modify it. That is, since 2005 Sandeep had been allocating his investible money saved out of his annual salary through systematic investment plans to four open-ended mutual funds, namely HDFC Top 200 Fund, Franklin India Bluechip Fund, SBI Magnum Equity Fund, and Reliance Growth Fund. After almost a decade of investing through mutual funds, Sandeep wondered whether his investment strategy had worked and whether these funds have outperformed relative to the benchmark indices. Sandeep knew that evaluating fund performance solely on the basis of average returns would not be meaningful as absolute returns needed to be adjusted for risk undertaken before they can be compared. With this quantitative analysis in mind, Sandeep decided to focus on the proposed computation of various fund performance measures such as the Sharpe ratio, Treynor ratio, Jensen's alpha, information ratio, M-square measure, and Sortino ratio. The case puts the students in a financial analyst role and illustrates the relevance and computation of various risk-adjusted measures of fund/portfolio performance for investors' rational decision-making over a period of time.
Download or read book A Brief Analysis of Performance and Persistence of Selected Mutual Fund Schemes written by Moid U. Ahmad and published by . This book was released on 2015 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Any study of financial markets during a financial crisis always gives important findings. The time period in this study includes the time period which went into the making of the U.S. financial crisis. It analyzes the trend and tries to study the performance as well as persistence in performance. In this paper the performance evaluation of Indian mutual funds is carried out using certain tertian traditional and modern techniques. The objective of the paper is dual, first to analyze the performance and persistence in mutual funds and second, to be used as a case for understanding the technical concepts related to performance in investments.
Download or read book Persistence Survivorship Bias in Mutual Funds An Indian Experience written by Manju Punia Chopra and published by LAP Lambert Academic Publishing. This book was released on 2012-03-01 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study utilizes few selected performance evaluation techniques on a sample of 36 Indian mutual fund schemes, over the period of January 2001 to September 2009. The broad based S&P CNX NIFTY is used in the study as a benchmark. The results concluded that these 36 mutual fund managers were on average not able to predict security prices well enough to outperform a buy-the-market-and-hold policy. There was very little evidence of any individual fund being able to do significantly better than which was expected from random chance. On the other hand, no evidence of curvature of the characteristic lines, indicating superior timing skill, is found for any of the funds. In addition, the study offers little evidence of persistence in either the stock selection ability or the timing ability of the fund managers. Mutual fund attrition can create problems for a researcher because funds disappear due to presumably poor performance resulting into bias in research outcome. In this study we also revisit the mutual fund performance, including the disappeared mutual fund schemes during sample period. By tracking disappeared funds, the study does not find any evidence of survivorship bias.
Download or read book Characteristics and Performance Evaluation of Selected Mutual Funds in India written by Sharad Panwar and published by . This book was released on 2006 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Performance Evaluation of Indian Fund of Mutual Funds written by Muruganandan S and published by . This book was released on 2016 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Indian Mutual Fund Industry written by G. Sekhar and published by Springer. This book was released on 2014-08-29 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Performance Measurement Without Benchmark written by Chanatip Pumhiran and published by . This book was released on 2009 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mutual Funds in India written by Nalini Prava Tripathy and published by Excel Books India. This book was released on 2007 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Performance Evaluation of Mutual Funds written by Mamta and published by . This book was released on 2017 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual Fund is professionally managed trust that pools the money of various investors and further invests them, into different securities like shares, bonds and short term securities like certificate of deposit, commercial paper etc. and commodities like precious metals. In India the origin of Mutual Funds industry can be traced, since the enactment of UTI (Unit Trust of India) Act, 1963. The mutual funds industry grew successfully and brought about substantial returns to the investors and the public sector. Mutual funds provide opportunities for small investors, to participate in the capital market without assuming a very high degree of risk. An important principle of investment in capital market is that do not put all the eggs in one basket i.e. diversification. A small investor is not able to have a diversified portfolio mainly due to paucity of resources. However, a mutual fund pools together the savings of such small investors and invests the same in the capital market and passes the benefits to the investors. Thus, investors can indirectly participate in the capital market by subscribing to the units of mutual funds. Mutual funds employ professional fund managers to manage the investment activities. Therefore, investors also get benefits of professional expertise of these managers. Daily opening & closing NAV of different schemes have been used to calculate the returns from the fund schemes. BSES ensex has been used for market portfolio. The main aim of this paper is, to evaluate the performance of Indian equity diversified mutual funds. A subsidiary aim is to analyze the relationship between risk and return of these funds, based on total risk and systematic risk. The analysis was achieved, by assessing various financial tests like Average Return, Sharpe Ratio, Treynor Ratio, Standard Deviation, Beta and Coefficient of Determination (R2). The data has been taken from various websites of mutual fund schemes and from amfiindia.com. The analysis depicts that, majority of funds selected for study have outperformed, under Sharpe Ratio as well as Treynor Ratio.
Download or read book Performance of Mutual Funds written by Bhavinkumar Arvindbhai Patel and published by LAP Lambert Academic Publishing. This book was released on 2012-07 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Performance Evaluation of Indian Mutual Funds written by Narayan Rao Sapar and published by . This book was released on 2003 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book An Analysis of Performance of Mutual Funds written by Tarini Chauhan and published by . This book was released on 2014 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual fund is a mechanism for pooling the resources by issuing units to the investors and investing funds in securities in accordance with their objectives. Investors need to know how risky individual assets are and what their contribution to the total risk of a portfolio would be. Plenty of Mutual Funds are available where the investors can put their money. Before investing they want to know which fund gives more return, which fund is performing well, which fund is more risky etc. In this study the performance evaluation of balanced mutual funds scheme is carried out through risk adjusted performance measure by Sharpe's, Treynor's, Jensen's Index which will ultimately help investors to choose the best mutual fund generating maximum return with minimum risk. Risk and return can be analyzed by finding out Average Return, Standard Deviation and Beta. The data used is monthly closing NAV recorded in the period starting from 1st April 2011 to 31st March 2012. Single year has been taken in the present times; it is tough to take any year as a normal year. The study reveals that private sector has performed better as compared to its counterpart in case of average return, standard deviation and beta. The risk-adjusted performance measures depicted poor performance of the sample schemes but public sector was preferred in this regard.
Download or read book Forging Connections between Computational Mathematics and Computational Geometry written by Ke Chen and published by Springer. This book was released on 2016-01-03 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents original research contributed to the 3rd Annual International Conference on Computational Mathematics and Computational Geometry (CMCGS 2014), organized and administered by Global Science and Technology Forum (GSTF). Computational Mathematics and Computational Geometry are closely related subjects, but are often studied by separate communities and published in different venues. This volume is unique in its combination of these topics. After the conference, which took place in Singapore, selected contributions chosen for this volume and peer-reviewed. The section on Computational Mathematics contains papers that are concerned with developing new and efficient numerical algorithms for mathematical sciences or scientific computing. They also cover analysis of such algorithms to assess accuracy and reliability. The parts of this project that are related to Computational Geometry aim to develop effective and efficient algorithms for geometrical applications such as representation and computation of surfaces. Other sections in the volume cover Pure Mathematics and Statistics ranging from partial differential equations to matrix analysis, finite difference or finite element methods and function approximation. This volume will appeal to advanced students and researchers in these areas.
Download or read book A Study On Performance Evaluation Of Select Mutual Funds In India written by Dr B Ratnavalli and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book INDIAN MUTUAL FUNDS PERFORMANCE MEASURES written by Dr. Subrata Roy and published by RED'SHINE Publication. Pvt. Ltd. This book was released on with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Intricate Multiple Factor Approach to Evaluate Performance of Indian Mutual Fund written by S. Bhatt and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This research paper examines performance of top twelve Indian mutual funds by Asset Under Management (AUM). We use seven portfolio performance measurement parameters like Alpha, Beta, Standard Deviation, R Squared, Sharpe Ratio, Treynor Ratio and Jensen's Alpha. The study reveals which amongst these mutual fund is the best performer based on all these parameters and the benchmark taken for this is NIFTY Index. The mutual funds selected are HDFC Top 200 Fund, Franklin India Bluechip Fund, ICICI Prudential Focused Bluechip Equity Fund, DSPBR Top 100 Equity Fund, Birla Sun Life Equity Fund, DSPBR Top 100 Equity Fund, UTI Mastershare Fund, Reliance Equity Opportunity Fund, SBI Magnum Equity, Reliance Top 200 Fund, SBI Bluechip Fund, ICICI Prudential Top 200 Fund, Principal Large Cap Fund. This study is primarily done to evaluate performance of the select mutual funds over a period of five years.
