Stochastic Dominance and Mutual Fund Benchmarking: Evidence from Sectoral Funds

XI Capital Markets Conference, 21-22 December 2012, Indian Institute of Capital Markets (UTIICM)

27 Pages Posted: 1 May 2013

See all articles by Ram Pratap Sinha

Ram Pratap Sinha

Government College of Engineering and Leather Technology, Kolkata

Date Written: December 21, 2012

Abstract

Performance analysis of mutual funds operating in the Indian markets are mostly dependent on ratio aproach involving methodologies suggested by Sharpe and Treynor. The present paper makes use of non-parametric endogenous benchmarking to evaluate the performance of 16 top performing sectoral mutual fund schemes based on observations for the second half of 2010. The study uses both the ‘reward to volatility’ and ‘reward to lower partial moment framework’ for the measurement of pure technical efficiency and scale efficiency of the in-sample mutual fund schemes. For this, the study uses the concepts of input, ouput and directional distance function.

Keywords: Mutual Fund, Stochastic Dominance, Endogenous Benchmarking, Distance Function

JEL Classification: C61, D21, G23

Suggested Citation

Sinha, Ram Pratap, Stochastic Dominance and Mutual Fund Benchmarking: Evidence from Sectoral Funds (December 21, 2012). XI Capital Markets Conference, 21-22 December 2012, Indian Institute of Capital Markets (UTIICM) . Available at SSRN: https://ssrn.com/abstract=2258325 or http://dx.doi.org/10.2139/ssrn.2258325

Ram Pratap Sinha (Contact Author)

Government College of Engineering and Leather Technology, Kolkata ( email )

Salt Lake, Kolkata, West Bengal 700098
India
919932640161 (Phone)

Register to save articles to
your library

Register

Paper statistics

Downloads
78
Abstract Views
430
rank
307,944
PlumX Metrics