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
Date Written: December 21, 2012
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: Suggested Citation