Performance Evaluation of Indian Mutual Funds

24 Pages Posted: 13 Oct 2003

See all articles by Narayan Rao Sapar

Narayan Rao Sapar

Indian Institute of Technology (IIT), Bombay - Shailesh J. Mehta School of Management (SJM)

Ravindran Madava

Tata Power Company Ltd.

Abstract

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.

Keywords: mutual funds, performance evaluation, risk-return analysis

JEL Classification: G23

Suggested Citation

Sapar, Narayan Rao and Madava, Ravindran, Performance Evaluation of Indian Mutual Funds. Available at SSRN: https://ssrn.com/abstract=433100 or http://dx.doi.org/10.2139/ssrn.433100

Narayan Rao Sapar (Contact Author)

Indian Institute of Technology (IIT), Bombay - Shailesh J. Mehta School of Management (SJM) ( email )

Powai
Mumbai 400076
India
+91-22-2576 7744 (Phone)
+91-22-2572 2872 (Fax)

Ravindran Madava

Tata Power Company Ltd. ( email )

Mumbai, Maharashtra 400001
India

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