Characteristics and Performance Evaluation of Selected Mutual Funds in India

19 Pages Posted: 17 Jan 2006

See all articles by Sharad Panwar

Sharad Panwar

Indian Institute of Technology Madras

R. Madhumathi

Indian Institute of Technology (IIT), Madras

Abstract

The study used sample of public-sector sponsored & 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.

Keywords: Mutual Funds, performance evaluation, risk-return analysis, Net asset value, residual variance, fund return

Suggested Citation

Panwar, Sharad and Madhumathi, R., Characteristics and Performance Evaluation of Selected Mutual Funds in India. Indian Institute of Capital Markets 9th Capital Markets Conference Paper. Available at SSRN: https://ssrn.com/abstract=876402 or http://dx.doi.org/10.2139/ssrn.876402

Sharad Panwar (Contact Author)

Indian Institute of Technology Madras ( email )

Sardar Patel Road
Guindy
Chennai, TN Tamil Nadu
India

R. Madhumathi

Indian Institute of Technology (IIT), Madras ( email )

Sardar Patel Road
Guindy
Chennai, TN Tamil Nadu 600036
India

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