Fund Performance Measurement Without Benchmark - A Case of Select Indian Mutual Funds

10 Pages Posted: 12 Feb 2007 Last revised: 30 Apr 2013

See all articles by Kaushik Bhattacharjee

Kaushik Bhattacharjee

Institute of Chartered Financial Analysts of India (ICFAI) - The Icfai Institute for Management Teachers (IIMT)

Bijan Roy

ICFAI University

Date Written: December 19, 2006

Abstract

This paper calculates the Performance Change measure (PCM) developed by Grinblatt & 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 & Titman, in this Indian context.

Keywords: Performance Measurement, Mutual Funds, Benchmark

Suggested Citation

Bhattacharjee, Kaushik and Roy, Bijan, Fund Performance Measurement Without Benchmark - A Case of Select Indian Mutual Funds (December 19, 2006). 10th Capital Markets Conference, Indian Institute of Capital Markets Paper. Available at SSRN: https://ssrn.com/abstract=962035 or http://dx.doi.org/10.2139/ssrn.962035

Kaushik Bhattacharjee (Contact Author)

Institute of Chartered Financial Analysts of India (ICFAI) - The Icfai Institute for Management Teachers (IIMT) ( email )

3rd Floor, Astral Heights
Road No. 1, Banjara Hills
Hyderabad, 500 034
India

Bijan Roy

ICFAI University ( email )

Hyderabad, Andhra Pradesh
India

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