Performance of Indian Equity Mutual Funds vis-a vis Their Style Benchmarks: An Empirical Exploration
18 Pages Posted: 14 Feb 2007
Date Written: December 18, 2007
In this paper we did a return based style analysis of equity mutual funds in India using quadratic optimization of an asset class factor model proposed by William Sharpe. We found the 'style benchmarks' of each of our sample of equity funds as optimum exposure to eleven passive asset class indexes. We also analyzed the relative performance of the funds with respect to their style benchmarks. Our results show that the funds have not been able to beat their style benchmarks on the average.
Keywords: Equity, Mutual Funds, Performance Measurement, Benchmarks
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