Performance of Indian Equity Mutual Funds vis-a vis Their Style Benchmarks: An Empirical Exploration

18 Pages Posted: 14 Feb 2007

See all articles by Soumya Guha Deb

Soumya Guha Deb

Indian Institute of Management, Kolkata

Ashok Banerjee

Indian Institute of Management Calcutta

B. B. Chakrabarti

Indian Institute of Management, Kolkata

Date Written: December 18, 2007

Abstract

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

Suggested Citation

Deb, Soumya Guha and Banerjee, Ashok and Chakrabarti, B. B., Performance of Indian Equity Mutual Funds vis-a vis Their Style Benchmarks: An Empirical Exploration (December 18, 2007). 10th Capital Markets Conference, Indian Institute of Capital Markets. Available at SSRN: https://ssrn.com/abstract=962827 or http://dx.doi.org/10.2139/ssrn.962827

Soumya Guha Deb (Contact Author)

Indian Institute of Management, Kolkata ( email )

Kolkata, West Bengal 700104
India

Ashok Banerjee

Indian Institute of Management Calcutta ( email )

Diamond Harbour Road
Kolkata, West Bengal 700104
India

B. B. Chakrabarti

Indian Institute of Management, Kolkata ( email )

Kolkata, West Bengal 700104
India

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