Composite Portfolio Performance: An Investigation into Indian Mutual Funds
Journal Title: SDMIMD Journal of Management - Year 2014, Vol 5, Issue 1
Abstract
Earlier in the 1960s, though they were aware of the concept of risk, the portfolio managers did not know as to how to measure and hence their performance was measured only in terms of rate of return. Though quite a few measures were developed in 1960s, it was Friend, Blume and Crockett who developed a mechanism to group portfolios into similar risk class. This in fact helped the portfolio managers to compare the performance of various funds more meaningfully in terms of risk-return relationship. Keeping the importance of two sides of investment coin: the Risk and the Return, we, in this paper attempted to analyze the performance of equity linked and diversified funds. We also tested if the portfolio managers' stock selection ability enhanced the performance. We have used measures like Treynor's, Sharpe's, Jensen's Alpha, the Information Ratio and Net Selectivity. Using these measures, we attempted to find out if the portfolio managers could generate above-average rate of return for a given risk class. The sample comprised equity linked savings and diversified funds in Indian context. The analysis was done on quarterly, half yearly, yearly and five yearly basis for each fund. This facilitated us to identify if the time factor played a role in the performance of a given fund. The results revealed that the performance of the fund managers primarily depended on the type of measure. While the fund(s) performed better according to a given method, than that of others in a given risk class, it was vice versa according to other measures. This reveals that the selection of performance measure matters a lot while assessing the performance of a fund. Analysis of Variance (ANOVA) revealed that the performance of a fund depended on time factor also. The results of our study carry very significant implications with respect to portfolio performance analysis.
Authors and Affiliations
P. Janaki Ramudu, Krishna Kumar
Keywords
Related Articles
- EP ID EP556647
- DOI 10.18311/sdmimd/2014/2670
- Views 114
- Downloads 0
Penetration in Rural Market: Private Players Enigma
The rural market in India constitutes 740+ million people, and is by far the largest potential market in the world. More than 600, 000 villages of India house two-thirds of its people, and earn one-third of the national...
Managing Information Security Using New Mobile Banking Data Security Standard [MBDSS] Framework
In this world of computer and communication, 60.6% of world populations are having mobile phones. With the rise in popularity of 3G mobile phones, banks has already started offering their facilities anywhere as user can...
Status of Trainers in Commercial Banks: Nitty Gritties
Trainer is both the captain and the steward of the training mission who not only holds the steering of the training effectiveness but also acts as a problem solver to the trainees. He stimulates the process of learning,...
E Governance, the Journey Ahead: e-Lokshahi Project
In today's knowledge driven business world, companies are employing varied methods and technologies to facilitate fast and easy flow of information among the stakeholders of their enterprise system. Not very far behind a...
Left Brain Right Stuff: How Leaders Make Winning Decisions
Listed in the Best Business Books of 2014, Phil Rosenzweig's book presents an interesting point of view on why it is important to consider both left brain (analytic) and right brain (intuitive and judgment based) approac...