Performance of Indian Equity Mutual Funds vis-a vis Their Style Benchmarks

By: Material type: ArticleArticleLanguage: ENG Series: ; 14Publication details: Jan 2008 0Edition: 1Description: 49-74 PpSubject(s): DDC classification:
  •  Guh
Online resources: Summary: This paper focuses on return-based style analysis of equity mutual funds in India using quadratic optimization of an asset class factor model proposed by William Sharpe. The study finds the `Style Benchmarks' of each of its sample of equity funds as optimum exposure to 11 passive asset class indexes. The study also analyzes the relative performance of the funds with respect to their style benchmarks. The results of the study show that the funds have not been able to beat their style benchmarks on the average.
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This paper focuses on return-based style analysis of equity mutual funds in India using quadratic optimization of an asset class factor model proposed by William Sharpe. The study finds the `Style Benchmarks' of each of its sample of equity funds as optimum exposure to 11 passive asset class indexes. The study also analyzes the relative performance of the funds with respect to their style benchmarks. The results of the study show that the funds have not been able to beat their style benchmarks on the average.

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