DOI: 10.5176/2251-1911_CMCGS14.21
Authors: Rahul Ritesh
Abstract: The objective of the study is to analyze performance of
the equity diversified mutual fund on the basis of risk-adjusted
return over the last three 3 years. Future predictions have been
made based on this obtained data, which is then matched with
the actual values of average return and the return by the buy and
hold strategy of the investor over the next 1, 2 and 3 years using
regression techniques. To get better results, we use bootstrapping
and then check the results again. The indices used are Sharpe
Ratio, Treynor Ratio, Coefficient of Variation and Information
Ratio, with RBI treasury bill rate as the risk free rate. The results
obtained indicate that most of the indices do not work well in
Indian markets, and so there is a need to change the formulae to
suit our needs.
Keywords: Indian Mutual Funds, Sharpe Ratio, Treynor Ratio, Risk-adjusted return, Performance of Mutual Fund Indices, Information Ratio
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