Endogenous Benchmarking of Sectoral Mutual Funds:A Case Study

Performance evaluation studies of mutual funds operating in the Indian capital markets have mostly used ratio analysis involving methodologies suggested by Sharpe and Treynor. The present paper makes use of non-parametric endogenous benchmarking to evaluate the performance of 16 sectoral mutual fund schemes based on observations for the period July-December 2010. The study uses both the reward to variability and reward to lower partial moment framework for the measurement of pure technical efficiency and scale efficiency of the in-sample mutual fund schemes. The results indicate that 3 schemes achieved technical efficiency in the reward to variability framework while 2 schemes were found to be efficient if one uses the reward to lower partial moment framework.