International Journal of Financial Management

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Multi-Index Conditional Investment Performance Measure:An Empirical Analysis


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1 Dept. of Commerce, Rabindra Mahavidyalaya, Champadanga, Hooghly, West Bengal, India
     

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The present study seeks to examine the mutual fund performance of the open-ended selected equity schemes of UTI based on multi-index measures as well as conditional multi-index measure. It is observed from the analysis that multi-index measure is able to capture the beta and alpha effects on market adjusted basis and the estimated coefficients is a better representative as compared to the single index measure. When time lagged (lagged at 1 month, 2 months, quarterly and yearly) multi-index measures are applied then the estimated coefficients (alpha&beta) which are market adjusted and time adjusted look more representative than the multi-index measure (without lagged effect). Finally, when we extended the time lagged multi-index measure on a conditional way (conditional on public information variables) then we observe that conditional multi-index lagged measure provides much more representative results in all respects as compared to the all measures after conditioning public information effects.

Keywords

Single Index Measure, Multi-Index Measure, Conditional Multi-Index Measure, Stock Selection, Asset Class Exposures.
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  • Multi-Index Conditional Investment Performance Measure:An Empirical Analysis

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Authors

Subrata Roy
Dept. of Commerce, Rabindra Mahavidyalaya, Champadanga, Hooghly, West Bengal, India

Abstract


The present study seeks to examine the mutual fund performance of the open-ended selected equity schemes of UTI based on multi-index measures as well as conditional multi-index measure. It is observed from the analysis that multi-index measure is able to capture the beta and alpha effects on market adjusted basis and the estimated coefficients is a better representative as compared to the single index measure. When time lagged (lagged at 1 month, 2 months, quarterly and yearly) multi-index measures are applied then the estimated coefficients (alpha&beta) which are market adjusted and time adjusted look more representative than the multi-index measure (without lagged effect). Finally, when we extended the time lagged multi-index measure on a conditional way (conditional on public information variables) then we observe that conditional multi-index lagged measure provides much more representative results in all respects as compared to the all measures after conditioning public information effects.

Keywords


Single Index Measure, Multi-Index Measure, Conditional Multi-Index Measure, Stock Selection, Asset Class Exposures.

References