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A Comparative Study of Mutual Fund Performance during Recession in India


Affiliations
1 Assistant Professor in commerce, Rabindra Mahavidyalaya, Champadanga, Hooghly, West Bengal, India
2 Professor in Commerce, Department of Commerce, The University of Burdwan, Golapbag Campus, Burdwan, West Bengal, India
     

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This study has sought to examine the comparative performance of the open-ended gilt schemes of three types of companies which have been separated according to their ownership styles (Public sector, Indian private sector&foreign private sector). This study is related with financial recession that had been occurred in the year of 2008-2009 (January 2008 to February 2009). In this study the month end net asset values of the open-ended gilt mutual fund schemes have been taken into account and the data have been obtained from the website of Association of Mutual Funds in India (AMFI). This paper has examined the risk-adjusted performance, selectivity performance, diversification performance and market-timing performance of the open-ended gilt mutual fund schemes in the period of recession. In this study, Sharpe and Treynor measures have been applied to measure the risk-adjusted performance and along with these, different coefficients have been estimated to examine the selectivity, market-timing and diversification performances of the open-ended gilt schemes offered by Indian public&private sector mutual fund companies as well as the firms belonging to foreign private sector. It has been observed that the performance of the open-ended gilt schemes of different types of companies is not satisfactory during the recession period. However, the returns of all but one of the selected open-ended gilt schemes are seen to have been positive. However, the observed positive performances of the selected schemes are not statistically significant.

Keywords

Mutual Fund, Performance, Recession, Sharpe Model, Treynor Model
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  • A Comparative Study of Mutual Fund Performance during Recession in India

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Authors

Subrata Roy
Assistant Professor in commerce, Rabindra Mahavidyalaya, Champadanga, Hooghly, West Bengal, India
Shantanu Kumar Ghosh
Professor in Commerce, Department of Commerce, The University of Burdwan, Golapbag Campus, Burdwan, West Bengal, India

Abstract


This study has sought to examine the comparative performance of the open-ended gilt schemes of three types of companies which have been separated according to their ownership styles (Public sector, Indian private sector&foreign private sector). This study is related with financial recession that had been occurred in the year of 2008-2009 (January 2008 to February 2009). In this study the month end net asset values of the open-ended gilt mutual fund schemes have been taken into account and the data have been obtained from the website of Association of Mutual Funds in India (AMFI). This paper has examined the risk-adjusted performance, selectivity performance, diversification performance and market-timing performance of the open-ended gilt mutual fund schemes in the period of recession. In this study, Sharpe and Treynor measures have been applied to measure the risk-adjusted performance and along with these, different coefficients have been estimated to examine the selectivity, market-timing and diversification performances of the open-ended gilt schemes offered by Indian public&private sector mutual fund companies as well as the firms belonging to foreign private sector. It has been observed that the performance of the open-ended gilt schemes of different types of companies is not satisfactory during the recession period. However, the returns of all but one of the selected open-ended gilt schemes are seen to have been positive. However, the observed positive performances of the selected schemes are not statistically significant.

Keywords


Mutual Fund, Performance, Recession, Sharpe Model, Treynor Model

References