Header menu link for other important links
Performance attribution of mutual funds in India: outperformance or mis-representation?
Published in Wiley
Volume: 59
Issue: S1
Pages: 383 - 409
We conduct a novel holdings‐based performance attribution, particularly suited to emerging markets, for equity‐oriented active mutual funds in India. Although, we find significantly positive alphas for an average fund, the stated benchmarks are grossly mis‐specified. A style‐adjusted benchmark could beat the stated benchmarks by greater margins than the funds themselves. While funds’ trading activity consistently adds value, cash drag and market timing usually diminish value. Although, the best‐performing funds exhibit superior security selection abilities, their outperformance does not persist. However, despite the lack of persistence winner funds continue to generate significantly higher alphas than loser funds for quite some time.
About the journal
JournalData powered by TypesetAccounting and Finance
PublisherData powered by TypesetWiley
Open AccessNo
Concepts (4)
  •  related image
  •  related image
    English syllable structure
  •  related image
    Econometrics and finance (miscellaneous)
  •  related image