A factorial analysis of information ratio and its causal effect on yearly return of net asset value - A study of Indian equity diversified mutual fund schemes

Suman Chakraborty, Satish Kumar, Lumen Shawn Lobo

Research output: Contribution to journalArticle

Abstract

Evaluation of performance of mutual fund schemes has gained a wide range of attention from both investors and academicians. The study aims at assessing the returns from equity mutual fund schemes in India by applying risk adjusted performance evaluation techniques. The study is based on secondary data collected for ten years for selected open ended equity diversified mutual funds. A comparative assessment of performance of public sector sponsored equity funds and non-government sponsored sector funds bring forth with an interesting inference. The present study also constitutes a modest attempt to assess the information ratio and its causal effect on the average yearly return of Net Asset Value (NAV). Based on the previous research findings, this paper puts an honest effort to identify twelve independent variables which affects significantly the performance of NAV. The evaluation relies on the Sharpe, Trenor and Jensen's technique, which have been applied in conjunction with parametric and non-parametric statistical tools using. The result shows significant relationship exists between the NAV return and fund's risk, information ratio, macro-economic variables such as inflation, interest rates, market index performance, foreign flow of funds and foreign exchange on the basis of regression analysis.

Original languageEnglish
Pages (from-to)707-712
Number of pages6
JournalInternational Journal of Engineering and Technology(UAE)
Volume7
Issue number4.36 Special Issue 36
Publication statusPublished - 01-01-2018

Fingerprint

Financial Management
Regression analysis
Macros
Economics
Public Sector
Economic Inflation
India
Odds Ratio
Regression Analysis
Research

All Science Journal Classification (ASJC) codes

  • Biotechnology
  • Computer Science (miscellaneous)
  • Environmental Engineering
  • Chemical Engineering(all)
  • Engineering(all)
  • Hardware and Architecture

Cite this

@article{c72cf22dcbab4303901ab9cfc38f70cb,
title = "A factorial analysis of information ratio and its causal effect on yearly return of net asset value - A study of Indian equity diversified mutual fund schemes",
abstract = "Evaluation of performance of mutual fund schemes has gained a wide range of attention from both investors and academicians. The study aims at assessing the returns from equity mutual fund schemes in India by applying risk adjusted performance evaluation techniques. The study is based on secondary data collected for ten years for selected open ended equity diversified mutual funds. A comparative assessment of performance of public sector sponsored equity funds and non-government sponsored sector funds bring forth with an interesting inference. The present study also constitutes a modest attempt to assess the information ratio and its causal effect on the average yearly return of Net Asset Value (NAV). Based on the previous research findings, this paper puts an honest effort to identify twelve independent variables which affects significantly the performance of NAV. The evaluation relies on the Sharpe, Trenor and Jensen's technique, which have been applied in conjunction with parametric and non-parametric statistical tools using. The result shows significant relationship exists between the NAV return and fund's risk, information ratio, macro-economic variables such as inflation, interest rates, market index performance, foreign flow of funds and foreign exchange on the basis of regression analysis.",
author = "Suman Chakraborty and Satish Kumar and Lobo, {Lumen Shawn}",
year = "2018",
month = "1",
day = "1",
language = "English",
volume = "7",
pages = "707--712",
journal = "International Journal of Engineering and Technology(UAE)",
issn = "2227-524X",
publisher = "Science Publishing Corporation Inc",
number = "4.36 Special Issue 36",

}

A factorial analysis of information ratio and its causal effect on yearly return of net asset value - A study of Indian equity diversified mutual fund schemes. / Chakraborty, Suman; Kumar, Satish; Lobo, Lumen Shawn.

In: International Journal of Engineering and Technology(UAE), Vol. 7, No. 4.36 Special Issue 36, 01.01.2018, p. 707-712.

Research output: Contribution to journalArticle

TY - JOUR

T1 - A factorial analysis of information ratio and its causal effect on yearly return of net asset value - A study of Indian equity diversified mutual fund schemes

AU - Chakraborty, Suman

AU - Kumar, Satish

AU - Lobo, Lumen Shawn

PY - 2018/1/1

Y1 - 2018/1/1

N2 - Evaluation of performance of mutual fund schemes has gained a wide range of attention from both investors and academicians. The study aims at assessing the returns from equity mutual fund schemes in India by applying risk adjusted performance evaluation techniques. The study is based on secondary data collected for ten years for selected open ended equity diversified mutual funds. A comparative assessment of performance of public sector sponsored equity funds and non-government sponsored sector funds bring forth with an interesting inference. The present study also constitutes a modest attempt to assess the information ratio and its causal effect on the average yearly return of Net Asset Value (NAV). Based on the previous research findings, this paper puts an honest effort to identify twelve independent variables which affects significantly the performance of NAV. The evaluation relies on the Sharpe, Trenor and Jensen's technique, which have been applied in conjunction with parametric and non-parametric statistical tools using. The result shows significant relationship exists between the NAV return and fund's risk, information ratio, macro-economic variables such as inflation, interest rates, market index performance, foreign flow of funds and foreign exchange on the basis of regression analysis.

AB - Evaluation of performance of mutual fund schemes has gained a wide range of attention from both investors and academicians. The study aims at assessing the returns from equity mutual fund schemes in India by applying risk adjusted performance evaluation techniques. The study is based on secondary data collected for ten years for selected open ended equity diversified mutual funds. A comparative assessment of performance of public sector sponsored equity funds and non-government sponsored sector funds bring forth with an interesting inference. The present study also constitutes a modest attempt to assess the information ratio and its causal effect on the average yearly return of Net Asset Value (NAV). Based on the previous research findings, this paper puts an honest effort to identify twelve independent variables which affects significantly the performance of NAV. The evaluation relies on the Sharpe, Trenor and Jensen's technique, which have been applied in conjunction with parametric and non-parametric statistical tools using. The result shows significant relationship exists between the NAV return and fund's risk, information ratio, macro-economic variables such as inflation, interest rates, market index performance, foreign flow of funds and foreign exchange on the basis of regression analysis.

UR - http://www.scopus.com/inward/record.url?scp=85059985793&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85059985793&partnerID=8YFLogxK

M3 - Article

VL - 7

SP - 707

EP - 712

JO - International Journal of Engineering and Technology(UAE)

JF - International Journal of Engineering and Technology(UAE)

SN - 2227-524X

IS - 4.36 Special Issue 36

ER -