Mutual Fund Portfolios Successive Return Performance on Basis of Downside Risk Measures: An Empirical Study of Selected Equity Diversified Mutual Funds

Jump To References Section

Authors

  • Ravneet Kaur Chawla
     ,IN
  • Mohit Gupta
     ,IN

Keywords:

Downside Risk, Mutual Funds

Abstract

The present study attempts to evaluate downside risk measures for the equity diversified mutual funds. The study randomly selected twelve equity diversified mutual funds and evaluated various downside risk measures namely Semi-Standard Deviation, Sortino Ratio, Upside Potential Ratio, Volatility Skewness and Hurst Index. An attempt is made to further create four portfolios of three mutual fund schemes, each on the basis of the results of downside risk measures. These portfolios are created for two years and are assessed on their average monthly return performance in order to assess the predictability of downside risk measures. None of the portfolios are found to be significantly different from each other, thereby, undermining the importance of downside risk measure as a predictable tool for mutual fund performance.

Downloads

Download data is not yet available.

Metrics

Metrics Loading ...

Downloads

Published

2018-05-17

How to Cite

Kaur Chawla, R., & Gupta, M. (2018). Mutual Fund Portfolios Successive Return Performance on Basis of Downside Risk Measures: An Empirical Study of Selected Equity Diversified Mutual Funds. Journal of Business Thought, 4, 68–80. Retrieved from https://informaticsjournals.co.in/index.php/jbt/article/view/21239

Issue

Volume 4 April 2013 - March 2014

Section

Articles

License

All the articles published in JBT are distributed under a creative commons license. The journal allows the author(s) to hold the copyright of their work (all usages allowed except for commercial purpose).
Received 2018-05-17
Accepted 2018-05-17
Published 2018-05-17

 

References

Association of Mutual Funds of India (2011), AMFI Update: A Newsletter of the Association of Mutual Funds of India, Mumbai.

Ang, A., J.Chen and Y.Xing (2001), "Downside Risk and Momentum Effect”, Working Paper Series, No.8643, The National Bureau of Economic Research.

Ang, A., J.Chen and Y.Xing (2006), "Downside Risk”, Review of Financial Studies, Vol. 19, No.4, pp.

-1239.

Anjaria, D.C. and D.Anjara (2001), "AMFI Mutual Fund Testing Programme Workbook for Distributors and Employees of Mutual Funds in India”, Association of Mutual Funds of India Mumbai.

Berkelaar, A. and R.Kouwenberg (2000), "Dynamic Asset Allocation and Downside Risk Aversion”, Econometric Institute Report, EI 2000-12/A , March 27.

Bollerslev, T. (1986), "Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, Vol. 31, pp. 307-327.

Dhaene, J.L.M., M.J.Goovaerts and R.Kaas (2003), "Economic Capital Allocation Derived from Risk Measures” , North American Actuarial Journal, Vol. 7, No. 2, pp. 44-59.

Deb, S. and A.Banerjee (2009), "Downside Risk Analysis of Indian Equity Mutual Funds: A Value at Risk Approach”, International Research Journal of Finance and Economics, Vol. 23, pp. 216-230.

Estrada, J. (2002), "Systematic Risk in Emerging Markets: The D-CAPM”, Emerging Markets Review, Vol. 3, No. 4, pp. 365-379.

Harlow, V.W. (1991), "Asset Allocation in a Downside Risk Framework”, Financial Analysts Journal, Vol. 47, No. 5, pp. 28-40.

He, X.F. and T.Kwok (2007), "Downside Risk Adjusted Performance Measures: Can They Recognise Bankrupt Asset Allocation Strategies”, M.A. Thesis, Simon Fraser University, Burnaby, Canada.

Lohre, H., T.Neumann and T.Winterfieldt (2009), "Portfolio Construction with Downside Risk”, Retrieved on 12th January 2010 from http://efmaefm.org/0EFMSYMPOSIUM/edhec-2008/harald.pdf.

Markowitz, H. (1959), "Portfolio Selection”, Yale University Press, New Haven.

Post, T. and P.Vliet (2004), "Conditional Downside Risk and The CAPM”, Erasmus Research Institute of Management Report Series Research in Management, Ref. No. ERS-2004-048-F and A.

Pownall, R.A.J and K.G.Koedijk (1999), "Capturing Downside Risk in Financial Markets: The Case of Asian Crises”, Journal of International Money and Finance, Vol. 18, No.3, pp. 853-870.

Roy, A.D. (1952), "Safety First and the Holding of Assets”, Econometrica, Vol. 20, No. 3, pp.

-449.

Sortino, F.A. and L.N.Price (1994), "Performance Measurement in a Downside Risk Framework”, Journal of Investing, Vol. 3, pp. 59-64.

Taxmann's SEBI Manual, Vol. 2 (2008), Taxmann Allied Services (P) Ltd., New Delhi.

Unser, M. (2002), "Lower Partial Moments as Measures of Perceived Risk: An Experimental Study”, Journal of Economic Psychology, Vol. 21, No. 3, pp. 253-280