Multi-Index Conditional Investment Performance Measure: An Empirical Analysis

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.

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Multi-Index Conditional Investment Performance Measure: An Empirical Analysis

GIS Business ◽

10.26643/gis.v12i1.3374 ◽

2017 ◽

Vol 12 (1) ◽

pp. 14-31

Author(s):

Subrata Roy

Keyword(s):

Empirical Analysis ◽

Mutual Fund ◽

Public Information ◽

Fund Performance ◽

Performance Measure ◽

Mutual Fund Performance ◽

Investment Performance ◽

Multi Index ◽

Time Lagged ◽

Index Measure

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.

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Multi-Index Conditional Investment Performance Measure: An Empirical Analysis

GIS Business ◽

10.26643/gis.v11i3.3434 ◽

2016 ◽

Vol 11 (3) ◽

pp. 14-31

Author(s):

Subrata Roy

Keyword(s):

Empirical Analysis ◽

Mutual Fund ◽

Public Information ◽

Fund Performance ◽

Performance Measure ◽

Mutual Fund Performance ◽

Investment Performance ◽

Multi Index ◽

Time Lagged ◽

Index Measure

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.

Download Full-text

Multi-Index Conditional Investment Performance Measure: An Empirical Analysis

GIS Business ◽

10.26643/gis.v12i2.3360 ◽

2017 ◽

Vol 12 (2) ◽

pp. 14-31

Author(s):

Subrata Roy

Keyword(s):

Empirical Analysis ◽

Mutual Fund ◽

Public Information ◽

Fund Performance ◽

Performance Measure ◽

Mutual Fund Performance ◽

Investment Performance ◽

Multi Index ◽

Time Lagged ◽

Index Measure

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.

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The level of sustainability and mutual fund performance in Europe: An empirical analysis using ESG ratings

Corporate Social Responsibility and Environmental Management ◽

10.1002/csr.2175 ◽

2021 ◽

Author(s):

Guido Abate ◽

Ignazio Basile ◽

Pierpaolo Ferrari

Keyword(s):

Empirical Analysis ◽

Mutual Fund ◽

Fund Performance ◽

Mutual Fund Performance

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Double-Adjusted Mutual Fund Performance

The Review of Asset Pricing Studies ◽

10.1093/rapstu/raaa011 ◽

2020 ◽

Author(s):

Jeffrey A Busse ◽

Lei Jiang ◽

Yuehua Tang

Keyword(s):

Cross Section ◽

Mutual Fund ◽

Factor Model ◽

Fund Performance ◽

Factor Models ◽

Performance Measure ◽

Mutual Fund Performance ◽

Percentile Ranking ◽

Traditional Performance ◽

Performance Estimates

Abstract Mutual fund returns are significantly related to stock characteristics in the cross-section after controlling for risk via factor models. We develop a new double-adjusted approach that controls for both factor model betas and stock characteristics in one performance measure. The new measure substantially affects performance rankings, with a quarter of funds experiencing a change in their percentile ranking greater than 10. Double-adjusted performance produces strong evidence of persistence in relative performance. Inference based on the new measure often differs, sometimes dramatically, from that based on traditional performance estimates.

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