Performance Evaluation of the Active and Passive Mutual Funds in the UK and India
Abstract This paper evaluates the performance of 27 actively managed and 10 passively mutual funds in the UK and India for the period August 2004 and July 2007 by employing traditional measures of performance evaluation. This is broadly divided into two categories: stock selectivity and market timi...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2007
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| Online Access: | https://eprints.nottingham.ac.uk/21431/ |
| Summary: | Abstract
This paper evaluates the performance of 27 actively managed and 10 passively mutual funds in the UK and India for the period August 2004 and July 2007 by employing traditional measures of performance evaluation. This is broadly divided into two categories: stock selectivity and market timing ability. The former is evaluated by employing measures like Sharpe Ratio, Treynor Ratio and Jensen's Alpha and the latter by models by Treynor and Mauzy and Hendriksson and Merton. The objective of the paper is to find out whether the 27 actively managed funds outperform the 10 passive funds or the chosen benchmark indices. Some results show some over/under-performance, but it is also subject to certain limitations. Once these caveats are taken into account in calculating the risk-adjusted returns, the results may be altered. |
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