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首页> 外文期刊>Journal of advances in management research >Evaluating alternative performance benchmarks for Indian mutual fund industry
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Evaluating alternative performance benchmarks for Indian mutual fund industry

机译：评估印度共同基金行业的替​​代绩效基准

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Purpose - The purpose of this paper is to perform a relative assessment of performance benchmarks based on alternative asset pricing models to evaluate performance of mutual funds and suggest the best approach in Indian context. Design/methodology/approach - Sample of 237 open-ended Indian equity (growth) schemes from April 2003 to March 2013 is used. Both unconditional and conditional versions of eight performance models are employed, namely, Jensen (1968) measure, three-moment asset pricing model, four-moment asset pricing model, Fama and French (1993) three-factor model, Carhart (1997) four-factor model, Elton et al (1999) five-index model, Fama and French (2015) five-factor model and firm quality five-factor model. Findings - Conditional version of Carhart (1997) model is found to be the most appropriate performance benchmark in the Indian context Success of conditional models over unconditional models highlights that fund managers dynamically manage their portfolios. Practical implications - A significant α generated over and above the return estimated using Carhart's (1997) model reflects true stock-picking skills of fund managers and it is, therefore, worth paying an active management fee. Stock exchanges and credit rating agencies in India should construct indices incorporating size, value and momentum factors to be used for purpose of benchmarking. Originality/value - The study adds new evidence as to applicability of established asset pricing models as performance benchmarks in emerging market India. It examines role of higher order moments in explaining mutual fund returns which is an under researched area.
机译：目的-本文的目的是根据替代资产定价模型对绩效基准进行相对评估，以评估共同基金的绩效并提出印度背景下的最佳方法。设计/方法/方法-使用从2003年4月到2013年3月的237个开放式印度股权（增长）计划的样本。同时采用了八个绩效模型的无条件和有条件版本，即詹森（1968）测度，三矩资产定价模型，四矩资产定价模型，Fama和French（1993）三因素模型，Carhart（1997）四种因子模型，埃尔顿（Elton）等人（1999）五指数模型，法玛（Fama）和法国（French）（2015）五因子模型和企业质量五因子模型。研究结果-有条件的Carhart模型（1997）被认为是印度背景下最合适的绩效基准。有条件的模型优于无条件的模型的成功表明，基金经理可以动态管理其投资组合。实际意义-除使用Carhart（1997）模型所估计的收益以外，产生的显着α反映了基金经理的真正选股技巧，因此，值得付出积极的管理费。印度的证券交易所和信用评级机构应构建包含规模，价值和动量因素的指数，以用于基准测试。原创性/价值-该研究为已建立的资产定价模型在印度新兴市场中作为绩效基准的适用性提供了新的证据。它研究了高阶矩在解释共同基金收益中的作用，这是一个尚待研究的领域。

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