Mutual Fund Portfolios Successive Return Performance on Basis of Downside Risk Measures: An Empirical Study of Selected Equity Diversified Mutual Funds
Journal Title: Journal of Business Thought - Year 2014, Vol 4, Issue
Abstract
Thepresentstudyattemptstoevaluatedownsideriskmeasuresfortheequitydiversifiedmutualfunds.ThestudyrandomlyselectedtwelveequitydiversifiedmutualfundsandevaluatedvariousdownsideriskmeasuresnamelySemi-StandardDeviation,SortinoRatio,UpsidePotentialRatio,VolatilitySkewnessandHurstIndex.Anattemptismadetofurthercreatefourportfoliosofthreemutualfundschemes,eachonthebasisoftheresultsofdownsideriskmeasures.Theseportfoliosarecreatedfortwoyearsandareassessedontheiraveragemonthlyreturnperformanceinordertoassessthepredictabilityofdownsideriskmeasures.Noneoftheportfoliosarefoundtobesignificantlydifferentfromeachother,thereby,underminingtheimportanceofdownsideriskmeasureasapredictabletool formutualfundperformance.
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