Robust Benchmarking of Indian Mutual Funds-A Partial Frontier Approach

Abstract

Performance analysis of mutual funds is usually made on the basis of return-risk framework. Traditionally, excess return (over risk-free rate) to risk ratios were used for the purpose mutual fund evaluation. Subsequently, the application of non-parametric mathematical programming techniques in the context of performance evaluation facilitated multi-criteria decision making. However,the estimates of performance on the basis of conventional programming techniques like DEA and FDH are affected by the presence of outliers in the sample observations. The present, accordingly uses more robust benchmarking techniques for evaluating the performance od sectoral mutual fund schemes based on observations for the second half of 2010. The USP of the present study is that it uses two partial frontier techniques (Order-m and Order- a) which are less susceptible to the problem of extreme data.

Keywords: Mutual Fund, Robust Benchmarking, Order-m, Order- a, Partial Frontier Approach

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