The performance of Indian equity funds in the era of quantitative easing
Yükleniyor...
Tarih
2015
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
İstanbul Ticaret Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This study aims to evaluate the performance of Indian equity funds between January 2009 and October 2014. This study period coincides with the period of quantitative easing during which the developing economies in financial markets have been influenced. After the global financial crisis of 2008 came a period of quantitative easing (QE), creating an increase in the money supply and leading to a capital flow from developed countries to developing countries. During this 5-year 10-month period, in which the relevant quantitative easing continued, Indian CNX500 price index yielded approximately 21% compounded on average, per annum. In this study, Indian equity funds are examined in order to compare these funds’ performance within this period. Within this scope, 12 Indian equity funds are chosen. In order to measure these funds’ performances, the Sharpe ratio (1966), Treynor ratio (1965), Jensen’s alpha (1968) methods are used. Jensen’s alpha is also used in identifying selectivity skills of fund managers. Additionally, the Treynor & Mazuy (1966) regression analysis method is applied to show the market timing ability of fund managers.
Açıklama
Anahtar Kelimeler
Equity Funds, Performance Evaluation, Quantitative Easing, Jensen’s Alpha
Kaynak
International Journal of Commerce and Finance
WoS Q Değeri
Scopus Q Değeri
Cilt
1
Sayı
1
