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Application of Nonparametric Stochastic Dominance Approach in the Performance Evaluation of Indian Mutual Funds

Author

Listed:
  • M. Maheen

    (TKM College of Arts and Science
    University of Kerala)

  • S. Resia Beegam

    (University of Kerala)

Abstract

We have performed the in-sample comparison of the distribution of fund returns to the market benchmark. The literature related to the performance evaluation of mutual funds uses the conventional mean–variance (MV) approach or Jensen’s alpha to measure managerial ability. This study proposes an alternative nonparametric approach that does not require distributional assumptions about the population. The study compares the performance of selected actively managed large-cap funds with the passively managed benchmark indices by applying an almost stochastic dominance approach in the second order. The results revealed the existence of almost second-order stochastic dominance among the Indian equity funds.

Suggested Citation

  • M. Maheen & S. Resia Beegam, 2023. "Application of Nonparametric Stochastic Dominance Approach in the Performance Evaluation of Indian Mutual Funds," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(3), pages 663-680, September.
    • Handle: RePEc:spr:jqecon:v:21:y:2023:i:3:d:10.1007_s40953-023-00347-w
    DOI: 10.1007/s40953-023-00347-w
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    References listed on IDEAS

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    More about this item

    Keywords

    Indian mutual funds; Almost stochastic dominance; Mean–variance approach; Jens’s alpha;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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