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

M. Maheen () and S. Resia Beegam
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M. Maheen: TKM College of Arts and Science
S. Resia Beegam: University of Kerala

Journal of Quantitative Economics, 2023, vol. 21, issue 3, No 9, 663-680

Abstract: 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.

Keywords: Indian mutual funds; Almost stochastic dominance; Mean–variance approach; Jens’s alpha (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s40953-023-00347-w

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