Abstract
Estimating the Market Risk of Indian Index Funds
by
Suparna Biswas
An index fund is a mutual fund that aims to imitate a benchmark index. In India there has been a significant increase in the popularity of index funds over the last ten years. These funds are exposed mainly to market risk. The estimation and comparison of the market risk and the risk adjusted returns of these funds are topics of interest to both researchers and investors. We compare the 21 index funds, which track the Sensex or the Nifty index over a period of 8 financial years, during which the Indian equity market experienced extreme volatility due to global recession and subsequent recovery. For each fund we have collected the data on the daily and monthly NAV and the closing price of the underlying index from 1 April 2007 to 31 March 2015. These data are collected from AMFI, NSE and BSE websites. Value-at-risk and expected shortfall are well known measures of the market risk. The Sharpe ratio and the Treynor ratio measure risk adjusted return earned in excess of average market return. Ideally, an index fund is expected to exhibit similar risk and risk adjusted return as the benchmark index. We try to identify some such Indian index funds.
Committee
Workshop
Key Dates
Communication
First Conference Link