Fama's Net-Selectivity Vs. Jension's Alpha: Theoratical and Empirical Comparison for Indian Equity Mutual Funds

This study empirically compares the similarities in results of the two of the portfolio performance measurement approaches. The study uses monthly returns of 88 equity mutual fund schemes and 50 random portfolios for the period Oct-2007 to Sept-2014. The random portfolios are generated using baseline simulation procedure. Besides studying the similarities between two methods, this study also tries to find out the misspecifications in the performance measurement models under the study. The major findings are in terms of similarity in results produced by both the methods and the misspecifications in Fama's components of investment performance.