Associate Professor Finance at, Prin. L. N. Welingkar Institute of Management Development and Research, Mumbai, India, suyash.bhatt@welingkar.org
JEL Classification Codes: G11, G12
In this paper, we have calculated Graham Harvey measures for top 10-equity linked saving scheme (ELSS) funds in India according to their asset under management. ELSS funds are selected as they have more than 95% composition of equity component and lock-in a period of 5 years. Graham and Harvey in their research paper discuss the methodology to predict market timing to alter their investments for portfolio managers. They introduced two new performance measures for a portfolio. Both measures provide different relative performance valuation, with respect to market index's return-risk. Sharpe ratio, although a useful metric, suffers lack of benchmarking information. Sharpe ratio is absolute measure of performance. As the Graham-Harvey research is based on long-term prospect of the portfolio investment, ELSS funds are taken for research. The performance of ELSS funds has been evaluated with the help of Graham and Harvey measure and Sharpe ratio. Our finding suggests that Graham and Harvey measures are superior to Sharpe ratio for performance grading. Because of paucity of time and resources, the paper research is limited to evaluating performance of ELSS funds for period of April 2007 to December 2012 using Graham Harvey measure.
Mutual funds, Investment performance, Alpha, Beta, Standard deviation, R squared, Sharpe ratio, Treynor ratio and Jensen's alpha
