MUTUAL FUND PORTFOLIOS SUCCESSIVE RETURN PERFORMANCE ON BASIS OF DOWNSIDE RISK MEASURES: AN EMPIRICAL STUDY OF SELECTED EQUITY DIVERSIFIED MUTUAL FUNDS

The present study attempts to evaluate downside risk measures for the equity diversified mutual funds. The study randomly selected twelve equity diversified mutual funds and evaluated various downside risk measures namely Semi-Standard Deviation, Sortino Ratio, Upside Potential Ratio, Volatility Skewness and Hurst Index. An attempt is made to further create four portfolios of three mutual fund schemes, each on the basis of the results of downside risk measures. These portfolios are created for two years and are assessed on their average monthly return performance in order to assess the predictability of downside risk measures. None of the portfolios are found to be significantly different from each other, thereby, undermining the importance of downside risk measure as a predictable tool for mutual fund performance.