A Review of Indian Index Funds

Sarkar, Subhrangshu Sekhar; Dutta, Santanu; Dutta, Pinky

doi:10.1177/0972150912466445

Cited by 6 publications

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“…Since an index fund aims to replicate a market index, it is natural to expect the fund to have similar market risk and returns as the index that it imitates. However, from Sarkar et al (2013), we see that not all the Indian index funds perform equally well in terms of following a benchmark index closely over a long period of time. The goal of this article is to assess whether the index funds imitating S&P BSE SENSEX or the CNX NIFTY indices exhibit similar market risk as that of the SENSEX or NIFTY index?…”

Section: Introductionmentioning

confidence: 91%

“…Athma and Mamatha (2012) have observed that there has been a significant growth of the index funds since their inception. A well-known measure of the performance of an index fund is the tracking error, which is usually defined as the annualized standard deviation of the difference between the daily returns of the index funds and the target index (see Sarkar et al (2013)). Fernandes (2003) has pointed out that the tracking error of an index fund can be highly sensitive to the market volatility.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Fernandes (2003) has pointed out that the tracking error of an index fund can be highly sensitive to the market volatility. Sarkar et al (2013) have argued that high tracking error need not always imply poor long-term performance of the fund, especially in a volatile market, and that the existence of co-integration (see Engle and Granger, 1987) between the daily net asset value (NAV) values of the index fund and the values of the target index is a more desirable characteristic. Testing the existence of co-integration between Indian index funds and the respective benchmark indices is a new and interesting approach towards assessment of long-term performance of these funds.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The index funds provide the opportunity to invest in a portfolio that is a replica of some broad market index. In India, there has been a significant increase in the popularity of index funds over the last 10 years (see Sarkar et al, 2013). Since an index fund aims to replicate a market index, it is natural to expect the fund to have similar market risk and returns as the index that it imitates.…”

Section: Introductionmentioning

confidence: 99%

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Assessing Market Risk of Indian Index Funds

Biswas

Dutta

2015

Global Business Review

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An index fund is a mutual fund that aims to imitate a benchmark index. In India, there has been significant growth in the number of such funds since 2002. These funds are exposed mainly to market risk. The assessment and comparison of the market risk and the risk-adjusted returns of these funds are topics of interest to both researchers and investors. Value-at-risk and expected shortfall are wellknown measures of the market risk. The Sharpe ratio and the Treynor ratio measure risk-adjusted return earned in excess of average market return. For each fund, we estimate these measures. Most of the index funds exhibit similar market risk as the NIFTY or the SENSEX index, which they mimic. Moreover, the market risk of these funds seems to be unaffected by multiple-fund management by the respective fund managers. However, there exist significant differences among the risk-adjusted daily returns, earned in excess of the average daily index return, of the various Indian index funds. Ideally, an index fund is expected to exhibit similar risk and risk-adjusted return as the benchmark index. We identify some such Indian index funds.

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Section: Introductionmentioning

confidence: 91%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Assessing Market Risk of Indian Index Funds

Biswas

Dutta

2015

Global Business Review

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“…The main alternative investing opportunities include hedge funds and funds of hedge funds, venture capital funds and private equity (see Exhibit 1). Traditional investment opportunities are based on the assumption that fund managers will try to enhance the value of fund by continuous efforts and monitoring (Sarkar, Dutta & Dutta, 2013). So is the assumption of alternate investment opportunities.…”

Section: Introductionmentioning

confidence: 99%

The Global Hedge Fund Industry: Structure, Strategies and Growth

Yadav

Mishra

2017

Global Business Review

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The principal aim of this study is to provide the structure, organization, growth and risk-return profile of global hedge fund industry. In particular, the objective of the study is to introduce the evolution of the global hedge fund industry and some of the most common hedge fund investment strategies used by the fund managers. Also, the present study intends to provide some current statistics of the global hedge fund industry pre- and post-global crisis of 2008.

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The rise of passive investing: a systematic literature review applying PRISMA framework

Malhotra

2024

JCMS

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Purpose Passive investing has established itself as the dominant force in the world of professionally managed assets, surpassing the concept of index funds. Its meteoric rise is fueled by investors’ preference for its dual benefits of strong diversification and low cost. A comprehensive study of the economic model, addressed areas and market structure has not yet been conducted, despite the existence of numerous studies on more specific topics. To address this gap, this paper examines 943 articles on passive investing published between 1998 and 2022 in SCOPUS and Web of Science.Design/methodology/approach The study utilizes the most pertinent tools for conducting a systematic review by the PRISMA framework. This article is the result of SLR and extensive bibliometric analysis. Contextualized systematic literature review is used to screen and select bibliographic data, which is then subjected to a variety of bibliometric analyses. The study provides a bibliometric overview of works on passive investment research that are indexed in Scopus and Web of Science. Bibliometrix, VoS Viewer and Cite Space are the tools used to conduct content and network analysis, to ascertain the present state of research, as well as its focus and direction.Findings Our exhaustive analysis yields important findings. One, the previous decade has witnessed a substantial increase in the number of publications and citations; in particular, the inter-disciplinary and international scope of related research has expanded; Second, the top three clusters on “active versus passive funds,” “price discovery and market structures” and “exchange-traded funds (ETFs) as an alternative” account for more than fifty percent of the domain’s knowledge; Third, “Leveraged ETFs (LETFs)” and “environmental, social and governance (ESG)” are the two emerging themes in the passive investing research. Fourth, despite its many benefits, passive investing is not suitable for everyone. To get the most out of what passive investing has to offer, investors, intermediaries and regulators must all exercise sufficient caution. Our study makes a substantial contribution to the field by conducting a comprehensive bibliometric analysis of the existing literature, highlighting key findings and implications, as well as future research directions.Research limitations/implications While the study contributes significantly to the field of knowledge, it has several limitations that must be considered when interpreting its findings and implications. With our emphasis on academic journals, the study analyzed only peer-reviewed journal articles, excluding conference papers, reports and technical articles. While we are confident that our approach resulted in a comprehensive and representative database, our reliance on Elsevier Scopus and Web of Science may have resulted in us overlooking relevant work accessible only through other databases. Additionally, specific bibliometric properties may not be time-stable, and certain common distribution patterns of the passive investing literature may still be developing.Practical implications With this study, it has been possible to observe and chart the high growth trajectory of passive investing research globally, especially post-US subprime crisis. Despite the widespread adoption of passive investing as an investment strategy, it is not a one-size-fits-all proposition. Market conditions change constantly, and it frequently requires an informed eye to determine when and how much to shift away from active investments and toward passive ones. Currency ETFs enable investors to implement a carry trade strategy in their portfolios; however, as a word of caution, currency stability and liquidity can play a significant role in international ETFs. Similarly, LETFs may be better suited for dynamic strategies and offer less value to a long-term investor. Lastly, the importance of investor education cannot be underestimated in the name of the highly diversified portfolio when using passive alternatives, for which necessary efforts are required by regulators and investors alike.Social implications The inexorable trend to passive investing creates numerous issues for fund management, including fee and revenue pressure, which forces traditional managers to seek new revenue streams, such as illiquid and private assets, which also implies increased portfolio risk. Additionally, the increased transparency and efficiency associated with the ETF market indicates that managers must rethink the entire value chain, beginning with technology and the way investments interact. Passive investments have triggered changes in market structure that are still not fully understood or factored in. Active management and a range of valuation opinions on whether a price is “too low” or “too high” provide much-needed depth to a market as it attempts to strike a delicate balance between demand and supply forces, ensuring liquidity at all price points.Originality/value I hereby certify that I am the sole author of this paper and that no part of this manuscript has been published or submitted for publication.

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A Review of Indian Index Funds

Cited by 6 publications

References 11 publications

Assessing Market Risk of Indian Index Funds

Assessing Market Risk of Indian Index Funds

The Global Hedge Fund Industry: Structure, Strategies and Growth

The rise of passive investing: a systematic literature review applying PRISMA framework

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