Style-exposure analysis of large-cap equity mutual funds in India

Abstract

The purpose of the study is to examine the investment style of the large-cap equity mutual funds in India using style-exposure analysis proposed by Sharpe (1992). The study uses the constrained quadratic optimisation factor model over the period January 2011–April 2015. To assess the dynamic drift in the style of a fund, a rolling-period exposure style analysis of the funds has been carried out by using a 36-month rolling-period window. The results of the study show that the fund managers exhibit some level of active management and a good selection capability. Keywords: Return-based style analysis, Rolling-period exposure analysis, Style benchmarks, Large-cap equity mutual funds