Evaluating The Performance Of Index Funds Using Value At Risk (Var)

Index funds are a type of mutual fund or exchange traded fund whose portfolio comprises of funds which are constructed to mirror a specific financial market index. Index funds adopt a passive investment strategy, where these funds are created to replicate and match the performance similar to that of market index. Index funds serve as one of the easier investment options for people who are novice in investing. This study is focused on evaluating and analyzing the performance of 10 Index funds which are listed in the National Stock Exchange. The historic return values are calculated from the daily return values which are listed in the National Stock Exchange for specific index funds. These historic values are then analyzed using Value at risk (VaR) and Conditional value at risk (CVaR) tools to determine their risk levels. The historic values are calculated for a period of five years (2016- 2021). The risk levels are evaluated based upon the performance of these index funds and are analyzed to understand whether they provide value for investors, when held for a short or longer period of time. Most of the Index funds have provided value for investors both for a shorter as well as longer duration of time.