Fractile Graphical Analysis in Finance: A New Perspective with Applications

Anil K. Bera, Aurobindo Ghosh

Research output: Contribution to journalArticlepeer-review


Fractile Graphical Analysis (FGA) was proposed by Prasanta Chandra Mahalanobis in 1961 as a method for comparing two distributions at two different points (of time or space) controlling for the rank of a covariate through fractile groups. We use bootstrap techniques to formalize the heuristic method used by Mahalanobis for approximating the standard error of the dependent variable using fractile graphs from two independently selected “interpenetrating network of subsamples.” We highlight the potential and revisit this underutilized technique of FGA with a historical perspective. We explore a new non-parametric regression method called Fractile Regression where we condition on the ranks of the covariate and compare it with existing regression techniques. We apply this method to compare mutual fund inflow distributions after conditioning on ranks or fractiles of pre-tax and post-tax returns and compare distributions of private and public equity returns after controlling for fractiles of assets under management size using the two sample smooth test.

Original languageEnglish (US)
Article number412
JournalJournal of Risk and Financial Management
Issue number9
StatePublished - Sep 2022


  • bootstrap tests
  • F-tests
  • Fractile Graphical Analysis
  • mutual fund returns
  • non-parametric regression
  • private equity returns
  • quantile regression
  • rank regression
  • smooth test

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics
  • Accounting
  • Business, Management and Accounting (miscellaneous)


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