The document analyzes the performance of 23 equity-based mutual fund schemes in India between 1996-2009 using various risk-return models. It finds that Franklin Templeton and UTI performed best while Birla SunLife, HDFC, and LIC mutual funds showed below-average performance based on measures like Sharpe ratio, beta, Treynor ratio, and Jensen's alpha. The analysis uses daily net asset values to calculate returns and the NSE Nifty as the market benchmark to measure risk factors like standard deviation, beta, and R-squared.
A Study on the Performance of Mutual Fund Scheme in IndiaIJAEMSJORNAL
A mutual fund is a trust that encompasses the savings of a number of investors who share a common financial goal. The money thus collected is then invested in capital market instruments such as shares, debentures and other securities. The income earned through these investments and the capital appreciation realized is shared by its unit holders in proportion to the number of units owned by them. Thus, Mutual Fund is one of the most effective instruments for the small & medium investors for investment and offers opportunity to them to participate in capital market with low level of risk. It also provides the facility of diversification i.e. investors can invest across different types of schemes. Indian Mutual Fund has achieved a lot of popularity since last two decades. For a long time UTI enjoyed the monopoly in mutual fund industry. But with the passage of time many new players came in the market and thus the mutual fund industry faces a lot of competition. Now a day this industry has become the major player of the financial system. Therefore it becomes important to investigate the mutual fund performance at continuous basis. The wide variety of schemes floated by these mutual fund companies gave wide investment choice for the investors. Among wide variety of funds equity, diversified fund is considered as substitute for direct stock market investment. In present paper an attempt has been made to investigate the performance of the open ended, growth oriented, equity diversified schemes on the basis of return and risk evaluation. The analysis was achieved by assessing various financial tests like Average Return, Standard Deviation, Beta, Coefficient of Determination (R2), Alpha, Sharpe Ratio and Treynor Ratio whose results will be useful for investors for taking better investment decisions. The data has been taken from various websites of mutual fund schemes and from amfiindia.com. The analysis depicts that majority of funds selected for study have outperformed under Sharpe Ratio as well as Treynor Ratio.
A Study on the Performance of Mutual Fund Scheme in IndiaIJAEMSJORNAL
A mutual fund is a trust that encompasses the savings of a number of investors who share a common financial goal. The money thus collected is then invested in capital market instruments such as shares, debentures and other securities. The income earned through these investments and the capital appreciation realized is shared by its unit holders in proportion to the number of units owned by them. Thus, Mutual Fund is one of the most effective instruments for the small & medium investors for investment and offers opportunity to them to participate in capital market with low level of risk. It also provides the facility of diversification i.e. investors can invest across different types of schemes. Indian Mutual Fund has achieved a lot of popularity since last two decades. For a long time UTI enjoyed the monopoly in mutual fund industry. But with the passage of time many new players came in the market and thus the mutual fund industry faces a lot of competition. Now a day this industry has become the major player of the financial system. Therefore it becomes important to investigate the mutual fund performance at continuous basis. The wide variety of schemes floated by these mutual fund companies gave wide investment choice for the investors. Among wide variety of funds equity, diversified fund is considered as substitute for direct stock market investment. In present paper an attempt has been made to investigate the performance of the open ended, growth oriented, equity diversified schemes on the basis of return and risk evaluation. The analysis was achieved by assessing various financial tests like Average Return, Standard Deviation, Beta, Coefficient of Determination (R2), Alpha, Sharpe Ratio and Treynor Ratio whose results will be useful for investors for taking better investment decisions. The data has been taken from various websites of mutual fund schemes and from amfiindia.com. The analysis depicts that majority of funds selected for study have outperformed under Sharpe Ratio as well as Treynor Ratio.
A study on performance of sbi blue chip fund at sbi mutual funds in indiaIJARIIT
A mutual fund comprising investments in blue-chip stocks, these funds are measured low risk since the underlying
securities are from well established, stable companies with a history of paying dividends and maintaining value despite
fluctuations in the adjoining market. Blue chip funds may be chosen as part of a conservative investment strategy. The
manuscript highlights to identify risk and returns involved in the blue-chip fund. The most important objective of all mutual
funds is to provide better returns to investors by minimizing risk associated with the capital market investment. State Bank of
India Mutual Fund (SBI MF) is one of the largest mutual funds in the country with an investor base of over 5.4 million. With
over 20 years of rich experience in fund management, State Bank of India Mutual Fund brings forward its expertise in
consistently delivering value to its investors. The target of this paper is to evaluate the performance of State Bank of India blue
chip fund comparing with a benchmark for the period of 2014-2016.
Writekraft Research and Publications LLP was initially formed, informally, in 2006 by a group of scholars to help fellow students. Gradually, with several dissertations, thesis and assignments receiving acclaim and a good grade, Writekraft was officially founded in 2011 . Since its establishment, Writekraft Research & Publications LLP is Guiding and Mentoring PhD Scholars.
Our Mission
“To provide breakthrough research works to our clients through Perseverant efforts towards creativity and innovation”.
Vision
Writekraft endeavours to be the leading global research and publications company that will fulfil all research needs of our clients. We will achieve this vision through:
Analyzing every customer’s aims, objectives and purpose of research
Using advanced and latest tools and technique of research and analysis
Coordinating and including their own ideas and knowledge
Providing the desired inferences and results of the research
In the past decade, we have successfully assisted students from various universities in India and globally. We at Writekraft Research & Publications LLP head office in Kanpur, India are most trusted and professional Research, Writing, Guidance and Publication Service Provider for PhD. Our services meet all your PhD Admissions, Thesis Preparation and Research Paper Publication needs with highest regards for the quality you prefer.
Our Achievements
NATIONAL AWARD FOR BEST RESEARCH PROJECT (By Hon. President APJ Abdul Kalam)
GOLD MEDAL FOR RESEARCH ON DISABILITY (By Disabled’s Club of India)
NOMINATED FOR BEST MSME AWARDS 2017
5 STAR RATING ON GOOGLE
We have PhD experts from reputed institutions/ organizations like Indian Institute of Technology (IIT), Indian Institute of Management (IIM) and many more apex education institutions in India. Our works are tailored and drafted as per your requirements and are totally unique.
From past years our core advisory members, research team assisted research scholars from various universities from all corners of world.
Writekraft Research and Publications LLP was initially formed, informally, in 2006 by a group of scholars to help fellow students. Gradually, with several dissertations, thesis and assignments receiving acclaim and a good grade, Writekraft was officially founded in 2011 . Since its establishment, Writekraft Research & Publications LLP is Guiding and Mentoring PhD Scholars.
Our Mission
“To provide breakthrough research works to our clients through Perseverant efforts towards creativity and innovation”.
Vision
Writekraft endeavours to be the leading global research and publications company that will fulfil all research needs of our clients. We will achieve this vision through:
Analyzing every customer’s aims, objectives and purpose of research
Using advanced and latest tools and technique of research and analysis
Coordinating and including their own ideas and knowledge
Providing the desired inferences and results of the research
In the past decade, we have successfully assisted students from various universities in India and globally. We at Writekraft Research & Publications LLP head office in Kanpur, India are most trusted and professional Research, Writing, Guidance and Publication Service Provider for PhD. Our services meet all your PhD Admissions, Thesis Preparation and Research Paper Publication needs with highest regards for the quality you prefer.
Our Achievements
NATIONAL AWARD FOR BEST RESEARCH PROJECT (By Hon. President APJ Abdul Kalam)
GOLD MEDAL FOR RESEARCH ON DISABILITY (By Disabled’s Club of India)
NOMINATED FOR BEST MSME AWARDS 2017
5 STAR RATING ON GOOGLE
We have PhD experts from reputed institutions/ organizations like Indian Institute of Technology (IIT), Indian Institute of Management (IIM) and many more apex education institutions in India. Our works are tailored and drafted as per your requirements and are totally unique.
From past years our core advisory members, research team assisted research scholars from various universities from all corners of world.
We started this Academic Writing Help in the year 2011.Writekraft Research & Publication: www.writekraft.com 1000s of students have graduated across the globe from our in-depth research.
We help students with the following services:
1. Thesis Writing (from 50 pages and above)
2. Dissertation writing
3. Research Writing for Publishing
4. Data Analysis
5. Research Proposal Writing
6. Study Plan
7. Plagiarism Report
Contact us at shivam.writekraft@gmail OR call us on +917753818181, +919838033084
The charges are fair and we allow negotiations as per the student’s budget. You can also inbox me for more direction.
The Risk and return analysis is important to equity shares investors in the share
market. The need of equity shares at the time of preliminary stage of company or
bank to raising fund for establish company and starting a business. The equity share
holder is an actual owner of company or bank.
significance of market timing and stock selection ability of mutual fund mana...professionalpanorama
A Mutual Fund is a trust that pools the savings of a number of investors
who share a common financial goal. The money thus collected is invested
by the fund manager in different types of securities depending upon the
objectives of the scheme. Mutual funds cannot guarantee a fixed rate of
return. It depends on the market condition. If a particular scheme is
performing well then more return can be expected. It also depends on the
fund managers’ expertise and knowledge. The present study is aimed to
examine the performance of mutual fund managers on the basis of
selectivity and market timing abilities in security market. However, the
majority of the selected mutual fund managers do not possess market
timing ability rather they are relying a little bit on stock selection.
Significance of market timing and stock selection ability of mutual fund mana...Tapasya123
A Mutual Fund is a trust that pools the savings of a number of investors
who share a common financial goal. The money thus collected is invested
by the fund manager in different types of securities depending upon the
objectives of the scheme. Mutual funds cannot guarantee a fixed rate of
return. It depends on the market condition. If a particular scheme is
performing well then more return can be expected. It also depends on the
fund managers’ expertise and knowledge. The present study is aimed to
examine the performance of mutual fund managers on the basis of
selectivity and market timing abilities in security market. However, the
majority of the selected mutual fund managers do not possess market
timing ability rather they are relying a little bit on stock selection.
Risk and Return Analysis of Portfolio Management Services of Reliance Nippon ...Premier Publishers
Portfolio Management of equities has a great potential owing to robust growth of capital market and the shift in investor behaviour from dumping savings as bank deposits to investment in capital market. A research in the field of Portfolio Management Services (PMS) prepares one to understand the equity market behaviour, conduct technical evaluation of the market, and predict fluctuations to invest wisely and the logic behind construction and optimization of equity portfolios. The dissertation was undertaken from 23 April 2018 to 04 June 2018 with the objective of understanding the basic concepts of Portfolio Management Services and its benefits as an investment avenue and evaluate risk and risk adjusted return of various PMS and direct investment of similar value in equity. The risk and return analysis of equity portfolios was conducted through an evaluation of returns achieved in the past and its comparison through measurement of central tendency ie mean, variation through Standard Deviation and risk analysis done using Standard Deviation of returns, Beta and Sharpe’s Ratio. The article has given a valuable insight into this highly specialized profession requiring proficient handling and expertise and will always support in making prudent investment decisions.
An Empirical Assessment of Capital Asset Pricing Model with Reference to Nati...ijtsrd
"This study concentrates on empirical assessment of Capital Asset Pricing Model CAPM on the National Stock Exchange NSE . CAPM assists to determine a well diversified portfolio. The main objective of this research paper is to check the applicability of Nobel laureate’s model in Indian equity market by testing the relationship between risk and return, whether there is any direct proportionality in the expected rate of return and its systematic risk. It relates its results by using the beta systematic risk as a measuring factor. The study was being conducted for a period of 260 weeks from 7 April 2013 to 25 March 2018. 45 companies from NSE were picked as a proxy for the market portfolio. This research was done by using regression analysis on stocks and portfolio to find out the final results. Research of this study nullifies that this model is applicable to the Indian market and also contradicts its expected return and systematic risk which are linearly related to each other. Miss. Yashashri Shinde | Miss. Teja Mane ""An Empirical Assessment of Capital Asset Pricing Model with Reference to National Stock Exchange"" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Special Issue | Fostering Innovation, Integration and Inclusion Through Interdisciplinary Practices in Management , March 2019, URL: https://www.ijtsrd.com/papers/ijtsrd23105.pdf
Paper URL: https://www.ijtsrd.com/management/public-sector-management/23105/an-empirical-assessment-of-capital-asset-pricing-model-with-reference-to-national-stock-exchange/miss-yashashri-shinde"
Influence of ADR on Underlying Stock PricesProjects Kart
Globalization has opened the door for the investors to avail various investment avenues across the globe. American Depository Receipt (ADR) is one such opportunity to the investing community. The ADR is a proxy for the Indian shares to enable them to be traded in the American stock exchanges. Various studies conducted on Depository Receipts (DRs) have shown that the trading on the DR sin the foreign market has its influence in the home country’s stock in terms of price, volatility and volume. This interested me and this project is concerned about studying “Whether the price fluctuations of ADR affect the corresponding Indian share prices?”
After the liberalization of the economy in 1991, the corporatist started sourcing their capital from both domestic and foreign markets. The Indian shares cannot be directly listed in the American stock exchanges. ADRs have been very helpful in this purpose. So a custodian bank receives the shares as deposit and issues receipt to the market. These receipts are issued in appropriate ratio to the shares deposited with the depository. The market players in the stock exchanges trade these receipts.
Editing images in the WordPress media managerJeremy Dawes
Get access to the videos that go with these presentations, whitelabel and branded options, www.wordpressboffin.com - for WordPress website design, build and hosting checkout www.jezweb.com.au - If you have any question about WordPress, would like to know how to do something or would like a WordPress training video made for a technique or plugin let me know. Hope you found this helpful, thank you, Jeremy.
A study on performance of sbi blue chip fund at sbi mutual funds in indiaIJARIIT
A mutual fund comprising investments in blue-chip stocks, these funds are measured low risk since the underlying
securities are from well established, stable companies with a history of paying dividends and maintaining value despite
fluctuations in the adjoining market. Blue chip funds may be chosen as part of a conservative investment strategy. The
manuscript highlights to identify risk and returns involved in the blue-chip fund. The most important objective of all mutual
funds is to provide better returns to investors by minimizing risk associated with the capital market investment. State Bank of
India Mutual Fund (SBI MF) is one of the largest mutual funds in the country with an investor base of over 5.4 million. With
over 20 years of rich experience in fund management, State Bank of India Mutual Fund brings forward its expertise in
consistently delivering value to its investors. The target of this paper is to evaluate the performance of State Bank of India blue
chip fund comparing with a benchmark for the period of 2014-2016.
Writekraft Research and Publications LLP was initially formed, informally, in 2006 by a group of scholars to help fellow students. Gradually, with several dissertations, thesis and assignments receiving acclaim and a good grade, Writekraft was officially founded in 2011 . Since its establishment, Writekraft Research & Publications LLP is Guiding and Mentoring PhD Scholars.
Our Mission
“To provide breakthrough research works to our clients through Perseverant efforts towards creativity and innovation”.
Vision
Writekraft endeavours to be the leading global research and publications company that will fulfil all research needs of our clients. We will achieve this vision through:
Analyzing every customer’s aims, objectives and purpose of research
Using advanced and latest tools and technique of research and analysis
Coordinating and including their own ideas and knowledge
Providing the desired inferences and results of the research
In the past decade, we have successfully assisted students from various universities in India and globally. We at Writekraft Research & Publications LLP head office in Kanpur, India are most trusted and professional Research, Writing, Guidance and Publication Service Provider for PhD. Our services meet all your PhD Admissions, Thesis Preparation and Research Paper Publication needs with highest regards for the quality you prefer.
Our Achievements
NATIONAL AWARD FOR BEST RESEARCH PROJECT (By Hon. President APJ Abdul Kalam)
GOLD MEDAL FOR RESEARCH ON DISABILITY (By Disabled’s Club of India)
NOMINATED FOR BEST MSME AWARDS 2017
5 STAR RATING ON GOOGLE
We have PhD experts from reputed institutions/ organizations like Indian Institute of Technology (IIT), Indian Institute of Management (IIM) and many more apex education institutions in India. Our works are tailored and drafted as per your requirements and are totally unique.
From past years our core advisory members, research team assisted research scholars from various universities from all corners of world.
Writekraft Research and Publications LLP was initially formed, informally, in 2006 by a group of scholars to help fellow students. Gradually, with several dissertations, thesis and assignments receiving acclaim and a good grade, Writekraft was officially founded in 2011 . Since its establishment, Writekraft Research & Publications LLP is Guiding and Mentoring PhD Scholars.
Our Mission
“To provide breakthrough research works to our clients through Perseverant efforts towards creativity and innovation”.
Vision
Writekraft endeavours to be the leading global research and publications company that will fulfil all research needs of our clients. We will achieve this vision through:
Analyzing every customer’s aims, objectives and purpose of research
Using advanced and latest tools and technique of research and analysis
Coordinating and including their own ideas and knowledge
Providing the desired inferences and results of the research
In the past decade, we have successfully assisted students from various universities in India and globally. We at Writekraft Research & Publications LLP head office in Kanpur, India are most trusted and professional Research, Writing, Guidance and Publication Service Provider for PhD. Our services meet all your PhD Admissions, Thesis Preparation and Research Paper Publication needs with highest regards for the quality you prefer.
Our Achievements
NATIONAL AWARD FOR BEST RESEARCH PROJECT (By Hon. President APJ Abdul Kalam)
GOLD MEDAL FOR RESEARCH ON DISABILITY (By Disabled’s Club of India)
NOMINATED FOR BEST MSME AWARDS 2017
5 STAR RATING ON GOOGLE
We have PhD experts from reputed institutions/ organizations like Indian Institute of Technology (IIT), Indian Institute of Management (IIM) and many more apex education institutions in India. Our works are tailored and drafted as per your requirements and are totally unique.
From past years our core advisory members, research team assisted research scholars from various universities from all corners of world.
We started this Academic Writing Help in the year 2011.Writekraft Research & Publication: www.writekraft.com 1000s of students have graduated across the globe from our in-depth research.
We help students with the following services:
1. Thesis Writing (from 50 pages and above)
2. Dissertation writing
3. Research Writing for Publishing
4. Data Analysis
5. Research Proposal Writing
6. Study Plan
7. Plagiarism Report
Contact us at shivam.writekraft@gmail OR call us on +917753818181, +919838033084
The charges are fair and we allow negotiations as per the student’s budget. You can also inbox me for more direction.
The Risk and return analysis is important to equity shares investors in the share
market. The need of equity shares at the time of preliminary stage of company or
bank to raising fund for establish company and starting a business. The equity share
holder is an actual owner of company or bank.
significance of market timing and stock selection ability of mutual fund mana...professionalpanorama
A Mutual Fund is a trust that pools the savings of a number of investors
who share a common financial goal. The money thus collected is invested
by the fund manager in different types of securities depending upon the
objectives of the scheme. Mutual funds cannot guarantee a fixed rate of
return. It depends on the market condition. If a particular scheme is
performing well then more return can be expected. It also depends on the
fund managers’ expertise and knowledge. The present study is aimed to
examine the performance of mutual fund managers on the basis of
selectivity and market timing abilities in security market. However, the
majority of the selected mutual fund managers do not possess market
timing ability rather they are relying a little bit on stock selection.
Significance of market timing and stock selection ability of mutual fund mana...Tapasya123
A Mutual Fund is a trust that pools the savings of a number of investors
who share a common financial goal. The money thus collected is invested
by the fund manager in different types of securities depending upon the
objectives of the scheme. Mutual funds cannot guarantee a fixed rate of
return. It depends on the market condition. If a particular scheme is
performing well then more return can be expected. It also depends on the
fund managers’ expertise and knowledge. The present study is aimed to
examine the performance of mutual fund managers on the basis of
selectivity and market timing abilities in security market. However, the
majority of the selected mutual fund managers do not possess market
timing ability rather they are relying a little bit on stock selection.
Risk and Return Analysis of Portfolio Management Services of Reliance Nippon ...Premier Publishers
Portfolio Management of equities has a great potential owing to robust growth of capital market and the shift in investor behaviour from dumping savings as bank deposits to investment in capital market. A research in the field of Portfolio Management Services (PMS) prepares one to understand the equity market behaviour, conduct technical evaluation of the market, and predict fluctuations to invest wisely and the logic behind construction and optimization of equity portfolios. The dissertation was undertaken from 23 April 2018 to 04 June 2018 with the objective of understanding the basic concepts of Portfolio Management Services and its benefits as an investment avenue and evaluate risk and risk adjusted return of various PMS and direct investment of similar value in equity. The risk and return analysis of equity portfolios was conducted through an evaluation of returns achieved in the past and its comparison through measurement of central tendency ie mean, variation through Standard Deviation and risk analysis done using Standard Deviation of returns, Beta and Sharpe’s Ratio. The article has given a valuable insight into this highly specialized profession requiring proficient handling and expertise and will always support in making prudent investment decisions.
An Empirical Assessment of Capital Asset Pricing Model with Reference to Nati...ijtsrd
"This study concentrates on empirical assessment of Capital Asset Pricing Model CAPM on the National Stock Exchange NSE . CAPM assists to determine a well diversified portfolio. The main objective of this research paper is to check the applicability of Nobel laureate’s model in Indian equity market by testing the relationship between risk and return, whether there is any direct proportionality in the expected rate of return and its systematic risk. It relates its results by using the beta systematic risk as a measuring factor. The study was being conducted for a period of 260 weeks from 7 April 2013 to 25 March 2018. 45 companies from NSE were picked as a proxy for the market portfolio. This research was done by using regression analysis on stocks and portfolio to find out the final results. Research of this study nullifies that this model is applicable to the Indian market and also contradicts its expected return and systematic risk which are linearly related to each other. Miss. Yashashri Shinde | Miss. Teja Mane ""An Empirical Assessment of Capital Asset Pricing Model with Reference to National Stock Exchange"" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Special Issue | Fostering Innovation, Integration and Inclusion Through Interdisciplinary Practices in Management , March 2019, URL: https://www.ijtsrd.com/papers/ijtsrd23105.pdf
Paper URL: https://www.ijtsrd.com/management/public-sector-management/23105/an-empirical-assessment-of-capital-asset-pricing-model-with-reference-to-national-stock-exchange/miss-yashashri-shinde"
Influence of ADR on Underlying Stock PricesProjects Kart
Globalization has opened the door for the investors to avail various investment avenues across the globe. American Depository Receipt (ADR) is one such opportunity to the investing community. The ADR is a proxy for the Indian shares to enable them to be traded in the American stock exchanges. Various studies conducted on Depository Receipts (DRs) have shown that the trading on the DR sin the foreign market has its influence in the home country’s stock in terms of price, volatility and volume. This interested me and this project is concerned about studying “Whether the price fluctuations of ADR affect the corresponding Indian share prices?”
After the liberalization of the economy in 1991, the corporatist started sourcing their capital from both domestic and foreign markets. The Indian shares cannot be directly listed in the American stock exchanges. ADRs have been very helpful in this purpose. So a custodian bank receives the shares as deposit and issues receipt to the market. These receipts are issued in appropriate ratio to the shares deposited with the depository. The market players in the stock exchanges trade these receipts.
Editing images in the WordPress media managerJeremy Dawes
Get access to the videos that go with these presentations, whitelabel and branded options, www.wordpressboffin.com - for WordPress website design, build and hosting checkout www.jezweb.com.au - If you have any question about WordPress, would like to know how to do something or would like a WordPress training video made for a technique or plugin let me know. Hope you found this helpful, thank you, Jeremy.
Bigorna - a toolkit for orthography migration challengesandrefsantos
Paper written by José João Almeida, André Santos and Alberto Simões and submitted, accepted and presented at LREC2010 - http://www.lrec-conf.org/lrec2010/
Presentation by Ross McMillan based on a survey of senior leadership in Division of Students at York University. Along with findings, survey points to future direc
EVALUATING PERCEPTION OF INVESTORS TOWARDS MUTUAL FUNDS & PERFORMANCE OF THE ...Nishant Kumar
This study has investigated into the perception of the investors in Indian markets towards Mutual Funds and has evaluated the returns of the top Mutual Fund performers in India over period of last 3 years – January 1, 2016 to December 31, 2018. It has helped us to conclude on how different schemes attract investors of different age groups and how the impact of different characteristics are known by investors.
This study looks specifically into open-ended equity schemes. Returns have been calculated using daily closing values of NAV of the selected schemes. BSE-Sensex has been chosen as the market portfolio as a comparison basis here. Based on Sharpe, Treynor, and Jensen’s measure the historical performance of the selected schemes are evaluated, whose results will be useful for investors for taking better investment decisions.
RISK RETURN ANALYSIS OF EQUITY FUNDS - A STUDY OF SELECTED EQUITY FUNDS OF HD...indexPub
The examination of the risk, return, and volatility of the HDFC equities mutual funds assists investors who
are looking to invest specifically in the schemes of HDFC equity funds to choose the proper schemes that
meet their risk appetite. Mutual funds are one of the greatest investment vehicles for investors. In order to evaluate if HDFC equities mutual funds outperform the market in the short, medium, and long terms, as well as to provide investors and the company with pertinent advice, the study compared the risk and return of several HDFC equity funds available in the market. The study aimed to determine significant difference of annual returns of growth and dividend of HDFC equity funds. The study was carried out with the sample of ten equity mutual funds schemes of HDFC for the period of ten years that is from 2012 to 2021 and focused on net asset value and share prices. The outcome of the study revealed that there is a significant difference in the annual returns of the HDFC growth and dividend equity funds
Performance Evaluation of Selected Open – Ended Mutual Funds in Indiainventionjournals
A mutual fund is a trust that pools the savings of a number of investors who share a common financial goal. The money thus collected is then invested in capital market instruments such as shares, debentures and other securities. The income earned through these investments and the capital appreciation realized is shared by its unit holders in proportion to the number of units owned by them. The mutual fund industry in India was started in the year 1963 with the formation of Unit Trust of India. This industry was privatized in the year 1993. In this study an attempt is made to analyse the performance evaluation of ten open ended mutual fund schemes for a period from April 01, 2010 to March 31, 2015.The analysis was done by using various financial tests like Average Return, Beta, Coefficient of Determination (R2 ), Sharpe Ratio, Treynor Ratio, Fama’s net selectivity and Treynor Mauzy Model, Thedata for the study was sourced from various websites of mutual fund schemes and from amfiindia.com. the investors who have invested in the selected mutual funds have earned the market return as the lower level and the investors who have invested in the Kotak 50 Growth fund have earned the higher return than the market return.
A Study on Performance of Selected Mutual Funds in HDFC Bank at Anantapurijtsrd
Mutual fund is one of the important investment vehicles that offer good investment prospects to the investors. Mutual fund is a trust that pools the savings of various individuals by issuing units to them and then invests it in various securities such as shares, debentures and bonds as per stated objectives of the scheme. Today a wide variety of mutual fund schemes are available for the investors such as Open ended, Close ended, Interval, Growth, Income, Balanced, Equity Linked Saving Schemes ELSS and Exchange Traded Funds ETF , etc. These schemes are catering to the investors needs, risk and return tolerance The main aim of this paper is to know the performance of selected HDFC fund and comparative performance of HDFC Select fund schemes the return fund that mutual fund with an objective. The results found that HDFC Large cap fund is best performer in risk premium returns with high average returns with low risk. Other funds like liquid fund scheme money market scheme giving same performance. However, index fund scheme is better in terms of returns but not risk premium benefits however. Money market fund scheme is best risk premium giver but returns are low. M. Nandini | Dr. P. Viswanath "A Study on Performance of Selected Mutual Funds in HDFC Bank at Anantapur" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Volume-6 | Issue-6 , October 2022, URL: https://www.ijtsrd.com/papers/ijtsrd51954.pdf Paper URL: https://www.ijtsrd.com/management/accounting-and-finance/51954/a-study-on-performance-of-selected-mutual-funds-in-hdfc-bank-at-anantapur/m-nandini
A Study on Investors Perception towards Mutual Fund Investments (With Special...Dr. Amarjeet Singh
This examination on Investors acknowledgment
towards and late improvement and headway of Mutual Fund
premiums in Alwar city goes under the board an area of
organization publicizing. In the wide thought of organization
publicizing it exclusively centers around the exhibiting of cash
related organization specifically basic resources. Well ordered
Indian budgetary market is getting the chance to be engaged
and the supply of various fiscal instruments ought to be in
parity to the premium perspectives of the monetary
authorities. The prime drive of any hypothesis is to get most
extraordinary returned with a base danger and normal
resources allow to the budgetary masters. The examination
gives an information into the sorts of risks which exist in a
mutual save plan. The data was assembled from shared save
budgetary authorities similarly as non basic store examiners of
this industry. The investigation bases on the association
between theory decision and factors like liquidity, cash related
care, and demography. It was found commonly safe resources
and liquidity of store plot are having influence on the
budgetary authority's acumen for placing assets into the
mutual save. With the more broad thought of the distinctive
components of organization publicizing, thing care, mark
tendencies, and money related authority's satisfaction are the
specific regions of the examination. The other displaying limits
like thing progression publicize division, channels of
exhibiting, thing life cycle, scale headway procedures and their
impact of Marketing are completely disposed of from the audit
of this examination. So likewise the availability of substitute
aftereffect of normal hold units and their impact on this
organization thing it also rejected in the examination. In
reality, even in the normal store monetary authorities lead also
the researcher concentrate only the urban theorists and their
anxiety for this examination work. The rustic speculator's
perspectives are totally barred from the investigation.
Stock Selection Skills of Indian Mutual Fund Managers during 2000-2012IOSR Journals
Mutual funds work on the basis of two maxims - maximization of returns and diversification of risk, the attainment of which requires healthy operational practices and efficient investment management. Now, systematic investment management involves a wide variety of activities among which selectivity plays the pivotal role in the return generation process. This study is an attempt to evaluate the investment management of Indian mutual funds in terms of selectivity skills of fund managers during May 31, 2000 to March 31, 2012. The results pertaining to the selectivity skills of fund managers, as found in the study, has revealed that although majority of the schemes have shown positive alpha they are not statistically significant. Only some of the fund managers (around twenty five percent) possess superior selectivity skills based on both unconditional and conditional Jensen model. Conditioning on public information however improves the coefficient of determination. JEL classification: G11; G23
A STUDY ON TOP PERFORMED EQUITY – FMCG MUTUAL FUND SCHEMES IN INDIAIAEME Publication
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Operation “Blue Star” is the only event in the history of Independent India where the state went into war with its own people. Even after about 40 years it is not clear if it was culmination of states anger over people of the region, a political game of power or start of dictatorial chapter in the democratic setup.
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Pdf 1
1. INVESTIGATING PERFORMANCE OF EQUITY-BASED
MUTUAL FUND SCHEMES IN INDIAN SCENARIO
Investigating Performance of Equity-based Mutual Fund Schemes in Indian Scenario
Sathya Swaroop Debasish1
Abstract
In the backdrop of liberalization and private participation in the Indian mutual fund industry, the
challenge to survive and retain investor confidence has been a prime are of concern for fund
managers. For small investors who do not have the time or the expertise to take direct
investment decision in equities successfully, the alternative is to invest in mutual funds. The
performance of the mutual fund products become more complex in context of accommodating
both return and risk measurements while giving due importance to investment objectives. In this
paper, an attempt has been made to study the performance of selected schemes of mutual funds
based on risk-return relationship models and measures. A total of 23 schemes offered by six
private sector mutual funds and three public sector mutual funds have been studied over the time
period April 1996 to March 2009 (13 years). The analysis has been made on the basis of mean
return, beta risk, coefficient of determination, Sharpe ratio, Treynor ratio and Jensen Alpha. The
overall analysis finds Franklin Templeton and UTI being the best performers and Birla SunLife,
HDFC and LIC mutual funds showing poor below-average performance when measured against
the risk-return relationship models.
Key Words: Mutual Fund, Sharpe Ratio, Beta, Treynor Ratio, India, Risk, Investor
INTRODUCTION
Mutual Fund is one of the most preferred investment alternatives for the small investors
as it offers an opportunity to invest in a diversified, professionally managed portfolio at a
relatively low cost. A Mutual Fund is a trust that pools the savings of a number of investors who
share a common financial goal. Over the past decade, mutual funds have increasingly become the
investor’s vehicle of choice for long-term investing. The Indian mutual fund industry has a total
corpus of over Rs 700 billion collected from more than 20 million investors. The largest category
of mutual funds are those of Unit Trust of India (UTI), followed by ones floated by nationalized
banks (like State Bank of India) and the third largest category of mutual funds are the ones
floated by the private sector and by foreign asset management companies (like Prudential ICICI
and Birla SunLife). In recent times, the emerging trend in the mutual fund industry is the
aggressive expansion of the foreign owned mutual fund companies and the decline of the
companies floated by nationalized banks and smaller private sector players. Growth and
developments of various mutual funds products in the Indian capital market has proved to be one
of the most catalytic instruments in generating momentous investment growth in the capital
market. In this context, close monitoring and evaluation of mutual funds has become essential.
With emphasis on increase in domestic savings and improvement in deployment of investment
through markets, the need and scope for mutual fund operation has increased tremendously. Thus
the involvement of mutual funds in the transformation of Indian economy has made it urgent to
1
Dr. Sathya Debasish is a Senior Lecturer in the Department of Business Management, Fakir Mohan University,
Balasore, Orissa, India.
1
2. KCA JOURNAL OF BUSINESS MANAGEMENT. VOL. 2, ISSUE 2 (2009).
view their services not only as a financial intermediary but also as a pacesetter as they are
playing a significant role in spreading equity culture.
In this context, it becomes pertinent to study the performance of the Indian mutual fund
industry. The relation between risk-return determines the performance of a mutual fund scheme.
As risk is commensurate with return, therefore, providing maximum return on the investment
made within the acceptable associated risk level helps in demarcating the better performers from
the laggards.
OBJECTIVES OF THE STUDY
Indian mutual fund industry is featured by a plethora of mutual fund schemes consisting
of varying portfolio mix, investment objectives and expertise of professional fund management.
For the small investor, choosing a suitable one is therefore a complex decision. This present
study has the objective of finding out the necessary facts regarding performance of selected
growth-oriented and open-ended schemes, which can benefit the investors and fund managers.
The specific objectives of the study are:
i) To measure the return earned by the sample mutual funds schemes and compare
against the market portfolio returns to distinguish the performers from the
laggards.
ii) To find out those mutual fund schemes offering the advantages of diversification,
along with adequate systematic risk compared to market beta risk.
iii) To analyze the excess return per unit of risk evidenced by mutual fund schemes
belonging to public sector and private sector, and to draw comparisons.
REVIEW OF LITERATURE
In this paper, an attempt has been made to study the performance of selected schemes of
mutual funds based on risk-return relationship. For this purpose, apart from standard measure
like mean return, beta and coefficient of determination, the time-tested models of mutual funds
performance evaluation given by Sharpe, Treynor and Jensen have also been applied.
Early studies on mutual funds included the several works of Jensen (1968), Sharpe (1966)
and Treynor (1965) who used the capital asset pricing model to compare risk-adjusted returns of
funds with that of a benchmark market portfolio. The findings of Sharpe and Jensen
demonstrated that mutual funds under perform market indexes and suggest that the returns were
not sufficient to compensate investors for the diverse mutual fund charges. Friend, Brown,
Herman and Vickers (1962) did a systematic study on mutual funds considering 152 funds with
data period of 1953 to1958 and created an index of Standard and Poor’s indexes of five
securities, with the elements by their representation in the mutual fund sample. Friends and
Vickers (1965) concluded that mutual funds on the whole have not performed superior to random
portfolio. Friend, Marshal and Crocket (1970) in their study on mutual funds found that there is a
negative correlation between fund performance and management expense measure.
John and Donald (1974) examined the relationship between the stated fund objectives and
their risks-return attributes and concluded that on an average, the fund managers appeared to
keep their portfolios within the stated risk. Ippolito (1989) concludes that mutual funds on
2
3. INVESTIGATING PERFORMANCE OF EQUITY-BASED
MUTUAL FUND SCHEMES IN INDIAN SCENARIO
aggregate offer superior returns but they are offset by expenses and load charges. Barua,
Raghunathan and Varma (1991) evaluated the performance of Master Share during the period
1987 to 1991 using Sharpe, Jensen and Treynor measures and concluded that the fund performed
better that the market, but not so well as compared to the Capital Market Line. Sethu (1999)
conducted a study examining 18 open-ended growth schemes during 1985-1999 and found that
majority of the funds showed negative returns and no fund exhibited any ability to time the
market. Gupta (2000) has examined the investment performance of Indian mutual funds using
weekly NAV data and found that the schemes showed mixed performance during 1994-1999.
Mishra and Mahmud (2002) measured mutual fund performance using lower partial
moment. In this paper, measures of evaluating portfolio performance based on lower partial
moment are developed. Risk from the lower partial moment is measured by taking into account
only those states in which return is below a pre-specified “target rate” like risk-free rate.
Fernandes (2003) evaluated index fund implementation in India. In this paper, tracking error of
index funds in India is measured. The consistency and level of tracking errors obtained by some
well-run index fund suggests that it is possible to attain low levels of tracking error under Indian
conditions. At the same time, there seems to be periods where certain index funds appear to
depart from the discipline of indexation. Pendaraki, Zopounidis and Doumpous (2005) studied
construction of mutual fund portfolios, developed a multi-criteria methodology and applied it to
the Greek market of equity mutual funds. The methodology is based on the combination of
discrete and continuous multi-criteria decision aid methods for mutual fund selection and
composition. UTADIS multi-criteria decision aid method is employed in order to develop mutual
fund’s performance models. Goal programming model is employed to determine proportion of
selected mutual funds in the final portfolios. Zakri (2005) matched a sample of socially
responsible stock mutual funds to randomly selected conventional funds of similar net assets to
investigate differences in characteristics of assets held, degree of portfolio diversification and
variable effects of diversification on investment performance. The study found that socially
responsible funds do not differ significantly from conventional funds in terms of any of these
attributes. Moreover, the effect of diversification on investment performance is not different
between the two groups. Both groups underperformed the Domini 400 Social Index and S & P
500 during the study period.
Although emerging markets such as India have attracted the attention of investors all over
the world, they have remained devoid of much systematic research, especially in the area of
mutual funds. In an effort to plug this gap, a study by Gupta and Aggarwal (2007) sought to
check the performance of mutual funds operation in India. In this regard, quarterly returns
performance of all the equity-diversified mutual funds during the period from January 2002 to
December 2006 was tested. Analysis was carried out with the help of Capital Asset Pricing
Model (CAPM) and Fama-French Model. Amidst contrasting findings from the application of
the two models, the study calls for further research and insights into the interplay between the
performance determinant factor portfolios and their effect on mutual fund returns.
Since the development of the Indian Capital Market and deregulations of the economy in
1992 it has came a long way with lots of ups and downs. There have been structural changes in
both primary and secondary markets since a 1992 stock market scandal. Mutual funds are key
contributors to the globalization of financial markets and one of the main sources of capital flows
3
4. KCA JOURNAL OF BUSINESS MANAGEMENT. VOL. 2, ISSUE 2 (2009).
to emerging economies. Despite their importance in emerging markets, little is known about their
investment allocation and strategies. A study by Agarwal (2007) provides an overview of mutual
fund activity in emerging markets. It describes their size and asset allocation. This paper
analyzes the Indian Mutual Fund Industry pricing mechanism with empirical studies on its
valuation. It also analyzes data at both the fund-manager and fund-investor levels.
Guha (2008) focused on return-based style analysis of equity mutual funds in India using
quadratic optimization of an asset class factor model proposed by William Sharpe. The study
found the “Style Benchmarks” of each of its sample of equity funds as optimum exposure to 11
passive asset class indexes. The study also analyzed the relative performance of the funds with
respect to their style benchmarks. The results of the study showed that the funds have not been
able to beat their style benchmarks on the average.
Anand and Murugaiah (2008) examined the components and sources of investment
performance in order to attribute it to specific activities of Indian fund managers. They also
attempted to identify a part of observed return which is due to the ability to pick up the best
securities at given level of risk. For this purpose, Fama's methodology is adopted here. The study
covers the period between April 1999 and March 2003 and evaluates the performance of mutual
funds based on 113 selected schemes having exposure more than 90percent of corpus to equity
stocks of 25 fund houses. The empirical results reported reveal the fact that the mutual funds
were not able to compensate the investors for the additional risk that they have taken by
investing in the mutual funds. The study concludes that the influence of market factor was more
severe during negative performance of the funds while the impact selectivity skills of fund
managers was more than the other factors on the fund performance in times of generating
positive return by the funds. It can also be observed from the study that selectivity, expected
market risk and market return factors have shown closer correlation with the fund return
In the Indian context, very few studies have compared the performance of the mutual
fund schemes of private sector and public sector which this present work has attempted to study.
DATA AND SOURCES OF STUDY
The period of study is from1996-97 to 2008-09 (13 years). As on 31st March 2009, there were 19
private sector mutual fund companies and 12 public sector mutual fund companies operating in
India. The study aimed at analyzing the performance of open-ended mutual funds schemes which
are primarily equity based. But most of these came into existence from year 2001 onwards. This
study analyzed mutual funds over longer period of time and thus those mutual funds having a
minimum of 10 years of operation were selected. On this basis, 10 private sector mutual fund
companies operating in private sector and 7 in public sector were short listed. Out of these, those
which have growth-oriented open-ended schemes with continuous availability of NAV data were
selected. Thus, six Private Sector Mutual Funds and three Public sector Mutual funds, when
combined accounted for 23 Open-ended Growth-Oriented (equity-based) Mutual Fund Schemes
(see Table1 in Appendix). An open-end fund is one that is available for subscription all through
the year. These do not have a fixed maturity. Investors can conveniently buy and sell units at Net
Asset Value (NAV) related prices. These schemes have been selected on the basis of regular data
availability and launched during April 1996 until March 2009.
4
5. INVESTIGATING PERFORMANCE OF EQUITY-BASED
MUTUAL FUND SCHEMES IN INDIAN SCENARIO
The study has used secondary data. This is because our study pertains to historical
analysis of reported financial data. Daily Net Asset Values (NAV) data have been used for the
Schemes and the daily closing prices for the benchmark market index (NSE Nifty) have also
been used. The main sources of data have been Economic Times Investment Bureau and the
official website of National Stock Exchange (www.nse-india.com).
RESEARCH METHODOLOGY
The various measures of return / risk and portfolio performance used in the present study
are presented below:
Return.
The returns are computed on the basis of the NAV of the different schemes and returns in the
market index are calculated on basis of NSE Nifty on the respective date.
The return from a Mutual fund scheme (Rst) at time t, given in Equation-1, is as follows:
(1)
where NAVt and NAVt-1 are net assets values for time period t and t-1, respectively.
The Mean Return of the mutual fund scheme (Rmt) over a period of time, given in Equation-2, is
as follows:
(2)
where Rst is the return from a Mutual fund scheme at time t and n is the total number of time
period studied.
The return on the market (representative by a stock index) at time t, given in Equation-3, is as
follows:
(3)
where It and It-1 are value of a benchmark stock market index at period t and t-1, respectively.
In our case, we have taken the NSE Nifty as the benchmark stock index representing the broad
market.
The mean Return of the market portfolio (Rmt) over a period of time, given in Equation-4, is as
follows:
(4)
where Rmt is the return from a stock market index (for our case, NSE Nifty) at time t and n is the
total number of time periods studied.
5
6. KCA JOURNAL OF BUSINESS MANAGEMENT. VOL. 2, ISSUE 2 (2009).
Risk-Free Rate of Return (Rf)
In this study, the weekly yields on 91-day Treasury bills have been used as risk free rate.
Risk
The risk is calculated on the basis of week-end NAV. The following measures of risks
associated with mutual funds have been for the study:
i. Beta (β): i.e., fund’s volatility as regard market index measuring the extent of co-
movement of fund with that of the benchmark index.
ii. Standard Deviation (Ϭ): i.e., fund’s volatility or variation from the average expected
return over a certain period.
iii. Co-efficient of Determination (R2): i.e., the extent to which the movement in the fund
can be explained by corresponding benchmark index ( here, NSE Nifty )
For further evaluating the performance of mutual funds, the risk-return relation models given by
Sharpe (1966), Treynor (1965) and Jensen (1968) have been applied.
Sharpe Ratio.
The Sharpe measure provides the reward to volatility trade-off. It is the ratio of the fund
portfolio’s average excess return divided by the standard deviation of returns and is given by
Equation-5.
(5)
where ARP = average return on mutual fund portfolio over the sample period, ARf = average risk
free return over the sample period, and Ϭp = standard deviation of excess returns over the sample
period.
By dividing the average return of the portfolio in excess of the risk-free return by the
standard deviation of the portfolio, the Sharpe ratio (given by Equation-5) measures the risk
premium earned per unit of risk exposure. In other words, this ratio measures the change in the
portfolio's return with respect to a one unit change in the portfolio's risk. The higher this
"Reward-to-Variability-Ratio" the more attractive is the evaluated portfolio because the investor
receives more compensation for the same increase in risk.
Treynor Ratio.
The Treynor measure is similar to the Sharpe ratio, except that it defines reward (average
excess return) as a ratio of the CAPM beta risk. Treynor's performance measure is defined as the
risk premium earned per unit of risk taken. Thus, the Treynor ratio is computed as the average
return of the portfolio in excess of the risk-free return divided by the portfolio's beta. Treynor’s
ratio is given by Equation-6 as shown below.
(6)
where Betap = beta risk value for the mutual fund portfolio .
6
7. INVESTIGATING PERFORMANCE OF EQUITY-BASED
MUTUAL FUND SCHEMES IN INDIAN SCENARIO
Jensen Alpha.
The Jensen alpha measure is the intercept form the Sharpe-Litner CAPM regression of
portfolio excess returns on the market portfolio excess returns over the sample period. Jensen's
alpha is the arithmetic difference of the portfolio's return from the return of a portfolio on the
securities market line with the same beta. Jensen defines his measure of portfolio performance as
the difference between the actual returns on a portfolio in any particular holding period and the
expected returns on that portfolio conditional on the risk-free rate, its level of “systematic risk”,
and the actual returns on the market portfolio. Jensen’s Alpha measure is given by the Equation-7
as shown below.
RPt – Rft = Rft + BetaP (RMt – Rft) + e
(7)
where RPt is the mutual fund portfolio return in time period t, Rft is the risk free return in time
period t, RMt is the return on the market portfolio in time period t and e is the error term or
residual value.
EMPIRICAL FINDINGS AND DISCUSION
Return Earned by the Schemes
The second and third column of Table 2 (see appendix) depicts the return earned by the
mutual fund schemes as against the return on the stock market index for the period since
inception date of the mutual fund scheme till March 2009. Using Equation 1 and Equation-3,
return for the individual mutual find scheme and the market has been calculated using NAV and
daily index value (like NSE Nifty), respectively.
It is observed that all the 3 schemes of Franklin Templeton i.e., Balanced, Blue chip and
Prima Plus among the private sector, and the 3 schemes of UTI i.e., Dynamic Equity, India
Advantage Equity and Money Market among Public sector were the highest return-earning
schemes as against corresponding market returns witnessing returns in range of 0.33 percent to
0.47 percent and 0 .17 percent to 0.29 percent respectively. Negative returns were observed in 3
schemes namely, Birla-Gilt-plus Liquid, LIC – Equity and LIC – Index Sensex which also failed
to beat the market and thus were the worst performers. Out of the 23 schemes, 15 schemes (65
percent) had mean returns above their corresponding market returns which is a fairly good
indicator of mutual fund performance. Only LIC schemes showed poor performance, while rest
had average returns.
Systematic Risk (Beta)
The fourth column of Table 2 presents the systematic risk of the 23 mutual fund schemes.
Beta signifies the sensitivity of the return on the mutual fund scheme in comparison to the
movement in the stock market index. Beta is a measure of systematic risk. Beta value for a
mutual fund scheme is calculated as the percentage change in NAV of the scheme for one
percent change in the stock market index (in our case, NSE Nifty). Beta values of higher that
unity imply higher portfolio risk for the schemes than the market portfolio, and vice-versa. It is
observed that out of the 23 selected mutual fund schemes, five schemes namely, Birla-Gilt-plus
Liquid(1.0323), Birla-Asset Allocation Aggressive (1.0915), LIC-Equity(1.0143), LIC-Index
Sensex (1.0215) and UTI-Money Market (1.0023) were found to be more risky (beta > 1.0) than
7
8. KCA JOURNAL OF BUSINESS MANAGEMENT. VOL. 2, ISSUE 2 (2009).
the market. Remaining 28 schemes had beta in the range of 0.800 to 0.995 except HDFC-Capital
Builder (0.7314), HDFC-Gilt Short Term (0.7419) and Prudential ICICI-Gilt Treasury (0.79470)
holding portfolio that were least risky among the lot. In private sector, schemes of DSP Merill
and Franklin Templeton were those having adequately risky portfolios well below the market
risk, while in the public sector the same phenomenon was observed in the 3 schemes of SBI.
Co-efficient of Determination (R2)
The fifth column of Table 2 shows the values of co-efficient of determination for each of
the 23 mutual fund schemes considered for the purpose of this study, when measured with the
market index (NSE Nifty). Co-efficient of determination (R2) is a statistic that will give some
information about the goodness of fit of a model. In regression, the R2 coefficient of
determination is a statistical measure of how well the regression line approximates the real data
points. An R2 of 1.0 indicates that the regression line perfectly fits the data. Values of R2 outside
the range 0 to 1 can occur where it is used to measure the agreement between observed and
modeled values. R2 is given directly in terms of the explained variance: it compares the explained
variance (variance of the model's predictions) with the total variance (of the data).
High value of R2 shows higher diversification of the schemes portfolio that can easily
contain the market variability. It is found from the fifth coloumn of Table 2 that the highest R2
value was found in SBI-Magnum Index (0.786), followed by DSP Merill-Top 100 Equity(0.754)
and Franklin Templeton-Prima Plus (0.729) which indicates that these schemes have reasonably
exploited the diversification strategy for forming their portfolio. Lower values of R2 as witnessed
in schemes of Birla Sunlife (< 0.50) and Detusche (< 0.50) among private sector and LIC in
public sector (< 0.35) suggest that these are inadequately diversified. The schemes of these 3
Mutual funds were also observed to have low mean returns with most of them failing to beat the
market returns as shown in second and third columns of Table 2. Thus it may be safely
concluded that inadequate diversification of mutual fund schemes correlated with below-market
returns.
Simple mean returns or measures of systematic risk (beta) as discussed above do not
highlight the combined effect of both portfolio risk and returns. Thus, for meaningful evaluation
of mutual fund schemes, risk-return relationship has been analyzed by using different measures
of performance as given by Sharpe, Tryenor and Jensen models.
Results of Sharpe Ratio Measure
The second and third columns of Table 3 (see appendix) depict the values of Sharpe ratio
for the schemes and the market index. Sharpe ratio for the individual mutual find schemes and
the market is calculated using Equation 5. Sharpe ratio is an excess returns earned over risk-free
return (Rf ) per unit of risk i.e., per unit of standard deviation Positive values of schemes indicate
better performance. Higher positive values of Sharpe ratio found in Detusche-Alpha Equity
(1.840), Deutsche-Dynamic Equity Reg. (1.781), DSP Merrill-Top 100 Equity (1.771) among the
private sector and SBI-Magnum Index (1.694), SBI-Magnum Balanced (1.923 ), SBI-Magnum
Gilt (2.189 ), UTI-Dynamic Equity (1.552), UTI-India Advantage Equity (1.300) and UTI-
Money Market (1.341) among public sector show existence of adequate returns as against the
level of risk involved. Thus, the investors of these schemes have been rewarded well on their
8
9. INVESTIGATING PERFORMANCE OF EQUITY-BASED
MUTUAL FUND SCHEMES IN INDIAN SCENARIO
invested money. These schemes were also those which had out-performed the market index
which further strengthens our above conclusion.
11 schemes (48 percent) have failed to beat the market Sharpe ratio and also have shown
negative values. The worst performers are the 3 schemes of DSP Merrill Lynch (negative values
and/or less than market Sharpe ratio) and the 3 schemes of LIC namely, LIC-Equity (-0.733),
LIC -Index Sensex (-0.841) and LIC-Short Term Plan (-0.433).
Although the 3 schemes of Franklin Templeton namely Balanced, Bluechip and PrimaPlus had
negative Sharpe values, these schemes had higher values than their corresponding values of
market index which goes to show the better performance of Franklin Templeton in a falling
market.
On the whole, the performance has been a mixed one with SBI and UTI being the best in
public sector and Detusche taking the glory in private sector.
Results of Treynor Ratio Measure
Treynor ratio measures the excess return earned over risk-free return per unit of
systematic risk i.e., beta. The fourth and fifth column of Table 3 presents the Treynor ratio
values for the individual mutual fund schemes and the market portfolio, respectively. Treynor
ratio I calculated using Equation 6. Here, the major observations mirror the similar finding as in
Sharpe ratio. The only exception being the 2 schemes of Prudential ICICI namely, Balanced (-
0.031) and Gilt Treasury (-0.027) out-performing the market portfolio while in Sharpe measure
these were under-performers as against the market. This is primarily due to lower values of beta
for these schemes as shown in fourth column of Table 2.
The highest Treynor ratio was found in SBI-Magnum Gilt (0.154), followed by SBI-
Magnum Balanced (0.097), SBI-Magnum Index (0.084) and UTI-Dynamic Equity (0.073). The
least values of Treynor ratio were witnessed in DSP Merill-Balanced (-0.093), followed by LIC-
Index Sensex (-092) and LIC-Equity (-.084). 13 schemes (57 percent) showed positive values for
Treynor ratio with 15 schemes (65 percent) out-performing the market portfolio values of
Treynor ratio.
Results of Jensen Measure (Alpha)
The last column of Table 3 shows the Jensen’s alpha values for the 23 selected open-
ended growth-oriented Mutual funds schemes. The values of Jensen’s alpha are calculated using
Equation 7. It is the regression of excess return of the scheme (dependent variable) with excess
return of the market (independent variable). Higher alpha values indicate better performance.
Among the public sector, higher alpha was fond with UTI-Dynamic Equity (.021) followed by
SBI-Magnum Balanced (.017) and UTI-Money Market (.014), while in private sector higher
alpha measures was evidenced in the 3 schemes of DSP Merill Lynch namely, Top 100 Equity
(.018), India TIGER Fund (.014) and Balanced (.009). Positive but t negligible (< 0.004) alpha
values were recorded in Birla Sunlife namely Gilt-plus Liquid (.0001) and Asset Allocation
Aggressive (.0003).
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10. KCA JOURNAL OF BUSINESS MANAGEMENT. VOL. 2, ISSUE 2 (2009).
Only 7 schemes (30 percent) showed negative alpha values which indicates the failure on
part of their funds managers to forecast security prices in time for taking better investment
decisions. While LIC failed to have positive alpha value in public sector, negative values was
shown in schemes of Detusche and HDFC in private sector.
CONCLUDING REMARKS
Table 4 (see appendix) presents the performance of the mutual funds classified as private
sector and public sector in summarized form showing various parameters of performance. On the
basis of returns, UTI mutual fund schemes and Franklin Templeton schemes have performed
excellently in public and private sectors respectively. Much of this is due to these schemes
having portfolio of equities with high risk (high beta risk). On the other hand, LIC, Birla SunLife
and HDFC schemes have failed to satisfy their investors in terms of returns which was in spite of
taking higher risk.
On the basis of Sharpe ratio, Deutsche, Franklin Templeton, Prudential ICICI (in private
sector) and SBI and UTI (in public sector) mutual funds have out-performed the market portfolio
with positive values. These funds (except Deutsche and Prudential ICICI) are also observed to
have high R2 values (Coefficient of determination) indicating better diversification of the fund
portfolio. The remaining 4 mutual funds witnessed negative values and also had Sharpe ratio
below that of the market. The conclusion remained more or less similar with regard to Treynor
measure except HDFC mutual fund turning out to beat the market as out-performer with positive
values. Jensen alpha measure had mixed responses in private sector funds, while in public sector
only UTI and SBI managed relatively higher alpha values indicating better performance.
The overall analysis finds Franklin Templeton and UTI being the best performers, and
Birla SunLife, HDFC and LIC mutual funds showing poor below-average performance when
measured against the risk-return relationship models and measures. One of the lacunas of this
study is that only open-ended growth-oriented schemes have been analyzed for the sample
mutual funds. Future research may attempt to investigate and compare the close-ended schemes
with open-ended and also the debt schemes with equity based growth oriented schemes.
The broad implications of the findings are that the equity based open-ended mutual find
schemes of Franklin Templeton and UTI provide relatively superior returns to the investors. The
small investors are well-advised to analyse the return and risk parameters of the mutual funds,
over longer period of time, before their investment decisions. Although mutual finds are
instruments of diversified investments, a prudent choice between the many available mutual fund
schemes will go a long way in generating wealth for the investors. Further, in times of high stock
market volatility, mutual funds are the best source of investments with assured and adequate
returns provided the selection of the mutual funds is in the right direction.
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11. INVESTIGATING PERFORMANCE OF EQUITY-BASED
MUTUAL FUND SCHEMES IN INDIAN SCENARIO
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Investors. Vikalpa, 17, 1: 29-34.
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Friend, I., Marshal, B. and Crocket, J. (1970). Mutual Funds and Other Institutional Investors: A
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Guha, S. (2008). Performance of Indian Equity Mutual Funds vis-a-vis their Style Benchmarks.
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Gupta, A. (2000).Market Timing Abilities of Indian Mutual Fund Managers: An Empirical
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Gupta, M. and Aggarwal, N. (2007). Performance of Mutual Funds in India: An Empirical Study.
The ICFAI Journal of Applied Finance, 13, 9: 5-16.
Ippolito, R. A. (1993). On Studies of Mutual Fund Performance: 1962-1991. Financial Analyst
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Ippolito, R.A. (1989). Efficiency with Costly Information: A Study of Mutual Fund
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Pendaraki, K., Zopounidis, C. and Doumpos, M. (2005). On the construction of mutual fund
portfolios: A Multicriteria methodology and an application to the Greek market of equity
mutual funds. The European Journal of Operational Research, 163, 2: 462-481.
Sethu, G. (1999). The Mutual Fund Puzzle, International Conference on Management, UTI-ICM,
Conference Proceedings: 23-24.
Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 30, 1: 119-138.
Treynor, J. L. (1965). How to Rate Management of Investment Funds?Harvard Business Review,
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13. INVESTIGATING PERFORMANCE OF EQUITY-BASED
MUTUAL FUND SCHEMES IN INDIAN SCENARIO
APPENDIX
TABLE 1
List of selected mutual funds
Private Mutual Funds Public Mutual Funds
Birla Sunlife ( 2 schemes) LIC ( 3 Schemes)
Deutsche ( 2 Schemes)
DSP Merill Lynch ( 3 Schemes) SBI ( 3 Schemes)
Franklin Templeton ( 3 Schemes)
HDFC ( 2 Schemes) UTI ( 3 Schemes)
Prudential ICICI ( 2 Schemes)
6 MFs ( 14 Schemes) 3 MFs ( 9 Schemes )
TABLE 2
Mean return, beta and co-efficient of determination
Name of Scheme Scheme Market Beta R2
Return Return
Birla Sunlife - Gilt-plus Liquid -.0021 - .0017 1.0323 0.325
Birla Sunlife - Asset Allocation Aggressive .0014 .0015 1.0915 0.492
Detusche - Alpha Equity .0007 .0009 0.8142 0.431
Deutsche - Dynamic Equity Reg. .014 .0011 0.7911 0.493
DSP Merill - Balanced .0010 .0007 0.9827 0.662
DSP Merill – India TIGER Fund .0037 .0021 0.8814 0.678
DSP Merill – Top 100 Equity .0019 .0013 0.8927 0.754
Franklin Templeton – Balanced .0033 .0017 0.9913 0.692
Franklin Templeton – Bluechip .0047 .0016 0.9421 0.714
Franklin Templeton – Prima Plus .0041 .0011 0.8132 0.729
HDFC – Capital Builder .0010 .0014 0.7314 0.481
HDFC – Gilt Short Term .0019 .0027 0.7419 0.581
LIC – Equity - .0008 .0029 1.0143 0.232
LIC – Index Sensex - .0051 .0031 1.0215 0.249
LIC – Short Term Plan .0005 .0016 0.9192 0.330
Prudential ICICI – Balanced .0004 .0001 0.8929 0.417
Prudential ICICI – Gilt Treasury .0005 ..003 0.7947 0.465
SBI – Magnum Index .0009 .0008 0.9245 0.786
SBI – Magnum Balanced .0031 .0020 0.8133 0.610
SBI - Magnum Gilt .0021 .0014 0.8428 0.625
UTI – Dynamic Equity .0017 .0011 0.9122 0.703
UTI- India Advantage Equity .0029 .0015 0.8945 0.714
UTI – Money Market .0024 .0013 1.0023 0.697
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TABLE 3
Sharpe ratio, Treynor ratio and Jensen’s alpha of the mutual fund schemes
Name of Scheme Sharpe Ratio Treynor Ratio Jensen
Scheme Market Scheme Market Alpha
Birla Sunlife - Gilt-plus Liquid 0.894 1.273 .033 .047 .001
Birla Sunlife - Asset Allocation Aggressive 0.799 1.118 .045 .079 .003
Detusche - Alpha Equity 1.840 1.325 .049 .033 -.012
Deutsche - Dynamic Equity Reg. 1.781 1.259 .037 .024 -.014
DSP Merill - Balanced -0.673 -0.433 -.093 -.058 .009
DSP Merill – India TIGER Fund - 0.844 -0.723 -.072 -.067 .014
DSP Merill – Top 100 Equity 1.771 1.826 .084 .092 .018
Franklin Templeton – Balanced -1.347 -1.449 -.017 -.022 .007
Franklin Templeton – Bluechip -1.507 -1.818 -.031 -.053 .005
Franklin Templeton – Prima Plus -1.602 -1.934 -.043 -.061 .002
HDFC – Capital Builder 0.934 0.993 -.077 .089 -.011
HDFC – Gilt Short Term 0.847 1.243 .076 .098 -.004
LIC – Equity -0.733 -0.507 -.084 -.057 -.004
LIC – Index Sensex -0.841 -0.615 -.092 -.062 -.001
LIC – Short Term Plan -0.433 -0.317 -.042 -.035 -.005
Prudential ICICI – Balanced -0.217 -0.143 -.031 -.037 .004
Prudential ICICI – Gilt Treasury -0.119 -0.107 -.027 -.022 .002
SBI – Magnum Index 1.694 1.443 .084 .073 .011
SBI – Magnum Balanced 1.923 1.334 .097 .081 .017
SBI - Magnum Gilt 2.189 1.430 .154 .094 .006
UTI – Dynamic Equity 1.552 1.211 .073 .055 .021
UTI- India Advantage Equity 1.300 1.128 .056 .053 .008
UTI – Money Market 1.341 1.098 .058 .041 .014
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15. INVESTIGATING PERFORMANCE OF EQUITY-BASED
MUTUAL FUND SCHEMES IN INDIAN SCENARIO
TABLE 4
Overall Performance of the Selected Mutual Funds
Mutual Fund Scheme Return Beta Sharpe Treyor Jensen R2
(Risk) Ratio Ratio Alpha
Private Birla Sunlife Poor High + ve + ve + ve Very
Sector Under- Under- Very Low
performer performer Low
Deutsche Moderate Low +ve + ve - ve Low
Over- Over- Moderat
Performer Performer e
DSP Merill Lynch Good High - ve - ve + ve High
Under- Under- Relative
performer performer ly High
Franklin Templeton Excellent High - ve - ve + ve High
Over- Over- Low
Performer Performer
HDFC Poor Low + ve + ve - ve Low
Under- Over- Mixed
performer Performer
Prudential ICICI Moderate Low - ve - ve + ve Low
Over- Over- Very
Performer Performer Low
Public LIC Poor High - ve - ve - ve Very
Sector Under- Under- Low Low
performer performer
SBI Good Low + ve + ve + ve High
Over- Over- Relative
Performer Performer ly High
UTI Excellent High + ve + ve + ve High
Over- Over- Relative
Performer Performer ly High
Note: Under-performer denotes situation where the Scheme’s Specific Performance is BELOW that of
the Market; Over-Performer situation where the Scheme’s Specific Performance is ABOVE that of the
Market.
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