This document analyzes the performance of 10 selected mutual fund schemes in India from 2015-2019 using various measures. It aims to evaluate the risk and return relationship of the funds. Performance is assessed using the Sharpe ratio, Treynor ratio, and Jensen's alpha. The Sharpe ratio measures risk-adjusted return, the Treynor ratio is the reward-to-volatility ratio, and Jensen's alpha measures absolute performance against a benchmark. Daily net asset values for the funds and market index closing values are used to calculate these measures. The study finds that most funds failed to outperform the market index based on the ratios analyzed.
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.
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In the current economic scenario interest rates are falling and fluctuation in the share market has put investors in confusion. One finds it difficult to take decision on investment. This is primarily, because of investments are risky in nature and investors have to consider various factors before investing in investment avenues.
These factors include risk, return, volatility of shares and liquidity. The main objective of comparing investment in equity shares with mutual fund schemes is to analyze the performance of mutual funds with their benchmark and comparing them with equities by using risk, return, beta and alpha as a parameter.
analysis project for mba, comparative analysis, between private and public sectors, review, literature, comparative analysis, findings, fund project, project report, comparative, fund returns and bank deposits, reliance, fund vs uti, fund
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 Evaluation of Equity Shares and Mutual FundsProjects Kart
In the current economic scenario interest rates are falling and fluctuation in the share market has put investors in confusion. One finds it difficult to take decision on investment. This is primarily, because of investments are risky in nature and investors have to consider various factors before investing in investment avenues.
These factors include risk, return, volatility of shares and liquidity. The main objective of comparing investment in equity shares with mutual fund schemes is to analyze the performance of mutual funds with their benchmark and comparing them with equities by using risk, return, beta and alpha as a parameter.
analysis project for mba, comparative analysis, between private and public sectors, review, literature, comparative analysis, findings, fund project, project report, comparative, fund returns and bank deposits, reliance, fund vs uti, fund
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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.
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The examination of the risk, return, and volatility of the HDFC equities mutual funds assists investors who
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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.
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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.
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The examination of the risk, return, and volatility of the HDFC equities mutual funds assists investors who
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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.
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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
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2. Solid State Technology
Volume: 63 Issue: 2s
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1010
A Study on Performance Analysis of Selected
Mutual Fund Schemes in India
Dr. P. Venkatesh* Dr.V.Selvakumar** Dr.D.ShanthiRevathi*** Dr. K. Maran****
*Assistant Professor, Sri Sairam Engineering College, Chennai
**Associate Professor, Sri Sairam Institute of Technology, Chennai
***Assistant Professor, Alpha Arts and Science College, Porur
***Professor & Director, Sri Sairam Institute of Management Studies, Chennai
ABSTRACT
In India, there are various investment avenues available for investors to invest and earn
profitable return. Among the others financial products, investment in mutual fund ensures the
minimum risks and maximum return to the investors. The need and scope of the mutual fund
operation has increased as the emphasis is being made on increase in domestic savings and
improvement in diversification of investments. Thus it became important to study the mutual
fund industry and the performance of the mutual funds. This study aims to evaluate the
performance of a few selected mutual fund schemes of India on the basis of their daily net asset
value (NAV) for the period of five years from 2015-2019. A sample of 10 open-ended, growth-
oriented equity funds has been selected for the study. The performance of the funds is evaluated
using Sharpe index, Treynor index and Jensen alpha whose results will be useful for investors
for taking better investment decisions.
Keywords: Mutual Funds, Performance, Sharpe Index, Treynor Index, Jensen Alpha….
INTRODUCTION
In 1963, the mutual fund industry was started in India with the formation of the Unit Trust of
India (UTI), at the initiatives taken by the Reserve Bank of India and the Government of India.
Mutual funds constitute an important segment of the financial system. It is a non-depository
financial intermediary. A mutual fund is a type of investment that pools the savings of the
investors for investments in shares, debentures, government securities and other financial
instruments. It is a special type of institution that acts as an investment conduit. The unit holders
share the income earned through these investments in proportion to their units owned them. The
mutual funds in India follow a three-tier structure. The three entities involved in the process are:
3. Solid State Technology
Volume: 63 Issue: 2s
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The sponsor
Trustees
The asset management company
STATEMENT OF THE PROBLEM
The mutual fund industry is a rapidly growing sector in the Indian financial market. Though there are
different options for investment, the investment in mutual fund through sound fund management provides
the benefits for the investors to invest in capital market with low risk and high of rate of returns as there is
diversification of funds. There are many investment avenues available for investors. It is required that the
investors need to have good knowledge regarding risk and return of the funds they are investing. Thus this
study helps to analyse the performance of the selected mutual fund schemes for the purpose of
investment.
OBJECTIVES OF THE STUDY
To evaluate the performance of the selected mutual fund schemes in India.
To make a comparative analysis on the performance of the mutual fund schemes using
performance measures like Sharpe index, Treynor index and Jensen alpha.
To examine the risk and return relationship of the selected mutual funds.
REVIEWS OF LITERATURE
Phanisara Raju and Mallikarjuna Rao (2011) in their study evaluated the performance of the
mutual fund schemes in the framework of risk and return. The study period comprised of 3 years
from 2008 to 2010. The schemes were evaluated using performance measures such as Treynor,
Sharpe, Jensen and Fama. The results indicated the failure of many schemes in infrastructure and
other schemes failing to generate the mandated returns.
KalpeshPrajapati and Mahesh Patel (2012) in their paper evaluated the performance of Indian
mutual funds through relative performance index, risk-return analysis, Treynor ratio, Sharpe
ratio, Jensen measure and Fama measure. Their study period was from 2007 to 2011. The results
suggested that most of the mutual funds gave positive return during the above mentioned period.
ShivaniInder and Shikha Vohra (2012) evaluated the long run performance of the index fund
schemes to make comparative analysis of the performance of the funds during the period of 2005
4. Solid State Technology
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to 2011. The performance measures such as standard deviation, beta, alpha, r-squared,
Sharpe,Treynor and Jensen measures were used. The results indicated that funds like ICICI, Tata
and Franklin were better performers with regard to growth option.
Rupeet Kaur (2014) examined the performance of open-ended debt mutual funds in India. A
sample of 23 schemes were selected to evaluate the performance on the basis of weekly returns
compared to benchmark returns. The statistical tools like average, standard deviation, beta, co-
efficient of determination, risk adjusted performance measures by Treynor, Sharpe, Jensen and
Fama‟s measures were employed. The analysis revealed that most of the schemes could not
perform better as compared to the benchmark.
RESEARCH METHODOLOGY
Research Methodology:
To examine the performance of the mutual fund schemes, 10 open-ended, growth-oriented equity
mutual fund schemes are selected from the top mutual fund companies based on the assets under
management (AUM). The most popular index BSE-Sensex is used as the benchmark for the
study. The daily net asset values (NAV) dataof the mutual fund schemes and the daily closing
values of the benchmark market index is used in the study. The yield of 91-day Treasury bills is
used as the risk free rate of return for the study.
Period of study:
The study covers a period of five years from January 2015 to December 2019.
Sources of Data:
The study is analytical in nature and the secondary data are collected from books, journals and
various websites.
Tools for analysis:
The various statistical tools used for the study are average, standard deviation and percentage.
The performance measures used are:
SHARPE PERFORMANCE MEASURE
This ratio was developed by William F. Sharpe and it is used to understand the return of an
investment when compared to its risk. It is considered as a reward to variability ratio. The Sharpe
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ratio measures the risk premium of the portfolio in terms of its risk. The risk premium is the
difference between the return of the portfolio and the risk-free rate of return. The standard
deviation represents the risk in the portfolio
The high and positive ratio shows the better risk-adjusted performance of a fund, while a low and
negative ratio indicates the unfavorable performance.
TREYNOR PERFORMANCE MEASURE
This ratio was developed by Jack Treynor. It is considered as the reward-to-volatility ratio.The
excess return is the difference between the average return and risk-free rate of return. The
Treynor ratio is different from Sharpe ratio, as it considers the beta as a measure of systematic
risk. The risk premium depends on the systematic risk assumed in a portfolio.
The fund with higher ratio is desirable as it earns a higher risk premium per unit of systematic
risk.
JENSEN’S PERFORMANCE MEASURE
This risk-adjusted return measure was developed by Michael Jensen and is also known as
Jensen‟s index or Jensen‟s alpha. It is a measure of absolute performance because the
performance is measured against a definite standard. The mentioned standard is based on the
manager‟s predictive ability.
A positive alpha represents the over performance of the fund while the negative alpha represents
the under performance of the fund.
BETA
It is a measure of volatility of the fund in comparison to the market. It is calculated using a
statistical tool called „regression analysis‟. Beta is the slope of the characteristic regression line.
It describes the relationship between the fund‟s return and the index returns. One per cent change
in market index return causes one per cent change in the fund return. It indicates that the fund
moves in tandem with the market. The mutual fund schemes with higher beta value is mostly
opted by the aggressive investors as it represents higher returns with higher risk.
6. Solid State Technology
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1014
Where, Ri = Return of the fund
Rm = Return of the market
STANDARD DEVIATION
The risk of a mutual fund is measured by „Standard Deviation‟. It measures how much the
returns of a fund is deviated from its excess returns based on its historical performance. In other
words, the volatility of the fund is evaluated by standard deviation. The fund with higher
standard deviation indicates that the net asset value is more volatile, thus considered being risky
than a fund with low standard deviation.
DATA ANALYSIS AND INTERPRETATION
ANALYSIS OF AVERAGE RETURN
TABLE NO: 1 RETURNS ANALYSIS OF SELECTED MUTUAL FUND SCHEMES
MUTUAL FUND SCHEMES 2015 2016 2017 2018 2019
AVERAG
E
HDFC EQUITY FUND
-
0.019 0.024
0.13
0
-
0.009 0.027 0.033
HDFC MID-CAP OPPORTUNITIES
FUND 0.026 0.042
0.14
4
-
0.044 0.003 0.036
SBI SMALL CAP FUND
0.081 0.003
0.24
0
-
0.085 0.029 0.056
SBI LARGE AND MIDCAP FUND
0.044
-
0.003
0.14
0
-
0.017 0.028 0.040
ABSL SMALL CAP FUND
0.052 0.035
0.18
6
-
0.101
-
0.046 0.027
ABSL MIDCAP FUND
0.043 0.020
0.15
5
-
0.067
-
0.012 0.029
NIPPON INDIA SMALL CAP FUND
0.059 0.028
0.19
9
-
0.067
-
0.005 0.042
NIPPON INDIA MULTI CAP FUND
0.006
-
0.020
0.14
2
-
0.001 0.016 0.026
KOTAK SMALLCAP FUND
0.030 0.030
0.15
0
-
0.080 0.020 0.031
KOTAK EQUITY OPPORTUNITIES
FUND 0.010 0.030
0.12
0
-
0.020 0.050 0.040
S&P BSE SENSEX -
0.021 0.003
0.09
9 0.027 0.053 0.033
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INTERPRETATION:
It can be pointed out from the table that during 2015 and 2017, SBI Small Cap Fund has earned
more returns compared to the other funds. In 2014, HDFC Mid-Cap Opportunities Fund has
generated higher returns against other funds. During 2018, every funds have produced negative
returns. In 2019, Kotak Equity Opportunities Fund earned maximum return compared to others.
Based on the average returns for the five years, 6 out of 10 schemes have provided returns
greater than the benchmark. The SBI Small Cap Fund has the highest return, followed by Nippon
India Multi Cap Fund, Kotak Equity Opportunities Fund and SBI Large and Midcap Fund
considering the average return for the study period.
SHARPE’S PERFORMANCE MEASURE
TABLE NO: 2 SHARPE’S PERFORMANCE MEASURE OF SELECTED MUTUAL
FUND SCHEMES
NAME OF THE SCHEME 2015 2016 2017 2018 2019
AVERAG
E
HDFC EQUITY FUND
-
0.28
-
0.26
-
0.37
-
0.33
-
0.32 -0.14
HDFC MID-CAP OPPORTUNITIES FUND
-
0.34
-
0.33
-
0.46
-
0.35 -0.4 -0.16
SBI SMALL CAP FUND
-
0.31 -0.3
-
0.39
-
0.33
-
0.44 -0.15
SBI LARGE AND MIDCAP FUND
-0.3
-
0.31
-
0.45 -0.4
-
0.37 -0.16
ABSL SMALL CAP FUND
-
0.30
-
0.08
-
0.39
-
0.32
-
0.33 -0.08
ABSL MIDCAP FUND
-
0.32 -0.1
-
0.43
-
0.34
-
0.35 -0.09
NIPPON INDIA SMALL CAP FUND
-
0.28
-
0.26
-
0.38
-
0.31
-
0.37 -0.14
NIPPON INDIA MULTI CAP FUND
-
0.33
-
0.32
-
0.44
-
0.34 -0.3 -0.15
KOTAK SMALLCAP FUND
-
0.32
-
0.32
-
0.47
-
0.39
-
0.41 -0.16
KOTAK EQUITY OPPORTUNITIES
FUND
-
0.31
-
0.33
-
0.52
-
0.40
-
0.39 -0.17
INTERPRETATION:
The above table reflect the Sharpe‟s performance index for the selected mutual fund schemes
during 2015 to 2019. The performance of all the schemes is considered poor on the basis of the
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1016
negative values obtained. The negative Sharpe index indicates that the returns of the funds are
lower than the benchmark return. Based on the average of the values calculated, the Aditya Birla
Sun Life Midcap Fund has the highest value of Sharpe measure, followed by ABSL Midcap
Fund, HDFC Equity Fund and Nippon India Small Cap Fund.
TREYNOR’S PERFORMANCE MEASURE
TABLE NO: 3 TREYNOR’S PERFORMANCE MEASURE OF SELECTED MUTUAL
FUND SCHEMES
NAME OF THE SCHEME 2015 2016 2017 2018 2019
AVERAG
E
HDFC EQUITY FUND
-
0.05
-
0.04
-
0.04
-
0.05
-
0.05 -0.04
HDFC MID-CAP OPPORTUNITIES FUND
-
0.06
-
0.06
-
0.06
-
0.06
-
0.07 -0.06
SBI SMALL CAP FUND
-
0.07
-
0.06
-
0.06
-
0.07
-
0.08 -0.07
SBI LARGE AND MIDCAP FUND
-
0.05
-
0.05
-
0.05
-
0.06
-
0.06 -0.05
ABSL SMALL CAP FUND
-
0.06
-
0.07
-
0.05
-
0.06
-
0.06 -0.06
ABSL MIDCAP FUND
-
0.06
-
0.06
-
0.05
-
0.06
-
0.06 -0.06
NIPPON INDIA SMALL CAP FUND
-
0.27
-
0.31
-
0.67
-
0.26
-
0.25 -0.28
NIPPON INDIA MULTI CAP FUND
-
0.64
-
0.29
-
0.71 -0.5 -0.4 -0.43
KOTAK SMALLCAP FUND
-
0.06
-
0.06
-
0.06
-
0.07
-
0.07 -0.06
KOTAK EQUITY OPPORTUNITIES
FUND
-
0.05
-
0.05
-
0.05
-
0.06
-
0.06 -0.05
INTERPRETATION:
The high value of Treynor indicate that the fund performance is high in accordance to the
systematic risk. It is observed from the above table that no mutual fund scheme has outperformed
its benchmark returns. On the basis of average calculated, the highest Treynor ratio is obtained
by HDFC Equity Fund (0.04) followed by SBI Large and Midcap Fund (0.05) and Kotak Equity
Opportunities Fund (0.05). The performance of the Nippon India Multi Cap Fund is poor
compared to other schemes based on the average values.
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JENSEN’S PERFORMANCE MEASURE
TABLE NO: 4 JENSEN’S PERFORMANCE MEASURE OF SELECTED MUTUAL
FUND SCHEMES
NAME OF THE SCHEME 2015 2016 2017 2018 2019
AVERA
GE
HDFC EQUITY FUND
0.002
7
0.010
4
0.012
7
0.003
5
0.002
7 0.0056
HDFC MID-CAP OPPORTUNITIES
FUND
-
0.010
5
-
0.006
8
-
0.005
2
-
0.008
1
-
0.013
3 -0.0093
SBI SMALL CAP FUND
-
0.012
7
-
0.008
9
-
0.010
6
-
0.012
3
-
0.019
8 -0.0128
SBI LARGE AND MIDCAP FUND
-
0.002
7
-
0.000
6
0.001
2
-
0.007
8
-
0.004
9 -0.0031
ABSL SMALL CAP FUND
-
0.005
9
-
0.011
9
-
0.003
4
-
0.006
8
-
0.007
7 -0.0076
ABSL MIDCAP FUND
-
0.007
8
-
0.010
9
-
0.004
8
-
0.005
7 -0.006 -0.0075
NIPPON INDIA SMALL CAP FUND
-
0.040
4
-
0.041
8
-
0.044
7
-
0.041
2
-
0.040
4 -0.0410
NIPPON INDIA MULTI CAP FUND
-
0.046
3
-
0.041
8
-
0.045
5
-
0.045
2
-
0.044
0 -0.0443
KOTAK SMALLCAP FUND
-
0.007
9
-
0.005
2
-
0.008
5
-
0.012
8
-
0.015
7 -0.0097
KOTAK EQUITY OPPORTUNITIES
FUND
-
0.003
3
-
0.002
2
-
0.003
5
-
0.005
0
-
0.006
3 -0.0039
INTERPRETATION:
The positive values of the Jensen‟s alphas indicate superior performance and selectivity skills of
fund managers. Based on the above table HDFC Equity Fund is the only scheme to show
positive alphas in every year, thus proving it is the superior performer compared to other
schemes. Apart from HDFC Equity Fund, SBI Large and Midcap Fund has got positive alpha in
2017. The negative values of alpha indicate the underperformance of the funds compared to the
benchmark.
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AVERAGE BETA ANALYSIS
TABLE NO: 5 BETA ANALYSES OF SELECTED MUTUAL FUND SCHEMES
NAME OF THE SCHEME 2015 2016 2017 2018 2019 AVERAGE
HDFC EQUITY FUND 1.05 1.2 1.25 1.08 1.06 1.11
HDFC MID-CAP OPPORTUNITIES FUND 0.78 0.86 0.89 0.85 0.74 0.81
SBI SMALL CAP FUND 0.73 0.82 0.76 0.78 0.61 0.74
SBI LARGE AND MIDCAP FUND 0.93 0.99 1.02 0.85 0.91 0.94
ABSL SMALL CAP FUND 0.87 0.76 0.91 0.89 0.87 0.85
ABSL MIDCAP FUND 0.83 0.78 0.89 0.91 0.89 0.85
NIPPON INDIA SMALL CAP FUND 0.18 0.16 0.07 0.2 0.2 0.18
NIPPON INDIA MULTI CAP FUND 0.08 0.17 0.07 0.1 0.12 0.12
KOTAK SMALLCAP FUND 0.83 0.89 0.82 0.77 0.69 0.81
KOTAK EQUITY OPPORTUNITIES FUND 0.93 0.95 0.92 0.91 0.87 0.92
INTERPRETATION:
The table clearly depicts that the beta values of all the schemes are lower than 1 except HDFC
Equity Fund and SBI Large and Midcap Fund (2017). The average beta value of the HDFC
Equity Fund is 1.11 which clearly indicates that it falls under the high risk category. In the year
wise category, the beta value higher than the other values is in the year 2017. The lower beta
values are obtained from the Nippon India mutual fund compared to the average values obtained
by the other schemes. The SBI Large and Midcap Fund and Kotak Equity Opportunities Fund
have beta values close to one meaning they are likely to be more volatile than other schemes.
ANALYSIS OF AVERAGE STANDARD DEVIATION
TABLE NO: 6 AVERAGE STANDARD DEVIATION OF SELECTED MUTUAL FUND
SCHEMES
NAME OF THE SCHEME 2015 2016 2017 2018 2019
AVERAG
E
HDFC EQUITY FUND
18.0
5 19.2
13.3
9 15.4
15.7
3 36.87
HDFC MID-CAP OPPORTUNITIES
FUND
14.9
2
15.1
8
10.6
8
14.4
5
12.4
8 30.58
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SBI SMALL CAP FUND
15.9
2
16.8
2
12.4
1
15.5
4
11.3
8 32.79
SBI LARGE AND MIDCAP FUND
16.5 16.4 10.8
12.6
1
13.5
2 31.67
ABSL SMALL CAP FUND
16.4
9
59.1
1
12.3
3
16.2
7
15.1
7 66.44
ABSL MIDCAP FUND
15.6
4
49.7
9
11.3
9
14.9
4
14.5
5 57.32
NIPPON INDIA SMALL CAP FUND
18.0
1
18.8
8
12.6
7
16.4
9
13.7
4 36.24
NIPPON INDIA MULTI CAP FUND
15.3
5
15.7
8
11.0
4 14.7 16.6 33.24
KOTAK SMALLCAP FUND
15.6
3
15.6
2
10.3
6
13.2
4
12.2
3 30.43
KOTAK EQUITY OPPORTUNITIES
FUND
16.2
6
15.1
3 9.49
12.6
9
12.8
2 30.21
S&P BSE SENSEX
16.0
8
14.7
1 8.89
12.4
8
13.6
2 29.93
INTERPRETATION:
In the above table, the term standard deviation indicates the risk of the selected mutual fund
schemes. It is found that all the schemes risks are greater than the market benchmark risk. The
variation is higher in the year 2016 compared to other years. The average standard deviation of
ABSL Small Cap Fund and ABSL Midcap Fund is greater in comparison with the other schemes
standard deviationdepicting that the return from the scheme is more deviated from its expected
return based on the historical returns. The Kotak Equity Opportunities Fund has the lowest
average standard deviation of 30.21% followed by Kotak Smallcap Fund (30.43%) and HDFC
Mid-Cap Opportunities Fund (30.58%).
PERFORMANCE ANALYSIS OF SELECTED MUTUAL FUND SCHEMES
TABLE NO: 7 COMPARATIVE PERFORMANCE ANALYSIS OF SELECTED
MUTUAL FUND SCHEMES
NAME OF THE
SCHEME
AVERAG
E
RETURN
STANDAR
D
DEVIATIO
N
B
E
T
A
SHARPE'
S
MEASUR
E
TREYNOR
'S
MEASURE
JENSEN
'S
ALPHA
HDFC EQUITY
FUND 0.033 36.87
1.1
1 -0.14 -0.04 0.0056
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HDFC MID-CAP
OPPORTUNITIES
FUND 0.036 30.58
0.8
1 -0.16 -0.06 -0.0093
SBI SMALL CAP
FUND 0.056 32.79
0.7
4 -0.15 -0.07 -0.0128
SBI LARGE AND
MIDCAP FUND 0.040 31.67
0.9
4 -0.16 -0.05 -0.0031
ABSL SMALL CAP
FUND 0.027 66.44
0.8
5 -0.08 -0.06 -0.0076
ABSL MIDCAP
FUND 0.029 57.32
0.8
5 -0.09 -0.06 -0.0075
NIPPON INDIA
SMALL CAP FUND 0.042 36.24
0.1
8 -0.14 -0.28 -0.0410
NIPPON INDIA
MULTI CAP FUND 0.026 33.24
0.1
2 -0.15 -0.43 -0.0443
KOTAK
SMALLCAP FUND 0.031 30.43
0.8
1 -0.16 -0.06 -0.0097
KOTAK EQUITY
OPPORTUNITIES
FUND 0.040 30.21
0.9
2 -0.17 -0.05 -0.0039
INTERPRETATION:
The table above shows positive returns for all the schemes during the study period. The beta
value of all schemes except one is less than one indicating that the fund is less volatile compared
to the market. The values of Sharpe and Treynor‟s index are negative for all the schemes
indicating that the returns of the funds are not greater than the benchmark return i.e., risk free
rate. The negative Jensen alpha indicates that the performance of the funds is not superior
compared to the benchmark. The standard deviation is referred as risk as it indicates the variation
of returns from expected returns based on the historical returns of the funds. The SBI Small Cap
Fund has the highest average return with standard deviation slightly higher than the benchmark
value and beta value less than one suggesting its low volatility to the market. The ABSL Mutual
Fund has the highest risk with low return and low Sharpe and Treynor index.
CONCLUSION
The present study analysed the performance of the 10 open-ended growth oriented equity
schemes during the period 2015 to 2019. The average returns of all the funds are positive during
the study period. The performance of the funds is evaluated using Sharpe, Treynor and Jensen
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1021
measure. The results from this measure will be useful to the investors for taking investment
decisions. The values of beta of all the schemes except one used in the analysis is less than one
indicating that the funds are less volatile than the market. The negative value of Sharpe index of
all the schemes indicate that the returns generated are lower than the benchmark. The negative
Treynor index and Jensen alpha shows the underperformance of the funds. HDFC Equity Fund
and SBI Mutual Fund schemes are suitable for investors who are aiming for high returns but the
risk associated with the fund is greater. HDFC Mid-Cap Opportunities Fund and Kotak Mutual
Fund schemes is recommended when the investors are expecting moderate returns with moderate
risk. The ASBL Mutual Fund is mostly not recommended as it produces low return with higher
level of risk. The Nippon Mutual Fund can be suitable for investors expecting consistent return
as the beta value shows the low volatility of the fund compared to the market.
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& Control Systems, ISSN: 1943- 023X, 07-Special issue on Management Studies.
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Equity Performance On Select Steel Sector Using Discriminant Function Analysis”
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