S.DEVARAGUDI

8/2/2019 S.DEVARAGUDI

http://slidepdf.com/reader/full/sdevaragudi 1/19

ZENITHInternational Journal of Multidisciplinary ResearchVol.1 Issue 8, December 2011, ISSN 2231 5780

w w w

. z e n i t h r e s e a r c h

. o r g

. i n

4 2 8

PERFORMANCE EVALUATION OF OPEN ENDED SCHEMESOF MUTUAL FUNDS

DR. VIKAS KUMAR*

*Guest Faculty,Department of Commerce,

Sri Harischandra Post Graduate College, Varanasi.

INTRODUCTION

Household savings play an important role in domestic capital formation. Only a smallpart of the household savings in India is channelized to the capital market. Attracting morehousehold savings to the capital market requires efficient intermediation. Mutual funds haveemerged as one of the important class of financial intermediaries which cater to the needs of retail investors. Mutual funds have become an important vehicle for mobilization of savingsparticularly from the household sector.

Mutual funds are one of the most favoured investment routes for the small and mediuminvestors across the world. Ideally, Mutual funds provide opportunities for small investors toparticipate in the capital market without assuming a very high degree of risk. An importantprinciple of investment in capital market is that do not put all the eggs in one basket i.e.diversification. A small investor is not able to have a diversified portfolio mainly due to paucityof resources. However, a mutual fund pools together the savings of such small investors andinvests the same in the capital market and passes the benefits to the investors. Thus, investors canindirectly participate in the capital market by subscribing to the units of mutual funds. Mutualfunds employ professional fund managers to manage the investment activities. Therefore,investors also get benefits of professional expertise of these managers.

OBJECTIVES OF THE STUDY

1. To examine the funds sensitivity to the market fluctuation in the terms of Beta.

2. To appraise the performance of mutual funds with regard to risk-return adjustment,the model suggested by Sharp, Treynore and Jensen.

SIGNIFICANCE OF THE STUDY

Evaluating historical performance of mutual funds is important both for investors as wellas portfolio managers. It enables an investor to access as to how much return has been generatedby the portfolio manager and what risk level has been assumed in generating such returns.Further, an investor can also appraise the comparative performance of different fund managers.Similarly fund managers would also be able to know their performance over time and also vis-a-vis that of other competitors in the industry. The evaluation also provides a mechanism foridentifying strengths and weaknesses of fund managers in the investment process, which helpsthem to take corrective actions.




w w w


. o r g

. i n

4 2 9

BENCHMARK INDEX

For this study, broad-100 shared base BSE National Index has been used as a proxy formarket index this is because BSE National index is comparatively for broad based than BSE

Sensex that is constituted of 30 shares only. Hence it would cover the majority percentage of different scheme portfolios and therefore is expected to provide better performance benchmark.

RISK FREE RATE

Risk free rate of return refers to that minimum return on investment that has no risk of losing the investment over which it is earned. For the present study, it has been marked as 6%(.06) per annum or 0.005 per month.

PERIOD OF STUDY

The growth oriented schemes, which have been floated by the selected funds during theperiod Jan. 2000 to Dec. 2009, have been considered for the purpose of the study. Monthly NetAsset Value (NAV) as declared by the relevant mutual funds from the Jan. 1 st 2000 of aparticular scheme to 31 st Dec. 2009 has been used for the purpose.

DATA

This study examines 20 open-ended schemes being launched by selected five mutualfunds namely LIC, HDFC, ICICI, Reliance and Birla Sun Life. These schemes have beenselected on the basis of regular data availability during the period of Jan. 2000 to Dec. 2009.Monthly Net Asset Value (NAV) data has been used and the period of the data considered isfrom the date 1 st Jan. 2000 of the scheme or from the date of availability till Dec. 31, 2009.

LIMITATIONS OF THE STUDY

For the purpose of performance evaluation, those schemes have been selected which arein operation since last 10 years. These schemes relate to five mutual funds namely LIC, HDFC,ICICI, Reliance and Birla Sun Life. Only open ended schemes have been considered for thispurpose. Performance evaluation of all the schemes operated by selected mutual funds was notpossible because of non availability of sufficient data. Table 5.1 depicts the list of samplescheme selected for study, these schemes relate to five mutual funds namely LIC Mutual Fund,HDFC Mutual Fund, ICICI Mutual Fund, Reliance Mutual Fund and Birla Sun Life MutualFund. Only open ended schemes have been considered for this purpose. Out of 20 schemes 13schemes are equity schemes 4 are debt schemes and remaining 3 are balanced schemes.




w w w


. o r g

. i n

4 3 0

TABLE 5.1

LIST OF MUTUAL FUNDS SCHEMES STUDIED

Name of the Scheme Date of LaunchEquity Scheme

Birla Sun Life Buy India Fund

Birla Sun Life Equity Fund Growth

Birla Sun Life India Opportunities Fund

Birla Sun Life MNC Fund

HDFC Top 200 Growth

ICICI Prudential FMCG Growth

ICICI Prudential Growth Plan

ICICI Prudential Tax Plan Growth

LIC Equity Fund Growth

LIC Growth Fund Growth

LIC Tax Plan Growth

Reliance Growth Fund

Reliance Vision Growth

Debt Scheme

Birla Sun Life Income Fund

Birla Sun Life Income Plus Growth

Birla Sun Life Monthly Income Plus

ICICI Prudential Income Fund Growth

Balanced Schemes

Birla Sun Life 95 Growth

15/01/2000

27/08/1998

27/12/1999

22/04/1994

11/09/1996

31/03/1999

09/07/1998

19/08/1999

15/02/1999

03/02/1999

03/02/1999

08/10/1995

08/10/1995

03/03/1997

21/10/1995

14/07/1999

09/07/1998

10/02/1995




w w w


. o r g

. i n

4 3 1

Birla Sun Life Freedom Fund Growth

ICICI Prudential Balance Growth

22/10/1999

03/11/1999

Different scheme launch in different dates therefore, for the purpose performanceevaluation the period covers Jan, 2000 to Dec. 2009. The parameters like average return,standard deviation, coefficient of determination, Beta, Sharpe ratio, Treynor ratio, Jenson’smeasures, etc. has been calculated separately for all the schemes.

TABLE 5.2

AVERAGE RETURN EARNED BY THE SCHEMES

Name of the Scheme Return

Equity Scheme





HDFC Top 200 Growth






LIC Tax Plan Growth



Debt Scheme

0.014665

0.019982

0.010991

0.016069

0.019883

0.014816

0.015230

0.020373

0.011283

0.011397

0.008421

0.024002

0.025032




w w w


. o r g

. i n

4 3 2



Birla Sun Life Monthly Income PlusICICI Prudential Income Fund Growth

Balanced Schemes




0.007495

0.007665

0.0089380.007817

0.015434

0.009223

0.011527

Table 5.2 shows the average return earned by the various schemes. For calculation of average return earned by the schemes Growth in the value for each month over the previousmonth has been divided by the value of the previous month. Then the average of the full serieshas been taken. In equity schemes Reliance vision growth 0.025032, Reliance growth fund0.024002, ICICI prudential tax plan growth 0.20373, Birla Sun Life equity fund Growth0.019982 and HDFC top 200 Growth 0.019883 are the higher return earners as against BSE 100return (0.017370), LIC tax plan growth, with 0.008421 has shown the worst performance asagainst BSE 100 return of 0.017370. It could be seen here that 8 out of 13 the equity schemes hasunderperform the market. In debt scheme, Birla Sun Life Income Fund 0.007495, Birla Sun LifeIncome Plus Growth 0.007665, Birla Sun Life Monthly Income Plus 0.008938, ICICI Prudential

Income Fund Growth 0.007817. Debts schemes are registered underperform against the BSE 100index. In Balanced Schemes, Birla Sun Life 95 growth 0.0154, Birla Sun Life freedom fundgrowth 0.092 and ICICI Prudential balanced growth 0.0115 has underperformed the BSE 100return 0.017370. Out of the total of 20 schemes studied, 5 schemes showed average return higherthan that of BSE 100 average return out of which 5 are equity schemes.

Table 5.3 shows the standard deviation of selected schemes. it is the most commonexpression to measure risk of the fund return. Higher the value of standard deviation of the fundreturns, greater will be the total risk carried by the fund. It is observed that the maximumdeviation of funds return is shown by ICICI Prudential tax Plan growth 0.101619 followed byReliance Vision Growth 0.101581, Birla Sun Life India Opportunity Fund 0.101142, Birla SunLife Equity Fund Growth 0.094323, Birla Sun Life MNC Fund 0.092142. Birla Sun LifeMonthly Income plus was least risky scheme with lowest standard deviation 0.017068. StandardDeviation of benchmark BSE 100 index is 0.120745.




w w w


. o r g

. i n

4 3 3

TABLE 5.3

STANDARD DEVIATION

Name of the Scheme Standard DeviationEquity Scheme





HDFC Top 200 Growth






LIC Tax Plan Growth



Debt Scheme





Balanced Schemes


0.078953

0.094323

0.101142

0.092142

0.085865

0.072029

0.083047

0.101619

0.090185

0.090832

0.090893

0.090922

0.101581

0.017836

0.018286

0.017068

0.020414

0.069698




w w w


. o r g

. i n

4 3 4



0.060821

0.062286

All the schemes selected for study less standard deviation then BSE 100 Index. It meansall the schemes are less risky than benchmark index, but equity schemes are more risky thenbalance scheme and Debt schemes because in the case of equity schemes shows higher standarddeviation in comparison to balance schemes and debt schemes.

Categorizations of Schemes Table 5.3 (a) presents the risk return grid of Mutual Funds.

After classification of the sample schemes in to risk return category 15 schemes falls incategory 1 st i.e. Low Return Low Risk. Out of 15 schemes 8 are equity schemes, 4 are Debtschemes and remaining 3 are balanced schemes.

Further five schemes fall in 2 nd category i.e. High return and low risk. These five schemesare Reliance growth fund, Reliance Vision Growth, ICICI Prudential tax plan growth, Birla SunLife Equity Fund Growth and HDFC Top 200 Growth.

No schemes fall in 3 rd category i.e. High Return and High Risk and 4 th category i.e. Low Returnand High Risk because all the schemes have lower standard deviation then benchmark BSE 100index.

TABLE 5.3 (A)

RISK RETURN GRID OF MUTUAL FUNDS SCHEMES

Category 1

LIC Tax Plan Growth









Category 2

Reliance Growth fund


ICICI Prudential tax plan growth


HDFC Top 200 Growth




w w w


. o r g

. i n

4 3 5



Birla Sun Life Freedom Fund GrowthICICI Prudential Balance Growth


Birla Sun Life Monthly income Plus

Category 3

No sample scheme

Category 4

No sample scheme

TABLE 5.4

CO-EFFICIENT OF DETERMINATION (R 2)

Name of the Scheme R 2

Equity Scheme





HDFC Top 200 Growth






LIC Tax Plan Growth

0.4039

0.4907

0.4147

0.2571

0.4765

0.2885

0.5184

0.4488

0.5092

0.4091

0.4186




w w w


. o r g

. i n

4 3 6



Debt SchemeBirla Sun Life Income Fund




Balanced Schemes




0.4365

0.3306

0.0092

0.0148

0.3576

0.0023

0.5140

0.4022

0.4791

Table 5.4 shows that Coefficient of determination (R 2), the coefficient measure to extentto which market index has been able to explain the variation in mutual fund. The table 5.4remains that in the equity schemes the maximum and minimum values of (R 2) where found incase of ICICI prudential growth plan (0.5184) and Birla Sun Life MNC fund (0.2571)respectively. The low value of (R 2) indicates less diversification of the portfolio. High Value of (R2) in case of ICICI prudential growth plan shows high diversification of the portfolio that canbe easily contains the market variability. Thus it could be seem that the schemes like LIC equityfund growth (0.5092), Birla Sun Life Equity fund growth (0.4907), HDFC top 200 growth(0.4765), ICICI prudential tax plan growth (0.4488) and Reliance growth fund (0.4365) havereasonably exploited the diversification strategy for performing their portfolios. However forother schemes the lower value of (R 2) indicates that the market does not explain substantial partof variation in the return of a particular scheme. This suggests that the portfolio of the scheme isinadequately diversified in debt scheme.

In debt scheme generally a low (R 2) value for majority of the scheme that portfolio of isscheme is generally confined to investment in shares of particular type of companies only. For

the, in Balanced Schemes a high (R 2) value of the schemes show that the portfolio of theseschemes is adequately diversified.

Table 5.5 presents the systematic risk of 20 schemes. Considered for the purpose of thisstudy in all the scheme have beta less than 1 (i.e. market beta) implying thereby that theseschemes tended to hold portfolios that were less risky than the market portfolio. It was observedthat highest beta in the case of ICICI prudential tax plan growth 0.589844 followed by Birla SunLife Equity Fund Growth 0.57253, Birla Sun Life India Opportunity Fund 0.54895, LIC Equity




w w w


. o r g

. i n

4 3 7

Fund Growth 0.53301, Reliance Growth Fund 0.52993, and lowest beta in the case of Birla SunLife income plus growth 0.02204.

TABLE 5.5

BETA

Name of the Scheme Beta (β)

Equity Scheme





HDFC Top 200 Growth






LIC Tax Plan Growth



Debt Scheme





0.42993

0.57253

0.54895

0.40532

0.49090

0.33660

0.51217

0.58984

0.53301

0.48114

0.49201

0.52993

0.51795

0.17482

0.02204

0.09035

0.12054




w w w


. o r g

. i n

4 3 8

Balanced Schemes


Birla Sun Life Freedom Fund GrowthICICI Prudential Balance Growth

0.43115

0.325810.36749

TABLE 5.6

SHARPE OF THE SCHEMES

Name of the Scheme Sharpe

Equity Scheme





HDFC Top 200 Growth






LIC Tax Plan Growth



Debt Scheme


0.122417

0.158833

0.059232

0.120131

0.173323

0.136275

0.123182

0.151283

0.069671

0.070432

0.037636

0.208988

0.197199

0.139881




w w w


. o r g

. i n

4 3 9



ICICI Prudential Income Fund GrowthBalanced Schemes




0.145737

0.230694

0.137973

0.149705

0.069438

0.104787

Table 5.6 depicts value of Sharpe’s reward to variability ratio. It is an excess return

earned over risk free return per unit of risk involved, i.e. per unit of standard deviation. Positivevalue of the index shows good performance it could be seen that 15 out of 20 schemes haverecorded better Sharpe index than the BSE National Index. This indicates 75 percent schemeshave outperformed the BSE national index. Five schemes namely LIC Growth Fund Growth0.070432, LIC Equity Fund Growth 0.069671, Birla Sun Life Freedom Fund Growth 0.069438,Birla Sun Life India Opportunity Fund 0.059232 and LIC Tax Plan Growth 0.037636 are lessthan BSE 100 national index Sharpe ratio i.e. 0.10245, the top five performers are Birla Sun LifeMonthly Income Plus, Reliance growth fund, Reliance Vision Growth, HDFC Top 200 growth,Birla Sun Life Equity Fund Growth. This implies that the funds decision for diversified portfolioin a falling market has proved successful in earning higher excess returns per unit of risk ascompared to the market. The Sharpe index is important from small investor point of view who

seek diversification through mutual funds, i.e. mutual funds are supposed to protect smallinvestors against vagaries of stock markets and the fund managers of these schemes has donewell to protect them.

Table 5.7 shows Treynor of the scheme it is the excess return over risk free return perunit of systematic risk i.e. beta. Here, too, all the schemes recorded positive value indicatingthere by that the schemes provided adequate returns as against the level of risk involved in theinvestment. Analysis of table 5.7 reveals that all the mutual funds schemes have positive values.In terms of Treynors ratio, the top five performers are ICICI prudential Income Fund Growth0.23666, ICICI prudential balance Growth 0.177599, Birla Sun Life Income Fund 0.142715,Birla Sun Life Income Plus Growth 0.120927, Birla Sun Life Monthly Income Plus 0.043573 A

higher Treynor Index as compared to market indicates that investor who invested in mutual fundto form well diversified portfolio did receive adequate return per unit of systematic risk undertaken.




w w w


. o r g

. i n

4 4 0

TABLE 5.7

TREYNOR OF THE SCHEMES

Name of the Scheme TreynorEquity Scheme





HDFC Top 200 Growth






LIC Tax Plan Growth



Debt Scheme





Balanced Schemes


0.022481

0.026167

0.010913

0.027309

0.030317

0.029161

0.019974

0.026063

0.011788

0.013296

0.006953

0.035857

0.038674

0.142715

0.120927

0.043573

0.233666

0.024200




w w w


. o r g

. i n

4 4 1



0.012962

0.177599

TABLE 5.8

JENSEN’S MEASURE

Name of the Scheme Jensen

Equity Scheme





HDFC Top 200 Growth






LIC Tax Plan Growth



Debt Scheme




0.012516

0.017119

0.008246

0.014043

0.017428

0.013133

0.012669

0.017424

0.008618

0.008992

0.005961

0.021352

0.022442

0.007408

0.007555

0.008485




w w w


. o r g

. i n

4 4 2


Balanced Schemes

Birla Sun Life 95 GrowthBirla Sun Life Freedom Fund Growth


0.007756

0.0132780.007594

0.009689

Table 5.8 shows the Jenson’s Measures. It is the regression of excess return of thescheme with excess return of the market, acting as dependent and independent variablesrespectively. Higher positive value of alpha posted by the scheme indicates its better

performance. The analysis of the table reveals that all the schemes have positive Jenson’sMeasures. Highest Value of Jenson’s Measure are Reliance Vis ion Growth 0.02244 followed byReliance Growth Fund 0.021352, HDFC Top 200 Growth 0.017428, ICICI Prudential tax Plan0.017424, Birla Sun Life Equity Fund Growth 0.17119. Lowest Jenson’s measure found again inthe case of LIC tax Plan Growth .005961.

High er Positive value of Jenson’s measures indicates good market timing ability of fundmanagers as regard investment in securities

PERFORMANCE APPRAISAL

EQUITY SCHEME

i. As far as the equity schemes are concerned, Reliance Vision Growth was at the topwith highest average monthly return (2.5032%) followed by Reliance Growth Fund(2.4002%), ICICI Prudential Tax Plan Growth (2.0373%), Birla Sun Life Equity FundGrowth (1.9982%), HDFC Top 200 Growth (1.9883), Birla Sun Life MNC Fund(1.6069%), ICICI Prudential Growth Fund (1.523%), ICICI Prudential FMCG Fund(1.4816%) and Birla Sun Life Buy India Fund (1.4665%).

ii. Calculation of total risk as measured by standard deviation shows that ICICIPrudential Tax Plan was the most risky scheme with highest standard deviation(0.101619), followed by Reliance Vision Growth (0.101581), Birla Sun Life IndiaOpportunities Fund (0.101142). ICICI Prudential FMCG Growth was least risky schemewith lowest standard deviation (0.072029).

iii. Calculation of systematic risk as measured by beta shows that all the equity schemesfound low systematic risk as beta less than 1, ICICI Prudential Tax Plan have highest beta(0.58984) followed by BSL Equity Fund Growth (0.57253), Birla Sun Life IndiaOpportunity Fund (0.54895) LIC Equity Fund Growth (0.53301) and Reliance GrowthFund (0.52993). ICICI Prudential FMCG Growth have lowest beta (0.3366).




w w w


. o r g

. i n

4 4 3

iv. The coefficient of Determination (R 2) measures the extent to which market index hasbeen able to explain the variation in mutual funds. The maximum and minimum value of R2 was found in the case of ICICI Prudential Growth Plan (0.5184) & Birla Sun LifeMNC Fund (0.2571).

v. As per Sharpe ratio Reliance Growth Fund (0.208988) maintain 1 st Rank followed byReliance Vision Growth (0.197199), HDFC Top 200 Growth (0.173323), Birla Sun LifeEquity Fund Growth (0.158833), ICICI Prudential Tax Plan (0.151283), lowest Sharperatio found in the case of LIC Tax Plan Growth (0.037636)

vi. As per Treynor Ratio Reliance Vision Fund (0.038674) highest ratio, followed byReliance Growth Fund (0.035857), HDFC Top 200 Growth (0.030317), ICICI PrudentialFMCG Growth (0.029161), and Birla Sun Life MNC Fund (0.027309), lowest Treynorratio found in the case of LIC Tax Plan Growth (0.006953).

vii. As per Jenson’s alpha Reliance Vision Growth (0.02 2442) performed well followed byReliance Growth Fund (0.021352), HDFC Top 200 Growth (0.017428), and ICICIPrudential Tax Plan Growth (0.017424) lowest Jenson’s alpha found in the case of LICTax Plan Growth (0.005961).

DEBT SCHEME

i. As far as the income schemes are concerned, Birla Sun Life Monthly Income Plus wasat the top with highest average monthly return (0.8421%) followed by ICICI PrudentialIncome Fund (0.7817%), Birla Sun Life Income Plus (0.7665%), Birla Sun Life IncomeFund (0.7495%).

ii. Calculation of total risk as measured by standard deviation shows that ICICIPrudential Income Fund Growth was the most risky scheme with highest standarddeviation (0.020414) followed by Birla Sun Life Income Plus Growth (0.018286), BirlaSun Life Income Fund (0.017836), Birla Sun Life Monthly Income Plus was least riskyscheme with lowest standard deviation (0.017068).

iii. Calculation of systematic risk as measured by beta shows that all the income schemesfound low systematic risk as beta less than 1, Birla Sun Life Income Fund have highestbeta (0.17482) followed by ICICI Prudential Income Fund (0.12054), Birla Sun LifeIncome Plus Growth (0.02204) and Birla Sun Life Monthly Income Plus Fund (0.09035).

iv.

The maximum and minimum value of R2

was found in the case of Birla Sun LifeIncome Plus Growth (0.0148) and ICICI Prudential Income Fund Growth (0.0023) and incase of Birla Sun Life Monthly Income Plus (0.3576).

v. As per Sharpe ratio Birla Sun Life Monthly Income Plus (0.230694) maintain 1 st Rank followed by Birla Sun Life Income Plus Growth (0.145737), Birla Sun Life IncomeFund (0.139881) and lowest Sharpe ratio found in the case of ICICI Prudential IncomeFund Growth (0.137973)




w w w


. o r g

. i n

4 4 4

vi. As per Treynor Ratio ICICI Prudential Income Fund (0.233666) highest ratio,followed by Birla Sun Life Income Fund (0.142715), Birla Sun Life Income Plus(0.120927), and Birla Sun Life Monthly Income Plus (0.043573).

vii. As per Jenson’s alpha Birla Sun Life monthly Income Plus (0.008485) performedwell followed by ICICI Prudential Income Fund (0.007756), Birla Sun Life Income Plus(0.007555), and lowest Jenson’s alpha found in the case of Birla Sun Life Income Fund(0.007408).

BALANCED SCHEME

i. As far as the balance schemes are concerned, Birla Sun Life 95 was at the top withhighest average monthly return (1.5434%) followed by ICICI Prudential Balance Fund(1.1527%), Birla Sun Life Freedom Fund (0.9223%).

ii. Calculation of total risk as measured by standard deviation shows that Birla Sun Life95 Fund was the most risky scheme with highest standard deviation (0.069698) followedby ICICI Prudential Balance Fund (0.062286), Birla Sun Life Freedom Fund (0.060821).

iii. Calculation of systematic risk as measured by beta shows that all the balancedschemes found low systematic risk as beta less than 1, Birla Sun Life 95 Fund havehighest beta (0.43115) followed by ICICI Prudential Balance Fund (0.36749) and BirlaSun Life Freedom Fund (0.32581).

iv. The maximum and minimum value of R 2 was found in the case of Birla Sun Life 95Fund (0.514) and Birla Sun Life Freedom Fund (0.4022).

v. As per Sharpe ratio Birla Sun Life 95 Fund (0.149705) maintain 1st

rank followedICICI Prudential Balance Fund (0.104787), lowest Sharpe ratio found in the case of BirlaSun Life Freedom Fund (0.069438).

vi. As per Treynor Ratio ICICI Prudential Balance Fund (0.177599) highest ratio,followed by Birla Sun Life 95 Fund (0.0242), Birla Sun Life Freedom Fund (0.012962).

vii. As per Jenson’s alpha Birla Sun Life 95 Fund (0.013278) performed well followed byICICI Prudential Balance Fund (0.009689), Birla Sun Life Freedom Fund (0.007594).

Out of the total 20 schemes studied, five schemes (25%) showed an average return higherthan in comparison to the market return while the remaining 15 schemes (75%) generated lowerreturns than that of the market. The top five performers are Reliance Growth Fund, RelianceVision Fund, ICICI Prudential Tax Plan, HDFC Top 200 and Birla Sun Life Equity Fund.

The Sharpe ratio is important from small inventors point of view who see diversificationthrough mutual funds, i.e. mutual funds are supposed to protect small investors against vagariesof stock market and the fund managers of these schemes have done well to protect them.Reliance Growth Fund, Reliance Vision Fund, ICICI Prudential Tax Plan, HDFC Top 200 andBirla Sun Life Equity Fund have performed better than the other schemes.




w w w


. o r g

. i n

4 4 5

Treynor ratio is the excess return earn over risk free return per unit of systematic risk i.e.beta. Reliance Growth Fund, Reliance Vision Fund, ICICI Prudential Tax Plan, HDFC Top 200and Birla Sun Life Equity Fund indicate that investors who invested in these schemes to formwell diversified portfolio did receive adequate return per unit of systematic risk undertaking.

Jensen’s measure is the regression of excess return of the scheme with excess return of the market. Higher positive value of alpha posted by the schemes indicates its betterperformance. The analysis of the schemes shows Reliance Growth Fund, Reliance Vision Fund,ICICI Prudential Tax Plan and HDFC Top 200 have highest positive alpha.

CONCLUSION

The analysis of the open ended schemes shows that out of twenty, five schemes namelyReliance Growth Fund, Reliance Vision Fund, ICICI Prudential Tax Plan, HDFC Top 200 andBirla Sun Life Equity Fund, performs better in comparison to benchmark index BSE-100 indexin terms of monthly average return and risk involved in these schemes less then benchmark. Inrespect of models suggested by Sharpe, Treynor and Jenson’s measures these schemes alsoperform better.

REFERENCES

1. Anjaria, D.C., AMFI Workbook, AMFI Mumbai,

2. Singh, Jaspal, Mutual Funds: Growth Performance and Prospectus, Deep and DeepPublication Pvt. Ltd., New Delhi, 2006

3. Pandian, Punithavathy, Security Analysis and Portfolio Management, Vikas Publication

House Pvt. Ltd.

4. Sahadevan and Raju MT, (1996), “Mutual Funds Data, Interpretation and Analysis”,Prentice hall of India.

5. Agarwal P.R. (1996), “Mutual funds -A Comprehensive Approach”, Orient Law house,Delhi.

6. Khuran, Ajay (1996), “Top Management Turnover – An Empirical Investigation of Mutual F und Managers”, Journal of Financial Economics, 3.

7. Jayadev M. (1996)’ “Mutual Fund Performance; An Analysis of Monthly Returns”,Finance India, Vol. X, No.1, (March), Sadhak H, (1997) “Mutual Fund Investment andMarket Practices in India”, Sage Publication India.

8. Jayadev M. (1998), “Performance Evaluation of Portfolio Managers: An EmpiricalEvidence on Indian Mutual Funds”, Applied Finance Vol.5, No.2, July.




w w w


. o r g

. i n

4 4 6

9. Gupta, O.P. and Sehagal S. (2000), “Investment Performance of Mutual Funds: TheIndian Experience”, I n Indian Capital Markets: Trends and Dimensions edited by UMAShashikant and Arumugam, Tata McGraw Hill, New Delhi.

10. Rao K.V. and Venkateshwarlu, K. (1998), “ Market Timing Abilities of Fund Managers -A case Study of Unit Trust of India”, A paper presented a t the Second Capital MarketConference Organized by UTI Institute Capital Market, Mumbai.

11. Mishra B, (2001), “A study of Mutual Funds in India”, unpublished Research paper under the aegis of Faculty of Management Studies, University of Delhi.

S.DEVARAGUDI

Documents

Transcript of S.DEVARAGUDI