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Transcript of Evaluation of Mutual Fund (Mahendra & Jignesh G.)
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AResearch PaperOn
Performance Evaluation Of Open endedScheme
Of MUTUAl FUND
Author Profile:
Mahendra Prajapati
Jignesh G. Prajapati
S.K School of Business Management, Patan.
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PERFORMANCE EVALUATION OF OPEN ENDED SCHEMES
OF MUTUAL FUNDS
Introduction
Household savings play an important role in domestic capital formation. Only a small part of household savings
in India is channelized to the capital market. Attracting more household savings to the capital market requires
efficient intermediation. Mutual funds have emerged as one of the important class of financial intermediaries
which cater to the needs ofretail 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 medium investors 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 and invests
the same in the capital market and passes the benefits to the investors. Thus, investors can indirectly participatein the capital market by subscribing to the units of mutual funds. Mutual funds employ professional fund
managers to manage the investment activities. Therefore, investors also get benefits of professional expertise of
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 bySharp, Treynore and Jensen.
OBJECTIVES OF THE STUDY:
BENCHMARK INDEX
BSE 100 And BSE Sensex
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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.
RISK FREE RATE
For the purpose of performance evaluation, those schemes have been selected which are
in 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 this
purpose. Performance evaluation of all the schemes operated by selected mutual funds was not
possible because of non availability of sufficient data. Table 5.1 depicts the list of sample
scheme 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 Mutual
Fund. Only open ended schemes have been considered for this purpose. Out of 20 schemes 13
schemes are equity schemes 4 are debt schemes and remaining 3 are balanced schemes.
LIMITATIONS OF THE STUDY
PERIOD OF STUDY
The growth oriented schemes, which have been floated by the selected funds during the
period Jan. 2000 to Dec. 2011, have been considered for the purpose of the study. Monthly Net
Asset Value (NAV) as declared by the relevant mutual funds from the Jan. 1st 2000 of a
particular scheme to 31st Dec. 2011 has been used for the purpose.
DATA
This study examines 20 open-ended schemes being launched by selected five mutual
funds namely LIC, HDFC, ICICI, Reliance and Birla Sun Life. These schemes have been
selected on the basis of regular data availability during the period of Jan. 2000 to Dec. 2011.
Monthly Net Asset Value (NAV) data has been used and the period of the data considered is
from the date 1st Jan. 2000 of the scheme or from the date of availability till Dec. 31, 2011.
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TABLE 5.1
LIST OF MUTUAL FUNDS SCHEMES STUDIED
Name of the Scheme
Equity 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 10/02/1995
03/03/1997
21/10/1995
14/07/1999
09/07/1998
Date of Launch
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
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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 performance
evaluation the period covers Jan, 2000 to Dec. 2011. The parameters like average return,
standard deviation, coefficient of determination, Beta, Sharpe ratio, Treynor ratio, Jensons
measures, etc. has been calculated separately for all the schemes.
TABLE 5.2
AVERAGE RETURN EARNED BY THE SCHEMES
Name of the Scheme
Equity 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
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
Return
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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
Birla Sun Life Freedom Fund Growth
ICICI Prudential Balance Growth
0.007495
0.007665
0.008938
0.007817
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 previous
month has been divided by the value of the previous month. Then the average of the full series
has been taken. In equity schemes Reliance vision growth 0.025032, Reliance growth fund
0.024002, ICICI prudential tax plan growth 0.20373, Birla Sun Life equity fund Growth
0.019982 and HDFC top 200 Growth 0.019883 are the higher return earners as against BSE 100
return (0.017370), LIC tax plan growth, with 0.008421 has shown the worst performance as
against BSE 100 return of 0.017370. It could be seen here that 8 out of 13 the equity schemes has
underperform 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 100
index. In Balanced Schemes, Birla Sun Life 95 growth 0.0154, Birla Sun Life freedom fund
growth 0.092 and ICICI Prudential balanced growth 0.0115 has underperformed the BSE 100
return 0.017370. Out of the total of 20 schemes studied, 5 schemes showed average return higher
than 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 common
expression to measure risk of the fund return. Higher the value of standard deviation of the fund
returns, greater will be the total risk carried by the fund. It is observed that the maximum
deviation of funds return is shown by ICICI Prudential tax Plan growth 0.101619 followed by
Reliance Vision Growth 0.101581, Birla Sun Life India Opportunity Fund 0.101142, Birla Sun
Life Equity Fund Growth 0.094323, Birla Sun Life MNC Fund 0.092142. Birla Sun Life
Monthly Income plus was least risky scheme with lowest standard deviation 0.017068. Standard
Deviation of benchmark BSE 100 index is 0.120745.
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TABLE 5.3
STANDARD DEVIATION
Name of the Scheme
Equity 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 0.069698
0.017836
0.018286
0.017068
0.020414
Standard Deviation
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
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Birla Sun Life Freedom Fund Growth
ICICI Prudential Balance Growth
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 then
balance scheme and Debt schemes because in the case of equity schemes shows higher standard
deviation 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 in
category 1st i.e. Low Return Low Risk. Out of 15 schemes 8 are equity schemes, 4 are Debt
schemes and remaining 3 are balanced schemes.
Further five schemes fall in 2nd category i.e. High return and low risk. These five schemesare Reliance growth fund, Reliance Vision Growth, ICICI Prudential tax plan growth, Birla Sun
Life Equity Fund Growth and HDFC Top 200 Growth.
No schemes fall in 3rd category i.e. High Return and High Risk and 4th category i.e. Low Return
and High Risk because all the schemes have lower standard deviation then benchmark BSE 100
index.
TABLE 5.3 (A)
RISK RETURN GRID OF MUTUAL FUNDS SCHEMES
Category 1
LIC Tax Plan Growth
Birla Sun Life India Opportunities Fund
LIC Equity Fund Growth
LIC Growth Fund Growth
Birla Sun Life Buy India Fund
ICICI Prudential FMCG Growth
ICICI Prudential Growth Plan
Birla Sun Life MNC Fund
Birla Sun Life Income Fund
Category 2
Reliance Growth fund
Reliance Vision Growth
ICICI Prudential tax plan growth
Birla Sun Life Equity Fund Growth
HDFC Top 200 Growth
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Birla Sun Life Income Plus Growth
ICICI Prudential Income Fund Growth
Birla Sun Life Freedom Fund Growth
ICICI Prudential Balance Growth
Birla Sun Life 95 Growth
Birla Sun Life Monthly income Plus
Category 3
No sample scheme
Category 4
No sample scheme
TABLE 5.4
CO-EFFICIENT OF DETERMINATION (R2)
Name of the Scheme
Equity 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
0.4039
0.4907
0.4147
0.2571
0.4765
0.2885
0.5184
0.4488
0.5092
0.4091
0.4186
R2
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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
Birla Sun Life Freedom Fund Growth
ICICI Prudential Balance Growth
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 (R2), 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 (R2) where found incase of ICICI prudential growth plan (0.5184) and Birla Sun Life MNC fund (0.2571)
respectively. The low value of (R2) 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 (R2)
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 (R2) value for majority of the scheme that portfolio of isscheme is generally confined to
investment in shares of particular type of companies only. Forthe, in Balanced Schemes a high (R2) 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
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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
Equity 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
0.17482
0.02204
0.09035
0.12054
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
Beta ()
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Balanced Schemes
Birla Sun Life 95 Growth
Birla Sun Life Freedom Fund Growth
ICICI Prudential Balance Growth
0.43115
0.32581
0.36749
TABLE 5.6
SHARPE OF THE SCHEMES
Name of the Scheme
Equity 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 0.139881
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
Sharpe
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Birla Sun Life Income Plus Growth
Birla Sun Life Monthly Income Plus
ICICI Prudential Income Fund Growth
Balanced Schemes
Birla Sun Life 95 Growth
Birla Sun Life Freedom Fund Growth
ICICI Prudential Balance Growth
0.145737
0.230694
0.137973
0.149705
0.069438
0.104787
Table 5.6 depicts value of Sharpes reward to variability ratio. It is an excess returnearned 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 Pla
Growth 0.037636 are lessthan BSE 100 national index Sharpe ratio i.e. 0.10245, the top five performers are Birla Sun Life
Monthly 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 whoseek diversification through mutual funds, i.e. mutual funds are supposed to protect smallinvestors against vagarie
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 per
unit of systematic risk i.e. beta. Here, too, all the schemes recorded positive value indicating
there by that the schemes provided adequate returns as against the level of risk involved in the
investment. 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 Growth
0.23666, 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 fund
to form well diversified portfolio did receive adequate return per unit of systematic risk
undertaken.
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TABLE 5.7
TREYNOR OF THE SCHEMES
Name of the Scheme
Equity 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 0.024200
0.142715
0.120927
0.043573
0.233666
Treynor
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
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Birla Sun Life Freedom Fund Growth
ICICI Prudential Balance Growth
0.012962
0.177599
TABLE 5.8
JENSENS MEASURE
Name of the Scheme
Equity 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
0.007408
0.007555
0.008485
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
Jensen
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ICICI Prudential Income Fund Growth
Balanced Schemes
Birla Sun Life 95 Growth
Birla Sun Life Freedom Fund Growth
ICICI Prudential Balance Growth
0.007756
0.013278
0.007594
0.009689
Table 5.8 shows the Jensons Measures. It is the regression of excess return of the
scheme with excess return of the market, acting as dependent and independent variables
respectively. 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 Jensons
Measures. Highest Value of Jensons Measure are Reliance Vision Growth 0.02244 followed by
Reliance Growth Fund 0.021352, HDFC Top 200 Growth 0.017428, ICICI Prudential tax Plan
0.017424, Birla Sun Life Equity Fund Growth 0.17119. Lowest Jensons measure found again in
the case of LIC tax Plan Growth .005961.Higher Positive value of Jensons measures indicates good market timing ability of fund
managers 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 Fund
Growth (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%).Calculation of total risk as measured by standard deviation shows that ICICI
Prudential Tax Plan was the most risky scheme with highest standard deviation
(0.101619), followed by Reliance Vision Growth (0.101581), Birla Sun Life India
Opportunities Fund (0.101142). ICICI Prudential FMCG Growth was least risky scheme
with lowest standard deviation (0.072029).Calculation of systematic risk as measured by beta shows that all the equity schemes
found 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 India
Opportunity Fund (0.54895) LIC Equity Fund Growth (0.53301) and Reliance Growth
Fund (0.52993). ICICI Prudential FMCG Growth have lowest beta (0.3366).
ii.
iii.
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iv. The coefficient of Determination (R2) measures the extent to which market index has
been 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 Life
MNC Fund (0.2571).As per Sharpe ratio Reliance Growth Fund (0.208988) maintain 1st Rank followed by
Reliance Vision Growth (0.197199), HDFC Top 200 Growth (0.173323), Birla Sun Life
Equity Fund Growth (0.158833), ICICI Prudential Tax Plan (0.151283), lowest Sharpe
ratio found in the case of LIC Tax Plan Growth (0.037636) As per Treynor Ratio Reliance Vision Fund (0.038674) highest ratio, followed by
Reliance Growth Fund (0.035857), HDFC Top 200 Growth (0.030317), ICICI Prudential
FMCG Growth (0.029161), and Birla Sun Life MNC Fund (0.027309), lowest Treynor
ratio found in the case of LIC Tax Plan Growth (0.006953).As per Jensons alpha Reliance Vision Growth (0.022442) performed well followed by
Reliance Growth Fund (0.021352), HDFC Top 200 Growth (0.017428), and ICICI
Prudential Tax Plan Growth (0.017424) lowest Jensons alpha found in the case of LIC
Tax Plan Growth (0.005961).
v.
vi.
vii.
DEBT SCHEME
i. As far as the income schemes are concerned, Birla Sun Life Monthly Income Plus was
at the top with highest average monthly return (0.8421%) followed by ICICI Prudential
Income Fund (0.7817%), Birla Sun Life Income Plus (0.7665%), Birla Sun Life Income
Fund (0.7495%).Calculation of total risk as measured by standard deviation shows that ICICI
Prudential Income Fund Growth was the most risky scheme with highest standard
deviation (0.020414) followed by Birla Sun Life Income Plus Growth (0.018286), Birla
Sun Life Income Fund (0.017836), Birla Sun Life Monthly Income Plus was least risky
scheme with lowest standard deviation (0.017068).Calculation of systematic risk as measured by beta shows that all the income schemes
found low systematic risk as beta less than 1, Birla Sun Life Income Fund have highest
beta (0.17482) followed by ICICI Prudential Income Fund (0.12054), Birla Sun Life
Income Plus Growth (0.02204) and Birla Sun Life Monthly Income Plus Fund (0.09035).The maximum and minimum value of R2 was found in the case of Birla Sun Life
Income Plus Growth (0.0148) and ICICI Prudential Income Fund Growth (0.0023) and in
case of Birla Sun Life Monthly Income Plus (0.3576).
As per Sharpe ratio Birla Sun Life Monthly Income Plus (0.230694) maintain 1st
Rank followed by Birla Sun Life Income Plus Growth (0.145737), Birla Sun Life Income
Fund (0.139881) and lowest Sharpe ratio found in the case of ICICI Prudential Income
Fund Growth (0.137973)
ii.
iii.
iv.
v.
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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).
As per Jensons 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 Jensons alpha found in the case of Birla Sun Life Income Fund
(0.007408).
vii.
BALANCED SCHEME
i. As far as the balance schemes are concerned, Birla Sun Life 95 was at the top with
highest average monthly return (1.5434%) followed by ICICI Prudential Balance Fund
(1.1527%), Birla Sun Life Freedom Fund (0.9223%).
Calculation of total risk as measured by standard deviation shows that Birla Sun Life
95 Fund was the most risky scheme with highest standard deviation (0.069698) followed
by ICICI Prudential Balance Fund (0.062286), Birla Sun Life Freedom Fund (0.060821).
Calculation of systematic risk as measured by beta shows that all the balanced
schemes found low systematic risk as beta less than 1, Birla Sun Life 95 Fund have
highest beta (0.43115) followed by ICICI Prudential Balance Fund (0.36749) and Birla
Sun Life Freedom Fund (0.32581).The maximum and minimum value of R2 was found in the case of Birla Sun Life 95
Fund (0.514) and Birla Sun Life Freedom Fund (0.4022).
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 Birla
Sun Life Freedom Fund (0.069438).
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).
As per Jensons alpha Birla Sun Life 95 Fund (0.013278) performed well followed by
ICICI Prudential Balance Fund (0.009689), Birla Sun Life Freedom Fund (0.007594).
ii.
iii.
iv.
v.
vi.
vii.
Out of the total 20 schemes studied, five schemes (25%) showed an average return higher
than 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, Reliance
Vision 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 diversification
through mutual funds, i.e. mutual funds are supposed to protect small investors against vagaries
of 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 and
Birla Sun Life Equity Fund have performed better than the other schemes.
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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 200
and Birla Sun Life Equity Fund indicate that investors who invested in these schemes to form
well diversified portfolio did receive adequate return per unit of systematic risk undertaking.
Mutual Fund advisor Examination Work book
The analysis of the open ended schemes shows that out of twenty, five schemes namely
Reliance Growth Fund, Reliance Vision Fund, ICICI Prudential Tax Plan, HDFC Top 200 and
Birla Sun Life Equity Fund, performs better in comparison to benchmark index BSE-100 index
in terms of monthly average return and risk involved in these schemes less then benchmark. In
respect of models suggested by Sharpe, Treynor and Jensons measures these schemes also
perform better.
Jensens 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 better
performance. The analysis of the schemes shows Reliance Growth Fund, Reliance Vision Fund,
ICICI Prudential Tax Plan and HDFC Top 200 have highest positive alpha.
2.www.amfiindia.com
3.www.reliancemutual.com
4. www. Licmutual.com
5.www.hdfcmutual.com
6.www.iciciprudentialmutual.com
7.www.birlasunlifemutual.com
REFERENCES
CONCLUSION
http://www.reliancemutual.com/http://www.reliancemutual.com/http://www.reliancemutual.com/http://www.hdfcmutual.com/http://www.hdfcmutual.com/http://www.hdfcmutual.com/http://www.hdfcmutual.com/http://www.reliancemutual.com/ -
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9. Gupta, O.P. and Sehagal S. (2000), Investment Performance of Mutual Funds: The
Indian Experience, In Indian Capital Markets: Trends and Dimensions edited by UMA
Shashikant 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 at the Second Capital Market
Conference 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.