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Performance Evaluation of Public Private Mutual Fund Schemes in India
Performance Evaluation of Public Private Mutual Fund Schemes in India
Performance Evaluation of Public Private Mutual Fund Schemes in India
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101.7% in the year 2009 and in the same year the lowest the risk is 33.90%. UTI Balanced Fund Dividend has earned
returns were recorded by JM Financial Equity Fund – Growth an average return of 2.18% and the standard deviation of
of 0.20%. In 2010 the highest returns were earned by HDFC 38.68%. HDFC Balanced Fund Dividend has recorded an
Equity Fund – Growth of 28.40% in comparison to the lowest average return 3.34% with the risk of 33.81%. JM Financial
return recorded by JM Financial Equity Fund – Dividend i.e. Balanced Fund Dividend recorded the negative average
0.80%. In 2008 the only scheme that managed to continue to return of 0.46% and the risk of 39.18%. This indicates that
earn the positive returns was JM Financial Equity Fund – the investment in these funds is risky.
Growth i.e. 35.20%, all others recorded negative returns. It can be deduced from Table 3 that HDFC Balanced
Similarly in the year 2011 also JM Financial Equity Fund – Fund Growth has given the highest average return of 14.96%
Growth was a well performing scheme in term of return. and JM Financial Balanced Fund Growth has earned the
It is also evident from the Table 2 that the entire lowest average return of 0.88% over a period of five years.
dividend schemes of all the companies have performed well The risk in terms of standard deviation is high in SBI
as compared to the growth schemes during the period Balanced Fund Growth with 42.54% and the lowest is in JM
irrespective of whether they are private or public. Financial Balanced Fund Growth with 39.53%. Overall the
Equity Equity Balanced Balanced growth funds have outperformed the balanced funds.
Year Fund - Fund - Fund - Fund -
A. Comparison of sample mutual fund schemes performance
Dividend Growth Dividend Growth
with the market performance
AR SD AR SD AR SD AR SD
- Year Absolute Return (%)
44. 10. 52. 33. 07. 42. 2008 -51.80
SBI 0.8 01.
24 98 98 90 96 54 2009 75.77
22
12. 47. 13. 49. 02. 38. 08. 39. 2010 17.96
UTI 2011 -24.63
48 14 90 46 18 68 40 86
HDF 5.1 51. 17. 59. 03. 33. 14. 41. 2012 22.32
C 6 41 60 17 34 81 96 20 Average Return 7.924
JM - - Table 4: Yearly Index Returns
46. 11. 14. 39. 00. 39. Source: www.mutualfundsindia.com
Finan 1.6 00.
69 22 00 18 88 53 From the Table 4 it can be noted that the index made
cial 8 46
Table 3: Average Returns and Standard Deviation of the highest return of 75.77% in the year 2009. Index return
Selected Mutual Fund Schemes showed lowest return of 51.80% in year 2008. In 2011 market
AR – 5 years Average Return index fell by 24.63% from its previous year and reached to
SD – Standard Deviation 22.32% in 2012. On average the index made a 7.924% return
Source: www.mutualfundsindia.com during the period of 1st January 2008 to 31st December 2012.
Standard deviation is the measure of risk which is It is evident that when compared with the market
used to measure the variation in the actual funds return from performance the growth funds of all the four sample
the average expected return over a period of time. Higher SD companies have outperformed as there average return of the
indicates the higher volatility and higher risk in the returns of five years is more that the average returns of the market i.e.
the schemes. 7.924 except for the JM Financial Balanced Fund Growth
Table 3 shows the average returns earned by the which has the average return of 0.88%.
funds over a period of five years and risk associated with the Name of the Scheme Beta (ß)
sample mutual fund schemes. Before investing the investors SBI Magnum Equity Fund – Dividend 0.10
should do a risk-return analysis of the interested schemes. A SBI Magnum Equity Fund - Growth 1.38
rational investor would always want an investment which has SBI Balanced Fund – Dividend -0.15
minimum risk and maximum return. SBI Balanced Fund – Growth 1.00
It is evident that in Equity Fund – Dividend category UTI Equity Fund – Dividend 1.57
UTI has given the maximum average returns i.e. 12.48% and UTI Equity Fund - Growth 1.75
JM Financial the lowest i.e. -1.68%. On the other side, the UTI Balanced Fund – Dividend 0.27
risk associated with the SBI is the lowest i.e. 44.24%, the UTI Balanced Fund – Growth 1.06
second is UTI with standard deviation of 47.14% and the HDFC Equity Fund – Dividend 0.65
most risky is the HDFC Equity Fund –Dividend with the HDFC Equity Fund - Growth 2.18
standard deviation of 51.41%. Hence it can be concluded that HDFC Balanced Fund – Dividend 0.42
among all Equity Fund – Dividend, UTI is the best. HDFC Balanced Fund – Growth 1.88
It can be stated from Table 3 that SBI Equity Fund
JM Financial Equity Fund – Dividend -0.21
Growth has the least average return of 10.98% and the HDFC
JM Financial Equity Fund - Growth 1.41
Equity Fund Growth has the highest average return of
JM Financial Balanced Fund – Dividend 0.08
17.60%. The risk in JM Financial is the lowest with standard
deviation of 14% and the highest is in HDFC Equity Fund JM Financial Balanced Fund – Growth 0.11
Growth i.e. 59.17%. Table 5: Beta of the Selected Mutual Fund Schemes
It is crystal clear that for all the companies Balanced Source: Author’s Calculation
Fund Dividend, the average returns are less than the risk Beta is a measure of systematic risk which indicates
associated with them. SBI Balanced Fund Dividend has the the sensitivity of a schemes return in relation to the market
average negative return of 1.22% during the five years and return. If the scheme beta is more than 1, the scheme is
considered to be aggressive and if it is less than 1, it is UTI Equity Fund – Dividend 4.08
considered to be defensive. UTI Equity Fund - Growth 3.14
Table 5 reveals that HDFC Equity Fund Growth has UTI Balanced Fund – Dividend -23.03
the highest beta of 2.18. It indicates the sensitivity of a UTI Balanced Fund – Growth 0.48
scheme return in relation to the market return. Because the HDFC Equity Fund – Dividend -0.19
beta is more than 1, the scheme responds aggressively with HDFC Equity Fund - Growth 4.22
the market volatility and hence it becomes risky to invest in HDFC Balanced Fund – Dividend -18.74
such a fund. HDFC Balanced Fund – Growth 3.49
Further it is clear from the Table 5 that SBI Magnum JM Financial Equity Fund – Dividend -48.00
Equity Fund – Growth, UTI Equity Fund – Dividend, UTI
JM Financial Equity Fund - Growth 11.05
Equity Fund – Growth, UTI Balanced Fund – Growth, HDFC
JM Financial Balanced Fund – Dividend -105.46
Equity Fund – Growth, HDFC Balanced Fund – Growth and
JM Financial Balanced Fund – Growth -68.36
JM Financial Equity Fund – Growth have betas more than 1
Market Index -0.48
which shows their aggressiveness to the market volatility.
It is evident from the results that SBI Balanced Fund Table 7: Treynor Performance Evaluation
– Dividend and JM Financial Equity Fund – Dividend has Source: Author’s Calculation
negative beta which indicates that they are safe against some Table 7 shows the Treynor Ratio of the selected
macroeconomic risk that affects the rest of the investment mutual fund schemes. The higher Treynor Ratio is a good
portfolio adversely. The expected return on the investment performance indicator. It is revealed from the table that from
with beta less than 1 will be less than the risk free rate. among all the funds SBI Balanced Fund – Dividend has
Performance Evaluation of the sample mutual fund performed better as it has the highest Treynor Ratio of 64.13.
schemes against benchmark. The underperformer is JM Financial Balanced Fund –
Dividend with -105.46 Treynor Ratio. If we look at the table
Name of the Scheme Sharpe Ratio
it can be observed that growth funds have performed better as
SBI Magnum Equity Fund – Dividend -0.17
to the dividend funds. The market has outperformed the SBI
SBI Magnum Equity Fund - Growth 0.05
Magnum Equity Fund – Dividend, UTI Balanced Fund –
SBI Balanced Fund – Dividend -0.28
Dividend, HDFC Balanced Fund – Dividend, JM Financial
SBI Balanced Fund – Growth -0.02 Equity Fund – Dividend, JM Financial Balanced Fund –
UTI Equity Fund – Dividend 0.09 Dividend and JM Financial Balanced Fund – Growth with -
UTI Equity Fund - Growth 0.11 0.48 Treynor Ratio. Other funds are better performer as
UTI Balanced Fund – Dividend -0.16 compared to the market and are better option for investors to
UTI Balanced Fund – Growth 0.00 invest their money in.
HDFC Equity Fund – Dividend -0.06 Name of the Scheme Jensen’s Ratio
HDFC Equity Fund - Growth 0.19 SBI Magnum Equity Fund – Dividend 76.48
HDFC Balanced Fund – Dividend -0.15 SBI Magnum Equity Fund - Growth 2.35
HDFC Balanced Fund – Growth 0.16 SBI Balanced Fund – Dividend 64.61
JM Financial Equity Fund – Dividend -0.22 SBI Balanced Fund – Growth 0.04
JM Financial Equity Fund - Growth 0.20 UTI Equity Fund – Dividend 03.07
JM Financial Balanced Fund – Dividend -0.23 UTI Equity Fund - Growth 3.62
JM Financial Balanced Fund – Growth -0.19 UTI Balanced Fund – Dividend 29.61
Market Index -0.01 UTI Balanced Fund – Growth -0.48
Table 6: Sharpe Performance Evaluation HDFC Equity Fund – Dividend -0.04
Source: Author’s Calculation HDFC Equity Fund - Growth 0.11
Table 6 clearly reveals that JM Financial Equity HDFC Balanced Fund – Dividend -11.57
Fund Growth has outperformed all the schemes with highest HDFC Balanced Fund – Growth 3.97
Sharpe Ratio of 0.20. It indicates that this scheme is better at JM Financial Equity Fund – Dividend 47.81
dealing with the total risk attached to the fund as compared to
JM Financial Equity Fund - Growth 2.29
its competitors. SBI Balanced Fund Dividend has
JM Financial Balanced Fund – Dividend -111.23
underperformed all the schemes with -0.28 Sharpe Ratio. SBI
JM Financial Balanced Fund – Growth 3.58
Magnum Equity Fund – Growth, UTI Equity Fund –
Table 8: Jensen’s Performance Evaluation
Dividend, UTI Equity Fund – Growth, UTI Balanced Fund –
Growth, HDFC Equity Fund – Growth, HDFC Balanced Source: Author’s Calculation
Fund – Growth and JM Financial Equity Fund – Growth have Table 8 reveals that twelve mutual fund schemes out
of 16 sample schemes have come out with positive Jensen’s
outperformed the market as the market Sharpe Ratio is lower
values, which indicate superior stock selectivity of their fund
i.e. -0.01 than their Sharpe Ratio. Hence it can be concluded
managers assuming their respective level of risk. Positive α
that these funds are better to invest in.
indicates good performance whereas negative α indicates
Treynor
Name of the Scheme poor performance of the funds. UTI Balanced Fund – Growth,
Ratio
HDFC Equity Fund – Dividend, HDFC Balanced Fund –
SBI Magnum Equity Fund – Dividend -76.00
Dividend and JM Financial Balanced Fund – Dividend have
SBI Magnum Equity Fund - Growth 4.89 underperformed the market as they carry negative alpha
SBI Balanced Fund – Dividend 64.13 values. SBI Magnum Equity Fund – Dividend has performed
SBI Balanced Fund – Growth -0.44 best with the first rank among all the schemes with Jensen
Ratio of 76.48 and JM Financial Balanced Fund – Dividend [11] Selvam et.al (2011), “Analysis of Risk and Return
ranks last with -111.23 Jensen’s Ratio. Relationship of Indian Equity (Dividend) Mutual Fund
Schemes, 21(1), pp. 1-7.
VI. CONCLUSIONS [12] Sharpe W. F., (1966) “Mutual Fund Performance”,
It can be concluded from the results and discussion that: Journal of Business, Volume XXXIX, Part-2 January,
pp. 119-138.
All the sample schemes carry more risk as compared to
[13] Sinha U K (2013), “Trends in the Mutual Fund Industry
their returns considering the economic slowdown.
in India”, Markets in Motion, Vol 4, No. 21, August 05,
Financial years 2009, 2010 and 2012 have given positive
2013.
returns as compared to the negative returns in the years
[14] Treynor J.L. (1965), “How to Rate Management of
2008 and 2011. All the sample schemes have performed
Investment Funds”, Harvard Business Review, January-
well in comparison to the market performance except JM
February 1965, pp. 63-75.
Financial Equity Fund Growth in 2009, 2010 and 2012.
Most of the growth funds have outperformed the market
according to the Sharpe and Treynor performance
measure.
According to the Jensen performance measure the fund
managers of both the public companies i.e. SBI and UTI
are found to have superior stock selectivity.
Equity funds are better in their performance compared to
income funds and growth funds are better than the
dividend funds.
The private companies’ mutual fund schemes have found
to be the better investment for the investors as compared
to the public companies mutual fund schemes as they are
found to be performing better.
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