A

PROJECT REPORT ON

PERFORMANCE EVALUATION OF MUTUAL FUND BEFORE AND DURING

THE OUTBREAK OF COVID-19 PANDEMIC IN INDIA

SUBMITTED BY:

SARIKA SINGH

MBA FINANCE (2022- 2021)

FULFILMENT FOR THE AWARD OF THE DEGREE

OF

MASTER OF BUSINESS ADMINISTRATION

UNDER THE GUIDANCE OF

DR. NAMRATA N. KHATRI

SUBMITTED TO

DEPARTMENT OF BUSINESS AND INDUSTRIAL MANAGEMENT

SURAT

AFFILIATED TO
DECLARATION
CERTIFICATE
ACKNOWLEDGEMENT
It would not have been possible for me to prepare and shape this report without the
kind of cooperation and help of person who guided me in a proper direction and
providing essential information regarding report. It is great occasion for me to
thanks and express my deepest sense of gratitude to all those who have guided,
advised and supported me during my winter project work.

I wish to thank to Department of business & industrial management, Veer Narmad

south Gujarat University, Surat, for providing me an opportunity to do project
work on this topic as a part of MBA curriculum.

As an institute side , it is my great pleasure to have this opportunities to express my

sense of gratitude to my guide DR. Namrata N. khatri ( assistant professor DBIM)
for her assistance and encouragement , motivation and valuable advice from time
to time that guided me towards fulfilment of my project report successfully.
Contents
DECLARATION.........................................................................................................................................2
CERTIFICATE...........................................................................................................................................2
ACKNOWLEDGEMENT...........................................................................................................................4
EXECUTIVE SUMMARY.........................................................................................................................6
CHAPTER 1 INTRODUCTION........................................................................................................8
1.1 WHAT IS MUTUAL FUND.............................................................................................................8
1.2 HISTORY OF MUTUAL FUND......................................................................................................9
1.3 TYPES OF MUTUAL FUND.........................................................................................................12
1.4 ADVANTAGE OF MUTUAL FUND.............................................................................................17
1.5. DISADVANTAGE OF MUTUAL FUND.....................................................................................18
CHAPTER 2: THEORETICAL FRAMEWORK...................................................................................19
2.1 PERFORMANCE EVALUATION OF MUTUAL FUND..............................................................19
2.1.1 WHAT IS PAST PERFORMANCE.........................................................................................21
2.1.2 PERFORMANCE EVALUATION DIFFERENT METHODS..............................................21
2.2 REVIEW OF LITERATURE........................................................................................................24
CHAPTER 3 RESEARCH METHODOLOGY.....................................................................................26
CHAPTER 4 DATA ANALYSIS AND INTERPRETATION..............................................................30
CHAPTER 5 FINDING & CONCLUSION..........................................................................................52
REFERENCE............................................................................................................................................54
WEBSITE..................................................................................................................................................54
TABLES:
Table 1 Mean Return, Standard Deviation& Beta of the selected Mutual Fund........................................30
Table 2 PERFORMANCE OF THE FUND BASED ON THE SHARPE RATIO (2022)........................32
TABLE 3: PERFORMANCE OF THE FUND BASED ON TREYNOR RATIO (2022).........................34
Table 4: PERFORMANCE OF THE FUND BASED ON JENSEN ALPHA(2022).................................36
Table 5: Pearson Correlation between Index Return and Fund Return (2022)..........................................38
Table 6: Mean return, Standard deviation& beta of the selected mutual fund (2022)................................40
Table 7: PERFORMANCE OF THE FUND BASED ON THE SHARPE RATIO (2022)......................42
Table 8 PERFORMANCE OF THE FUND BASED ON TREYNOR RATIO (2022).............................44
Table 9: PERFORMANCE OF THE FUND BASED ON JENSEN ALPHA..........................................46
Table 10 : Pearson Correlation Between index Return and fund return for the year (2022)......................48
Table 11: Ranking of the fund based on the performance measure...........................................................50

LIST OF FIGURES:
Figure 1 Mean Return, Standard deviation& Beta of selected mutual fund schemes.............................31
Figure 2 Sharpe Ratio................................................................................................................................33
Figure 3 Treynor Ratio...............................................................................................................................35
Figure 4 Jensen Alpha................................................................................................................................37
Figure 5 Mean return, Standard deviation& Beta of selected mutual fund schemes (2022).....................41
Figure 6 Sharpe Ratio (2022).....................................................................................................................43
Figure 7 Treynor Ratio (2022)....................................................................................................................45
Figure 8 Jensen Alpha................................................................................................................................47
 EXECUTIVE SUMMARY
The project is about the performance evaluation of selected mutual fund scheme before and
during the Covid 19 outbreak.

To carry out this research project I’ve selected Top 10 mutual fund on the basis of AUM for the
year 1-1-19 to 31-12-2022 before covid-19 and 1-1-20 to 31-12-20 during covid19.

The Report gives an overview of the mutual fund, Types of mutual fund and, advantage,
disadvantage, history of mutual fund in India, Sharpe Ratio, Treynor Ratio, and Jensen Alpha.

The project report is divided into five chapters 1st is introduction it contain mutual fund
introduction, history of mutual fund, types of mutual fund, performance evaluation measures etc

After that 2nd chapter it includes Review of literature which display the past research on different
studies related to performance evaluation.

In chapter3 this report covered research methodology all the information about the research like
objective, problem statement, research design , limitation of the study , variables etc

After that Data analysis covered in chapter4, in this it contain data analysis, various table, graph,
method used for the analysis.

And last chapter of this report comes; it’s covered finding and conclusion of the report.
CHAPTER 1 INTRODUCTION

MUTUAL FUND
People in India usually like to save money. People save their money in four ways.

1. Saving a/c 2. Fixed deposit 3. Gold and jewellery 4. Real Estate 5. Stock Market. In
every investment there are 3 things Return, Risk, time.

Return means how much profit you can earn though investment (they are usually in %) suppose
if your inflation is 4% then profit should be more than 4%

Risk means how risky is to invest, what is the chance of losing all our money in that investment

And time means for how long you are investing. If you want more return on investment then
you have to take more risk and have to invest for longer period.

1.1 WHAT IS MUTUAL FUND

Mutual fund is a special kind of investment through which you can invest on different types
together (means you can do a diversifies investment by investing at one place) though mutual
funds we can invest in gold, real estate, share market, debt funds. In simple words, people give
their money to asset management company (AMC are the companies who manage the funds)
and that company invest all money collectively at different places. Asset management
companies also appoint expert. For every mutual scheme fund manager are appointed. To
manage the funds of investors asset management company charge some fees which is known as
expense ratio e.g. ICICI prudential, SBI mutual funds, motilal Oswal etc are some of the asset
management companies. SBI mutual funds have more than 70+ mutual fund scheme such as
magnum balanced fund, SBI blue chip fund, SBI regular saving fund etc.

In mutual fund money are invested mainly in two classes Debt and Equity

Debt mutual funds- like government security, Treasury bill, debenture etc and In Equity Moneys
are invested in stock market for every mutual scheme fund manger are appointed and if it is
equity mutual fund then when to buy, when to sell, all this Decision are taken by fund manager

There are two ways to invest in mutual funds 1. Lump –sum 2. SIP

Lump sum means investing all the money at once where as SIP means investing money monthly
or quarterly.

As company have shares mutual funds have units. The value of 1 share is Know through its share
price in the same way the value of 1 units is know through Net asset value(NAV)
 PARTIES INVOLVED IN MUTUAL FUND

SEBI It is the Governing authority of stock market.

Mutual fund legal framework is regulated by
SEBI guidelines.
INVESTOR Investor is Neither a speculator (who takes on
high risks for high rewards) but one whose
primary objectives are to safeguard the
principal investment, a steady income and
capital appreciation.
TRUSTEES The mutual fund has been formed as a public
trust and trustees manage the trust. They are
primarily accountable for protecting the
interest of mutual fund investors.
ASSET MANAGEMENT COMPANY SEBI approved Asset management company
(AMC) manage the funds by making
investment in various types of securities. It
manages the investment portfolios of the
scheme and handles various other routine
activities incidental to the mutual fund
business. Its income comes from the
management fees it charges for the schemes
it manages.

DISTRIBUTORS They earn commission for bringing in

investors into the scheme of a mutual fund.
This commission is an expense for the
scheme.

1.2 HISTORY OF MUTUAL FUND

A strong financial market with broad participation is essential for a development economy. With
this broad objective India’s first mutual fund was established in 1963, that was UTI at the
initiative of the government of India and reserve bank of India ‘ with a view to encouraging
saving and investment and participation in the income , profit and gains accruing to the
corporation from the acquisition , holding , management and disposal of securities’

In the last few years the MF industry has grown significantly. The history of mutual fund in
India can be broadly divided into 5 phases as follow

FIRST PHASE 1964- 1987

Unit trust of India (UTI) was established in 1963 by an act of parliament. It was set up by the
reserve bank of India and functioned under the regulatory and administrative control of the
reserve bank of India. In 1978 UTI was delinked from the RBI and the industrial development
bank of India (IDBI) took over the regulatory and administrative control in place of RBI. The
first scheme launched by UTI was unit scheme 1964. At the end of 1988 UTI had Rs.6700 crores
of Assets under management.

SECTOR PHASE 1987-1993(Entry of public sector mutual fund)

1987 marked the entry of non UTI, public sector mutual fund set up by public sector bank and
life insurance Corporation of India (LIC) and General Insurance Corporation of India (GIC). SBI
mutual fund was the first non UTI mutual fund established in June 1987 followed by Can bank
Mutual fund, Punjab National Bank Mutual fund, Indian Bank Mutual fund, Bank of India, Bank
of Baroda mutual fund. LIC established its mutual fund in June 1989 while GIC had set up its
mutual fund in December 1990.

At the end of 1993, the mutual fund industry had assets under management of Rs47,004 crores.

THIRD PHASE 1993-2003(Entry of private sector mutual fund)

With the entry of private sector fund in 1993, a new era started in the Indian mutual fund
industry, giving the Indian investors a wider choice of fund families. Also, 1993 was the year in
which the first mutual fund regulations came into being, under which all mutual funds, except
UTI were to be registered and governed. The erstwhile Kothari pioneer was the first private
sector mutual fund registered in July 1993.

The 1993 SEBI regulation was substituted by a more comprehensive and revised mutual fund
regulation in 1996. The industry now functions under the SEBI regulation 1996.

The number of mutual fund houses went on increasing, with many foreign mutual funds setting
up funds in India and also the industry has witnessed several mergers and acquisitions. As at the
end of January 2003, there were 33 mutual fund with the total assets of Rs 1,21,805 crores. The
Unit trust of India with Rs 44,541 Crores of assets under management was way ahead of other
mutual funds.

FOURTH PHASE February 2003 to 2014

UTI was bifurcated into 2 separate entities. The specified undertaking of the Unit trust of India,
representing the assets of US64 schemes, assured returns and certain others and the UTI mutual
fund, sponsored by SBI, PNB,BOB and LIC . The industry also witnessed several mergers and
acquisition of schemes of alliance mutual fund by Birla sun life, Sun F&C mutual fund and PNB
mutual fund by Principal mutual fund.

FIFTH PHASE SINCE MAY 2014

Since May 2014, the industry has witness a steady inflow and increased in AUM as well as no
of investor accounts.

The industry AUM crossed a mile stone of Rs10 trillion for the every first time as on may 2014
and in a short span of about three years the AUM size had increased more than two folds and
crossed Rs 20 Trillion for the first time in august 2017. The AUM size crossed Rs 30 trillion for
the every first time in November 2022.

The overall size of Indian mutual fund industry has been grown Rs7.31 trillion as on 31may
2011 to Rs33.06 trillion as on 31May 2021, more than 4 and1/2 Fold increase in a span of 10
years.

The no of investors folios has gone up from 4.84 crore folios as on 31 may 2016 to 10.04 crore
as on 31 may 2021 more than 2 fold increase in span of 5 years.

On an average 8.66 lakh new folios are added every month in the last 5 years since may 2016.

The growth size of the industry has been possible because of the twin effect of the regulatory
measures taken by SEBI in re-energising the MF industry and the support from mutual fund
distributors is expanding the retail base.

MF distributors have also had a major role in popularising systematic investment plan (SIP) over
the years 2016 the no of SIP account has crossed 1 crore mark and as on 31may 2021 the no of
SIP account are 3.88 crore.
1.3 TYPES OF MUTUAL FUND
Mutual fund has 3 board categories
1. On the basis of Flexibility: 1. Open ended 2. Closed ended 3. Interval fund
2. On the basis of Dividend: 1. Growth Funds 2. Dividend funds
3. On the basis of principle Investment: 1. Equity 2. Debt 3. Hybrid 4. Solution
oriented scheme 5. Other scheme

1. ON THE BASIS OF FLEXIBILITY:

OPEN- ENDED SCHEME

An open ended fund or scheme is one that is available for subscription and can be
repurchase on a continuous basis. These schemes do not have a fixed maturity period. Investors
can conveniently buy and sell units of NAV (net Asset Value) related prices which are declared
on a daily basis. The key feature of open end schemes is liquidity.

CLOSE –ENDED SCHEME

A close ended fund or scheme has a stipulated maturity period e.g. 5-7 years. The fund is
open for subscription only during a specific period at the time of launch of the scheme.
Investors can invest in the scheme at the time of the initial public issue and thereafter they can
buy or sell the units of the scheme on the stock exchange where units are listed.

In order to provide an exit route to the investors, some close ended funds give an option of
selling back the units to the mutual fund through periodic repurchase at NAV related prices.
SEBI regulations stipulate that at least one of the two exists route is provided to the investors i.e.
either repurchase facility or though listing on stock exchanges. These mutual fund schemes
disclose NAV generally on weekly basis.

INTERVAL FUND: It operates as a combination of open ended and closed ended scheme; it
allows investor to trade units at predefined intervals. They may be traded on the stock exchange
or they may even be open for sale or redemption during pre determined intervals at NAV related
prices. When it comes to selecting a scheme and invest in one should look for right combination
of growth, Risk, stability and income.

2. ON THE BASIS OF DIVIDEND:

GROWTH FUND: A growth fund is a mutual fund that invests mostly in companies with above
Average growth, with the goal being capital appreciation rather than yield income and dividend
payouts.

DIVIDEND FUND: Dividend mutual fund are mutual fund that invest in stock that pay
dividends. Investors in this fund can reinvest the dividend into more shares of the funds or use
the dividend as an income stream.

3. ON THE BASIS OF PRINCIPLE INVESTMENT

1. EQUITY SCHEME 1. Large cap fund

2. mid cap fund
3. Small cap fund
4. Multi cap fund
5. Sector fund
6. Diversified equity fund
7. Dividend yield schemes
8. ELSS
9. Thematic fund

According to market capitalization companies are divided into 3 category 1. Large cap 2.
Midcap 3. Small cap 4. Multicap. Though market capitalization we get to know whether it is
small, medium, large company.

Large Cap Company has very strong market present. Large cap companies have capital to
survive in bad times, that’s why in large cap risk is low and whereas in mid cap and small cap
risk is high. Example of large cap company like reliance, Tcs, L&T etc.

Large Cap Company is already very well stable and the growth opportunities are limited,
whereas in small cap growth & failure rate both are more. If fund manager invest the money
in large cap then it is known as large cap fund. If funds are invested in midcap they are known
as midcap fund.

Multicap fund: An equity mutual fund investing across large cap, mid cap, small cap stocks

5. Sector fund: Sector funds means funds are invested in specific sector companies only

For example reliance media and entertainment funds are a sector which invests the money in
entertainment sector. SBI pharma fund – invest only in pharma sector.

6. Diversified equity fund- it means investing the money in different types of sector and
different types of market capitalization
7. Dividend yield fund: Small parts of profit are shared by the company to their shareholders
in the form of dividend. To give dividend or not this decision are taken by boards of director.
In dividend yield fund, fund manager invest the money in those companies which are stable,
safe, consistent, low volatile and also give regular dividend.

8. ELSS (Equity linked saving scheme) which is a tax saver mutual fund. If money which is
invested in this is locked for 3 yrs. In ELSS we can’t invest less than 3 yrs. It also helps to save
Income tax. That’s why they are also known as Tax-saving funds.

9. Thematic fund: They invest in Predetermined Theme like India rural theme, e-commerce
theme etc. Thematic investing allows investors to pursue market exposure to specific ideas.

Example – HDFC housing opportunity fund is a thematic fund, these funds buy stock related to
housing.

10. Focused Fund: A Focused fund is a mutual fund that holds only relative small variety of
stocks or bonds that are similar along some dimension. A Focused Mutual fund focuses on a
limited number of sectors. Rather than holding a broad or diversified mix of positions.

2. DEBT FUND – With the help of debt instrument government and companies borrow
money and return with interest.

Debt instrument like debenture, bond, certificate of deposit etc. In debt fund risk and return are
less than equity. There are about 16 types and are as follows:

1. Overnight funds: Invest in overnight securities having maturity of 1 day.

2. Liquid fund: Investment in debt and money market securities with maturity up to 91 days
only.

3. Ultra short duration fund: An ultra short duration fund scheme invests in instrument with
Macaulay duration between 3 month and 6 months.

4. Low duration fund: A low duration debt scheme investing in instruments with Macaulay
duration between 6 months and 12 month.

5. Money market funds: A debt scheme investing in money market instruments. Investment in
Money Market instruments having maturity up to 1 year.

6. Short duration Fund: A short term debt scheme investing in instruments with Macaulay
duration between 1 year and 3 years.

7. Medium duration fund: A medium term debt scheme investing in instruments with
Macaulay duration between 3 years and 4 years.
8. Medium to Long term duration fund: A medium term debt scheme investing in instruments
with Macaulay duration between 4 years and 7 years.

9. Long duration fund: A debt scheme investing in instruments with Macaulay duration greater
than 7 years.

10. Dynamic Bond: which invest in Debt Instrument of Varying Maturities based on the
interest rate regime.

11. Corporate Bond fund: A debt scheme predominantly investing in highest rated corporate
bonds.

12. Banking and PSU fund: A debt scheme predominantly investing in Debt instruments of
banks, Public Sector Undertakings, Public Financial Institutions.

13. Credit Risk fund: A debt scheme investing in below highest rated corporate bonds

14. Gilt fund: which invests a minimum of 80% of its investible corpus in Government
securities across varying maturities.

15. Floater Fund: A debt scheme predominantly investing in floating rate instruments

16. Gilt Fund with 10 year constant duration: A debt scheme investing in government securities
having a constant maturity of 10 years

3. HYBRID FUND: Hybrid fund means those funds which are invested in both debt and
equity.

1. MONTHLY INCOME PLAN: About 60 to 90 % funds are invested in debt instrument and
the rest are invested in equity. MIP is safe because large proportion of money is invested in debt
instrument that’s why MIP is safer than equity mutual funds. But it doesn’t mean that MIP is risk
free and fixed return scheme.

2. BALANCED FUND: 65 to 85% of fund are invested in equity and rest are invested in
debt instrument

3. ARBITRAGE FUND: in arbitrage fund more than 65% of fund is invested in stock market.

4. CONSERVATIVE HYBRID FUND: Investment in equity & equity related instruments –

between 10% and 25% of total assets; Investment in Debt instruments – between 75% and 90%
of total assets.

5. AGGRESSIVE HYBRID FUND: Equity & Equity related instruments – between 65% and
80% of total assets; Debt instruments – between 20% – 35% of total assets. Most of the
balanced funds will fall into this category.
6. EQUITY SAVING: Minimum investment in equity & equity related instruments – 65% of
total assets and minimum investment in debt – 10% of total assets.

4. SOLUTION ORIENTED SCHEMES:

1. Retirement Fund: A retirement solution oriented scheme having a lock in of 5 years or till
retirement age.

2. Children’s Fund: A fund for investment for children having a lock in for at least 5 years or
till the child attains age of majority.

5. OTHER SCHEMES
1. Index fund / ETFs: Minimum investment in securities of a particular index (which is being
replicated ) 95% of total assets.

2. FOF’S: Minimum investment in the underlying fund 95% of total assets.

1.4 ADVANTAGE OF MUTUAL FUND

 Diversification: Mutual fund has their share of risk as their performance is based on the
market movement. Hence, the fund manager always invests in more than one asset
class to spread the risk. It is called diversification. This way, when one asset class
doesn’t perform, other can compensate with higher returns to avoid the loss for
investors.
 Cost effective: we have the option to pick zero load mutual funds with fewer expense
ratios. We can check the expense ratio of different mutual fund and choose the one
that fits in our budget and financial goals. Expense ratio is the fee for managing your
fund.
 Professional management: The most important advantage of mutual fund is that they are
managed by experienced fund managers known as an asset manager which is appointed
by the fund houses. These managers research companies based on Micro and Macro
economics factors.
 Economies of scale: The pooling of large sum of money from so many investors makes
it possible for the mutual fund to engage professional managers to manage the
investment. Individual investors with small amount to invest can’t , by themselves ,
afford to engage such professional management
 Tax deferral: Mutual fund is not liable to pay tax on the income they earn. If the same
income were to be earned by the investor directly, then tax may have to be paid in the
same financial year. Mutual fund offer options, whereby the investors can let the money
grow in the scheme for several years. By selecting such options, it is possible for the
investors to defer the tax liability. This helps investors to legally build their wealth
faster than would have been the case, if they were to pay tax on the income each year.
 Tax benefits: Specific schemes of mutual fund give investors the benefit of deduction of
the amount invested, from their income that is liable to tax. This reduces their taxable
income, and therefore the tax liability.
 Convenient options: the options offered under a scheme allow investors to structure
their investment in line with their liquidity preference and tax position.
 Investment comfort: once an investment is made with a mutual fund, they make it
convenient for the investors to make further purchase with very little documentation. This
simplifies subsequent investment activity.
 Regulatory comfort: the regulator, securities &exchange board of India has mandated
strict checks and balances in the structure of mutual funds and their activities. Mutual
fund investor’s benefits from such protection.
1.5. DISADVANTAGE OF MUTUAL FUND
 No insurance: Mutual fund, although regulated by the government, are not insured
against losses. FDIC (Federal deposit Insurance Corporation) only insures against
certain losses at banks, credit unions, and saving and loans, not mutual fund. That means
that despite the risk reducing diversification benefits provided by mutual fund, losses
can occur, and it is possible that you could even lose your entire investment.
 Fees and Expenses: Most mutual fund charge management and operating fees that pay
for the funds management expenses (usually around 1.0% to 1.5% per year). In
addition, some mutual fund charge high sales commission, 12b-1 fees, and redemption
fees. And some fund buy and trade shares so often that the transaction cost add up
significantly. Some of this expense is charged on an ongoing basis, unlike stock
investment, for which a commission is paid only when you buy and sell.
 Loss of control: The managers of mutual fund make all of the decision about which
securities to buy and sell and when to do so. This can make it difficult for you when
trying to manage portfolio.
 Trading limitations: Although mutual fund are highly liquid in general, most mutual fund
(called open ended fund) cannot be bought or sold in the middle of the trading day. You
can buy and sell them at the end of the day, after they have calculated the current value
of their holding
 Inefficiency of cash reserve: Mutual fund usually maintain large cash reserve as
protection against a large number of simultaneous withdrawals. Although this provides
investors with liquidity, it means that some of the fund money is invested in cash
instead of assets, which trends to lower the investor’s potential return.
CHAPTER 2: THEORETICAL FRAMEWORK
2.1 PERFORMANCE EVALUATION OF MUTUAL FUND

Investors and investment managers need timely and accurate information on the performance of
their investment portfolios. Performance evaluation provides such information. Without it,
investors and investment managers would find it increasingly difficult to meet stakeholders’
current and future needs in a very competitive investment management industry. In the
investment management industry, performance evaluation broadly refers to the measurement,
analysis, interpretation, assessment, and presentation of investment results. In particular,
performance evaluation provides information about the return and risk of investment portfolios
over specified periods. Selection of investment managers is a closely related topic.

By providing accurate data and analysis on investment decisions and their consequences,
performance evaluation allows investment managers (and the portfolio managers they employ) to
take corrective measures to improve investment decision-making and management processes.
Performance evaluation information helps in understanding and controlling investment risk and
should, therefore, lead to improved risk management. For asset owners and prospective clients,
performance evaluation communicates portfolio managers’ results. Broadly, it permits asset
owners and prospective clients to make better decisions (including selection, continuance, and
dismissal) about investment managers by providing relevant information on performance and its
drivers. Accurate performance presentations are especially important for asset owners and
prospective clients in facilitating accurate analysis. Performance evaluation in its feedback role
may have a large impact on investment managers, asset owners, and other stakeholders. An
effective performance evaluation process facilitates the following outcomes:

For investment managers:

 Prompt attention to potential performance issues and unintended business or investment

risks.
 Effective monitoring of risk and return in relation to the investor’s objectives and the
designated benchmark.
 An effective internal management information system.
 Effective internal monitoring and oversight management/mechanisms.
For both investment managers and asset owners:

 Clear understanding of the different activities and decisions within the

investment management process, as well as their performance contributions.
 Reduction in non- fact- based discussions by using more objective and less subjective
investment performance information during the performance assessment process.
  Dialogue among stakeholders that may lead to innovation, change in practices,
strengthened brand and reputation, and new attractive investment products for
investors.
For asset owners:

 Finding evidence of skill (or lack thereof)

Because of different perspectives held by participants in the investment management process,
performance evaluation sometimes involves emotional discussions among the concerned
stakeholders. Such discussions often hinder achieving appropriate solutions and may lead to
unintended consequences. To minimize the chance of such discussions, performance evaluation
should follow appropriate guiding principles. Such principles include the following:

 The intended user and the expected use of the performance information are taken into
account in deciding what types of performance evaluation analysis to conduct and
what methodologies to use.
 The performance evaluation considers and provides information on changes in
investment strategy, investment style, or investment restrictions.
 The performance evaluation is an accurate and unbiased representation of the
investments made, results achieved, risks taken, and taxes and fees incurred.
 The performance evaluation is relevant and appropriate for the presented asset
classes, investment strategies, investment styles, and investment products.
 The performance evaluation takes into account both risk and return.
 The performance evaluation provides information on past (ex post) and expected (ex
ante) investment risks and compares ex post realized risk with the ex ante forecast of
risk (risk efficiency).
 The performance evaluation analyses taxes and their effect on investment
portfolio performance, where such analysis is feasible and relevant.
 The performance evaluation analyses fees and associated remuneration (e.g.,
commissions and referral fees) received for management or administration of the
investment portfolio, as well as transaction costs and trading expenses incurred in the
portfolio.
 The performance evaluation provides comparatives, such as an appropriate benchmark,
to enable assessment of the investment portfolio’s relative performance.
Besides attention to these principles, other factors promoting effective performance evaluation
include commitment by senior management, well- educated and experienced staff, and an
appropriate budget for necessary information technology projects. It is also very important
that the performance evaluation process itself be well defined and structured.
2.1.1 WHAT IS PAST PERFORMANCE

Performance measurement answers the first question, the calculation of risk and return of the
portfolio. Performance may either address a past time period (ex post performance) or look
forward to a future time period (ex-ante performance). “Ex post” and “ex ante” are Latin
words that mean, respectively, “after the fact” and “before the fact.”

“Return” may be defined as the percentage gain or loss in wealth resulting from holding an
investment over a specified period. Risk means different things to different stakeholders at
different times. The Oxford English Dictionary provides a good definition of risk: “the
potential impact of an event determined by combining the likelihood of the event occurring
with the impact should it occur.” Risk is the combination of exposure and uncertainty. Risk
within asset management may be broadly categorized into

 compliance risk,
 operational risk,
 liquidity risk,
 counterparty risk, and
 Portfolio risk.
Performance measurement is concerned with portfolio risk. Are the risks of the portfolio of
assets—for example, market risk, interest rate risk, credit risk, and currency risks—managed to
the client’s expectations? Both return and risk can be viewed from ex post or ex ante
perspectives. Ex post, or historical, risk is the analysis of risk after the event; it answers the
question, How risky was the portfolio in the past?

Ex ante, or prospective, risk is forward looking, based on a snapshot of the current securities and
instruments in the portfolio and their historical relationship with each other. It is an estimate or
forecast of the future risk of the portfolio.

2.1.2 PERFORMANCE EVALUATION DIFFERENT METHODS

Performance evaluation of mutual fund is one of the preferred areas of research where a
good amount of study has been carried out.

Ratio used to measure performance Are:

SHARPE MEASURE
A ratio developed by Nobel Laureate William F. Sharpe to measure risk- adjusted performance.
It is calculated by subtracting the risk free rate from the rate of return for a portfolio and dividing
the result by the standard deviation. Sharpe ratio tells us how much extra return one will receive
on holding a risky asset. Sharpe ratio is based on standard deviation which is a measure of total
risk. The greater a portfolio’s Sharpe ratio, the better its risk adjusted performance has been. A
fund with higher Sharpe ratio in relation to another is preferable as it indicates that the fund has
higher risk premium for every unit of standard deviation risk.

SR = RP- RF

SD

Where,

SR- stands for Sharpe ratio of the mutual fund

schemes Rp- stands for average return of the portfolio

Rf -stands for average risk free rate of return

Standard Deviation measures the dispersion of data from its mean. With mutual funds, the
standard deviation tells us how much the return on the fund is deviating from the expected return
based on its historical price.

SHARPE RATIO RISK RATE VERDICT

Less than 1.00 Very low Poor
1.00-1.99 High Good
2.00-2.99 High Great
3.00 or above High Excellent

TREYNOR MEASURE

Treynor(1965) was the first researcher developing a composite measure of portfolio

performance. Treynor ratio measure the relationship between fund’s additional return over risk
free return and market risk is measured by beta. The larger the value of treynor ratio, the better
the portfolio has performed. Generally if the treynor ratio is greater than benchmark comparison,
the portfolio has outperformed the market and indicating superior risk adjusted performance.

Formula

TR = RP- RF

Where,

Rp= average return of the portfolio

Rf= average risk free rate of return

β= beta (systematic risk)

JENSEN MEASURE

Jensen's Measure definition implies a type of performance measure that is risk-adjusted. The
given measure helps in representing the average returns on the given investment or portfolio –
above or below the predicted value by the CAPM (Capital Asset Pricing Model). The only
condition here is that the Beta of the portfolio or the investment along with the average market
return should be provided. The given metric is also commonly known as Alpha.

For accurately analyzing the overall performance of the investment manager, the respective
investor should not just look into the portfolio’s return. At the same time, the investor should
also consider the risk of the given portfolio for observing whether or not the return of the
investment would compensate for the risk being undertaken. For instance, if there are two
Mutual Funds having a 12 percent return, a wise investor should aim at going for the option of
the fund that is less risky. Jensen's Measure serves to be one of the effective ways when it comes
to determining whether or not a particular portfolio is earning the right returns for the given
level of risk. If the given value turns out to be positive, then the particular portfolio is earning
excess returns. Therefore, it can be said that the positive value for Jensen’s Alpha would imply
that the fund manager is capable of “beating the market” with the respective stock-picking skills.

Jensen’s alpha is the difference between the actual return of the portfolio and the expected risk
adjusted

Formula,

Jensen’s alpha= RP+[Rf +β(RM- RF)

Where,

RP= Expected portfolio return

Rf= Risk free rate

β = Beta of the portfolio

Rm= Expected market return

CHAPTER 2.2 REVIEW OF LITERATURE

The present study deals with the review of literature on ‘Evaluating the performance of Indian
mutual fund schemes’ Review of some of the studies is presented in the following discussion.

Ms.Saranya K, Mr Parthiban (2018) conducted a research on performance evaluation of Indian

equity mutual fund schemes. This paper examines the performance of selected open ended
Scheme. The performance of this fund is analyzed using three year NAV and to evaluate the
performance these statistical tool were used (Sharpe ratio, Treynor ratio, Jensen alpha). Finding
of the study reveal that based on the Sharpe method Kotak Mahindra equity saving fund secured
1st position And according to the Treynor HDFC mutual fund secured 1st position And according
to Jensen alpha Axis mutual fund secure 1st position .According to this research it says that
return is not only the factor investor should look upon . In order to have good return investors
should have the proper information of the fund and their asset management company where they
are investing.

Aashak Thakkar 2017 attempts to study the performance of selected equity mutual fund by
using various risk and return measures i.e. Sharpe ratio, treynor ratio, Jensen alpha and in his
research it was concluded that none of the selected fund shows consistent return . Birla sun life
growth scheme have shown good performance in all three measures, while Tata equity
performed well as per the Sharpe measure but didn’t perform in other measures.

Dr vikas choudhary and preeti sehgal chawala 2014 attempt to analyze the performance of
growth oriented equity diversified scheme on the basis of risk and return by using various
financial test like average return, Sharpe ratio , treynor ratio, standard deviation, beta and co-
efficient of determination . The entire selected fund had the beta less than one and positive which
imply that they were less risky than the market portfolio and in term of coefficient of
determination. All the selected 8 funds were near to one which indicates that higher
diversification. Seven out of eight selected funds has shown superior performance under the
Sharpe as well as treynor ratio.

Geeta Rani and Dr Vijay Singh hooda 2016 evaluate the performance of selected mutual fund
scheme by using Sharpe, Jensen, and treynor ratio. In the study, it was found that according to
Sharpe, Jensen, treynor ratio Tata equity P/E fund, Sundaram rural India fund, Birla sun life
India was found to be top performing fund.

Vikas Kumar and ankit srivastav 2016 evaluated the performance of 20 open –ended equity
schemes of private sector mutual funds. The period of study was from 1st April 2006 till 31
march 2015. The research analyzed the data with the help of various statistical tools. By
comparing overall performance ranking of all schemes it could have seen that reliance pharma
fund has been the best.
Ratnarajan and P. Madhav 2016 analyzed the risk and return relationship and market volatility of
the selected mutual fund and examined the performance of selected schemes from March 2-12 to
2016 by using Sharpe and treynor model. the author investigate the performance of 30 open
ended diversification equity schemes performance of reliance regular saving fund equity, SBI
contra fund, HDFC equity fund was not found as good . It was found that the Sharpe ratio was
positive for all selected scheme.

DR R. Narayanasamy V. Rathnamani 2013 evaluates the performance of selected equity large

cap mutual fund scheme in term of risk and return relationship. The performance analyses of the
selected five equity of large cap fund and the study conclude that all the fund has performed well
in high volatile market movement expect reliance vision.
CHAPTER 3 RESEARCH METHODOLOGY

STATEMENT OF PROBLEM:

To study the performance evaluation of selected mutual fund Scheme.

RESEARCH OBJECTIVES:

1. To study the performance evaluation of selected (open ended) large cap mutual fund
scheme before and during covid19 pandemic

2. To examine the performance of selected schemes by using portfolio evaluation model (Sharpe
and treynor )

3. To understand the market return & Fund return

4. To know, which scheme has given highest return within before & during Covid-19

outbreak. HYPOTHESES:

Index Return and fund return are not significantly related.

VARIABLES:

Variables of the study are Risk, Returns, Sharpe ratio, Treynor ratio, Jensen Alpha

SIGNIFICANCE OF THE STUDY

The present study attempts to provide an idea about the performance of selected mutual fund
schemes prior and during the COVID19 outbreak. The study has concentrated on open ended
schemes & direct growth Plan.

PURPOSE OF THE STUDY

This study will help the investor to understand the performance of various schemes prior and
during the Covid 19 pandemic.

DATA COLLECTION PLAN

All the data required for this study have been obtained mainly from Secondary Source.
Secondary Data are been collected from the various websites like BSE, NSE, Association of
mutual fund etc
SAMPLING PLAN

There are Various Scheme available in the mutual fund like Debt, balanced, equity etc. But out
of this scheme we have selected Equity Growth Scheme.

10 equity mutual fund has been selected (open ended- Large cap growth direct plan) on the basis
of AUM (Asset under management)

DATA ANALYSIS TOOL

Techniques used: The tool used for the present study is Average return, Beta, Standard
Deviation, Sharpe Ratio, Treynor Ratio, Jensen alpha.

The following statistical tools used are as follow:

No. Technique Formula Result

1. Rate of Return Closing Price/ Opening Price -1 AVERAGE Return

Or
Closing price- opening price /
Opening price* 100
2. Standard Deviation √∑ (𝑅 − 𝑅)2 Variance and total
Risk
𝑁

3. Beta Covariance/𝜎𝑚2 Measures the level of

volatility associated
with the fund compared
to the benchmark
4. Sharpe’s Ratio Ri-Rf/ sd Measures the excess
return earned on fund
per unit of total risk
5. Treynor’s Ratio Ri-Rf/𝛽 Measures the excess
returns earned per unit
of systematic risk

6. Jensen alpha RP-[Rf+β(Rm-Rf)] The Jensen measure is

the difference between
Actual Return and
expected return.
BENFITS OF THE STUDY:

This study will helpful to us to know the Performance of Selected Mutual Fund Before and
During COVID-19.

LIMITATION

1. The study is based on the historical data. The expected returns, standard deviation and beta
are calculated using past data.

2. The study is done using three indicators of portfolio evaluation i.e. Sharpe and treynor ratio&
Jensen alpha.

3. The data is collected for the limited period (2 years)

4. Studied only open –ended direct growth plan fund

5. The study has been conducted and analyzed on the information

available. Fund selected for the purpose of research are as follow:

Scheme AUM(Cr)- direct growth plan

SBI blue chip fund 28579.94
Axis blue-chip fund 28247.45
ICICI Prudential blue-chip fund 27994.32
Mirae Asset Large cap fund 26746.55
Aditya Birla sun life Frontline equity fund 20630.67
HDFC Top 100 fund 20049.52
Nippon India large cap fund 10481.97
UTI Master share 8426.51
Franklin India Blue-chip fund 6375.36
Canara robeco blue-chip equity fund 3308.09

Following scheme& their benchmark were selected for the study.

Fund Name Scheme Name Benchmark

ICICI Prudential blue chip Growth direct plan NIFITY100 TRI
fund
Mirae Asset Large Cap Growth direct plan NIFITY100 TRI
HDFC Top 100 fund Growth direct plan NIFITY100TRI
Franklin India blue chip fund Growth direct plan NIFITY100 TRI
SBI Blue chip fund Growth direct plan S&P BSE100
Nippon India Large cap fund Growth direct plan S&P BSE100
UTI Mater share Growth direct plan S&P BSE100
Canara Robeco blue chip Growth direct Plan S&P BSE100
fund
Axis Blue chip fund Direct growth plan NIFITY 50
Aditya Birla Sun life frontline Direct growth plan NIFITY50
equity fund

RISK FREE RATE: (2022&2022)

QUARTER 2022 2022

Q1 7.37450 6.61667

Q2 7.24083 6.15333

Q3 6.68000 5.95000

Q4 6.67667 5.91000

TOTAL 27.97/4 =6.9 - (7%) 24.63/4 = 6.15 -( 6%)

CHAPTER 4: DATA ANALYSIS AND INTERPRETATION
For the basic analysis of scheme regarding their returns& risk , mean return, standard deviation
& beta were calculated for the year 2022 from( 1-1-19 to 31-12-19) assessing their performance
in more reliable manner .

Further, for assessing their performance in more reliable manner Sharpe, Treynor& Jensen Alpha
measures were applied as these techniques are considered and recommended for analyzing.

Table 1 Mean Return, Standard Deviation& Beta of the selected Mutual Fund

Large cap fund Fund house MEAN STANDARD BETA

DEVIATION

SBI Blue chip fund SBI Mutual 0.03% 0.009 0.97

fund
ICICI Prudential blue ICICI 0.02% 0.008 0.93
chip fund (direct Prudential
plan- growth) mutual fund
Axis blue chip Axis Mutual 0.06% 0.008 0.85
fund
Mirae Asset large cap Mirae Asset 0.04% 0.009 0.26
fund mutual fund
Aditya Birla sun life Aditya Birla 0.02% 0.009 0.97
frontline equity fund- sun life mutual
growth- direct plan fund
HDFC top 100 fund HDFC Mutual 0.02% 0.001 1.05
fund
Nippon India large Nippon India 0.02% 0.011 1.15
cap fund mutual fund
UTI master share UTI mutual 0.03% 0.008 0.92
fund
Franklin India blue Franklin 0.01% 0.009 0.99
chip Fund Templeton
mutual fund
Canara Robeco blue Canara 0.05% 0.008 0.92
chip Equity fund Robeco Mutual
fund
In this comparative analysis it is observed that Axis blue chip fund indicates high returns & low
market risk among the selected funds.

Franklin India blue chip fund is providing low return with high risk. In context to the beta it is
observed from the table that Out of the 10 selected schemes, 2 schemes that is HDFC top100
fund, Nippon India large cap fund are having beta more than 1 which means that they are highly
risky Franklin India blue chip fund is having beta close to1.

Figure1: Mean return, standard deviation & beta of selected mutual fund schemes

1.5
1
0.5
0 MEAN
Standard deviation
beta

Figure 1 MeanReturn, Standard deviation& Beta of selected mutual fund schemes

Table 2 PERFORMANCE OF THE FUND BASED ON THE SHARPE RATIO (2022)
Large cap fund Fund house Standard Ri(Mean) Sharpe index
deviation(daily) Average return

SBI Blue chip SBI mutual fund 0.0087 0.032% 0.037

fund

ICICI Prudential ICICI prudential 0.0083 0.024% 0.029

blue-chip fund mutual fund

Axis blue chip Axis mutual fund 0.0079 0.058% 0.073

Mirae asset large Mirae asset 0.0086 0.037% 0.043

cap fund mutual fund

Aditya Birla sun Aditya Birla sun 0.0086 0.017% 0.019

life frontline life mutual fund
equity fund
HDFC Top 100 HDFC mutual 0.0096 0.016% 0.016
fund fund

Nippon India Nippon India 0.0107 0.016% 0.015

large cap fund mutual fund

UTI Master share UTI mutual fund 0.0083 0.028% 0.034

Franklin India Franklin 0.0092 0.011% 0.012

blue chip Templeton mutual
fund
Canara Robeco Canara robeco 0.0083 0.048% 0.058
blue-chip equity mutual fund
fund

 Standard deviation is the variation in the return of the specific funds. Standard deviation helps to
know how risky or volatile your investment is. It indicates stability of a mutual fund. Higher
standard deviation means higher the volatility. Such figure is obtained in course of field work.
 Rate of risk free return is taken (Interest rate offered by RBI on bonds) @7%
Sharpe Index = RP- RF
SD

FIGURE2: SHARPE INDEX

0.08 0.073
0.07 0.058
0.06 0.043
0.037 0.034
0.05 0.029
0.019 0.016 0.015
0.04 0.012
0.03
0.02
0.01
0

Sharpe ratio

Figure 2 Sharpe Ratio

INTERPRETATION:

Sharpe Ratio is important measure that evaluates the return that a fund has generated relative to
its risk taken. This ratio helps an investor to know whether it is safe to invest in this fund by
taking quantum of risk. Fund with higher Sharpe ratio are better because it implies that it has
generated higher returns for every unit of risk taken.

As per Sharpe Ratio, Axis blue chip fund is the best performer and placed in the 1st position
according to the ranking. In simple words for every 0.02% of Total risk axis scheme provide the
returns of 0.073 %( Risk is low and returns are high). Canara Robeco blue-chip equity fund and
Mirae asset large cap fund occupied 2nd and 3rd rank respectively. In the study, the Sharpe ratio is
positive for all schemes which show that fund are providing return greater than risk free rate.
TABLE 3: PERFORMANCE OF THE FUND BASED ON TREYNOR RATIO (2022)
Large cap fund Fund house Beta Ri Treynor index

SBI Blue chip SBI mutual fund 0.97 0.032% 0.00033

fund

ICICI Prudential ICICI prudential 0.93 0.024% 0.00026

blue-chip fund mutual fund

Axis blue chip Axis mutual fund 0.85 0.058% 0.00068

Mirae asset large Mirae asset 0.26 0.037% 0.00145

cap fund mutual fund

Aditya Birla sun Aditya Birla sun 0.97 0.017% 0.00017

life frontline life mutual fund
equity fund
HDFC Top 100 HDFC mutual 1.05 0.016% 0.00015
fund fund

Nippon India Nippon India 1.15 0.016% 0.00014

large cap fund mutual fund

UTI Master share UTI mutual fund 0.92 0.028% 0.00030

Franklin India Franklin 0.99 0.011% 0.00012

blue chip Templeton mutual
fund
Canara robcco Canara robeco 0.92 0.048% 0.00053
blue-chip equity mutual fund
fund
FIGURE3: TREYNOR INDEX

0.00200
0.00145
0.00150
0.00100
0.00068 0.00053
0.00050 0.00033 0.00026
0.00000 0.00017 0.00015 0.00014 0.00030 0.00012

Treynor Ratio

Figure 3 Treynor Ratio

INTERPRETATION:

Treynor ratio, it measures the excess return per unit of risk taken. It use beta (market risk)
instead of total risk. Treynor ratio relates excess return over the risk free rate to the additional
risk taken.

As per the Treynor index method, calculation is based on systematic risk. Mirae asset large cap
fund is the best performer and placed in the 1st position according to the ranking it has beta less
than 1 which is 0.26 means it is less volatile and risky. Axis blue chip fund and Canara robeco
blue-chip fund occupied 2nd and 3rd position respectively. HDFC & Nippon are having beta more
than 1 that means they are more volatile and risky and Franklin has low treynor ratio than other
selected schemes.
Table 4: PERFORMANCE OF THE FUND BASED ON JENSEN ALPHA(2022)

Large cap fund Fund house Rp Rm Beta Rf JENSEN

ALPHA

SBI Blue chip SBI Mutual 0.05 0.02 0.97 0.02% 0.00011
fund fund
ICICI Prudential ICICI 0.04 0.02 0.93 0.02% 0.00001
bluechip fund Prudential
(direct plan- mutual fund
growth)
Axis blue chip Axis Mutual 0.08 0.03 0.85 0.02% 0.00037
fund
Mirae asset large Mirae asset 0.06 0.02 0.26 0.02% 0.00118
cap fund mutual fund
Aditya Birla Aditya Birla 0.04 0.03 0.97 0.02% -0.00013
sun life sun life
frontline equity mutual fund
fund- growth-
direct
plan
HDFC top 100 HDFC 0.03 0.02 1.05 0.02% -0.00010
fund Mutual fund
Nippon India Nippon India 0.04 0.02 1.15 0.02% -0.00008
large cap fund mutual fund
UTI master share UTI mutual 0.05 0.02 0.92 0.02% 0.00008
fund
Franklin India Franklin 0.03 0.03 0.99 0.02% -0.00019
blue chip Templeton
mutual fund
Canara Robeco Canara 0.07 0.02 0.92 0.02% 0.00030
bluechip equity robeco
fund mutual fund

INTERPRETATION:

The Ratio in the compared schemes some are positive and few have negative alpha. Funds
with negative alpha means that Actual return was less than expected Return. Alpha measure
difference between fund return & bench mark return.

A positive alpha means the fund has beaten the benchmarks. A negative alpha shows
underperformance of the fund. Out of 10 mutual schemes 6 mutual funds has showed positive
alpha which indicates superior performance of the scheme and remaining 4 has negative alpha.
Among the entire scheme Axis mutual fund has higher positive alpha that means fund has over
performed the benchmark index by 0.037%.

FIGURE 4. JENSEN ALPHA

0.0014 0.00118
0.0012
0.001
0.0008
0.0006
0.00037 0.00031
0.0004 -0.00013
0.0002 0.00011 0.00008
0.00001
0 -0.0001 -0.00008 -0.00019
-0.0002
-0.0004

Jensen alpha

Figure 4 Jensen Alpha

Ho= Index Return and Fund Return are not significantly related.

To study the relationship between index return and fund’s return, Pearson Correlation is
calculated for the year 2022 between Index Return And individual fund return.

Table 5: Pearson Correlation between Index Return and Fund Return (2022)

S&P BSE100 TRI(Benchmark)

1. SBI Blue chip Pearson Correlation .975**

Sig. (2-tailed) <.001

N 243

2.NIPPON India Large Cap Pearson Correlation .947**

Fund
Sig. (2-tailed) <.001

N 243
3. UTI Master share Pearson Correlation .981**

Sig. (2-tailed) <.001

N 243
4. Canara Robeco Blue-chip Pearson Correlation .974**
fund
Sig. (2-tailed) <.001

N 243
SCHEME NIFITY100 TRI(Benchmark)

1. ICICI Prudential blue-chip Pearson Correlation .974**

fund
Sig. (2-tailed) <.001

N 243

2.Mirae Asset large cap fund Pearson Correlation .258**

Sig. (2-tailed) <.001

N 244
3.HDFC Top 100 fund Pearson Correlation .951**

Sig. (2-tailed) <.001

 N 243

Pearson Correlation .940**

4.FRANKLIN BLUE CHIP
Sig. (2-tailed) <.001

N 243

NIFITY50

1.AXIS BLUE CHIP FUND Pearson Correlation .939**

Sig. (2-tailed) <.001

N 243

2. ADITIYA BIRLA FUND Pearson Correlation .976**

Sig. (2-tailed) <.001

N 243

INTERPRETATION:

Table 5 shows the Pearson correlation coefficient and Sig. (2- tailed) value i.e., p-value between
all fund index(S&P bse100, Nifity100, Nifity50) Return and selected mutual fund return over the
period of 1 year (2022). There is very strong relationship between UTI Master fund and Sensex
return with Pearson correlation 0.981 and p- value obtained is <.001(p<0.005).

In the case of Aditya Birla sun life growth fund and Nifty 50 the relationship is very strong with
correlation of 0.976 and p-value is <0.001(p<0.005)

In case of SBI Blue chip fund the relationship is very strong with correlation of 0.975 and p-
value is<0.001(p<0.005).

All the fund have shown strong relationship with the their benchmark index and the p-value
obtained from all the fund is less than the 0.005, which state that the fund return have significant
relationship with the benchmark index return and hence, the hypothesis i.e. “ Index Return and
fund return are not significantly related’’ is REJECTED.
CALCULATION FOR THE YEAR 2022.
For the basic analysis of scheme regarding their return& risk, mean return, standard deviation &
beta were calculated for the year 2022(1-1-20 to 31-12-20) & used to extract their performance.

Further, for assessing their performance in more reliable manner Sharpe, treynor& Jensen
measure were applied as these techniques are considered and recommended for analyzing.

Table 6: Mean return, Standard deviation& beta of the selected mutual fund (2022)

Large cap fund Fund house Mean Beta Standard deviation

SBI Blue chip fund SBI mutual fund 0.06 0.96 0.019

ICICI Prudential blue ICICI Prudential 0.06 0.96 0.019

chip mutual fund
Axis blue chip Axis mutual fund 0.07 0.79 0.016

Mirae asset large cap Mirae asset mutual 0.06 0.98 0.019
fund fund
Aditya Birla sun life Aditya Birla sun 0.06 0.92 0.018
front line equity fund life mutual fund
HDFC top 100 fund HDFC Mutual fund 0.03 0.98 0.019

Nippon India large cap Nippon India 0.03 0.97 0.019

fund mutual fund
UTI master share UTI mutual fund 0.07 0.92 0.018

Franklin India blue chipFranklin 0.06 0.95 0.019

Templeton mutual
fund
Canara Robeco blue-chip Canara robeco 0.09 0.88 0.017
equity fund mutual fund

INTERPRETATION:

In this analysis it is observed that Canara Robeco blue-chip indicates high return among the
selected mutual funds scheme. HDFC top 100 & Nippon India Large cap fund has low mean
return with high risk. In the context of beta, the entire selected scheme have beta less than 1
which indicates they belong to low risk category. Axis blue chip fund and Canara Robeco blue-
chip fund has low beta but Canara Robeco blue-chip fund yield higher returns than other funds.

Overall Canara Robeco blue-chip fund is best in all the terms.

 Returns
1.2
1
0.8
0.6
0.4 mean
0.2 beta
0 standard deviation

Figure 5 Mean return, Standard deviation& Beta of selected mutual fund schemes (2022)
 Table 7: PERFORMANCE OF THE FUND BASED ON THE SHARPE RATIO (2022)

Large cap fund Fund house Standard Ri (mean) Sharpe index

deviation

SBI Blue chip SBI mutual fund 0.019 0.06% 0.034

fund

ICICI Prudential ICICI prudential 0.019 0.06% 0.029

blue-chip fund mutual fund

Axis blue chip Axis mutual fund 0.016 0.07% 0.046

Mirae asset large Mirae asset 0.019 0.06% 0.030

cap fund mutual fund

Aditya Birla sun Aditya Birla sun 0.018 0.06% 0.031

life frontline life mutual fund
equity fund
HDFC Top 100 HDFC mutual 0.019 0.03% 0.014
fund fund

Nippon India Nippon India 0.019 0.03% 0.013

large cap fund mutual fund

UTI Master share UTI mutual fund 0.018 0.07% 0.040

Franklin India Franklin 0.019 0.06% 0.029

blue chip Templeton mutual
fund
Canara robeco Canara robeco 0.017 0.09% 0.050
blue-chip equity mutual fund
fund

 Rf= Risk free rate of return

 Ri= Rate of return on security
 Standard deviation is the variation in the return of the respective funds such figure is obtained in
the course of field work.
 Sharpe ratio tells us the Correlation between the Risk and Return. It tells us the Return generated
per unit for the risk taken.
 Risk free rate rate is 6%
 SHARPE INDEX= RP-Rf

SD

FIGURE 6 : SHARPE INDEX

Sharpe Ratio
Sharpe index

0.05
0.046
0.04
0.034 0.031
0.029 0.03 0.029
0.014 0.013

SBI ICICI Mirae

Axis Aditya HDFCNipponUTIFranklinCanara
asset birla sunlife frontline equity
bluechip Prudential bluechip top100indiamaster
fund india blue robeco fundlargecapsharechipbluechip
fundbluechip fundlarge cap fund fundequity
fund fund

Figure 6 Sharpe Ratio (2022)

INTERPRETATION:

A High and Positive Sharpe ratio shows a superior risk adjusted performance of the fund while
low and negative Sharpe ratio shows is an indication of unfavourable performance.

As per the Sharpe index method during the outbreak of COVID19 pandemic, Out of the 10
selected funds, the only fund with low Sharpe ratio is Nippon India large cap fund& HDFC
Top100 fund . Canara Robeco blue chip fund has occupied 1st Position and its average return is
0.09% which high among the entire fund. Axis blue chip fund has secured 2nd position and UTI
master share has secured 3rd position respectively.
Table 8 PERFORMANCE OF THE FUND BASED ON TREYNOR RATIO (2022)

Large cap fund Fund house Beta Ri(Excess mean Treynor index
return)(Rp-Rf)

SBI Blue chip SBI mutual fund 0.96 0.06% 0.00067

fund

ICICI Prudential ICICI prudential 0.96 0.06% 0.00056

blue-chip fund mutual fund

Axis blue chip Axis mutual fund 0.79 0.07% 0.00093

Mirae asset large Mirae asset 0.98 0.06% 0.00058

cap fund mutual fund

Aditya Birla sun Aditya Birla sun 0.92 0.06% 0.00061

life frontline life mutual fund
equity fund
HDFC Top 100 HDFC mutual 0.98 0.03% 0.00027
fund fund

Nippon India Nippon India 0.97 0.03% 0.00026

large cap fund mutual fund

UTI Master share UTI mutual fund 0.92 0.07% 0.00079

Franklin India Franklin 0.95 0.06% 0.00059

blue chip Templeton mutual
fund
Canara robeco Canara robeco 0.88 0.09% 0.00098
blue-chip equity mutual fund
fund
FIGURE 7: TREYNOR INDEX

0.0012 0.00098
0.00093
0.001 0.00079
0.0008 0.00067 0.00058 0.00061 0.00059
0.0006 0.00056
0.0004 0.00027 0.00026
0.0002
0

treynor index

Figure 7 Treynor Ratio(2022)

INTERPRETATION:

All the funds are having beta less than one, which shows that they are less risky compared to
their benchmark index during this period.

Canara Robeco fund with high positive Treynor ratio shows that the investment has added value
in relation to its risk. As Treynor ratio is high it reflects that an investor have generated high
returns for market risk he has taken. On the other hand Nippon India Large cap fund, HDFC top
100 funds has low Treynor ratio compare to the all other schemes.
Table 9: PERFORMANCE OF THE FUND BASED ON JENSEN ALPHA
Large cap fund Rp Beta Rf Rm Jensen index

SBI Blue chip fund 0.08% 0.96 0.02% 0.06% 0.000031

ICICI Prudential blue-chip fund 0.07% 0.96 0.02% 0.06% -0.000079

Axis blue chip 0.08% 0.79 0.02% 0.06% 0.000115

Mirae asset large cap fund 0.07% 0.98 0.02% 0.06% -0.000021

Aditya Birla sun life frontline equity 0.07% 0.92 0.02% 0.06% -0.000013
fund

HDFC Top 100 fund 0.04% 0.98 0.02% 0.06% -0.000337

Nippon India large cap fund 0.04% 0.97 0.02% 0.06% -0.000362

UTI Master share 0.09% 0.92 0.02% 0.06% 0.000162

Franklin India blue chip 0.07% 0.95 0.02% 0.06% -0.000020

Canara robcco blue-chip equity fund 0.10% 0.88 0.02% 0.06% 0.000357

INTERPRETATION:

In Jensen measure reveal that out of 10 Selected mutual fund schemes 6 schemes have
underperformed which means that Fund manager fails to deliver higher returns then benchmark.
Positive value indicates superior performance of the scheme and also fund manager better
investment decision. Among all the selected funds highest value of Jensen ratio is found in
Canara Robeco Implies that fund return has over performed the benchmark index by 0.036%.
FIGURE 8: JENSEN ALPHA

0.0004
0.0003
0.0002
0.0001
0
-0.0001
-0.0002 Jensen alpha
-0.0003
-0.0004

Figure 8 Jensen Alpha

Ho= Index Return and Fund Return are not significantly related.

To study the relationship between index return and fund’s Return, Pearson correlation is
calculated between Index return and individual fund’s return for the year 2022.

Table 10 : Pearson Correlation Between index Return and fund return for the year (2022)

S&P BSE100

1. SBI Pearson Correlation .990**

Sig. (2-tailed) <.001

N 249
2. NIPPON Pearson Correlation .971**

Sig. (2-tailed) <.001

N 249

3. UTI Pearson Correlation .992**

Sig. (2-tailed) <.001

N 249
4. CANARA Pearson Correlation .993**

Sig. (2-tailed) <.001

N 249
NIFITY100 TRI

5. ICICI Pearson Correlation .993**

Sig. (2-tailed) <.001

N 249
6.MIRAE LARGECAP Pearson Correlation .993**

Sig. (2-tailed) <.001

N 249
7 HDFC Pearson Correlation .975**

Sig. (2-tailed) <.001

N 249
8. FRANKLIN Pearson Correlation .948**
 Sig. (2-tailed) <.001

N 249
NIFITY50

9 AXIS Pearson Correlation .979**

Sig. (2-tailed) <.001

N 249
10.ADITYA Pearson Correlation .990**

Sig. (2-tailed) <.001

N 249

INTERPRETATION

Table 14 shows the Pearson correlation coefficient and sig.(2tailed) value i.e. p- value between
benchmark index return and selected mutual funds returns over 1 year. There is very strong
relationship between Canara robeco blue chip fund and sensex return with Pearson correlation
0.993 and p –value obtained is<.001(p<0.05), In ICICI and Mirae asset Large cap fund and Nifty
return the relationship strong with the correlation of 0.993 and p-value is<.001(p<0.05), In the
case of UTI master share the relationship is very strong with correlation of 0.992 and p value
is<.001(p<0.05),In the case of SBI blue chip fund& Aditya Birla blue chip fund there is strong
relationship with the correlation of 0.990 and p-value is <.001(P<0.05),Axis blue chip fund also
shows a strong relationship with the correlation of 0.979 and p-value is <.001(P<0.05),Nippon
India large cap fund also have strong correlation of 0.971 and p-value is<.001(p<0.05)

All the funds have shown strong Relationship with benchmark and p-value obtained from all the
funds is then value 0.05 which state that the fund return have significant relationship with the
benchmark index and hence this hypothesis i.e. Index return and fund return are not significantly
related and is ‘REJECTED’.
Table 11: Ranking of the fund based on the performance measure
FUND SHARPE’S SHARPE’S TREYNOR’S TREYNOR’S JENSEN’S JENSEN’S
NAME MEASURE MEASURE MEASURE MEASURE MEASURE MEASURE
2022 2022 2022 2022 2022 2022

1. ICICI 6th 8th 6th 8th 6th 8th

PRUDENTIAL
BLUECHIP
FUND
2. MIRAE 3rd 6th 1st 7th 1st 7th
ASSET
LARGE CAP
FUND
3. HDFC TO 8th 9th 8th 9th 8th 9th
100 FUND

4.FRANKLIN 10th 7th 10th 6th 10th 6th

INDIA
BLUECHIP
FUND
5.AXIS BLUE 1st 2nd 2nd 2nd 2nd 3rd
CHIP FUND

6.ADITYA 7th 5th 7th 5th 9th 5th

BIRLA SUN
LIFE
FRONTLINE
EQUITY
FUND
7. SBI BLUE 4th 4th 4th 4th 4th 4th
CHIP FUND

8. NIPPON 9th 10th 9th 10th 7th 10th

INDIA
LARGE CAP
9.UTI 5th 3rd 5th 3rd 5th 2nd
MASTER
CARD
10. CANARA 2nd 1st 3rd 1st 3rd 1st
ROBECO
BLUECHIP
FUND
INTERPRETATION:

If we are examining a well diversified portfolio, the ranking should be similar in three measures.
In 2022, the funds that are having similar ranking SBI Blue-chip fund, UTI master share, HDFC
top 100 fund, Franklin India blue-chip.

So, if we compare only Sharpe & Treynor measure, Out of 10 funds 7 funds are having similar
ranking. And if we compare Treynor and Jensen measure then out of 10 funds 8 funds are
having similar ranking.

So, In 2022 the funds with similar ranking in all the three measure are Canara robeco blue-chip
fund, SBI Blue-chip fund, Aditya Birla frontline equity fund, ICICI Prudential blue-chip fund,
HDFC Top100 fund, Nippon India Large cap fund.

If we compare only Sharpe & Treynor then out of 10 mutual fund 8 funds are having similar
rankings. And if we compare only Treynor& Jensen Out of 10 mutual fund 8 funds are having
similar rankings.

And the only fund out of 10 fund who has similar ranking in both the period that is pre covid and
post Covid-19 is SBI Blue chip fund. It has secured 4th position in both years.
CHAPTER 5: FINDING & CONCLUSION

FINDINGS:

 SHARPE ANALYSIS: The best performer in 2022 was Axis blue chip fund which was
having higher Sharpe Ratio than all other selected schemes and low standard deviation
among all selected schemes low standard deviation means that returns will be less
volatile. Whereas, Franklin India Large cap fund had a low performance and higher
standard deviation. In the year 2022 Canara Robeco Blue-chip equity fund was the
best performer. Low performance was observed in Nippon India large cap fund.
In 2022&2022 all the Sharpe ratio were positive that means fund were providing returns
greater than risk free rate.

 TREYNOR ANALYSIS: All the fund in 2022 were having beta less than 1 expect 2 funds
that is HDFC Top100 fund, Nippon India large cap fund ,Franklin India blue-chip fund
was having beta close to1. Mirae Asset large cap fund secured 1st position as it was
having low beta and high Treynor ratio. In 2022 again, Canara Robeco blue-chip was the
best performer. Beta in 2022 was less than 1 which means that they are less volatile.

 JENSEN ALPHA ANALYSIS: Positive alpha indicates that Actual Return is higher than
expected return.
In 2022, Out of 10 mutual fund scheme 6 funds had outperformed which means Actual
return was higher than expected returns. 4 mutual fund schemes underperformed the
benchmark. In 2022 Out of 10 mutual fund 6 schemes had underperformed the
benchmark which means Actual returns were lower than expected returns.
CONCLUSION:
Mutual fund is one of the best investment options to the investor to get better returns with a
certain level of risk. This study will help the investor to understand the performance of mutual
fund before and during covid19. Daily closing NAV were used to calculate the returns from the
fund schemes. NIFITY50, NIFITY100 TRI, S&P BSE100 have been used for market portfolio.
The historical performance of the selected schemes was evaluated on the basis of Sharpe,
treynor, Jensen measure.

In 2022 Franklin India didn’t performed well. And in 2022 Nippon India blue chip fund didn’t
performed well The reason might be unfavourable market or Wrong combination of stock
picking of fund manager. Canara Robeco blue-chip large cap fund has been in 1st position in all
the three measures in 2022. This scheme was the best performing large cap fund over the
selected fund. After the Nifty and Sensex Fall in March no one expected bull in the market.
Definitely there would be some strategies of fund manager that they perform fared. Schemes
that have performed better, their fund managers might have revisited the portfolio to analyse the
company that may not survive in 2022. Out of 10 mutual funds scheme 4 schemes over
performed their benchmark gave better returns to the investors even in high volatile market
Expect 6 mutual fund scheme. Therefore, it is fundamental for the Investor to consider various
parameters like Sharpe ratio, standard deviation, beta, Treynor ratio, etc
REFERENCE
⚫ Geeta Rani, Dr. Vijay Singh Hooda, Performance Evaluation of Mutual Fund Schemes: A Study
of Selected Topper Schemes.

⚫ Dr.S.M.ALAGAPPAN, “PERFORMANCE EVALUATION OF MUTUAL FUNDS IN INDIA”,

Journal of Emerging Technologies and Innovative Research (JETIR), Volume 6, Issue 6, June
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⚫ Mamta & Satish Chandra Ojha, “Performance Evaluation of Mutual Funds: A Study Of Selected
Equity Diversified Mutual Funds In India”, ISSN (P): 2347-4572; ISSN (E): 2321- 886X, Vol 5,
Issue 11, 85-92. Nov 2017

⚫ Noel Daliwala, A STUDY ON RISK-ADJUSTED PERFORMANCE OF SELECTED OPEN-

ENDED EQUITY LARGE-CAP MUTUAL FUND SCHEMES IN INDIA BY SHARPE RATIO.

⚫ Performance Evaluation of Indian Equity Mutual Fund Schemes, 1Ms. SARANYA K, 2Mr.
PARTHIBAN THANGAVEL

⚫ Aashka Thakkar,”A Study of Performance Evaluation of Selected Equity Mutual Funds in India”,
Indian journal of applied research, ISSN – 2249-555X, Vol. 7, Issue 1, January 2017.

⚫ Suchita Shukla, “A COMPARATIVE PERFORMANCE EVALUTION OF SELECTED

MUTUAL FUNDS” ISSN (Print) 2394-1529, (Online) 2394-1537, International Journal of
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