Executive Summary

The research topic I selected is Performance Evaluation of Selected Equity Mutual

Fund Schemes in India. The project is divided into 5 chapters, which cover the profiles
of 5 mutual fund companies, mutual fund profile, study design, analysis and
interpretation of selected schemes data, findings, recommendations, and conclusions on
the chosen issue.

Mutual funds are exposed to market risk since they have a direct link to the capital
market. However, investing in Mutual funds are one option available in the financial
market. Mutual funds are systems that allow investors to invest a little sum of money
on a consistent basis.

The majority of the study's data is acquired from secondary sources, and the project is
completed using a descriptive research approach. The study's primary goal is to assess
the effectiveness of equity mutual fund plans provided by various companies. The
computation uses performance indices like Sharpe's ratio, Treynor's ratio, and Jensen's
ratio to assess how well the selected schemes have performed in comparison to market
benchmarks. It is based on the Net Asset Value of the relevant schemes.

Aditya Birla Sun Life Focused Equities Fund offers the highest returns when compared
to other equity investment schemes, according to the performance of the chosen equity
mutual fund schemes, SBI Magnum Medium Duration Fund has superior performance
based on Treynor's index, and ICICI Prudential Balanced Advantage Fund has superior
performance based on Sharpe's index. As measured by the Jensen performance index,
Monthly IDCW has outperformed other selected equity mutual fund schemes.

1
 Chapter: 1
Mutual Fund Industry and Sample Mutual Funds Profile

1.1 Introduction to the Topic

Equity Mutual Funds invests primarily in stocks of various firms in order to make a
profit. Investments in equity funds are riskier than those in other several mutual fund
types. Equity funds place their assets in the equities of various firms in accordance with
the mutual fund scheme's stated investment objectives. Since Equity schemes have the
ability to generate wealth over the long term, equity funds make attractive investment
choices for capital growth. Equity mutual funds come in a variety of forms depending
on factors like investing goals, investment tactics, asset allocation, etc. In this situation,
it is crucial to examine and choose the best investment option for investors by looking
at the performance of Mutual Funds.
Equity mutual fund schemes were further classified into different sorts based on the
company. According to market capitalization, the following are a few different kinds
of equity mutual fund schemes.
Small-cap, mid-cap, and multi-cap funds are all available.

1.2 Mutual Fund Industry Profile:

The first mutual fund company in India, UTI, was founded in 1963 at the government
and Reserve Bank of India's suggestion.
A mutual fund is a type of financial institution that serves as a platform for depositing
investors assets and then utilizes those deposits to make group investments in a wide
range of securities. Among all of the financial products on the market, mutual funds
are one of the most alluring products and are essential to the nation's development.
Mutual Fund programmers provide clients with fresh opportunities and a platform for
investing.

2
Mutual Fund Schemes are classified into the following categories:

1. Open-Ended Scheme:
A fund or plan that is constantly available for subscription and repurchase is said to be
open-ended. There is no predetermined maturity period for these systems. At the daily
stated Net Asset Value linked prices, investors may buy and sell units with ease. An
essential component of open-end systems is liquidity.

2. Close-Ended Fund:
An established maturity time, such as 5-7 years, defines a closed-ended system. The
fund is only temporarily open for subscription at the time the plan is introduced. During
the initial public offering, investors can invest in the plan. Following that, on the stock
exchanges where the plan's units are listed, they can buy or sell them. These mutual
fund schemes typically release their NAV on a weekly basis.

3. Equity Oriented Fund:

Growth funds are created with the intention of providing capital growth in the long run.
The majority of the money used to finance these programmes is usually invested in
stocks. These investments come with correspondingly high risks. These programmers
provide investors a range of alternatives, including capital appreciation and dividend
options, and the investors can choose a course of action based on their preferences. The
funders can later modify their selections thanks to mutual funds. Growth plans are
beneficial for investors looking for appreciation over the long term.

4. Income / Debt Oriented Scheme

Investors' regular and steady income is the goal of income funds. For these sorts of
investments, fixed income securities are widely employed. Examples include bonds,
corporate convertible notes, government securities, and money market instruments.
These funds carry less risk than stock plans do. The changes in the equity markets have
no impact on these funds. The nation's changing interest rates have an impact on the
NAVs of these products. Such funds' NAVs are expected to rise in the short term if
interest rates as well as vice versa.

3
 5. Balanced Fund
Because these plans invest in fixed income instruments as well as stocks in the
quantities specified in their offer agreements, balanced funds are intended to produce
both growth and reliable income. These are appropriate for those looking for modest
gains. Between 40 and 60 percent of their investments are generally made in debt and
equity instruments. The stock market's varying share values have an impact on these
funds as well. In contrast to pure equities funds, the NAVs of these funds are probably
less erratic.

6. Liquid Fund:
These funds, which are income funds as well, seek to provide straightforward liquidity
while still protecting capital and producing a reasonable return. Using these strategies,
investors are restricted to investing in safer short-term securities like Treasury Bills,
CDs, corporate bonds, interbank call money, government securities, etc. Compared to
other funds, these plans' returns vary far less. For short-term parking of extra capital,
these products are suited for both individual and business investors.

7. Gilt Fund:
These funds only make investments in governmental securities. No default risk exists
for government securities. These schemes' NAVs fluctuate in a similar way to debt-
oriented schemes due to changes in interest rates and other economic factors.

8. Indicator Funds:
Index funds such as the NSE 50 or the BSE Sensitive index, replicate the index's
holdings. These investment strategies buy shares with the same weight as an index. As
a result of numerous variables together referred to as "tracking error" in technical
parlance, the NAVs of such schemes would grow or decrease in lockstep with the index,
but not precisely by the same proportion. In the offer document for the mutual fund
plan, the essential disclosures are presented.

4
Sample of Mutual Funds Profiles:

SBI Mutual Fund

The SBI Mutual Fund is a payment system which was established in 1987 and has its
corporate headquarters in Mumbai, India. SBIFMPL is a partnership between the
European asset management firm Amundi and the Indian public sector bank State Bank
of India.

ICICI Prudential Mutual Fund:

The AMC is a collaboration between Prudential Plc and ICICI Bank. The AMC is in
charge of a significant amount of the mutual fund industry's AUM. Along with
international advisory mandates for asset classes like as debt, stock, and real estate to
customers in foreign markets, the AMC also provides portfolio management services
to investors across the country.

HDFC Mutual Fund:

The biggest equity mutual fund currently available in India is HDFC Mutual Fund. It
ranks among the most prosperous asset management companies (AMCs) in the nation.
On June 30, 2000, SEBI granted HDFC Asset Management Company Ltd. permission
to function as an AMC.

Aditya Birla Mutual Fund:

The business is known as Aditya Birla Sun Life AMC Limited and was jointly founded
in 1994 by Aditya Birla Capital Limited and Sun Life AMC Investments Inc.
ABSLAMC's primary responsibility is to Aditya Birla Sun Life Mutual Fund, a trust
that has been authorised under the Indian Trusts Act of 1882.

Nippon India Mutual Fund:

Nippon Life India Asset Management Ltd. is in charge of managing the assets for the
Nippon India Mutual Fund. On January 13, 2020, the Registrar of Companies in
Mumbai issued a new certificate of incorporation, rebranding the business as "Nippon
Life India Asset Management Ltd" from "Reliance Nippon Life Asset Management
Ltd."

5
 Chapter: 2
Conceptual Background and Literature Review of Equity Mutual
Funds

2.1 Theoretical Background:

The Indian capital market offers investors a variety of investment possibilities to let
them establish positions across several businesses and guarantee a profit. Among the
many financial instruments, open-end funds provide investors with the least amount of
risk and the greatest amount of return. The expansion and development of diverse
mutual fund products has shown to be one of the most important catalytic processes for
producing considerable investment growth in the capital market. Close monitoring and
evaluation of mutual funds became crucial in this circumstance. Choosing lucrative
mutual funds to invest in may thus be essential.
The major focus of this study is on how the chosen equity schemes performed in terms
of a risk-return relationship. This study's main objective is to use statistical metrics like
Sharpe ratio, Jenson's alpha, beta, standard deviation, and standard error to assess the
operating results of several open-end fund schemes.
Equity mutual fund schemes are among the greatest investing solutions for people with
long-term goals. Because the market is volatile, fluctuations can only be avoided by
sustaining long-term investments.

2.2 Literature Reviews:

Treynor (1965) employed a "characteristics line" to compare a fund's anticipated return

of a relevant market standard. He created a performance metric for funds that accounts
for investment risk. Additionally, to correlate expected return with the portfolio owner's
appetite for risk, a "portfolio-possibility line" was used.
Sharpe and William (1966) constructed a combined risk return metric in his most well-
known research. Each scheme's reward to variability ratio, which varied from 0.43 to
0.78, was much lower than DJIA. Low expense ratios, not size, were linked with better
fund performance in an inverse relationship with expense ratio. Consistency in risk
measurement was evident in sample approaches.

6
Shashikant and Uma (1993) analyzed the justification for and Mutual fund operations'
application to the Indian money markets. Researchers noted that low-risk, low-return
money market mutual funds provided conventional investors with a dependable short-
term investment option.
Shome (1994) examined the mutual fund sector's performance between April 1993 and
March 1994, 10 schemes had average mutual fund returns that were only slightly behind
the market return while having bigger standard deviations than the market. A fund's
success was not strongly correlated with its size.
Jayadev (1996) analyzed the growth-oriented performance of two mutual funds using
monthly returns. Jensen, Sharpe, and Treynor measurements were used in the study,
and it was noted that Magnum did poorly on all three measures Jensen and Treynor
measurements showed that Master Gain functioned better.
Tripathy, Nalini (1996) revealed that economic reforms, globalization, and
privatization all had a profoundly favorable effect on the expansion of the Indian stock
market, the study recommended that mutual funds increase investor confidence by
developing plans that cater to a variety of investor needs, quickly disseminate
information, improve operational transparency.
Gupta (2001) assessed the effectiveness of the 73 selected schemes from the public
and private sectors, with various investment goals, using Market Index and Fund
Index. The sample schemes lacked enough diversification, the Goals of the
programmers were not met by their risk and return.
Narasimhan (2001) analyzed 76 mutual fund plans with the highest rankings between
January 1998 and March 1999. That research determined only 26 of the 62 stocks held
in the portfolios of various schemes produced profitable gains.
Bansal (2003) showed a decline in the percentage of investors who solely hold UTI
schemes. Due to investors' desire for performance, the loyalty of the unit holders
appeared to have vanished into myth. In order to diversify their holdings in the
increasingly competitive mutual fund market.
Venkateshwaralu (2004) examined investors from the twin cities of Secunderabad and
Hyderabad. Open-ended investment vehicles with growth ambitions were more popular
with investors. The selection of a programme was based on its long-term approach and
reasonable returns. Investors believed that excessive limitations were to blame for the
Indian mutual fund industry's mediocre performance.

7
Saha (2003) determined that Pioneer ITI Treasury plan was the best debt scheme, while
the top equity funds were Zurich (I) equity fund and Prudential ICICI balanced fund.
He came to the conclusion that since the the fund managers' accomplishments directly
impacted the mutual funds’ performance. The AMCs needed to take a more qualified
stand in order to achieve better results.
Satish (2004) study shows that investors in seven major Indian cities preferred mutual
funds over financial and insurance services. Investors had modest expectations for
returns and were prepared to take modest risks. 60 percent of investors preferred growth
plans. Mutual funds and stocks both enjoyed high investor confidence.
Jain and Sondhi (2005) investigated at seventeen public and nineteen private equity
mutual fund programmes. The great majority of the sample schemes, according to their
theory, produced returns that were higher than those of the market. Private equity
schemes beat other investing methods because of its availability, fund management
techniques, careful stock selection, and timing abilities. Despite increased investor
confidence brought on by high levels of safety, more than 75 percent of public sector
initiatives failed to deliver better results.
Muthappan and Damodharan (2006) studied Between April 1995 and March 2000
shows that the bulk of the schemes produced returns, per the research, that were greater
than the market average but lower than the average for 91-day Treasury notes. The
schemes' risk and return weren't always consistent with their declared investing goals.
According to their investigation, the Indian mutual funds lacked sufficient diversity.
Gupta and Agarwal (2007) observed that research on mutual funds was limited to a
small number of industrialised nations, with the USA often receiving special focus, and
that the worldwide mutual fund business continued to grow at an explosive rate despite
this.
Deb (2008) Examined Using quadratic optimization of a William Sharpe-provided
asset class factor model, the contribution's main emphasis is on return-based style
analysis of Indian equity mutual funds. The results of this investigation also showed
that the funds, on average, failed to surpass their style requirements.
Agarwal (2011) researched the also learned how rapidly India's mutual fund sector had
expanded. More investors are flocking to mutual fund investments as a consequence of
AMCs are becoming more prevalent, giving investors enough chance for safety,
hedging, arbitrage, and reduced risk with higher returns than other long-term
investments.

8
Nimalathasan et al. (2012) analyzed financial performance, in comparison analysis of
equities diversified plans and equity mid-cap plans, Canara Robeco Equity Diversified
Fund came out on top among open ended tax-saving plans, while HDFC Capital Builder
Scheme was chosen among open ended mid-cap plans.
Ravi and Suresh (2012) stated that extremely Volatile investments are risky, and the
fund management should research all relevant facts before making an investment and
urged that investors instil the habit of saving frequently so that small savings can
snowball into large profits.
Yadav and Yadav (2012) found that though FIIs are interested in investing in India,
mutual fund investments were higher than FII investments. During the recession, the
MF industry significantly boosted the economy while FIIs reduced their investment,
demonstrating the significance of MFs to the Indian economy.
Tej and Priyanka (2014) claimed that there is substantial evidence of a relationship
between the gap movement pattern between the mobilization of money and the
redemption and repurchase of public and private sector mutual funds.
Hari et al. (2014) discovered that the investor takes into account the return factor, the
investment decision element, and the analysis and reference component.
Sahri et al. (2015) discovered that it is important to include risk variables when
calculating the performance of mutual funds rather than only basing the calculation on
the total return.
Laxmi and Balaji (2018) examined the mutual fund's plan closely. According to the
study's findings, certain strategies may have better returns than others and vice versa.
Regardless of the composition, investors are constantly looking for the mix of
spectacular returns and moderate risk.
Shruthi, Manjunatha (2019) found that the performance of the schemes is thirteen
percent positive and eighty seven percent is negative in Sharpe and Treynor measure
and hundred percent positive in Jensen measure and they concluded that schemes
performs better than their benchmark.

9
2.3 Research gap:
There have been investigations on the mutual funds’ performance both domestically
and internationally. Various researchers in India have undertaken studies on mutual
funds that take into account various plans.
The review of the above literatures on the subject led to the conclusion that there is a
research gap since less work has been done by researchers on the equity plans of the
most recent top Mutual Funds in India. To narrow this gap, this study analyses mutual
funds using the most recent information available.

10
 Chapter 3:
Research Design

3.1 Statement of the problem:

Performance Analysis of Selected Indian Equity Mutual Fund Schemes to educate
investors on the different positive and negative variables related with mutual funds.

3.2 Need for the Study:

 This study's objective is to assess the effectiveness of several Indian equity mutual
fund programmes.
 This study aids the investor in making investment decisions by identifying the best
equity mutual fund for their investment.

3.3 Objectives of the Study:

 To analyse the performance of chosen equity mutual funds.

3.4 Scope of the study:

Based on current data gathered from websites, this study was carried out. The goal of
the study is to assess and comprehend the performance of a few Indian equities mutual
fund schemes, assisting investors in choosing the most profitable ones for their
investments.

3.5 Research Methodology:

Design
The study is mostly done using secondary data, so descriptive research methodology is
used.

Sample:
The five asset management firms that were chosen at random for this study were
covered. Four equity plans from each AMC, for a total of 20 schemes are chosen for
the research in order to assess performance. Each mutual fund scheme's five-year NAV
is gathered for the study.

11
Data Sources:
The current study is founded on secondary data. The monthly NAV of the selected
schemes was obtained from the AMFI website. The yield to maturity on 91-day
Treasury Bills is the risk-free rate of return, which can be seen on the RBI website. The
NSE website was used to obtain data, and the NSE Nifty 50 was chosen as the market
portfolio.

Statistical tools used for the study:

1. Stock return and Market return:
Return = P1 – P0 / P0 * 100
P1 = Present month’s value
P0 = Previous month’s value

2. Average return:
R1 = ∑R/N
Where,
R1 = Average return
N = Number of Months

3. Standard Deviation:
S D = √∑(R-R1)2/N

4. Beta:
Β = {∑(R-R1) (R m-Rm1)/N}/𝜎m2
Where,
𝜎m2 = Variance of market return

5. Alpha:
α = R - Rf - β (R m - Rf)
Where,
R = Return of respective scheme
Rf = Risk free rate of return
β = Beta

12
 Rm = Market return

6. Performance Indexes:

a. Sharpe’s Performance Index:

Si = Ri - Rf /𝜎i
Where,
Si = Sharpe measure
Ri = Respective scheme’s return
Rf = Risk free rate of return
𝜎i = SD of respective scheme

b. Treynor’s Performance Index:

Ti = Ri - Rf /β
Where,
Ti = Treynor’s Measure
β = Beta of the respective scheme

c. Jensen’s Performance Index:

Ji = Ri-Rf – β (R m-R f)

3.6 Hypothesis:
H0: Equity mutual fund schemes have not demonstrated any noteworthy performance.
H1: Equity mutual fund schemes have had a substantial performance.

3.7 Limitations:
Since the study is confined to net asset value of 20 equity mutual fund schemes of 5
different companies collected from the AMFI and Five years, from April 1, 2017, to
March 31, 2022, are chosen as the study's time frame. In this study few statistical tools
are used but there is chance to use more statistical tools.

13
 Chapter 4
Analysis of Performance Evaluation of Selected Mutual Fund
Schemes

I have done Performance Evaluation of Selected Equity Schemes of Mutual Funds by

using Return, Risk, Variance, Sharpe, Treynor and Jensen’s performance indexes. I
have taken Nifty50 as Benchmark Index for the calculation.

Calculation of return, SD and Variance for benchmark Index:

Nifty 50:
Return = 73.6157%
Rm = 73.6157/60 = 1.2269%
S D = √1789.9993/60 = 0.7051%
Variance (𝜎m2) = (0.7051)2 = 0.4971%

Calculation of return, risk, Variance, Sharpe, Treynor and Jensen’s performance

Indexes of selected equity mutual fund schemes:

1. SBI Mutual Fund:

a. SBI Magnum COMMA fund – Direct Plan – Growth Plan:
Calculation of return and risk:
Return = 89.3888%
R1 = 1.4898%
S D = 0.7881
Variance (𝜎m2) = 0.6211
Calculation of Beta: β = 0.9685657
Calculation of Alpha: α = 0.14585289
Calculation of Sharpe Performance Index: Si = -4.7911
Treynor Performance Index: Ti = -4.7911
Jensen’s Performance Index: Ji = 16.4885627

14
 b. Growth-Oriented Regular Plan of SBI Magnum Constant Maturity Fund:
Return = 38.1227%
R1 = 0.6354%
S D = 0.1270%
Variance (𝜎m2) = 0.0161
Calculation of Beta: β = -0.0210
Calculation of Alpha: α = -4.3927
Calculation of Sharpe Performance Index: Si = -38.3410
Treynor Performance Index: Ti = 236.6568
Jensen’s Performance Index: Ji = 15.9856

c. SBI Banking and Financial Services Fund – Regular Plan – Growth:

Return = 80.0622
R1 = 1.3344
S D = 0.9426
Variance (𝜎m2) = 0.8885
Calculation of Beta: β = 1.2268
Calculation of Alpha: α = 0.9517
Calculation of Sharpe Performance Index: Si = -3.9171
Treynor Performance Index: Ti = -2.7006
Jensen’s Performance Index: Ji = 18.0286

d. Growth-oriented Direct Plan SBI Magnum Medium Duration Fund:

Return = 40.8985%
R1 = 0.6816
S D = 0.0760
Variance (𝝈m2) = 0.0058
Calculation of Beta: β = -0.0044
Calculation of Alpha: α = -4.2847
Calculation of Sharpe Performance Index: Si = -64.4499
Treynor Performance Index: Ti = 1130.9361
Jensen’s Performance Index: Ji = 15.8751

15
 2. ICICI Prudential Mutual Fund:
a. ICICI Prudential All Seasons Bond Fund – Direct Plan – Growth:
Return = 39.6757%
R1 = 0.6613%
S D = 0.0909
Variance (𝝈m2) = 0.0083
Calculation of Beta: β = -0.0065
Calculation of Alpha: α = -4.3131
Calculation of Sharpe Performance Index: Si = -53.7942
Treynor Performance Index: Ti = 757.1595
Jensen’s Performance Index: Ji = 15.9429

b. ICICI Prudential Balanced Advantage Fund – Monthly IDCW:

Return = 1.2674%
R1 = 0.0211%
S D = 0.2801
Variance (𝜎m2) = 0.0784
Calculation of Beta: β = -0.0151
Calculation of Alpha: α = -4.9850
Calculation of Sharpe Performance Index: Si = -17.6511
Treynor Performance Index: Ti = 328.0845
Jensen’s Performance Index: Ji = 18.2944

c. ICICI Prudential Balanced Advantage Fund – Growth:

Return = 52.8131%
R1 = 0.8802
S D = 0.4125
Variance (𝜎m2) = 0.1701
Calculation of Beta: β = 0.5609
Calculation of Alpha: α = -1.9812
Calculation of Sharpe Performance Index: Si = -11.1198
Treynor Performance Index: Ti = -7.9436
Jensen’s Performance Index: Ji = 17.2407

16
 d. ICICI Prudential Equity Arbitrage Fund – Growth:
Return = 24.7185%
R1 = 0.4120%
S D = 0.266
Variance (𝝈m2) = 0.0707
Calculation of Beta: β = -0.0133
Calculation of Alpha: α = -4.5875
Calculation of Sharpe Performance Index: Si = -18.1970
Treynor Performance Index: Ti = 373.0796
Jensen’s Performance Index: Ji = 16.8459

3. HDFC Mutual Fund:

a. HDFC Capital Builder Value Fund – Growth Plan:
Return = 65.9207%
R1 = 1.0987%
S D = 0.7349
Variance (𝝈m2) = 0.5400
Calculation of Beta: β = 1.0228
Calculation of Alpha: α = -0.0434
Calculation of Sharpe Performance Index: Si = -5.6369
Treynor Performance Index: Ti = -3.7411
Jensen’s Performance Index: Ji = 18.1466

b. HDFC Balanced Advantage Fund – Growth Plan:

Return = 66.2680%
R1 = 1.1045%
S D = 0.6464
Variance (𝜎m2) = 0.4178
Calculation of Beta: β = 0.8446
Calculation of Alpha: α = -0.7009
Calculation of Sharpe Performance Index: Si = -6.5533
Treynor Performance Index: Ti = -4.7560
Jensen’s Performance Index: Ji = 17.461

17
 c. Growing Plan for HDFC Index Fund Nifty 50:
Return = 77.9957%
R1 = 1.2299%
S D = 0.7102
Variance (𝝈m2) = 0.5044
Calculation of Beta: β = 1.0250
Calculation of Alpha: α = 0.1662
Calculation of Sharpe Performance Index: Si = -5.6699
Treynor Performance Index: Ti = -3.5291
Jensen’s Performance Index: Ji = 17.4058

d. HDFC Hybrid Equity Fund – Growth Plan:

Return = 54.9297%
R1 = 0.9155%
S D = 0.5988
Variance (𝝈m2) = 0.3586
Calculation of Beta: β = 0.8134
Calculation of Alpha: α = -1.0059
Calculation of Sharpe Performance Index: Si = -7.3510
Treynor Performance Index: Ti = -5.1696
Jensen’s Performance Index: Ji = 18.0494

4. Aditya Birla Sun Life Mutual Fund:

a. Aditya Birla Sun Life Arbitrage Fund – Regular Plan – Growth:
Return = 24.686%
R1 = 0.4114
S D = 0.0227
Variance (𝝈m2) = 0.0005
Calculation of Beta: β = -0.0078
Calculation of Alpha: α = -4.5677
Calculation of Sharpe Performance Index: Si = -217.6502
Treynor Performance Index: Ti = 632.5353
Jensen’s Performance Index: Ji = 16.8683

18
 b. Aditya Birla Sun Life Tax Relief ’96:
Return = 51.9267%
R1 = 0.8654%
S D = 0.6300
Variance (𝝈m2) = 0.3969
Calculation of Beta: β = 0.8407
Calculation of Alpha: α = -0.9545
Calculation of Sharpe Performance Index: Si = -6.9917
Treynor Performance Index: Ti = -5.0224
Jensen’s Performance Index: Ji = -1.7806

c. ABSL Focused Equity Fund - Growth - Direct Plan:

Return = 953.9791%
R1 = 15.8977%
S D = 16.3211
Variance (𝝈m2) = 266.3783
Calculation of Beta: β = 3.0673
Calculation of Alpha: α = 22.3693
Calculation of Sharpe’s Performance Index: Si = 15.5964
Treynor Performance Index: T i = 14.2858
Jensen’s Performance Index: Ji = -29.3467

d. Aditya Birla Sun Life Mid Cap Fund – Growth – Direct Plan:
Return = 68.7696%
R1 = 1.1462%
S D = 0.8182
Variance (𝝈m2) = 0.6694
Calculation of Beta: β = 1.0154
Calculation of Alpha: α = -0.0233
Calculation of Sharpe’s Index: Si = -4.9037
Treynor’s Index: Ti = -3.7285
Jensen’s Performance Index: Ji = 14.1620

19
5. Nippon India Mutual Fund:
a. Nippon India Vision Fund – Direct Plan Growth Plan – Growth Option:
Return = 64.9826%
R1 = 1.083
S D = 0.7576
Variance (𝝈m2) = 0.5740
Calculation of Beta: β = 1.0287
Calculation of Alpha: α = -0.0367
Calculation of Sharpe’s Index: Si = -5.4507
Treynor’s Index: Ti = -3.7284
Jensen’s Performance Index: Ji = 14.3970

b. Growth Plan - Growth Option for the Nippon India Growth Fund:
Return = 89.6356%
R1 = 1.4939%
S D = 0.7908
Variance (𝝈m2) = 0.6253
Calculation of Beta: β = 1.0118
Calculation of Alpha: α = 0.3111
Calculation of Sharpe’s Index: Si = -4.7656
Treynor’s Performance Index: Ti = -3.3981
Jensen’s Performance Index: Ji = 16.6344

c. Nippon India Quant Fund – Direct Plan - Growth Plan:

Return = 70.6941%
R1 = 1.1782%
S D = 0.5906
Variance (𝝈m2) = 0.3488
Calculation of Beta: β = 0.8133
Calculation of Alpha: α = -0.7438
Calculation of Sharpe’s Index: Si = -7.2024
Treynor’s Index: Ti = -4.9081
Jensen’s Performance Index: Ji = 17.0705

20
 d. Nippon India Growth Fund – Direct Plan - Growth Plan:
Return = 72.1349%
R1 = 1.2022%
S D = 0.8019
Variance (𝝈m2) = 0.6430
Calculation of Beta: β = 1.0645
Calculation of Alpha: α = 0.2156
Calculation of Sharpe’s Index: Si = -4.9706
Treynor’s Performance Index: Ti = -3.4476
Jensen’s Performance Index: Ji = 17.9165

Table 4.1 Showing Return, SD, Alpha and Beta of Selected Equity Schemes:
Name of the Schemes Return SD Alpha Beta Variance
SBI Magnum COMMA Fund 1.4898 0.7881 0.1459 0.9686 0.6211
SBI Magnum Constant Maturity 0.6354 0.1270 -4.3927 -0.0210 0.0161
Fund
SBI Banking and Financial Services 1.3344 0.9426 0.9517 1.2268 0.8885
Fund
SBI Magnum Medium Duration 0.6816 0.0760 -4.2847 -0.0044 0.0058
Fund
ICICI Prudential All Seasons Bond 0.6613 0.0909 -4.3131 -0.0065 0.0083
Fund
ICICI Prudential Balanced 0.0211 0.2801 -4.9850 -0.0151 0.0784
Advantage Fund Monthly IDCW
ICICI Prudential balanced advantage 0.8802 0.4125 -1.9812 0.5609 0.1701
fund
ICICI Prudential Equity Arbitrage 0.4120 0.2660 -4.5875 -0.0133 0.0707
Fund
HDFC Capital Builder Value Fund 1.0987 0.7349 -0.0434 1.0228 0.5400
HDFC Balanced Advantage Fund 1.1045 0.6464 -0.7009 0.8446 0.4178
HDFC Index fund Nifty 50 Plan 1.2999 0.7102 0.1662 1.0250 0.5044
HDFC Hybrid Equity fund 0.9155 0.5988 -1.0059 0.8134 0.3586
Aditya Birla Sun Life Arbitrage Fund 0.4144 0.0227 -4.5677 -0.0078 0.0005
ABSL Tax Relief ’96 Fund 0.8654 0.6300 -0.9545 0.8407 0.3969
Aditya Birla Sun Life Focused Equity 15.899 16.321 22.369 3.0673 266.37
fund 7 1 3
Aditya Birla Sun Life Mid Cap Fund 1.1462 0.8182 -0.0233 1.0154 0.6694
Nippon India Vision Fund 1.083 0.7576 -0.0367 1.0287 0.5740
Nippon India Growth Fund 1.4939 0.7908 0.3111 1.0118 0.6253
Nippon India Quant Fund 1.1782 0.5906 -0.7438 0.8133 0.3488
Nippon India Large Cap Fund 1.2022 0.8019 0.2156 1.0645 0.6430

21
Note: I calculated the return, risk, beta, and alpha for chosen equities mutual fund
schemes using the equations presented in Chapter 3's Research Design.

Table 4.1 shows that the ICICI Prudential Balanced Advantage Fund Compared to other
schemes, Monthly IDCW has a lower rate of return, whereas Aditya Birla Sun Life
Focused Equity Fund has a higher return rate of 15.89 percent. Aditya Birla Sun Life
Focused Equity Fund has a greater risk profile compared to other funds, whereas SBI
Magnum Medium Duration Fund has the lowest risk profile.

Because of its lower beta value of -0.0210, SBI Magnum Constant Maturity Fund
exhibits less market volatility than Aditya Birla Sun Life Focused Equity Fund, which
exhibits greater market volatility due to its higher beta value of 3.0673. The greatest
alpha value among the plans was achieved by the Aditya Birla Sun Life Focused Equity
Fund, which beat its benchmark. Balanced Advantage Fund by ICICI Prudential The
least successful monthly IDCW has a negative alpha value.
The Aditya Birla Sun Life Focused Equity Fund has the most variance of 266.3783
among the schemes, while the Aditya Birla Sun Life Arbitrage Fund exhibits the
smallest variance of 0.0005.
Hence it is clearly understandable that some schemes are showing negative returns, risk
factor also varies from scheme to scheme. It shows that some schemes are not efficient
Schemes as those schemes risk factor is more than their returns.

22
Table 4.2 Showing Sharpe, Treynor and Jensen’s Performance Measures of
Selected Equity Schemes:

Name of the Schemes Sharpe’s Rank Treynor’s Rank Jensen’s Rank

measure measure measure
SBI Magnum COMMA Fund 1.3954 2 -3.6208 11 16.4996 12
SBI Magnum Constant -38.3410 236.6568 6 15.9855 14
18
Maturity Fund
SBI Banking and Financial -3.9171 -2.7006 8 18.0286 2
3
Services Fund
SBI Magnum Medium -64.4499 1130.9361 1 15.8751 15
19
Duration Fund
ICICI Prudential All Seasons -53.7942 757.1595 2 15.9429 16
18
Bond Fund
ICICI Prudential Balanced -17.6511 328.0845 5 18.2944 1
Advantage Fund Monthly 15
IDCW
ICICI Prudential Balanced -11.1198 -7.9436 20 17.2407 9
14
Advantage Fund
ICICI Prudential Equity -18.1970 373.0796 4 16.8459 11
16
Arbitrage Fund
HDFC Capital Builder Value -5.6369 -3.7411 14 18.1466 3
8
Fund
HDFC Balanced Advantage -6.5533 -4.7560 16 17.4618 6
10
Fund
HDFC Index Fund Nifty 50 -5.6699 -3.5291 10 17.4058 7
9
Plan
HDFC Hybrid Equity Fund -7.3510 13 -5.1696 19 18.0494 4
Aditya Birla Sun Life -217.650 632.5353 3 16.8683 10
20
Arbitrage Fund
ABSL Tax Relief ’96 Fund -6.9917 11 -5.0224 18 -1.7806 19
ABSL Focused Equity Fund 15.5964 1 14.2858 7 -29.346 20
Aditya Birla Sun Life Mid -4.9037 -3.7285 13 14.1620 18
5
Cap Fund
Nippon India Vision Fund -5.4507 7 -3.7284 12 14.3970 17
Nippon India Growth Fund -4.7656 4 -3.3981 15 16.6344 13
Nippon India Quant Fund -7.2024 12 -4.9081 17 17.0705 8
Nippon India Large Cap -4.9706 -3.4476 9 17.9165 5
6
Fund

Note: I computed Sharpe's, Treynor's, and Jensen's performance indices for chosen
equity mutual fund schemes using the methods presented in Chapter 3's Research
Design.

23
Table 4.2 shows calculations and their rankings of selected equity schemes of mutual
funds based on Sharpe, Treynor and Jensen’s performance index that Aditya Birla Sun
Life Focused Equity Fund performs better 15.59 in Sharpe’s index, SBI Magnum
Medium Duration Fund performs better 1130.93 in Treynor’s index and ICICI
Prudential Balanced Advantage Fund Monthly IDCW performs better 18.29 in the
Jensen’s performance index.

Since certain schemes do better than others according to Sharpe, Treynor, and Jensen's
performance indexes based on their ranking in the performance indexes, this is very
acceptable. Aditya Birla Sun Life Focused Equity Fund, ICICI Prudential Balanced
Advantage Fund, Aditya Birla Sun Life Arbitrage Fund, and a few more schemes had
underwhelming returns.

24
 Chapter 5
Findings and Suggestions

Findings:
To evaluate the performance of the funds, we have examined the sampling Indian equity
mutual fund schemes that were chosen for analysis from 1 April 2017 to 31 March
2022. All those analyzed based on statistical and performance index tools which were
mentioned in the methodology. Based on the analysis we have the following findings
on which we made some suggestions for the reader as well as investors.
1. Based on returns, Aditya Birla Sun Life Focused Equity Fund has the best
returns, while ICICI Prudential Balanced Advantage Fund Monthly IDCW has
the lowest when compared to other plans.
2. Based on Standard Deviation, Aditya Birla Sun Life Focused equity fund is
having greater risk as compared to other remaining schemes. Here we found
that this scheme has greater risk factor. SBI Magnum Medium Duration fund is
having lowest risk factor.
3. Among 10 schemes taken for evaluation SBI Magnum Constant Maturity Fund
is less volatile in the market, because it have lesser beta value. But Aditya Birla
Sun Life Focused Equity fund is more volatile in the market as its beta value is
high.
4. Aditya Birla Sun Life Focused Equity Fund surpassed its benchmark with the
greatest alpha value among the schemes. ICICI Prudential Balanced Advantage
Fund Monthly IDCW is the worst performance, having a negative alpha value.
5. Investment in mutual fund gives a diversified portfolio to investors.
6. Aditya Birla Sun Life Focused Equity Fund is ranked top for the past five years
while taking into account the Sharpe ratio of the chosen schemes.
7. Considering Treynor’s ratio of selected schemes SBI Magnum Medium
Duration Fund is ranked first for the period of 5years.
8. Considering Jensen’s ratio of selected schemes ICICI Prudential Balanced
Advantage Fund Monthly IDCW is ranked first for the period of 5years.

25
Suggestions:

1. ICICI Prudential Balanced Advantage Fund Monthly IDCW have least returns
compared to other selected schemes. So it has to increase its returns potential to attract
more investors.
2. Aditya Birla Sun Life Focused Equity Fund must lower its risk factor since
performance is based on analyzing the fund's risk-return connection.
3. Aditya Birla Sun Life Focused Equity Fund, SBI Magnum Medium Duration Fund,
and ICICI Prudential Balanced Advantage Fund Monthly IDCW are ranked first in all
performance measures. As a result, these strategies may be preferred by investors.
4. Most of the investors are not aware about the various schemes in mutual fund, so
company and respective authorities has to take steps to educate the investors.

Conclusion:
This study reveals that investing in mutual funds over the long period of time may not
get negative returns. Equity based mutual funds have potential to generate high returns
for long term has been observed in the study.
This study will also provide knowledge to investors about the calculation of various
aspects involved in mutual fund schemes that are risk, return, beta, alpha and
performance ratios and it also helps the investors in taking right decision on selecting
the right scheme to invest.

26
Bibliography:
References:
1. Shashikant, Uma (1993), “Accounting Policy and Practices of Mutual Funds:
The Need for Standardization”, Prajyan, Vol. 24 (2), 91-102.
2. Shome (1994), “A Study of Performance of Indian Mutual Funds”, unpublished
thesis, Jhansi University.
3. Jayadev, M (1996). Mutual Fund Performance: An Analysis of Monthly
Returns. Finance India, 10 (1), 73-84.
4. Tripathy, Nalini, (1996) “Mutual Fund in India: A financial service in capital
market”, Finance India, Vol. X (1), 85-91.
5. Gupta Amitabh, (2001) “Mutual Funds in India: A Study of Investment
Management”, Finance India, Vol. XV (2), 631-637.
6. Narasimhan and Vijayalakshmi (2001) “Performance Analysis of Mutual Funds
in India”, Finance India, Vol. XV (1), 155-174
7. Bansal, Manish (2003) “Mutual Funds: Eight Steps to nirvana”, Chartered
Financial Analyst, Vol. 9 (12), 34-40.
8. Venkateshwarlu M (2004), “Investors’ Perceptions of Mutual Funds”, Southern
Economist, 14-16.
9. Saha, Tapas Rajan”(2003) Indian Mutual Fund Management”, Management
Accountant, Vol. 38 (10), 765-771
10. Satish D, (2004) “Investors’ Perceptions: A Survey by MARCH Marketing
Consultancy & Research”, Chartered Financial Analyst, Vol. 10(7), 35-36.
11. Sondhi H J and Jain P.K, (2005)‘ Financial Management of private public equity
mutual funds in India : An Analysis of profitability’, The ICFAI Journal of
Applied Finance , 2005, 14-27
12. Muthappan P K & Damodharan E. (2006) “Risk – Adjusted Performance
Evaluation of Indian Mutual funds schemes” Finance India, vol. xx (3), 965-
983.
13. Soumya Guha Deb, Ashok Banerjee and Chakrabarti (2007), Performance of
Indian Equity Mutual Funds. Their Style Benchmarks: An Empherical
Exploration.
14. Agrawal D., (2011) “Measuring Performance of Indian Mutual Funds” Finance
India, Available at SSRN:http://ssrn.com/abstract=1311761.

27
 15. Nimalathasan, D. R. B., & Gandhi, M. R. K. (2012). Mutual fund financial
performance analysis-A comparative study on Equity diversified schemes and
schemes. International Journal of equity mid-cap Multidisciplinary
Management Studies, 2(3), 91-106.
16. Ravi vyas and suresh Chandra moonat (2012), “Perception and behavior of
Mutual Funds Investors in Madhya Pradesh” Indian Journal of Finance, Vol. 6
No. 8.
17. J.S. Yadav and O.S. Yadav (2012). “The Indian Stock Market A Comparative
Study of Mutual Funds and Foreign Institutional Investors” Indian Journal of
Finance. Vol. 6 No. 9.
18. Hari (2014) Choice and Satisfaction: Mutual Fund Investment, SCMS Journal
of Indian Management; Kochi Vol. 11, Iss. 4, (Oct-Dec 2014): 18-28.

19. Tej Singh, Priyanka (2014), Performance Evolution of Unit Trust of India
Mutual Funds, Vol. 6, No 5.
20. Shruthi, Manjunatha (2019) Performance Evaluation of Indian Equity Mutual
Fund Schemes In India International Journal of Management and Social
Sciences (IJMSS) Vol 8, No 2.5 (2019)

Websites:
https://www.amfindia.com/net-asset-value/nav-history, accessed on 06 April 2022.
https://www.sebi.org.in, accessed on 06 April 2022.
https://www1.nseindia.com/products/content/equities/indices/historical_index_data.ht
m, accessed on 06 April 2022.

28