5.a. theoretical frame work - information and library...

155

CHAPTER -5PERFORMANCE EVALUATION OF MUTUAL FUNDS

5.0. Introduction 1565.A. Theoretical Frame Work 157

5.A.1.Ratios Used to Measure Performance 1575.A.1.1. Sharpe Ratio 1575.A.1.2. Treynor Ratio 1595.A.1.3. Jensen Ratio 1605.A.1.4. Beta 1615.A.1.5. R Square 1615.A.1. 6. Standard deviation 1615.A.1.7.Compound Annual Growth Rate – CAGR 162

5.B. PERFORMANCE APPRAISAL OF MUTUAL FUNDS IN INDIA 1655.B.1.Risk and Return Analysis 1665.B.2. Particulars of Selected Sample Schemes 166

* Analysis of peer group 166*. Analysis of performance 1681. Sharpe Analysis 1682. Treynor Analysis 1703. Jensen Analysis 1724. CAGR 1745. Correlation 1766. Standard Deviation 1787. Beta Analysis 180

5.B.3. Balanced Fund Schemes 1825.B.4. Equity Schemes 1855.B.5. Floating Rate Income Schemes 1885..B.6.Gilt Long-Term Schemes 1915..B.7. Gilt Short-Term Schemes 1945.B.8. Income Fund Schemes 1965.B.9. Liquid Funds Schemes 1995.B.10. Monthly Income Plan(MIP) Schemes 2025.B.11. Sector Funds –FMCG Schemes 2055.B.12.Sector Funds-PHARMA Schemes 2075.B.13. Sector Funds- Infotech Schemes 2095.B.14. Short-Term Income Schemes 2115.B.15. Tax Schemes 214

5.C. Findings and Conclusion 217

156

CHAPTER -5

PERFORMANCE EVALUATION OF MUTUAL FUNDS

5.0. Introduction

We have examined the trends in resource mobilization and factors influencing it

(chapter -3) and investment pattern vis-à-vis investor’s composition(chapter-4). Now it is

necessary to examine the performance of various schemes offered by the mutual fund

organizations. Because, scheme performance is the main criteria for investors interest for

investing in mutual funds. Ultimately these resources will be invested in different

financial instruments for better returns to the investors as well as asset management

companies. Under-performing schemes are just like warning signals to the mutual fund

organizations, which result to loss of hard earned money of investors.

This Chapter is divided into two sections. In Section-A, the central focus is on

theoretical framework on performance evaluation measures. There are several studies,

which are evidenced the relation between various variables and return of mutual fund.

The business of mutual fund is to reinvest in any scrip in the market and prove their

performance through returns to the investors. Any meaningful evaluation of performance

will necessarily have to measure the total return per unit of risk or the ability to earn

superior return for a given risk-class.

Section-B focuses is intended to make an overview and examine performance of all-

India mutual fund schemes which are categorized into three groups i.e. i) private sector,

ii) Public sector (Other than UTI) and iii) Unit Trust of India.

157

5.A. Theoretical Frame Work

The measure of performance of mutual funds basically dependent three

important models derived independently by Sharpe, Jensen and Treynor. All these three

ratios are based on the assumption that (1) all investors are averse to risk, and are single

period expected utility of terminal wealth maximizers, (2) all investors have identical

decision horizons and homogeneous expectations regarding investment opportunities, (3)

all investors are able to choose among portfolios solely on the basis of expected returns

and variance of returns, (4) all trans-actions costs and taxes are zero, and (5) all assets are

infinitely divisible.

5.A.1.Ratios Used to Measure Performance:

5.A.1.1. Sharpe Ratio:

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 of the portfolio returns. The

Sharpe ratio tells us whether the returns of a portfolio are due to smart investment

decisions or a result of excess risk. This measurement is very useful because although

one portfolio or fund can reap higher returns than its peers, it is only a good investment if

those higher returns do not come with too much additional risk. The greater a portfolio's

Sharpe ratio, the better its risk-adjusted performance has been. One approach is to

calculate portfolio’s return in excess of the risk free return and divide the excess return by

the portfolio’s standard deviation. This risk adjusted return is called ‘Sharpe Ratio’. This

ratio measures reward to variability. A fund with higher Sharpe ratio in relation to

158

another is preferable as it indicates that the fund has higher risk premium for every unit of

standard deviation risk. Because Sharpe ratio adjusts return to the total portfolio risk, the

implicit assumption of the Sharpe measure is that the portfolio will not be combined with

any other risky portfolios.

rp-rf

Sharpe ratio (SR) =

σp

Here, rp is the rate of return of a mutual fund, rf is the risk-free rate, rm is the market

return, sp is the standard deviation of a mutual fund, bp is the beta, which indicates the

market risk, of a mutual fund. The Sharpe ratio is used to characterize how well the return

of an asset compensates the investor for the risk taken. When comparing two assets each

with the expected return E[R] against the same benchmark with return Rf, the asset with

the higher Sharpe ratio gives more return for the same risk. Investors are often advised to

pick investments with high Sharpe ratios. However like any mathematical model it relies

on the data being correct. Pyramid schemes with a long duration of operation would

typically provide a high Sharpe ratio when derived from reported returns but the inputs

are false. When examining the investment performance of assets with smoothing of

returns (such as With profits funds) the Sharpe ratio should be derived from the

performance of the underlying assets rather than the fund returns.

159

The Sharpe ratio has as its principal advantage that it is directly computable from any

observed series of returns without need for additional information surrounding the source

of profitability. Unfortunately, some authors are carelessly drawn to refer to the ratio as

giving the level of 'risk adjusted returns' when the ratio gives only the volatility of

adjusted returns when interpreted properly. Other ratios such as the Bias ratio (finance)

have recently been introduced into the literature to handle cases where the observed

volatility may be an especially poor proxy for the risk inherent in a time-series of

observed returns.

5.A.1.2. Treynor Ratio:

A ratio developed by Jack Treynor that measures returns earned in excess of that

which could have been earned on a riskless investment per each unit of market risk. The

Treynor ratio is a measurement of the returns earned in excess of that which could have

been earned on a riskless investment (i.e. Treasury Bill) (per each unit of market risk

assumed). The Treynor ratio (sometimes called reward-to-volatility ratio) relates excess

return over the risk-free rate to the additional risk taken; however systematic risk instead

of total risk is used. The higher the Treynor ratio, the better the performance.

The Treynor measure adjusts excess return for systematic risk. It is computed by

dividing a portfolio’s excess return by its beta as shown in equation. This ratio indicates

return per unit of systematic risk, it is a valid performance criterion when one wishes to

160

evaluation a portfolio in combination with the benchmark portfolio and other actively

managed portfolios.

rp-rf

Treynor Ratio (TR) =

βp

Treynor ratio (T) does not quantify the value added, if any, of active portfolio

management. It is a ranking criterion only. A ranking of portfolios based on the Treynor

Ratio is only useful if the portfolios under consideration are sub-portfolios of a broader,

fully diversified portfolio. If this is not the case, portfolios with identical systematic risk,

but different total risk, will be rated the same. But the portfolio with a higher total risk is

less diversified and therefore has a higher unsystematic risk which is not priced in the

market.

5.A.1.3. Jensen Ratio: The Jensen measure is also suitable for evaluating a portfolio’s

performance in combination with other portfolios because it is based on systematic risk

rather than total risk. The Jensen measure or alpha is usually very close to zero. A

positive alpha means that return tends to be higher than expected given the beta statistic.

Conversely, a negative alpha indicates that the fund is an under performer. Alpha

measures the value-added of the portfolio given its level of systematic risk.

α

Jensen Ratio (JR) =

Β

161

5.A.1.4. Beta: It measures the volatility of a fund's return, relative to a given index, such

as the S&P 500. The market index is assigned a beta of 1.0. Therefore, a stock fund with

a beta of 1.5 has moved up and down one and one-half times more than the market as a

whole. Beta does not tell investors the risk of loss, only the degree of an investment's

short-term movements. And beta is a relative measure. Accordingly, a beta below 1.0

means that a fund was less volatile than the market as a whole, but the market itself may

have been considerably volatile during a specific time period.

N (∑XY)-(∑x) (∑y)

β =

N (∑X2)-(∑X) 2

5.A.1.5. R Squarred: This is a measure of correlation of a fund’s movement to that of

an index. This value ranges between o to one. High value indicates more association

between the fund’s volatility and market risk.

5.A.1. 6. Standard deviation: This is a measure of volatility that indicates the range of

a fund's performance, relative to its average return, over the time period studied.

Investors should add and subtract the standard deviation from the fund's average

performance to get an idea of how much the fund's performance has varied. For example,

a fund with a three-year average annual return of 10 percent and a standard deviation of

12 means that two-thirds of the time during the three-year period, its return was between -

2 percent (10 -12) and 22 percent (10 + 12). A fund with a low standard deviation and a

high return generally is attractive.

162

Standard Deviation:

=√ Sum of squares of deviations from mean

No. of deviations

5..A.1.7.Compound Annual Growth Rate – CAGR

The compound annual growth rate is calculated by taking the nth root of the total

percentage growth rate, where n is the number of years in the period being considered.

This can be written as follows: CAGR isn't the actual return. It's a number that describes

the rate at which an investment would have grown if it grew at a steady rate. CAGR is a

way to evaluate smoothed theoretical returns. Suppose you invested Rs. 10,000 in a

portfolio on Jan 1, 2005. Let's say by Jan 1, 2006, your portfolio had grown to Rs.

13,000, then Rs. 14,000 by 2007, and finally ended up at Rs. 19,500 by 2008.

Your CAGR would be the ratio of your ending value to beginning value (Rs.19,500 / Rs.

10,000 = 1.95) raised to the power of 1/3 (since 1/# of years = 1/3), then subtracting 1

from the resulting number: 1.95 raised to 1/3 power = 1.2493. (This could be written as

1.95^0.3333). 1.2493 - 1 = 0.2493 = 24.93%.

Thus, your CAGR for your three-year investment is equal to 24.93%, representing the

smoothed annualized gain you earned over your investment time horizon.

163

Table 5.1: Overview of Different Measures:

MEASURES DESCRIPTION INTEPRETATION

Sharpe Ratio Sharpe Ratio= Fund return in excess

of risk free return/ Standard deviation

of Fund. Sharpe ratios are ideal for

comparing funds that have a mixed

asset classes.

The higher the Sharpe ratio, the

better a funds returns relative to

the amount of risk taken.

Treynor Ratio Treynor ratio= Fund return in excess

of risk free return/ Beta of Fund.

Treynor ratio indicates relative

measure of market risk.

The higher the Treynor ratio

shows higher returns and lesser

market risk of the fund

Jensen Measure This shows relative ratio between

alpha and beta

Jensen measure is based on

systematic risk. It is also suitable

for evaluating a portfolio’s

performance in combination with

other portfolios.

164

R-Square R- square measures the correlation of

a fund’s movement to that of an index.

R-squared describes the level of

association between the fund's

volatility and market risk.

R-squared values range between 0

and 1, where 0 represents no

correlation and 1 represents full

correlation.

Standard Deviation Standard Deviation allows us to

evaluate the volatility of the fund. The

standard deviation of a fund measures

this risk by measuring the degree to

which the fund fluctuates in relation to

its mean return.

Should be near to its mean return.

Beta Beta is a fairly commonly used

measure of risk. It basically indicates

the level of volatility associated with

the fund as compared to the

benchmark.

Beta > 1 = high risky

Beta = 1 = Avg

Beta <1 = Low Risky

165

5.B. PERFORMANCE APPRAISAL OF MUTUAL FUNDS IN INDIA

This section is intended to examine three important measures of evaluating

selected mutual fund schemes; 1) Sharpe Ratio 2) Treynor and 3) Jensen Ratio.

5.B.1.RISK AND RETURN ANALSYIS:

This information is categorized as a) fund size, b) Compounded Annual Growth

Rate (CAGR) for 1 year, 2 year and 3 years c) Standard deviation, d) R- Square e) Beta

f) Sharpe g) Treynor and h) Jensen. The results are classified on the basis of nature of

schemes like i) balanced fund, ii) Equity, iii) Floating Rate Income Schemes, iv) Gilt

Long-term, v) Gilt Short-term, vi) Income Fund, vii) Liquid Fund, viii)MIP, ix) Sector

Fund-FMCG, x) Sector Fund- Pharma, xi) Sector Fund- Infotech xii) Short-term Income

scheme and xiii) Tax Schemes.

5.B.2: SAMPLE SIZE: Various mutual funds have been offering 1871 schemes

( including open ended, close-ended, dividend option, growth option etc) up to the

beginning of 2009. Out of these schemes 182 schemes were lauched during the last two

years period. Hence, such schemes are excluded from the study. The remaining 1689

schemes were the total population of the study. Out of which nearly 20 per cent sample

(i.e. 311 schemes) is taken for the purpose of collection of necessary data. Table 5.2

represents the particulars of sample size.

166

Table 5.2: PARTICULARS OF SELECTED SAMPLE SCHEMES:

S.NO. ORGANIZATION NO. OF

SCHEMES

OFFERED

Schemes

excluded

Schemes

Eligible to

Study

SAMPLE

SIZE

1 Private Sector 1592 77 1515 260

2 Public sector

(other than UTI)

198 99 99 35

3 UTI 81 6 75 16

TOTAL 1871 182 1689 311

Analysis of Peer Group Consolidated Results:

The following table 5.3. shows the values of peer group averages for above

classified groups. The test of hypothesis proved for 6 groups viz; Equity Schemes, Gilt

Long-term, Gilt Short Term, Liquid Funds, Short term Income Schemes and tax

Schemes.The test of hypothesis reveals that the results of 7 groups are disproved viz;

Balanced fund, Floating Rate scheme, Income Fund, Monthly Income Plan, Sector

Funds- FMCG, Pharma, Infotech Groups.

167

Table 5.3 PERFORMANCE EVALUATION OF ALL INDIA MUTUAL FUND

SCHEMES BY DEC, 2008

(Peer Group Averages)

Natur

e of

Fund

No. of

scheme

Hypothesi

s

Test

%Returns (CAGR) Standard

Deviation

R-

Squar

ed

Beta Sharpe Treynor Jenson

lYear 2 year 3

Years

1. Balanced fund 21 Disproved 2.36 -11.90 0.50 4.00 0.83 0.96 -0.25 -1.05 -0.16

2. Equity Schemes 35 Proved -55.17 -20.57 -3.73 5.39 0.87 0.85 -0.25 -1.65 -0.21

3. Floating Rate

Schemes

35 Disproved 8.76 8.21 7.56 0.02 0.17 0.15 3.55 3.52 0.05

4. Gilt Long-Term 35 Proved 13.71 8.85 7.64 0.77 0.43 0.64 0.10 -0.87 0.05

5. Gilt Short-term 17 Proved 7.48 6.66 6.21 0.19 0.22 0.12 0.04 -0.09 0.00

6. Income fund 35 Disproved 7.74 7.08 6.34 0.38 0.32 0.76 0.06 0.50 0.05

7. Liquid Fund 38 Proved 8.21 7.78 7.15 0.05 0.10 0.00 2.88 0.44 0.05

8. Monthly Income Plan 36 Disproved -5.59 2.58 5.07 0.90 0.72 0.83 -0.22 -0.42 -0.01

9. Sector Fund –FMCG 3 Disproved -37.54 -14.92 -1.90 4.33 0.78 0.84 -0.19 -0.97 -0.68

10. Sector Fund-

Pharma

5 Disproved -29.23 -15.96 -6.08 4.42 0.84 0.92 -0.13 -0.62 -0.09

11. Secto Fund- Infotech 6 Disproved -51.52 -28.67 -9.78 4.89 0.66 0.71 -0.26 -1.85 -0.53

12. Short-term Income 25 Proved 7.96 7.86 7.26 0.13 0.35 0.58 0.33 0.18 0.02

13. Tax Schemes 24 Proved -55.03 -19.81 -4.85 5.58 0.86 0.87 -0.26 -1.67 -0.28

Total 338 Proved-6, Disproved-7

168

ANALYSIS OF PERFORMANCE:

The following tables represents data relating to seven risk measures of 311 schemes

relating to private as well as public sector mutual funds. The important measures considered

for the study are Sharpe, Treynor, Jensen, R Square, Beta, Standard deviation and CAGR.

They are further classified into three categories i) low performing, ii) medium performing and

iii) better performing. This analysis is useful to all the stake holders of mutual funds for their

decision making in investing in mutual funds.

1. Sharpe Analysis: Out of 260 schemes which have been considered for the study, 114

schemes are low performing in private sector. In case of public sector 17 schemes and

in case of Unit Trust of India, 10 schemes were shown poor performance, because

their Sharpe measure is less than zero.

It is interesting to note that, Liquid Fund and Floating Rate Income Schemes

in all the three sectors have shown better performance than other type of funds.

Low performance have been observed in case of Equity Schemes and

Monthly Income schemes offered by all the three sectors.

Thus, higher value of Sharpe measure indicates better performance and vice-

versa ( Table 5.4).

169

Table 5.4: SHARPE ANALYSIS

TYPE OFFUND

Private sector Public sector (otherthan UTI)

UTI

Samplesize

S<0

S=0to1

S>1

Samplesize

S<0

S=0to1

S>1

Samplesize

S<0

S=0to1

S>1

1. BalancedFund

16 16 - - 4 4 - - 1 1 - -

2. Equity Fund 29 28 1 - - - - - 6 6 - -3. FloatingRate Incomescheme

29 - 3 26 6 1 1 4 - - - -

4. Gilt-LongTerm

26 1 25 - 5 - 5 - 4 - 4 -

5. Gilt ShortTerm

15 6 9 - 1 - 1 - 1 - 1 -

6. IncomeFund

32 5 27 - 3 1 2 - - - - -

7. Liquid Fund 32 - 1 31 3 - - 3 - - - -8. MIP 29 27 2 - 5 5 - - 1 1 - -9. Sector –a) FMCG

3 3 - - - - - - - - - -

b) Pharma 3 3 - - 1 1 - - 1 1 - -c) Infotech 6 6 - - - - - - - - - -10. Short termIncomescheme

21 - 19 2 3 1 2 - 1 - 1 -

11. TaxSchemes

19 19 - - 4 4 - - 1 1 - -

- -Total 260 114 87 59 35 17 11 7 16 10 6 -Remarks onPerformance

L M B L M B L M -

Note: S – indicates Sharpe measureL : Low performanceM: Medium performanceB: Better Performance

Source: Compiled from the data tables.

170

2. Treynor Analysis:

Table 5.5 represents analysis of Treynor measure. Out of 260 schemes which

have been considered for the study, 111 schemes are low performing in private sector.

In case of public sector 14 schemes and in case of Unit Trust of India, 10 schemes

were shown poor performance, because their Treynor measure is less than zero.

It is interesting to note that, Floating Rate Income Schemes, Gilt- Long term,

and Short Term, in all the three sectors have shown better performance than other

type of funds.

Low performance have been observed in case of Balanced Schemes and

Equity schemes offered by all the three sectors.

Thus, Treynor results are quite contrast to the value of Shapre measure.

Because better performing schemes are very few in all the three sectors of the study.

171

Table 5.5 : TREYNOR ANALYSIS

TYPE OFFUND


UTI

Samplesize

T<0

T =0 to1

T>1

Samplesize

T<0

T=0to1

T>1

Samplesize

T<0

T=0to1

T>1

1. BalancedFund

16 16 - - 4 4 - - 1 1 - -

2. EquityFund

29 29 - - - - - - 6 6 - -

3. FloatingRate Incomescheme

29 - 29 - 6 2 4 - - - - -

4. Gilt-LongTerm

26 1 26 - 5 - 5 - 4 - 4 -

5. Gilt ShortTerm

15 7 8 - 1 - 1 - 1 - 1 -

6. IncomeFund

32 6 24 2 3 - 3 - - - - -

7. LiquidFund

32 2 30 - 3 - 3 - - - - -

8. MIP 29 18 11 - 5 3 2 - 1 1 - -9. Sector –a) FMCG

3 3 - - - - - - - - - -

b) Pharma 3 3 - - 1 1 - - 1 1 - -c) Infotech 6 6 - - - - - - - - -10. Shortterm Incomescheme

21 1 20 - 3 - 2 1 1 - 1 -

11. TaxSchemes

19 19 - - 4 4 - - 1 1 - -

260 111 149 2 35 14 20 1 16 10 6Remarks onPerformance

L M B L M B L M

Note: T – indicates Treynor measure

L : Low performanceM: Medium performanceB: Better PerformanceSource: Compiled from the data tables.

172

3. Jensen Analysis:

Table 5.6 indicates data relating to Jensen Analysis. Out of 260 schemes which

have been considered for the study, 110 schemes are low performing in private sector.

In case of public sector 20 schemes and in case of Unit Trust of India, 7 schemes were

shown better performance, because their Treynor measure is less than zero.

It is interesting to note that, Income Fund and Liquid Fund schemes relating

to all the three sectors have shown medium performance than other type of funds.

Better performance has been observed in case of Floating Rate Income

schemes and Equity schemes offered by all the three sectors.

Thus, according to Jensen measure, there were no poor performing

funds, because all the schemes are shown Jensen Value less than 1.

173

Table 5.6: JENSEN ANALYSIS

TYPE OFFUND


UTI

Samplesize

J<0

J =0 to1

J>1

Samplesize

J<0

J=0to1

J>1

Samplesize

J<0

J=0to1

J>1

1. BalancedFund

16 13 3 - 4 3 1 - 1 1 -

2. EquityFund

29 10 19 - - 1 - - 6 4 2 -


29 29 - - 6 6 - - - - - -

4. Gilt-LongTerm

26 1 25 - 5 2 3 - 4 - 4 -

5. Gilt ShortTerm

15 8 7 - 1 - 1 - 1 - 1 -

6. IncomeFund

32 - 32 - 3 1 2 - - - - -

7. LiquidFund

32 - 32 - 3 - 3 - - - - -

8. MIP 29 18 11 - 5 3 2 - 1 1 -9. Sector –a) FMCG

3 3 - - - - - - - - -

b) Pharma 3 3 - - 1 1 - - 1 - 1 -c) Infotech 6 6 - - - - - - - - - -10. Shortterm Incomescheme

21 4 17 - 3 1 2 - 1 - 1 -

11. TaxSchemes

19 15 4 - 4 3 1 - 1 1 - -

-260 110 150 - 35 20 15 - 16 7 9 -

Remarks onPerformance

B M L B M L B M L

Note: J – indicates Jensen measure

L : Low performanceM: Medium performanceB: Better Performance

Source: Compiled from the data tables

174

4. CAGR Analysis:

Table 5.7 represents data relating to CAGR analysis. Out of 260 schemes which

have been considered for the study, 52 schemes are having negative CAGR in private

sector. In case of public sector 6 schemes and in case of Unit Trust of India, 7

schemes were shown negative CAGR for 3 year period.

It is observed that the various schemes of ‘Floating Rate Income schemes’

‘Gilt Short-term’, ‘Gilt Long term’ and “ Liquid Funds’ have shown constant returns

in all the three sectors.

A positive CAGR for 3 year period is observed Better performance has been

observed in case of Floating Rate Income schemes and Equity schemes offered by all

the three sectors.

Thus, a negative CAGR indicates poor performance of the scheme and

a positive CAGR indicates improvement in the scheme’s performance. Constant

Returns leads to consistent performance of the scheme. Thus investors, like

continuous returns form the investment. The results reveal that ‘private sector

schemes have been shown consistent in performance when compared to public sector

mutual funds (including UTI).

175

Table 5.7: CAGR - ANALYSIS

TYPE OFFUND


UTI

Sample size

PR

NR

CR Sample size

PR

NR

CR

Sample size

PR

NR

CR

1. BalancedFund

16 9 7 - 4 3 1 - 1 - 1 -

2. EquityFund

29 13 16 - - - - - 6 2 4 -

3. FloatingRateIncomescheme

29 9 - 20 6 1 - 5 - - - -

4. Gilt-LongTerm

26 17 - 9 5 - - 5 4 4 - -

5. Gilt ShortTerm

15 - - 15 1 - - 1 1 - - -

6. IncomeFund

32 11 - 21 3 1 - 2 - - - -

7. LiquidFund

32 - - 32 3 - - 3 - - - -

8. MIP 29 27 - 2 5 5 - - 1 1 - 19. Sector –a) FMCG

3 1 2 - - - - - - - - -

b) Pharma 3 1 2 - 1 - 1 - 1 - 1 -c) Infotech 6 - 6 - - - - - - - - -10. ShorttermIncomescheme

21 - - 21 3 3 - - 1 - - -

11. TaxSchemes

19 - 19 - 4 - 4 - 1 - 1 1

260 88 52 120

35 13 6 16 16 7 7 2

Remarks onPerformance

M L B M L B M L B

PR: Positive Returns based on 3 year CAGRNR: Negative Return based on 3 year CAGRCR: Constant Return – Marginal difference based on 3 year CAGRL : Low performanceM: Medium performanceB: Better PerformanceSource: Compiled from the data tables.

176

5. COREELATION OF A FUND MOVEMENT (R2):

Table 5.8 indicates data relating to Correlation of a fund movement. Out of 260

schemes which have been considered for the study, 110 schemes are have shown a

higher value of R2 (> 0.61) in private sector. In case of public sector 12 schemes and

in case of Unit Trust of India, 10 schemes were shown a high risk measure.

Medium risk was observed for 55 schemes in private sector, 4 schemes in public

sector(other than UTI) and 4 schemes of UTI.

It is observed that the various schemes of ‘ Equity Schemes’, “Balanced

Schemes” and “Month Income Plan’ in the private sector have shown higher rate of

risk.

A less rate of risk is observed in case of 19 schemes out of 35 schemes

observed in the public sector(other than UTI).

A higher value of R2 indicates higher risk of the scheme and vice-versa.

177

Table 5.8: CORRELATION OF FUND MOVEMENT (R2 Value) ANALYSIS

TYPE OFFUND


UTI

Sample size

R2

= 0

to

0.30

R2

=

0.31

to

0.60

R2

=

0.61

to 1

Sample size

R2

= 0

to

0.30

R2

=

0.31

to

0.60

R2

=

0.61

to 1

Sample size

R2

= 0

to

0.30

R2

=

0.31

to

0.60

R2

=

0.61

to 1

1. BalancedFund

16 - 2 14 4 - - 4 1 - - 1

2. EquityFund

29 1 1 27 - - - - 6 - - 6

3. FloatingRateIncomescheme

29 25 4 - 6 6 - - - - - -

4. Gilt-Long Term

26 7 13 6 5 2 3 - 4 - 4 -

5. GiltShort Term

15 12 3 - 1 1 - - 1 1 - -

6. IncomeFund

32 11 13 8 3 3 - - - - - --

7. LiquidFund

32 32 - - 3 3 - - - - - -

8. MIP 29 1 2 26 5 1 1 3 1 - - 19. Sector –a) FMCG

3 - - 3 - - - - - - - -

b) Pharma 3 - - 3 1 - - 1 1 - - 1c) Infotech 6 - 3 3 - - - - - - - -10. ShorttermIncomescheme

21 6 14 1 3 3 - - 1 1 - -

11. TaxSchemes

19 - - 19 4 - - 4 1 - - 1

260 95 55 110

35 19 4 12 16 2 4 10

RemarksonPerformance

LC

MC

HC

LC

MC

HC

LC

MC

HC

LC: Low CorrelationMC: Medium CorrelationHC: High Correlation


178

6. STANDARD DEVIATION-ANALYSIS:

Table 5.9 represents data relating to standard deviation analysis. Out of 260

schemes which have been considered for the study, 117 schemes are have shown a

lower value of ‘ sd’ (< 0.50) in private sector. In case of public sector 16 schemes

and in case of Unit Trust of India, one scheme is having lowest rate of standard

deviation.


sector(other than UTI) and 2schemes of UTI.

It is observed that the various schemes of ‘ Equity Schemes’, “Balanced

Schemes” and “Month Income Plan’ in the private sector have shown higher rate of

risk.

A higher value of standard deviation indicates higher risk of the scheme and

vice-versa. The results relating to R2 and standard deviation are shown a similar

trend.

179

Table 5.9: INTENSITY OF RISK (STANDARD DEVIATION ) ANALYSIS

TYPE OFFUND

Private sector Public sector (other thanUTI)

UTI

Samplesize

Sd<0.50

Sd=0.50to 1

Sd>1

Samplesize

Sd<0.50

Sd=0.50to 1

Sd>1

Samplesize

Sd<0.50

Sd=0.50to 1

Sd>1

1. BalancedFund

16 - - 16 4 - - 4 1 - - 1

2. EquityFund

29 - - 29 - - - - 6 - - 6


29 29 - - 6 6 - - - - - -

4. Gilt-LongTerm

26 - 23 3 5 - 5 - 4 - - 4

5. Gilt ShortTerm

15 15 - - 1 1 - - 1 - 1 -

6. IncomeFund

32 20 12 - 3 3 - - - - - -

7. LiquidFund

32 32 - - 3 3 - - - - - -

8. MIP 29 - 18 11 5 - 3 2 1 - 1 -9. Sector –a) FMCG

3 - - 3 - - - - - - - -

b) Pharma 3 - - 3 1 - - 1 1 - - 1c) Infotech 6 - - 6 - - - - - - -10. Shortterm Incomescheme

21 21 - - 3 3 - - 1 1 - -

11. TaxSchemes

19 - - 19 4 - - - 1 - - 1

260 117 53 90 35 16 8 11 16 1 2 13Remarks onPerformance

LR MR HR LR MR HR LR MR HR

LR : Low RiskMR: Medium RiskHR: High Risk


180

7. BETA ANALYSIS:

Table 5.10 indicates ‘beta analysis’. Out of 260 schemes which have been

considered for the study, 223 schemes are have shown a lower value of ‘ BETA’ (<

1) in private sector. In case of public sector 29 schemes and in case of Unit Trust of

India, all the 16 schemes have shown lowest beta value.

It is observed that the 13 schemes of ‘ Income Fund’, 9 schemes of “ Monthly

Income Schemes” in the private sector have shown higher rate of risk ( with beta

>1) .

A higher value of beta indicates higher risk of the scheme and vice-versa. The

results are indicating that only a few schemes are having higher risk rate i.e. beta > 1.

For instance, 37 schemes in private sector and 6 schemes in public sector (other than

UTI) have shown high risk rate with beta >1.

181

Table 5.10: BETA ANALYSIS

LR : Low RiskHR: High Risk


TYPE OF FUND Private sector Public sector (other thanUTI)

UTI

Samplesize

B < 1 B > 1 Samplesize

B < 1 B > 1 Samplesize

B < 1 B > 1

1. Balanced Fund 16 10 6 4 1 3 1 1 -2. Equity Fund 29 29 - - - - 6 6 -3. Floating Rate Income scheme 29 29 - 6 6 - - - -

4. Gilt-Long Term 26 23 3 5 5 -- 4 4 -5. Gilt Short Term 15 15 - 1 1 - 1 1 -6. Income Fund 32 19 13 3 3 - - - -7. Liquid Fund 32 32 - 3 3 - - - -8. MIP 29 20 9 5 3 2 1 1 -9. Sector –a) FMCG

3 3 - - - - - - -

b) Pharma 3 3 - 1 - 1 1 1 -c) Infotech 6 6 - - - - - - -10. Short term Income scheme 21 17 4 3 3 - 1 1 -

11. Tax Schemes 19 17 2 4 4 - 1 1 -

Total 260 223 37 35 29 6 16 16 -Remarks on Performance LR HR LR HR LR HR

182

5.B.3. Balanced Fund Schemes: Table 5.11 focuses on performance of mutual fund schemes relating to balanced funds.

Sharpe, Treynor ratio’s also negative for all the schemes.The following issues are observed:

Private Sector: Net Asset Value(NAV) per unit of the all schemes have shown better than their face value with an

exception to Reliance RSF Balance-Growth Scheme (9.57). It indicates positive returns to investors who would like to

withdraw from the schemes. Five Schemes have shown NAV values three times more than that of their face value

(Rs.10). DSP Black Rock, Escorts Balance Fund, LIC Balance Fund Plac C- Growth, Tata Blanaced Fund HDFC

Prudence is having highest fund among all balanced funds (Rs.1872.59 crores) and c. Compunded Annual Growth Rate

(CAGR) reveals that all mutual fund schemes have shown negative returns for one year and 2 year. But a limited schemes

have shown positive returns by 3 years. Jensen Ratio for some schemes is positive, for instance Birla Sunlife Balanced

Fund (0.0024), DSP Black Rock Balanced Fund (0.0302), Canara Robeco Balance-Growth(0.0414).

Public Sector (Other than UTI): The high rate of risk i.e. standard deviation is observed for LIC Balanced Plan-C

(Growth) 4.8842, compared to other schemes in this group. But NAV of LIC Balanced Fund is better.

Unit Trust of India: UTI Balanced fund stands in the second place (Rs.705.50 crores) in resource mobilization. The risk

rate is very high with the best value 0.97.

Hypothesis Test: The Statement is disproved because ‘beta’ value for most of the schemes is higher than 1 and their

respective returns are negative.

---

183

Table 5.11: BALANCED FUND

Fund Size %Returns (CAGR) Standard

Deviation

R-Squared

Scheme Name NAV (Rs.Cr) lYear 2 Years 3 Years Beta Sharpe Treynor Jenson

1. Private Sector

Birla Sun Life 95 - Growth 141.6500 111.02 -39.49 -10.55 2.16 3.7593 0.7850 0.8784 -0.2433 -1.0410 -0.1531Birla Sun Life Balance Fund - Growth 23.7700 81.61 -29.64 -8.43 3.22 3.1545 0.8267 0.7564 -0.2071 -0.8636 0.0024DSP BlackRock Balanced Fund - Growth 34.0570 438.24 -35.34 -5.64 6.97 3.6735 0.8789 0.9109 -0.2067 -0.8337 0.0302Escorts Opportunities Fund - Growth 23.5606 152.77 -28.26 -3.52 3.57 2.7435 0.3697 0.4412 -0.2438 -1.5160 -0.2864Escorts Balanced Fund - Growth 37.9454 2.36 -45.83 -9.94 3.19 4.1758 0.4842 0.7685 -0.2662 -1.4466 -0.4456HDFC Balanced Fund - Growth 23.7550 81.87 -37.33 -14.32 -1.59 3.8441 0.8646 0.9454 -0.2024 -0.8231 0.0414ING Balanced Fund - Growth 13.6200 4.73 -45.85 -13.36 -3.36 4.1842 0.9553 1.0817 -0.2532 -0.9794 -0.1218JM Balanced - Growth 13.1019 19.50 -58.61 -25.26 -6.61 4.6996 0.8318 1.1337 -0.3320 -1.3763 -0.5777Kotak Balance - Growth 15.2030 56.67 -41.06 -8.97 3.94 4.1635 0.6809 0.9087 -0.2953 -1.3532 -0.4419FT India Balanced Fund - Growth 26.8305 218.38 -40.59 -9.11 3.85 3.7586 0.9323 0.9580 -0.2498 -0.9800 -0.1084ICICI Prudential Balanced - Growth 23.8200 207.67 -46.16 -16.53 -2.65 4.2778 0.8611 1.0499 -0.2462 -1.0032 -0.1432Reliance RSF - Balanced - Growth 9.5734 23.41 -39.09 -8.58 -1.87 3.9603 0.9005 0.9940 -0.2261 -0.9008 -0.0338PRINCIPAL Balanced Fund - Growth 16.5300 41.12 -44.10 -13.17 -2.12 4.1764 0.9114 1.0545 -0.2403 -0.9517 -0.0895Sundaram BNP Paribas Balanced Fund - Growth 24.1150 27.45 -45.42 -13.60 -0.77 4.0182 0.9484 1.0350 -0.2571 -0.9983 -0.1361Tata Balanced Fund - Growth 38.9073 155.25 -46.04 -11.19 3.17 4.1720 0.9075 1.0526 -0.2608 -1.0337 -0.1757HDFC Prudence Fund – Growth 84.8800 1872.59 -43.63 -13.53 0.93 3.7964 0.8611 0.9318 -0.2626 -1.0698 -0.1891

184

2. Public Sector (other than UTI)

SBI Magnum Balanced Fund - Growth 26.3100 302.96 -45.58 -14.34 0.46 4.1993 0.9404 1.0740 -0.2461 -0.9622 -0.1024LIC Balanced - Plan C (Growth) 35.9700 22.98 -45.08 -11.28 1.61 4.8842 0.8008 1.1544 -0.2020 -0.8545 0.0142Baroda Pioneer Balance Fund - Growth 16.9800 0.63 -47.89 -13.08 -4.71 4.0723 0.7750 0.9465 -0.2860 -1.2307 -0.3444Canara Robeco Balance - Growth 29.4700 98.21 -41.89 -11.70 2.74 4.3408 0.9358 1.1112 -0.2289 -0.8942 -0.0305

3 UTI:

UTI Balanced Fund - Growth 41.4500 705.50 -42.66 -13.77 -1.59 3.8482 0.9266 0.9743 -0.2618 -1.0339 -0.1628

Peer Group Average 2.36 -11.90 0.50 4.00 0.83 0.96 -0.25 -1.05 -0.16

185

2) Equity: Table 5.12 represents 35 schemes offered under ‘Equity nature of mutual fund schemes offered by different organizations. NAV’s of

11 schemes out of 35 schemes are less than their face value. The following issues are observed:

Private Sector: When face value and NAV is compared, seven schemes have shown better performance viz., DWS Alpha

Equity Fund, DSP Black Rock Equity Income scheme growth fund, HDFC Growth Fund, HSBC Equity Fund, HDFC – Top 200

Growth and Franklin India Prima Plus Schemes. Highest NAV is observed for ‘Franklin India’ and ‘HDFC Top 200 schemes’.

Highest fund size is Rs.1908.55 crores raised by HDFC- Top 200 Growth scheme. Second place goes to Reliance Equity Fund

( Rs.1,771 Crores) and third place goes to Franklin India Blue Chip (Rs.1,515.65 crores).

Unit Trust of India: Six schemes were examined. It was found that all risk measures are having negative values and the returns

from these investments are also very less.

Hypothesis Test: The risk measure ‘beta’ is less than one for all the schemes. But the relative performance is negative by the

year ending Dec, 2008. Hence, in this case ‘hypothesis’ is proved.

186

Table 5.12: EQUITY SCHEMES


Scheme Name NAV (Rs.Cr) lYear 2 Years 3 Years Deviation R-Squared


1. Private Sector:

Benchmark Equity And Derivative Opportunities Fund -Growth

10.8877 36.52 7.96 N.A N.A 0.1644 0.0661 -0.0072 0.2332 -5.3370 0.0286

Birla Sun Life Dividend Yield Plus - Growth 33.7400 175.96 -40.56 -10.30 -2.75 4.9440 0.7152 0.7108 -0.1638 -1.1394 0.1543

Birla Sun Life India GenNext Fund - Growth 11.9000 75.49 -43.79 -12.32 0.77 4.7609 0.7957 0.7220 -0.2025 -1.3356 0.0151

Birla Sun Life Top 100 Fund - Growth 10.9965 241.03 -49.52 -17.25 0.04 4.9873 0.9384 0.8213 -0.2311 -1.4031 -0.0383

DWS Alpha Equity Fund - Growth 40.0700 118.94 -49.87 -11.91 6.81 5.3952 0.9380 0.8883 -0.2061 -1.2518 0.0930

DSP BlackRock Top 100 Equity Fund - Growth 48.2570 884.08 -44.37 -7.88 9.03 4.7606 0.9286 0.7799 -0.2092 -1.2771 0.0619

DSP BlackRock Equity Fund - Growth 7.1240 881.16 -47.14 N.A N.A 4.9562 0.8489 0.7763 -0.2112 -1.3484 0.0062

Escorts High Yield Equity Plan - Growth 7.6802 6.93 -43.08 N.A N.A 3.7285 0.5501 0.4701 -0.2712 -2.1512 -0.3736

Sahara Growth Fund - Growth 42.4364 5.20 -42.64 -7.28 8.14 5.0248 0.9140 0.8167 -0.1783 -1.0968 0.2121

Sahara Wealth Plus Fund - FP - Growth 10.5564 7.46 -46.53 -14.06 -1.91 4.3160 0.8342 0.6701 -0.2400 -1.5458 -0.1268

Sahara Wealth Plus Fund - VP - Growth 10.7870 7.46 -46.14 -13.44 -1.25 4.3168 0.8343 0.6703 -0.2368 -1.5248 -0.1128

HDFC Growth Fund - Growth 39.0710 832.30 -47.55 -10.10 6.28 5.0136 0.9448 0.8285 -0.2081 -1.2595 0.0803HSBC Equity Fund - Growth 55.1608 956.43 -48.28 -12.50 4.39 4.7671 0.9499 0.7898 -0.2328 -1.4053 -0.0386HSBC Dynamic Fund - Growth 6.0874 242.53 -46.87 N.A N.A 4.0981 0.8719 0.6505 -0.2727 -1.7176 -0.2349

ING Dividend Yield Fund - Growth 8.3100 16.69 -48.86 -13.64 -6.14 5.7354 0.8255 0.8859 -0.1758 -1.1384 0.1932

HDFC Top 200 - Growth 83.5920 1908.55 -46.94 -13.18 3.55 5.1349 0.9660 0.8580 -0.2009 -1.2026 0.1320Kotak Contra Fund - Growth 10.2930 61.00 -47.82 -14.50 -2.29 5.1610 0.8525 0.8101 -0.2074 -1.3211 0.0287

Franklin India Bluechip - Growth 92.4087 1515.67 -49.46 -15.81 1.70 5.3162 0.9752 0.8909 -0.2168 -1.2938 0.0558

187

Franklin India Prima Plus - Growth 101.6092 1051.35 -48.39 -13.17 4.60 4.9475 0.9452 0.8163 -0.2258 -1.3684 -0.0098

Lotus India Growth Fund - Growth 6.1700 78.68 -49.84 N.A N.A 5.1568 0.8934 0.8258 -0.2105 -1.3142 0.0349

Lotus India Equity Fund - Growth 5.9700 54.11 -49.63 N.A N.A 5.5798 0.8630 0.8782 -0.1882 -1.1956 0.1413

ICICI Prudential Growth Plan - Cumulative 64.3100 234.85 -49.79 -17.24 1.07 5.3161 0.9798 0.8945 -0.2163 -1.2855 0.0635

ICICI Prudential Dynamic Plan - Growth 44.6943 975.92 -46.90 -15.84 4.64 5.0592 0.9147 0.8225 -0.2087 -1.2837 0.0599

ICICI Prudential Growth Plan - IP - Growth 8.8100 234.85 -48.71 -15.81 N.A 5.3113 0.9785 0.8932 -0.2087 -1.2410 0.1031

ICICI Prudential Dynamic Plan - FH Growth 6.8716 975.92 -46.39 N.A N.A 5.0595 0.9147 0.8226 -0.2051 -1.2618 0.0779Quantum Long-Term Equity Fund - Growth 8.2500 26.72 -47.18 -16.59 N.A 4.7740 0.9153 0.7752 -0.2276 -1.4017 -0.0351

Reliance RSF - Equity - Growth 11.9798 576.14 -49.48 -12.52 6.07 5.5581 0.8225 0.8569 -0.1976 -1.2817 0.0641

Reliance Equity Fund - Growth 8.9675 1771.16 -45.58 -12.16 N.A 4.4280 0.9128 0.7192 -0.2334 -1.4370 -0.0579

Reliance Equity Fund - IP - Growth 8.9675 1771.16 -45.58 N.A N.A 4.4280 0.9128 0.7192 -0.2334 -1.4370 -0.0579

2. Public Sector (other than UTI): NA NA NA NA NA NA NA NA NA NA NA

3. UTI:

UTI Equity Fund - Growth 24.1400 1114.68 -45.47 -14.78 -1.73 4.6018 0.9330 0.7466 -0.2321 -1.4309 -0.0555

UTI Index Select Fund - Growth 24.2600 183.89 -49.45 -16.70 1.02 5.3392 0.9679 0.8874 -0.2182 -1.3126 0.0389UTI Variable Investment Scheme - Growth 10.8920 17.30 -42.33 -17.67 -8.44 4.1033 0.9948 0.6958 -0.2410 -1.4212 -0.0450

UTI-MEPUS 26.7900 818.37 -47.67 -19.74 -2.32 4.9107 0.9492 0.8114 -0.2291 -1.3864 -0.0242

UTI Dividend Yield Fund - Growth 13.7400 827.07 -42.23 -6.55 3.45 5.0487 0.8304 0.7821 -0.1746 -1.1272 0.1793UTI Opportunities Fund - Growth 11.2600 331.00 -50.00 -10.99 -2.53 4.7633 0.8805 0.7551 -0.2458 -1.5506 -0.1466

Peer Group Average -55.17 -20.57 -3.73 5.39 0.87 0.85 -0.25 -1.65 -0.21

188

3) Floating Rate Income Schemes: Table 5.13 is allotted for ‘Floating Rate Income Schemes’, out of which 6 schemes are offered by ICICI Prudential Mutual

Funds. The following are interesting insights:

Private Sector: The highest fund generating scheme is ‘IDFC Liquid Plus-Treasury Plan-Plan A-Growth’, which raised the amount of

Rs.1,814.26 crores. Second position goes to ‘ICICI Prudential FRF’ (Rs.1,300.31 crores). Marginal increase in NAV’s of all the schemes in this

category is observed with an exception to DSP Black Rock Floating Rate Fund-IP Growth (1226.91).

Public Sector (Other than UTI): All the six schemes, which are examined , having positive values of Sharpe, Jensen and Treynor ratios with

an exception to SBI Magnum Scheme. LIC Mutual Fund Floating Rate Fund-ST- Growth is better performing compared to other schemes in this

category.

o Hypothesis test: ‘Beta’ value is significantly marginal for all the schemes in this group. The CAGR is positive for all the 1 year, 2year and 3 year

periods. Thus, the hypothesis is disproved. For example, ‘HSBC –FRF-STP- Inst. Plus’ scheme is having highest Sharpe value i.e. 5.95 but its CAGR

is only 8.91 per cent.

189

Table 5.13: FLOATING RATE INCOME SCHEMESFund Size %Returns (CAGR) Standar

dScheme Name NAV (Rs.Cr) lYear 2

Years3

YearsDeviation

R-Squared


1. Private Sector:

IDFC Liquid Plus - Treasury Plan - Plan A - Growth 13.8383 1814.26 7.46 6.77 6.48 0.0281 0.1205 0.1888 0.9554 0.1424 0.0184

IDFC Liquid Plus - Treasury Plan - Plan B - Growth 13.6763 1814.26 7.53 6.81 6.51 0.0302 0.1190 0.2013 0.9205 0.1381 0.0188

Birla Sun Life Floating Rate Fund - LTP - Growth 14.2678 66.93 9.30 8.95 7.90 0.0228 0.0020 0.0190 2.8289 3.3989 0.0636

DSP BlackRock Floating Rate Fund - Regular Plan- Growth

13.7415 103.41 8.38 6.74 6.46 0.0236 0.0741 0.1247 1.9697 0.3733 0.0410

DSP BlackRock Floating Rate Fund - IP - Growth 1226.9172 103.41 8.67 7.08 6.81 0.0232 0.0759 0.1238 2.2298 0.4177 0.0462

Escorts Floating Rate Funds - Growth 12.2468 0.10 8.90 8.42 N.A 0.0766 0.0000 0.0004 0.7631 140.3513

0.0584

HDFC F R I F - STF - Growth 14.4933 655.65 8.96 8.58 7.88 0.0121 0.2281 0.1082 4.8501 0.5413 0.0537

HDFC F R I F - LTF - Growth 14.3301 119.41 9.91 8.65 7.79 0.0730 0.0170 0.1785 1.0225 0.4184 0.0667

HSBC FRF - LTP - Regular Plan - Growth 13.2608 286.91 9.12 8.87 7.80 0.0181 0.3210 0.1924 3.4280 0.3225 0.0534

HSBC FRF - LTP - IP - Growth 13.3959 286.91 9.51 9.20 8.08 0.0191 0.3376 0.2079 3.6043 0.3307 0.0595

HSBC FRF - STP - IP - Growth 13.2639 106.63 8.85 8.57 7.79 0.0097 0.1915 0.0821 5.8583 0.6945 0.0534

HSBC FRF - STP - Inst Plus - Growth 11.2567 106.63 8.91 2.77 3.96 0.0097 0.1944 0.0828 5.9520 0.7005 0.0543PRINCIPAL Floating Rate Fund - SMP - Growth 13.4029 126.91 9.08 8.70 7.97 0.0134 0.2263 0.1241 4.5211 0.4892 0.0552

PRINCIPAL Floating Rate Fund - SMP - IP -Growth

13.4637 126.91 9.14 8.76 8.05 0.0134 0.2241 0.1232 4.6084 0.5011 0.0562

PRINCIPAL Floating Rate Fund - FMP - Growth 13.4570 1065.95 8.86 8.72 8.00 0.0096 0.3079 0.1000 5.9082 0.5679 0.0523

PRINCIPAL Floating Rate Fund - FMP - IP - Growth 13.5461 1065.95 9.17 8.91 8.16 0.0108 0.2959 0.1105 5.7210 0.5610 0.0570

Kotak Floater - ST - Growth 14.1774 108.07 9.22 8.64 7.89 0.0147 0.0645 0.0719 4.3278 0.8843 0.0603

Kotak Floater - LT - Growth 13.5254 56.71 9.17 8.88 8.06 0.0335 0.1406 0.2367 1.8292 0.2591 0.0507

ICICI Prudential FRF - Plan B - Growth 14.3679 1300.31 8.97 8.65 7.93 0.0125 0.1716 0.0971 4.7038 0.6035 0.0543

ICICI Prudential FRF - Plan A - Growth 13.3348 1300.31 8.71 8.39 7.67 0.0121 0.1740 0.0946 4.4847 0.5715 0.0498

190

ICICI Prudential FRF - Plan C - Growth 13.5308 1300.31 9.06 8.74 8.02 0.0126 0.1756 0.0996 4.7707 0.6051 0.0558

ICICI Prudential LT FRF - Plan A - Growth 13.1116 27.70 7.96 7.87 7.24 0.0286 0.4295 0.3524 1.4099 0.1144 0.0245

ICICI Prudential LT FRF - Plan B - Growth 13.3410 27.70 8.39 8.31 7.66 0.0286 0.4315 0.3534 1.6766 0.1357 0.0321

ICICI Prudential FRF - Plan D - Growth 12.6989 1300.31 9.30 8.92 8.20 0.0131 0.1780 0.1037 4.9327 0.6214 0.0598Reliance FRF - Growth 13.4486 254.31 9.06 8.73 7.99 0.0113 0.1339 0.0802 5.3377 0.7495 0.0566

Sundaram BNP Paribas FRF - ST - Growth 12.9404 31.59 8.52 7.99 7.30 0.0100 0.2377 0.0951 5.0582 0.5340 0.0465

Sundaram BNP Paribas FRF - STIP - Growth 13.2099 31.59 9.07 8.57 7.88 0.0097 0.2269 0.0893 6.2884 0.6795 0.0567

Sundaram BNP Paribas FRF - LTIP - Growth 14.9989 4.71 7.96 16.36 12.81 0.0123 0.1859 0.0996 3.3012 0.4083 0.0362

Tata FRF - LT - Growth 13.0442 260.43 9.38 7.28 6.59 0.0629 0.1588 0.4717 1.0191 0.1359 0.0430

2. Public Sector(Other than UTI):

SBI Magnum Insta Cash Fund - Liquid Floater Plan -Growth

14.8041 81.10 8.55 8.22 7.66 0.0137 0.1367 0.0984 3.7476 0.5217 0.0469SBI Magnum Income - FRP - ST - Growth 12.9214 12.65 6.57 6.63 6.41 0.1098 0.1455 0.7891 0.0937 0.0130 -0.0250

SBI Magnum Income - FRP - LT - Growth 12.7806 5.63 5.48 6.45 6.14 0.1297 0.0607 0.6023 -0.0622 -0.0134 -0.0350

LIC MF Floating Rate Fund - ST - Growth 13.9304 341.06 10.14 9.33 8.55 0.0192 0.0366 0.0714 4.1168 1.1083 0.0759

Canara Robeco FRF - ST - Growth 13.2086 11.24 9.25 8.75 8.15 0.0183 0.1281 0.1271 3.4824 0.5008 0.0580

Canara Robeco FRF - LT - Growth 13.2086 11.24 N.A N.A N.A 0.0187 0.0897 0.1837 4.2879 0.4367 0.0720

3.UTI NA NA NA NA NA NA NA NA NA NA NA

Peer Group Average 8.76 8.21 7.56 0.02 0.17 0.15 3.55 3.52 0.05

191

4) Gilt Long-Term: Table 5.14 represents 35 schemes under ‘Gilt Long-term’, out of which 7 schemes are offered by Tata Mutual Fund organization. The

following are highlights:

Private Sector: NAV of ‘Birla Sunlife GRP-Growth’ scheme is highest (29.13) among Gilt Long-term schemes. Lowest NAV is relating to

Tata Gilt Retirement Plan L.R.(12.19). ICICI Prudential has raised highest fund (Rs.343.o6 crores), while in case of Tata Retirement Plan (28-

02-13) is lowest(Rs.0.05 crores). CAGR for ICICI Prudential GFIP-PF option is highest with 29.86 per cent. Average CAGR for one year is

13.71 per cent. This indicates that Gilt Long-term schemes are giving better returns in one year. But the CAGR for 3 years is drastically

declined to 7.64 per cent.

Public Sector (Other than UTI): Five schemes are considered in this sector. The lowest risk is associated with ‘SBI Magnum Gilt

LTP-PF-Regular-Growth’ when compared to other select schemes in this group.

Unit Trust of India: All the four schemes of ‘UTi Advantage Fund’ are examined in this category. Their performance with respect to

returns and risk are more or less similar.

Hypothesis test: In this case, hypothesis is justified, for example beta value of ‘ICICI prudential GFIP-PF Option Growth’ scheme is 1.245 and

its return is also high with 29.86 per cent. Lowest beta value (0.3461) is observed for ‘SBI Magnum Gilt LTP Growth Scheme’ gives lowest

return 8.11 per cent in one year.

192

Table 5.14. GILT LONG-TERM

Scheme Name NAVFund Size(Rs.Cr)

%Returns (CAGR)

StandardDeviation

R-Squared Beta Sharpe Treynor Jenson

lYear 2Years

3Years

1. Private Sector:IDFC G Sec Fund - Investment - Plan A - Growth 17.0217 34.30 17.93 11.09 10.02 0.7180 0.5101 0.6139 0.2568 0.3003 0.1196

IDFC G-Sec Fund - PF Plan - Plan A - Growth 14.1050 17.91 20.40 12.45 11.00 0.7701 0.4851 0.6422 0.2836 0.3401 0.1506

IDFC G-Sec Fund - IP- PF Plan - Plan B - Growth 14.1366 17.91 20.41 12.41 10.93 0.7699 0.4850 0.6420 0.2838 0.3403 0.1507Birla Sun Life GPPFP - Growth 23.4372 69.73 7.91 6.01 6.00 0.8576 0.4072 0.6616 -0.0008 -0.0010 -0.0705

Birla Sun Life GPRP - Growth 29.1365 98.00 16.42 11.35 10.22 0.8775 0.4533 0.7143 0.1843 0.2264 0.0863

DBS Chola Gilt Investment - Growth 23.1619 1.67 19.00 11.74 7.93 1.3479 0.4568 1.0911 0.1534 0.1895 0.0916

DSP BlackRock G Sec Fund Plan A Long Duration -(G)

28.7639 20.83 18.70 11.18 9.18 0.9621 0.6149 0.9125 0.1901 0.2005 0.0866

Escorts Gilt Plan - Growth 18.2390 0.10 19.05 11.20 8.86 0.7857 0.0513 0.2130 0.2572 0.9485 0.1796

Sahara Gilt Fund - Growth 15.7725 0.04 22.04 13.40 10.60 0.8251 0.1567 0.3950 0.2922 0.6103 0.1994

HDFC Gilt Fund - L T P - Growth 18.0075 30.60 10.47 7.25 5.73 0.7009 0.3267 0.4798 0.0757 0.1105 0.0024PRINCIPAL G Sec - Investment - Growth 18.9974 92.06 11.76 7.71 7.43 0.6175 0.3871 0.4613 0.1609 0.2154 0.0506

ING Gilt Fund - Growth 13.6853 0.52 9.43 6.59 5.56 0.5257 0.0910 0.1913 0.0966 0.2655 0.0306

ING Gilt PF Plan - DP - Growth 13.4746 9.78 13.10 8.21 7.26 0.6913 0.2665 0.4306 0.1690 0.2713 0.0713

JM G Sec Regular Plan - Growth 26.7423 4.14 23.25 12.83 9.77 0.6617 0.4144 0.5152 0.3918 0.5032 0.2049

Kotak Gilt - Investment Regular Plan - Growth 28.2888 25.94 14.89 8.61 7.68 0.9489 0.6074 0.8949 0.1506 0.1597 0.0484

Kotak Gilt Investment PF & Trust Plan - Growth 28.8313 25.94 15.25 9.00 8.08 0.9483 0.6065 0.8937 0.1574 0.1670 0.0549Templeton India GSF - LTP - Growth 20.1801 107.97 17.15 10.28 9.06 0.6257 0.3040 0.4172 0.3071 0.4605 0.1481

ICICI Prudential GFIP - Growth 29.4763 343.06 23.22 14.27 12.31 1.0925 0.6433 1.0598 0.2369 0.2442 0.1470

ICICI Prudential GFIP - PF Option - Growth 16.3678 59.80 29.86 16.79 14.83 1.2662 0.6609 1.2450 0.2776 0.2823 0.2200

193

Tata Gilt Securities Fund - Growth 26.8952 230.36 11.61 7.66 6.69 0.7533 0.5644 0.6844 0.1096 0.1207 0.0103

Tata Gilt High Investment Fund - Growth 16.4783 77.18 11.61 7.64 6.68 0.7531 0.5644 0.6843 0.1095 0.1206 0.0103

Tata Gilt Retirement Plan (28-02-10) - App 12.2883 0.23 11.62 7.65 6.68 0.7533 0.5643 0.6844 0.1097 0.1208 0.0104

Tata Gilt Retirement Plan (28-02-09) - App 12.2910 2.23 11.62 7.65 6.69 0.7533 0.5642 0.6843 0.1097 0.1208 0.0104Tata Gilt Retirement Plan (28-02-1 1) - App 12.2769 0.56 11.45 7.57 6.63 0.7512 0.5632 0.6818 0.1060 0.1167 0.0076

Tata Gilt Retirement Plan (28-02-13) - App 12.3558 0.05 11.62 7.65 6.68 0.7533 0.5643 0.6844 0.1097 0.1208 0.0104Tata Gilt Retirement Plan (28-02-25) - App 12.1901 99.44 11.63 7.65 6.69 0.7531 0.5644 0.6843 0.1100 0.1210 0.0106

2. Public Sector (Other than UTI);SBI Magnum Gilt LTP - Growth 19.4462 153.31 8.11 6.51 6.14 0.5669 0.2564 0.3462 0.0318 0.0521 -0.0185SBI Magnum Gilt LTP - PF - Regular - Growth 12.4498 153.31 8.18 6.58 6.26 0.5662 0.2568 0.3461 0.0341 0.0558 -0.0172LIC G Sec Fund - Growth 22.5009 72.43 13.51 9.28 7.78 0.7041 0.5906 0.6490 0.1465 0.1589 0.0346LIC G Sec Fund - PF Plan - Growth 12.9749 72.43 13.51 9.28 7.78 0.7041 0.5906 0.6491 0.1465 0.1589 0.0346Canara Robeco Gilt PCS - Growth 24.2485 43.57 24.11 15.07 11.13 0.9940 0.4044 0.7570 0.2888 0.3792 0.2071

3. UTI:

UTI Gilt Advantage Fund - L T P - Growth 19.1892 52.40 20.89 12.16 10.11 1.0493 0.5739 0.9521 0.2069 0.2281 0.1166

UTI Gilt Advantage Fund - L T - PF Plan - Growth 14.2671 52.40 20.88 12.15 10.10 1.0492 0.5738 0.9518 0.2068 0.2279 0.1165

UTI Gilt Advantage Fund - L T - PF Plan - PDAR 14.2701 52.40 20.86 12.15 10.10 1.0493 0.5739 0.9520 0.2064 0.2275 0.1161

UTI Gilt Advantage Fund - L T - PF Plan - PAAR 14.2846 52.40 20.82 12.13 10.10 1.0494 0.5737 0.9520 0.2058 0.2268 0.1154

Peer Group Average 13.71 8.85 7.64 0.77 0.43 0.64 0.10 -0.87 0.05

194

a. 5) Gilt Short-Term: Table 5.15. represents total 17 schemes data relating to Gilt Short-term Schemes. It can be concluded that investment in Gilt short-

term is only for safety and consistency rather than expecting higher returns. Risk associated with Gilt schemes is also very less.

Private Sector: The highest NAV is Rs.21.44. relating to ‘ICICI Prudential GFTP- Growth’ scheme and lowest is Rs.10.028 relating to

‘Lotus India G.F. Short Duration Plan-IP Growth’ scheme. Highest fund raised by Birla Sunlife GPLP-growth scheme ( Rs.1923.03 crores)

while lowest amount raised by ‘Principal Savings Growth’ (Rs.0.11 crore).

Public Sector (Other than UTI): Only one scheme has been examined in this category i.e ‘SBI’= Magnum Gilt STP- Growth’ which

has shown constant CAGR.

Unit Trust of India: ‘UTI G-Sec Fund STP- Growth’ scheme has been examined in this category. Its risk measures are less compared

to other schemes.

Hypothesis test: In this case also hypothesis is justified. Because, the ‘beta values’ for all the schemes are less than 0.28. Highest beta value is

observed for ‘ICICI Prudential GFTP-Growth’ Scheme i.e.0.2890, which gives 12.73 per cent return. Hence, we can conclude that high the

‘risk’ leads to ‘higher return’ in case of GILT short-term schemes.

195

Table 5.15: GILT SHORT-TERMS

NAV

FundSize(Rs.Cr)

%Returns (CAGR)

StandardDeviation R-Squared Beta Sharpe Treynor JensonScheme Name

lYear 2 Years 3 Years

1. Private Sector:

Birla Sun Life G Sec Fund - STD - Growth 17.4491 210.66 5.26 5.40 5.82 0.2247 0.0363 0.0517 -0.0363 -0.1575 -0.0136

IDFC G Sec Fund - Short Term - Plan A -Growth

13.3423 203.16 1.38 3.78 3.82 0.1790 0.0917 0.0649 -0.4433 -1.2229 -0.0862

Birla Sun Life GPLP - Growth 19.9393 1923.03 5.28 5.56 5.82 0.2803 0.0233 0.0517 -0.0319 -0.1728 -0.0144DSP BlackRock G Sec Fund - Plan B - ST D - (G)

18.7495 45.44 6.75 5.79 5.99 0.0697 0.0742 0.0230 0.2649 0.8041 0.0160HDFC Gilt Fund - S T P - Growth 15.1610 62.73 6.75 5.90 5.46 0.2974 0.5051 0.2532 0.0355 0.0417 -0.0162HSBC Gilt Fund - STP - Growth 12.1396 447.93 5.81 5.20 4.82 0.0216 0.0151 0.0032 0.1172 0.7898 0.0022PRINCIPAL G Sec - Savings - Growth 15.1557 0.11 5.25 4.45 5.05 0.0372 0.0050 0.0032 -0.2100 -2.4727 -0.0081

Kotak Gilt - Savings Plan - Growth 20.3588 637.11 7.76 6.51 6.16 0.1503 0.1982 0.0810 0.2392 0.4440 0.0274

Lotus India Gilt Fund - Short DurationPlan - Reg - Growth

10.3581 0.01 N.A N.A N.A 0.1452 0.0334 0.0289 -0.1486 -0.7459 -0.0246Lotus India Gilt Fund - Short DurationPlan - IP - Growth

10.0282 13.99 N.A N.A N.A 0.2288 0.2463 0.2552 -0.4015 -0.3600 -0.1188

ICICI Prudential GFTP - Growth 21.4453 115.20 12.61 9.55 8.55 0.3457 0.4577 0.2828 0.3357 0.4103 0.0862ICICI Prudential GFTP - PF Option -Growth

13.6647 49.79 12.73 9.73 8.35 0.3532 0.4576 0.2890 0.3209 0.3922 0.0828Reliance G Sec Fund - STP - Retail -Growth

12.2831 0.93 N.A N.A N.A 0.1752 0.1009 0.0921 -0.3466 -0.6591 -0.0705

Tata G S S M F - Growth 14.0171 176.50 10.65 8.47 7.22 0.2297 0.5656 0.2089 0.3379 0.3715 0.0556

Templeton India GSF - Treasury Plan -Growth

15.5537 60.45 7.08 6.31 5.77 0.1242 0.1675 0.0615 0.1932 0.3903 0.0175

2. Public Sector (other than UTI):SBI Magnum Gilt STP - Growth 17.3695 107.62 8.89 9.34 7.40 0.2538 0.2405 0.1501 0.1865 0.3153 0.03153. UTI:UTI G-Sec Fund - STP - Growth 13.2397 47.24 8.47 7.28 6.73 0.1766 0.5759 0.1605 0.2564 0.2821 0.0283

Peer Group Average 7.48 6.66 6.21 0.19 0.22 0.12 0.04 -0.09 0.00

196

6) Income Fund: Table 5.16 is showing the total 35 schemes are considered for the study. It is interesting to note that all the schemes are under private

sector. Sharpe, Treynor and Jensen values are relatively small when compared to equity fund schemes. However, the negative value indicates more risk.

The following are important observations:

Private Sector: Only four schemes have better NAV than their face value i.e., Birla Sunlife Income fund-Growth, Birla Sunlife Income Plus-

Growth, HDFC HIF- Growth and Tata Income Fund Growth schemes. . Fund rasied by ‘Reliance Medium Term Fund’ is highest (Rs.4,302.99

crores) .

Public Sector (Other than UTI): Canara Robeco Income Scheme (22.04 per cent) and IDFC SSIF Investment Plan ( 14.47 per cent) are

performing much better compared to other income fund schemes.

Hypothesis test: The statement is disproved. Because, high beta value and lower returns are observed for this group. For example, beta value

of ‘DWS Premier Bond Fund-Regular plan-growth’ has 1.7328 and its return is only 8 per cent, while ‘Sahara Income fund-Growth’ scheme is

0.3042 and its return is 11.14 per cent.

197

Table 5.16: INCOME FUND




1. Private Sector:

Fortis Flexi Debt Fund - Growth 13.6950 36.96 12.25 10.12 9.40 0.2095 0.1864 0.3129 0.4964 0.3323 0.1140Birla Sun Life Income Fund - Growth 31.3201 125.12 9.95 10.54 9.54 0.6446 0.4082 1.4118 0.1045 0.0477 0.1126

Birla Sun Life Income Fund - 54EA - Growth 31.2986 39.74 9.95 10.55 9.54 0.6446 0.4082 1.4118 0.1045 0.0477 0.1126

Birla Sun Life Income Fund - 54EB - Growth 31.1015 39.74 9.95 10.55 9.54 0.6446 0.4082 1.4118 0.1045 0.0477 0.1126

IDFC SSIF - Invt. Plan - Plan A - Growth 20.7162 50.17 14.47 11.06 8.91 0.5130 0.4796 1.2305 0.2499 0.1042 0.1677

IDFC DBF- Plan A - Growth 16.7938 45.55 15.94 11.93 10.05 0.5253 0.4343 1.1990 0.2865 0.1255 0.1890

IDFC SSIF - MTP - Plan A - Growth 13.4020 40.71 7.24 7.14 6.93 0.1770 0.2883 0.3292 0.1213 0.0652 0.0320Benchmark Derivative Fund - Growth 1322.5724 15.41 7.70 8.33 7.91 0.1530 0.0001 0.0045 0.1951 6.6055 0.0300

Birla Sun Life Income Plus - Growth 36.4910 344.70 8.96 9.61 8.29 0.6695 0.4144 1.4775 0.0890 0.0403 0.1070

Birla Sun Life DBF - Retail - Growth 13.5317 56.59 11.37 9.55 8.43 0.1128 0.1275 0.1381 0.9050 0.7393 0.1065

DWS Premier Bond Fund - Regular Plan - Growth 13.7055 4.63 8.00 5.63 5.15 0.6693 0.5665 1.7328 0.0365 0.0141 0.0800DWS Money Plus Advantage Fund - Reg - Growth 11.1068 29.11 10.16 N.A N.A 0.5218 0.0002 0.0232 0.1712 3.8457 0.0901

DSP BlackRock Bond Fund - Retail Plan - Growth 27.4572 34.39 6.06 5.45 4.99 0.3741 0.4901 0.9045 -0.0118 -0.0049 0.0246DSP BlackRock Strategic Bond Fund - Retail - Growth 1113.3798 19.83 6.46 N.A N.A 0.2325 0.2718 0.4187 0.0553 0.0307 0.0263Escorts Income Plan- Growth 25.9023 5.02 7.26 7.10 6.46 0.1806 0.3791 0.3824 0.1414 0.0668 0.0378

Sahara Income Fund - Growth 15.8182 104.49 14.69 11.14 9.27 0.2639 0.1114 0.3042 0.5198 0.4509 0.1469

HDFC Income Fund - Growth 18.6675 178.46 5.17 5.67 4.73 0.5269 0.6379 1.4477 -0.0416 -0.0151 0.0245HSBC Income Fund - Invtt Plan - Reg - Growth 14.2154 22.53 7.93 7.43 6.62 0.3552 0.6098 0.9508 0.0778 0.0291 0.0581

HSBC Flexi Debt Fund - Ret - Growth 11.0917 95.43 9.14 N.A N.A 0.3569 0.4565 0.8267 0.1318 0.0569 0.0736

PRINCIPAL Income Fund - Growth 11.6310 50.26 4.51 5.60 5.96 0.3919 0.4557 0.9132 -0.0714 -0.0306 0.0013

ING Income Fund - Regular Plan - Growth 21.5009 26.90 11.34 9.13 7.28 0.4873 0.2665 0.8658 0.2083 0.1173 0.1293

ING Dynamic Duration Fund - Growth 12.7532 1.89 5.62 5.51 5.19 0.2361 0.0673 0.2105 -0.0063 -0.0071 0.0053

198

HDFC HIF - Growth 27.6799 47.28 7.17 6.16 5.12 0.4104 0.7409 1.2153 0.0220 0.0074 0.0480Kotak Bond Deposit - Growth 21.2116 52.27 7.10 6.95 6.49 0.4359 0.4720 1.0346 0.0158 0.0067 0.0401

Kotak Bond Regular Plan - Growth 22.7753 52.27 8.02 8.35 7.79 0.4379 0.4732 1.0407 0.0544 0.0229 0.0572

ICICI Prudential Income Fund -Growth 25.8793 507.60 11.72 9.30 8.34 0.6826 0.5306 1.7209 0.1367 0.0542 0.1485

ICICI Prudential L T P - Cumulative 18.1975 9.01 10.13 9.04 8.14 0.0836 0.0023 -0.0137 0.9492 -5.7884 0.0789

Reliance Income Fund - Retail - G P - Growth 27.2136 119.63 9.23 8.45 7.60 0.5719 0.5715 1.4933 0.0937 0.0359 0.1015

Reliance Medium Term Fund - Growth 17.7119 4302.99 7.70 7.30 6.36 0.0423 0.2826 0.0777 0.8325 0.4533 0.0377Sundaram BNP Paribas Bond Saver - Growth 24.9069 41.86 4.27 4.87 4.47 0.3331 0.7155 0.9727 -0.0843 -0.0289 0.0031

Sundaram BNP Paribas Income Plus- Growth 14.3449 0.93 6.19 6.43 5.64 0.0263 0.0007 -0.0024 0.3822 -4.2224 0.0100Tata Income Fund - Growth 28.3382 36.06 7.26 6.90 5.50 0.3162 0.6276 0.8651 0.0461 0.0168 0.0423

2. Public Sector (Other than UTI):

LIC Bond Fund - Growth 23.2238 58.63 8.78 7.74 7.18 0.4173 0.1284 0.5180 0.0897 0.0723 0.0540

Baroda Pioneer Income Fund - Growth 13.7790 0.41 5.35 5.05 4.61 0.0238 0.0196 -0.0114 -0.1942 0.4042 -0.0050

Canara Robeco Income Scheme - Growth 16.9647 13.40 22.04 13.98 10.74 0.5469 0.0697 0.4965 0.4850 0.5343 0.2812

3. UTI: NA NA NA NA NA NA NA NA NA NA NA


199

7) Liquid Funds: Table 5.17. represents data relating to Liquid funds. All the values of NAVs of ‘Liquid Fund Schemes’ are better than their face value.

This indicates there is possibility of minimum profit to investors who would like to withdraw from the respective schemes. All the risk measures like standard

deviation, beta are very less. Hence, these schemes can be considered as ‘low risk and low-return’ category. Sharpe, Treynor and Jensen values are relatively

small when compared to the other schemes

The following are interesting insights:

Private Sector: Almost all the schemes could raise huge amount from investors. ICICI Prudential Liquid plan scheme could raise

Rs.11,078.80 crores, which stands in first place among the liquid fund schemes, where are Rs.6,598.65 croes is second highest amount raised

by ‘Relinace Liquid fund growth scheme’.

Public Sector (Other than UTI): Three schemes viz ‘Can Robeco Liquid Growth’, ‘LICMf Liquid Growth’ and ‘SBI Magnum Insta

Growth’ Plan were studied in this group. All three schemes have shown constant CAGR.

Hypothesis test; The statement is ‘proved’ beta values for all schemes is comparatively less than other schemes like Balanced Fund and

Floating rate fund schemes. The returns for all the schemes under this group is less than 10 per cent. However, it is consistent returns for all the

three years.

200

Table 5.17: LIQUID FUNDS


%Returns (CAGR)

StandardDeviation


lYear 2Years

3 Years

1. Private Sector:Fortis Overnight Fund - Growth 12.8180 134.39 7.69 6.94 6.51 0.0248 0.1247 0.1702 1.4403 0.2099 0.0281Birla Sun Life Cash Manager - Growth 21.0196 94.88 8.70 8.20 7.55 0.0141 0.0912 0.0819 3.8502 0.6618 0.0505

AIG India Liquid Fund - Ret - GrowthIDFC Cash Fund - Plan A - Growth

1103.235615.4376

77.491180.76

8.677.59

N.A6.98

N.A6.59

0.01630.0307

0.19250.0859

0.13900.1751

3.27121.0995

0.38380.1931

0.04710.0260

Bharti AXA Liquid Fund - Ret - Growth 1036.5408 233.40 N.A N.A N.A 0.0268 0.0324 -0.1591 2.8387 -0.4777 0.0831

Birla Sun Life Cash Plus - Retail - Growth 23.0602 5637.78 8.79 8.27 7.65 0.0131 0.0500 0.0565 4.2707 0.9915 0.0535

DBS Chola Liquid Fund - Reg - Growth 17.2426 449.89 8.75 7.94 7.47 0.0194 0.1010 0.1204 2.7975 0.4520 0.0490

DWS Insta Cash Plus Fund - Growth 14.4188 1189.86 8.92 8.39 7.74 0.0143 0.1196 0.0950 4.0521 0.6079 0.0535

DSP BlackRock Liquidity Fund - Regular Plan - Growth 20.6951 156.33 8.41 7.52 7.18 0.0153 0.0120 0.0325 3.1878 1.5041 0.0475

DSP BlackRock Cash Plus Fund - Ret - Growth 1100.5877 579.04 9.05 N.A N.A 0.0141 0.0638 0.0692 4.2983 0.8783 0.0577Edelweiss Liquid Fund - Ret - Growth 10.2565 134.63 N.A N.A N.A 0.0230 0.0932 -0.1940 4.5551 -0.5395 0.1133

Escorts Liquid Plan - Growth 12.6431 5.24 9.37 8.83 7.86 0.0232 0.0598 0.1063 2.8198 0.6148 0.0606

Fidelity Cash Fund - Retail - Growth 11.6502 369.16 8.19 7.83 N.A 0.0200 0.1031 0.1236 2.2536 0.3641 0.0395

Sahara Liquid Fund - Fixed Pricing Option - Growth 1535.2448 18.50 8.66 8.29 7.52 0.0154 0.1378 0.1111 3.4324 0.4764 0.0480

Sahara Liquid Fund - VP - Growth 1545.4119 18.50 8.89 8.51 7.75 0.0157 0.1422 0.1146 3.6437 0.4978 0.0519

HDFC Liquid Fund - Growth 17.0570 4826.12 8.89 8.44 7.75 0.0098 0.1504 0.0735 5.8823 0.7848 0.0544PRINCIPAL Cash Mgmt Fund LO- Growth 16.7594 2030.86 8.50 7.97 7.38 0.0128 0.1884 0.1081 3.9391 0.4672 0.0456

ING Liquid Fund - Growth 18.0990 517.47 8.65 8.07 7.43 0.0133 0.1356 0.0954 3.9765 0.5559 0.0488

ING Treasury Management Fund - Growth 13.2876 21.25 9.64 8.56 7.67 0.0716 0.0518 0.3215 0.9473 0.2108 0.0534

201

JM High Liquidity - Growth 23.4909 712.68 9.00 8.17 7.44 0.0148 0.1132 0.0968 4.0123 0.6140 0.0551

JPMorgan India Liquid Fund - Super IP - Growth 11.0911 246.23 9.24 N.A N.A 0.0272 0.1400 0.1965 2.3244 0.3223 0.0545Kotak Liquid - Regular - Growth 16.8086 1633.84 8.38 7.78 7.16 0.0179 0.1155 0.1173 2.7187 0.4150 0.0434

Templeton India TMA - Growth 2127.1714 2098.85 8.69 8.14 7.46 0.0165 0.1982 0.1416 3.2682 0.3808 0.0476Lotus India Liquid Fund - Regular - Growth 11.7128 975.02 8.66 8.05 N.A 0.0132 0.2286 0.1220 4.0276 0.4370 0.0479Lotus India Overnight Fund - Growth 10.8492 0.25 6.82 N.A N.A 0.0421 0.0014 0.0304 0.5079 0.7035 0.0200

ICICI Prudential Liquid Plan - Growth 20.9796 11078.80 8.53 8.21 7.54 0.0136 0.1360 0.0971 3.7463 0.5256 0.0467ICICI Prudential Liquid Plan - IP I - Growth 12.4068 11078.80 9.22 8.85 N.A 0.0129 0.1394 0.0934 4.9000 0.6790 0.0592

Quantum Liquid Fund - Growth 12.2680 19.50 9.27 8.58 N.A 0.0261 0.1686 0.2071 2.4529 0.3095 0.0548

Reliance Liquid Fund - TP - Retail - Growth 20.6163 2439.14 8.69 8.10 7.36 0.0120 0.1690 0.0959 4.4641 0.5579 0.0492

Reliance Liquidity Fund - Growth 12.9184 6598.65 9.07 8.64 7.98 0.0141 0.1302 0.0989 4.2938 0.6114 0.0561

Sundaram BNP Paribas Money Fund - Growth 17.8852 528.42 8.63 7.96 7.38 0.0128 0.1692 0.1020 4.1430 0.5184 0.0483

Tata Liquid Fund - RIP - Growth 1985.9848 5839.70 8.77 8.32 7.65 0.0143 0.1382 0.1031 3.8820 0.5375 0.0508


Canara Robeco Liquid - Growth 15.6897 1286.55 9.30 8.50 7.89 0.0222 0.1767 0.1817 2.9104 0.3564 0.0566

LIC MF Liquid Fund - Growth 15.6582 4806.83 9.36 8.66 8.08 0.0160 0.0933 0.0952 4.0935 0.6897 0.0614

SBI Magnum Insta Cash - Cash Plan 19.1926 1472.91 8.78 8.19 7.54 0.0127 0.0597 0.0601 4.3786 0.9225 0.0527

3. UTI: NA NA NA NA NA NA NA NA NA NAPeer Group Average 8.21 7.78 7.15 0.05 0.10 0.00 2.88 0.44 0.05

202

8) Monthly Income Plan(MIP): Table 5.18. shows the data relating to different schemes offered by mutual funds under monthly income plan. This plan is

mostly sought after by retired employees. There is marginal growth in the values of NAVs. This indicates marginal returns to the investors. CAGR for all the

schemes is negative for one year and marginal returns are observed for 2 years and 3 years. It indicates these schemes could not yield any return in the short-

run. Sharpe, Teynor values of the all the schemes offering MIP are negative. Even Jensen values for most of the schemes are negative.

The following aspects are observed in this regard:

Private Sector: ‘Birla Sun Life MIP-Growth’ could raise highest fund Rs.1,656.03 crores and second place goes to ‘HDFC MIP-STP-Growth

scheme’ with Rs.987.88 crores.

Public Sector (Other than UTI): Five Schemes have been considered in this category. Out of which, ‘LICMF-FRF-MIP-A Plan’ has

been shown better performance

Unit Trust of India: Only one scheme has been considered i.e. UTI-MIS-Advantage Fund-Growth’, which has high risk with standard

deviation of 1.01.

Hypothesis test: The statement is disproved. Higher risk and negative returns are observed for most of the schemes in this group. For example,

‘Birla Sunlife MIP wealth-25 Growth’ Scheme has beta value of 1.3325 and its relative return for one year is -17.11 per cent. The same trend

is observed for ‘HDFC MIP –LTP-Growth’ Scheme.

203

Table 5.18: MIP




1. Private Sector:

Fortis MIP - Growth 12.7335 59.19 -8.49 -0.03 3.92 0.8011 0.7537 0.7634 -0.2729 -0.2863 -0.0474Birla Sun Life Monthly Income Plan - Growth 26.2913 124.66 -7.27 2.10 5.61 0.8382 0.6599 0.7455 -0.2780 -0.3126 -0.0659Birla Sun Life MIP - Growth 19.5694 97.70 -9.12 1.00 4.08 0.8116 0.7072 0.7477 -0.3489 -0.3787 -0.1155Birla Sun Life MIP - Savings 5 - Growth 14.4592 1656.03 16.28 12.14 10.27 0.6534 0.0006 -0.0168 0.2386 -9.2614 0.1521

Birla Sun Life MIP - Wealth 25 - Growth 12.4157 70.07 -17.11 -4.19 1.20 1.3909 0.7653 1.3321 -0.3266 -0.3410 -0.1556DBS Chola Monthly Income Plan - Growth 16.1108 22.32 12.21 10.23 9.43 1.4220 0.5549 1.1640 0.1167 0.1426 0.4269DWS MIP Fund - Growth 13.5345 7.38 -4.08 2.73 4.79 0.7137 0.7221 0.6665 -0.2616 -0.2801 -0.0373DSP BlackRock Savings Plus - Moderate Fund - Growth 16.2562 78.01 -0.98 4.03 6.47 0.6543 0.7382 0.6174 -0.1780 -0.1887 0.0219

DSP BlackRock Savings Plus - Aggressive Fund -Growth

14.8350 71.42 -3.21 4.44 7.62 0.9788 0.7264 0.9160 -0.1607 -0.1717 0.0481DSP BlackRock Savings Plus - Conservative Fund -Growth

12.8677 3.87 1.19 3.89 5.30 0.3434 0.7079 0.3173 -0.2280 -0.2467 -0.0072HDFC MIP - STP - Growth 12.9147 82.52 -6.96 0.04 2.30 0.7671 0.8192 0.7629 -0.2897 -0.2913 -0.0512

HDFC MIP - LTP - Growth 14.6381 987.88 -12.80 0.04 4.48 1.2591 0.8539 1.2785 -0.2633 -0.2593 -0.0449HDFC Multiple Yield Fund - Growth 12.8771 45.84 -2.52 3.45 4.51 0.8068 0.7509 0.7682 -0.1673 -0.1757 0.0372

HDFC Multiple Yield Fund - Plan 2005 - Growth 11.7631 28.83 -2.65 3.76 4.52 0.6622 0.6565 0.5896 -0.2023 -0.2273 -0.0018HSBC MIP - Regular Plan - Growth 13.3504 64.66 -3.31 4.27 6.13 0.6216 0.7543 0.5910 -0.2581 -0.2715 -0.0280HSBC MIP - Savings Plan - GrowthPRINCIPAL MIP- Growth

14.216616.5543

119.7541.05

-7.49 -4.78

3.844.83

6.725.30

0.89590.8427

0.80420.7440

0.87950.7975

-0.2653-0.2086

-0.2702-0.2204

-0.04050.0030

PRINCIPAL MIP Plus - Growth 13.9981 77.85 -7.91 5.16 6.17 1.1892 0.7643 1.1406 -0.1905 -0.1986 0.0292ING MIP Fund - Growth 12.1175 3.20 -10.62 0.15 2.79 1.0253 0.9065 1.0717 -0.2843 -0.2720 -0.0512JM MIP - Growth 13.2723 9.60 -8.39 0.21 3.75 0.9108 0.6785 0.8225 -0.2469 -0.2733 -0.0404Kotak Income Plus - Growth 13.0586 21.26 -10.36 0.07 3.15 0.9844 0.8241 0.9760 -0.2761 -0.2785 -0.0530

FT India MIP - Plan B - Growth 21.1216 387.09 -11.12 1.16 4.26 1.0599 0.9039 1.1073 -0.2885 -0.2762 -0.0576

204

FT India MIP - Plan A - Growth 21.1216 387.09 -11.12 1.16 4.26 1.0599 0.9039 1.1073 -0.2885 -0.2762 -0.0576

ICICI Prudential MIP - Cumulative 19.3539 227.51 -7.20 1.18 5.06 1.1231 0.6457 0.9895 -0.1950 -0.2213 0.0028ICICI Prudential Income Multiplier Fund - Cumulative 13.4183 207.71 -16.18 -3.02 2.82 1.5830 0.8066 1.5588 -0.2423 -0.2460 -0.0340

Reliance MIP - Growth 14.6077 185.78 -0.08 3.02 7.15 1.0029 0.6457 0.8836 -0.0667 -0.0757 0.1312Sundaram BNP Paribas Monthly Income Plan - Growth 13.1478 28.00 -5.05 1.84 4.15 0.5903 0.5770 0.4920 -0.3252 -0.3902 -0.0817Tata Monthly Income Fund - Growth 15.6927 22.62 -0.32 4.71 4.82 0.5377 0.7676 0.5166 -0.1927 -0.2006 0.0122

Tata MIP Plus - Growth 12.1321 33.82 -10.33 0.99 2.88 1.2368 0.8335 1.2380 -0.2131 -0.2129 0.0140

2. Public Sector (Other than UTI):SBI Magnum MIP - Growth 17.0045 51.54 -5.77 1.27 3.59 0.7786 0.9322 0.8227 -0.2539 -0.2403 -0.0133SBI Magnum MIP - Floater - Growth 10.9506 11.87 -4.31 1.20 N.A 0.7433 0.5162 0.5844 -0.2406 -0.3060 -0.0478Baroda Pioneer MIP Fund - Growth 12.2100 0.05 -2.40 2.39 4.03 0.6797 0.0112 -0.0788 -0.2302 1.9853 -0.1741

LIC MIP - Cumulative 25.7947 127.04 -7.67 3.49 6.52 1.0950 0.8472 1.1092 -0.2040 -0.2014 0.0253LIC MF FRF - MIP- Plan A - Growth 14.1286 55.44 -5.05 6.24 8.38 1.0724 0.8162 1.0663 -0.1626 -0.1635 0.0647

3.UTI:UTI - MIS - Advantage Fund - Growth 14.4956 95.20 -10.60 1.60 5.63 1.0153 0.7233 0.9488 -0.2899 -0.3102 -0.0816

Peer Group Average -5.59 2.58 5.07 0.90 0.72 0.83 -0.22 -0.42 -0.01

205

Table 5.19 to Table 5.21 represents data relating to sectoral classification of various schemes like FMCG, Pharma, Infotech.

The following points are observed:

9. Sector Funds –FMCG: Sharpe, Teynor and Jensen values for these schemes are negative.

Private Sector: ICICI Prudential FMCG-Growth’ scheme collected high amount from investors i.e. Rs.42.66 crores which is highest

compared to other two schemes. viz., Birla Sunlife Buy India Fund Scheme and Franklin FMCG-Growth.

Hypothesis test: There is inverse relation between beta value and return. Hence, it is disproved.

206

Table 5.19: SECTOR FUNDS - FMCG


Scheme Name NAV (Rs.Cr) lYear 2 Years 3 Years Deviation R-Squared Beta Sharpe Treynor Jenson

1. Private Sector:

Birla Sun Life Buy India Fund - Growth 17.1100 32.79 -48.08 -20.77 -6.45 5.1071 0.7362 0.9612 -0.2027 -1.0771 -0.8798

Franklin FMCG Fund - Growth 295446 2002 -2600 -925 1 12 35582 08501 07197 -0 1535 -0 7589 -0 4298

ICICI Prudential FMCG - Growth 29.9800 42.66 -38.55 -14.74 -0.39 4.3390 0.7531 0.8260 -0.2018 -1.0598 -0.7418

2. Public sector (other than UTI) NA NA NA NA NA NA NA NA NA NA

3. UTI NA NA NA NA NA NA NA NA NA NA


207

10. Sector Funds-PHARMA: Total five schemes are considered in this study. The risk associated with these investments is very high. Sharpe,

Teynor and Jensen values for these schemes are negative.

Private Sector: NAV of Franklin Pharma Fund is better than other schemes. Reliance Pharma Fund-Growth scheme collected Rs.79.77 crores.

Public Sector (Other than UTI): ‘SBI Magnum Sector-Umbrella-Pharma Growth’ scheme has been considered and it shows highest

standard deviation with 5.13 and its R square value is also high with 0.80.

Unit Trust of India: ‘UTI Growth Sector Fund-Pharma and Health Care’ scheme has been considered for the study. Its beta value is

highest with 0.89. Negative returns are expected even after 3 years.

Hypothesis test: Highest beta value leads to highest negative return by the end of 2008. Hence, the statement is disproved.

208

Table 5.20: SECTOR FUNDS - PHARMA


%Returns (CAGR)

StandardDeviation


1 year 2 Years 3 Years

1. Private Sector:JM Healthcare Sector Fund - Growth 11.5718 5.12 -30.29 -17.93 -7.87 4.2879 0.8686 0.9153 -0.1334 -0.6247 -0.0850

Franklin Pharma Fund - Growth 20.4795 35.00 -23.53 -15.18 -5.91 3.6639 0.8466 0.7722 -0.1343 -0.6375 -0.0815

Reliance Pharma Fund - Growth 17.6329 79.77 -29.50 -6.60 2.26 4.9886 0.7182 0.9684 -0.1139 -0.5868 -0.0532


SBI Magnum Sector Umbrella - Pharma - Growth 17.6800 19.95 -45.03 -29.66 -15.23 5.1347 0.8064 1.0510 -0.1839 -0.8986 -0.3854

3. UTI:

UTI Growth Sector Fund - Pharma and Healthcare -Growth

17.6000 43.29 -17.82 -10.45 -3.64 4.0204 0.9418 0.8937 -0.0771 -0.3470 0.1652


209

11. Sector Funds- Infotech:

a. Total 6 schemes are observed in this category are relating to private sector only.

b. Highest fund raised by ‘Franklin Infotech Ltd’ is Rs.89.08 crores]

c. All the schemes shown negative CAGR even after 3 years.

d. Kotak Tech Fund and ICICI Prudential Technology Fund schemes are having very lowest NAVs i.e. 4.25 and 6.19 respectively.

e. All Values of Sharpe, Treynor and Jensen are negative.

Hypothesis Test: The statement is disproved because highest negative returns for high beta values in this groups.

210

Table 5.21: SECTOR FUNDS- INFOTECH


Scheme Name NAV (Rs.Cr) lYear 2Years

3 Years Deviation R-Squared


1. Private Sector:

Birla Sun Life New Millennium - Growth 9.8300 46.74 -53.28 -28.31 -8.91 4.6081 0.6068 0.6432 -0.3042 -2.1792 -0.7524

DSP BlackRock Technology.com Fund - Reg -Growth

14.4530 64.82 -53.50 -19.04 -1.25 5.1015 0.5613 0.6849 -0.2627 -1.9570 -0.6489

Kotak Tech Fund 4.2540 14.27 -56.10 -35.27 -16.49 4.8373 0.6073 0.6755 -0.3171 -2.2710 -0.8522

Franklin Infotech Fund - Growth 25.1776 89.08 -41.07 -30.96 -11.62 5.1897 0.9903 0.9236 -0.1947 -1.0939 -0.0780

ICICI Prudential Technology Fund - Growth 6.1900 48.68 -56.60 -33.15 -13.26 5.0806 0.4246 0.5932 -0.2948 -2.5248 -0.8989

Tata Life Sciences and Technology Fund - Appr 26.0890 23.59 -48.60 -25.27 -7.14 4.5031 0.5357 0.5916 -0.2738 -2.0841 -0.6358

2. Public Sector (Other than UTI): NA NA NA NA NA NA NA NA NA NA

3. UTI: NA NA NA NA NA NA NA NA NA NA


12) Short-Term Income Scheme: Table 5.22 is allotted for Short-term Income Schemes. It is

interesting to note that almost all the schemes are performing better. NAVs of all the schemes are

showing positive value i.e. greater their face value. The following are important observations:

Private Sector: Nearly 60 per cent improvement is observed with respect to ‘HDFC

HIF-STP-Growth Scheme’. The highest amount of fund is raised by “Birla Sunlife

Opportunities Fund’ i.e. Rs.2819.66 crores .

Public Sector (Other than UTI): Three schemes are examined in this group.

But their performance is relatively poor than that of private sector mutual

funds.

Unit Trust of India: Only one scheme was observed. Its performance also

poor when it compared with other schemes in this group.

Hypothesis Test; The statement is justified. For example, beta value of ‘Fortis

Short term income fund’ is 0.3480 and its CAGR is 9.56 per cent while beta value

for ‘Birla sunlife shor-term fund growth’ scheme is 0.2059 and its relative return is

8.71 per cent in one year. Thus, there is direct relation between beta and return in

this group.

212

Table 5.22: SHORT-TERM INCOME SCHEMEFundSize


SchemeName

NAV (Rs.Cr) lYear 2Years

3Years

Deviation R-Squared


1. Private Sector :

Fortis Short Term IncomeFund - Growth

13.0686 129.10 9.56 7.93 7.20 0.0988 0.1900 0.3480 0.6934 0.1969 0.0615

Birla Sun Life Short TermFund - Growth

15.5486 2584.24 8.71 9.33 8.38 0.0578 0.2063 0.2059 0.9266 0.2599 0.0494

AIG Short Term Fund -Retail - Growth

1052.8135 21.60 N.A N.A N.A 0.1193 0.3799 0.5610 0.1787 0.0380 0.0100

IDFC SSIF - Short Term -Plan A - Growth

16.8671 24.69 6.63 7.64 7.02 0.2109 0.4709 1.1434 0.0451 0.0083 -0.0136

Birla Sun Life Short TermOpportunities Fund - Ret -Growth

12.8865 2819.66 6.06 5.85 5.32 0.1731 0.0499 0.3034 0.0205 0.0117 -0.0026

DWS Short Maturity Fund -Growth

14.3152 35.32 7.22 7.54 6.92 0.2145 0.6630 1.3733 0.1287 0.0201 -0.0001

DSP BlackRock Short TermFund - Growth

14.7534 38.91 8.65 7.40 7.16 0.0275 0.3717 0.1331 1.9090 0.3949 0.0499

Fidelity Short Term IncomeFund - Growth

11.6502 24.72 7.22 6.97 N.A 0.1333 0.5121 0.7563 0.1798 0.0317 0.0087

HDFC Short Term Plan -Growth

15.5117 64.91 8.57 8.55 7.73 0.1411 0.5390 0.8143 0.3271 0.0567 0.0297

HSBC Income Fund - S T P- Reg - Growth

14.4346 22.10 9.02 8.05 7.41 0.0508 0.2486 0.1988 1.1599 0.2964 0.0549

PRINCIPAL Income Fund -STP - Growth

15.1600 25.40 6.54 6.96 6.83 0.1270 0.5706 0.7593 0.0886 0.0148 -0.0041

ING Short Term IncomeFund - Growth

15.3352 31.12 8.02 8.68 7.99 0.1514 0.4103 0.7641 0.2855 0.0566 0.0278

JM Short Term Fund -Growth

16.2670 13.19 14.25 11.49 9.57 0.4242 0.1596 1.3437 0.3261 0.1030 0.1112

213

Kotak Bond Short Term Plan- Growth

15.4274 74.20 6.97 7.99 7.54 0.1448 0.3561 0.6829 0.1315 0.0279 0.0053

Templeton India STIP -Growth

1581.0357 529.05 7.30 8.40 7.66 0.1585 0.5271 0.9123 0.1273 0.0221 0.0018

Lotus India Short Term Plan- Regular - Growth

11.5571 629.90 7.63 N.A N.A 0.1282 0.5060 0.7231 0.2642 0.0468 0.0193

ICICI Prudential STP -Growth

16.6282 166.62 9.55 9.23 8.30 0.2393 0.3999 1.2022 0.2524 0.0502 0.0362

Reliance Short Term Fund -Growth

15.0486 232.33 7.66 8.62 7.97 0.1032 0.6430 0.6562 0.3229 0.0508 0.0201

Sundaram BNP ParibasSelect Debt - S T A P -Appreciation

14.7991 0.36 7.46 7.64 7.27 0.0246 0.0235 -0.0298

1.3949 -1.1492 0.0349

Tata Short Term Bond Fund- Growth

15.6041 27.26 9.47 9.52 8.40 0.1183 0.5066 0.6675 0.4656 0.0825 0.0416

HDFC HIF - S T P - Growth 15.9585 242.29 9.23 9.32 8.29 0.0908 0.6820 0.5895 0.6283 0.0968 0.0451

2. Public Sector (otherthan UTI)

SBI SHF - Short Term -Retail - Growth

10.9186 1.11 6.83 N.A N.A 0.0446 0.0475 0.0767 0.5036 0.2930 0.0209

SBI Magnum NRIInvestment Fund - ShortTerm Bond Plan - Grow

10.8985 0.23 1.31 0.87 1.37 0.0264 0.0212 -0.0303

-3.0161 2.6247 -0.0790

LIC Short Term Plan -Growth

13.4564 1.49 8.54 6.86 6.40 0.1308 0.0071 0.0870 0.3909 0.5877 0.0494

3. UTI

UTI Short Term IncomeFund - Ret - Growth

14.1152 15.36 8.53 8.09 7.68 0.0872 0.2209 0.3221 0.5862 0.1586 0.0446


214

11) Tax Scheme: Table 5.23 represents performance evaluation of ‘Tax Schemes’. The

following points are observed:

a. NAVs of 7 schemes out of 24 schemes are having less than their face value.

b. The highest fund raised by ‘SBI Magnum Tax Gain Scheme-93 Grwoth’ amounting to

Rs.2,282.90 crores. Second position occupied by ‘HDFC Tax Saver-Growth’ scheme(

Rs.952.64 per cent)

c. CAGR for one year is high negative value i.e. on average 55 per cent. However, there is

significant improvement over the two year and 3 years.

d. Risk associated with these schemes is very high..

e. Sharpe, Treynor and Jensen values for all the schemes is negative.

Hypothesis Test: This statement is justified as beta value increases there is improvement in

the returns. For instance, Beta value of ‘Baroda Pioneer ELSS 96’ is o.732 and its return is -

57.31 per cent. In case of ‘Birla Sunlife Tax Plan-Growth’s beta value is 0.8133 and its

return is -55.39 per cent in one year.

215

Table 5.23: TAX SCHEMEFundSize


SchemeName

NAV (Rs.Cr) lYear 2Years

3Years

Deviation R-Squared


Birla Sun Life Tax Plan –Growth

6.7000 88.41 -55.39 -21.58 N.A 5.2406 0.8334 0.8133 -0.2554 -1.6460 -0.2355

Birla Sun Life Tax Relief 96– Growth

4.6800 407.66 N.A N.A N.A 6.0841 0.9441 0.9723 -0.2931 -1.8342 -0.4645

DWS Tax Saving Fund –Growth

6.9841 42.73 -58.27 -19.74 N.A 5.7246 0.8699 0.9077 -0.2422 -1.5274 -0.1552

DSP BlackRock Tax SaverFund – Growth

7.4210 334.60 -52.91 N.A N.A 5.6600 0.8128 0.8675 -0.2123 -1.3856 -0.0252

Escorts Tax Plan – Growth 27.6054 3.38 -58.42 -20.64 -2.68 4.7200 0.6153 0.6288 -0.3144 -2.3597 -0.6308

Sahara Taxgain – Growth 16.0222 4.42 -47.61 -12.06 0.16 5.1844 0.8519 0.8135 -0.2025 -1.2903 0.0538

Taurus Libra Taxshield –Growth

14.8200 10.67 -52.63 -7.64 -6.75 5.6877 0.7631 0.8446 -0.2001 -1.3472 0.0078

HDFC Long TermAdvantage Fund – Growth

55.5600 515.74 -53.19 -22.04 -8.12 4.8862 0.9178 0.7958 -0.2573 -1.5801 -0.1779

HSBC Tax Saver EquityFund – Growth

6.9672 165.87 -49.72 N.A N.A 4.8425 0.8776 0.7712 -0.2415 -1.5161 -0.1231

PRINCIPAL Tax SavingsFund

38.6000 142.42 -64.80 -25.06 -5.54 5.8957 0.8274 0.9031 -0.3138 -2.0487 -0.6251

ING Tax Saving Fund –Growth

11.8400 27.02 -65.03 -32.91 -14.78 6.5661 0.8388 1.0223 -0.2550 -1.6380 -0.2878

Principal Personal Taxsaver 42.6800 244.48 -61.35 -20.14 -2.35 6.9307 0.6511 0.9423 -0.3419 -2.5148 -1.0915

JM Tax Gain Fund – Growth 3.8097 30.20 N.A N.A N.A 6.9532 0.8556 1.0317 -0.4107 -2.7677 -1.4560

Franklin India Taxshield –Growth

92.1887 384.76 -49.73 -14.94 -0.93 5.2209 0.9618 0.8704 -0.2211 -1.3265 0.0261

ICICI Prudential Taxplan –Growth

49.9200 435.29 -55.88 -26.15 -10.62 5.4990 0.8448 0.8592 -0.2499 -1.5992 -0.2085

Sundaram BNP ParibasTaxsaver – (Open EndedFund) – Growth

22.1711 434.93 -47.47 -9.62 5.20 4.8274 0.8415 0.7528 -0.2260 -1.4490 -0.0697

Tata Tax Saving Fund 25.2291 87.19 -55.45 -20.62 -6.93 5.4268 0.8698 0.8578 -0.2606 -1.6486 -0.2506

Franklin India Index TaxFund

20.7396 1.74 -53.22 -18.32 -0.54 5.7030 0.9765 0.9580 -0.2193 -1.3057 0.0486

HDFC Taxsaver – Growth 88.3320 952.64 -54.81 -22.87 -5.97 5.0572 0.9199 0.8246 -0.2591 -1.5894 -0.1921

2. Public Sector (Otherthan UTI)

Baroda Pioneer ELSS 96 11.8600 8.32 -57.31 -23.05 -9.64 5.4764 0.8827 0.8732 -0.2580 -1.6180 -0.2284

Canara Robeco EquityTaxsaver

9.8200 18.49 -50.39 -13.98 0.54 5.7974 0.7975 0.8801 -0.2592 -1.7071 -0.3086

216

SBI Magnum Tax GainScheme 93 – Growth

27.9200 2282.90 -55.91 -20.17 -2.07 5.3343 0.9480 0.8797 -0.2473 -1.4996 -0.1259

LIC Tax Plan – Growth 15.2129 25.91 -57.13 -23.82 -8.94 6.0938 0.9247 0.9956 -0.2202 -1.3480 0.0084

3. UTI

UTI Equity Tax Savings Plan– Growth

19.7200 218.55 -54.09 -20.78 -7.36 5.1109 0.9424 0.8415 -0.2648 -1.6084 -0.2120


217

5.C. FINDINGS AND CONCLUSION:

Findings: The following are the major findings in this study of 311 schemes of which 260

schemes in private sector, 35 schemes in public sector (other than UTI) and 16 schemes in

UTI.

Sharpe Analysis: 114 schemes are low performing in private sector. In case of

public sector 17 schemes and in case of Unit Trust of India, 10 schemes were shown

poor performance, because their Sharpe measure is less than zero. It is interesting to

note that, Liquid Fund and Floating Rate Income Schemes in all the three sectors have

shown better performance than other type of funds. Low performance have been

observed in case of Equity Schemes and Monthly Income schemes offered by all the

three sectors.

Treynor Analysis: 111 schemes are low performing in private sector. In case of


poor performance, because their Treynor measure is less than zero. It is interesting

to note that, Floating Rate Income Schemes, Gilt- Long term, and Short Term, in all

the three sectors have shown better performance than other type of funds. Low

performance have been observed in case of Balanced Schemes and Equity schemes

offered by all the three sectors.

Jensen Analysis: 110 schemes are low performing in private sector. In case of public

sector 20 schemes and in case of Unit Trust of India, 7 schemes were shown better

performance, because their Treynor measure is less than zero. It is interesting to note

that, Income Fund and Liquid Fund schemes relating to all the three sectors have

shown medium performance than other type of funds. Better performance has been

observed in case of Floating Rate Income schemes and Equity schemes offered by all

the three sectors.

218

CAGR Analysis: 52 schemes are having negative CAGR in private sector. In case of


negative CAGR for 3 year period. It is observed that the various schemes of ‘Floating

Rate Income schemes’ ‘Gilt Short-term’, ‘Gilt Long term’ and “ Liquid Funds’ have

shown constant returns in all the three sectors. A positive CAGR for 3 year period

is observed Better performance has been observed in case of Floating Rate Income

schemes and Equity schemes offered by all the three sectors.

COREELATION OF A FUND MOVEMENT (R2): 110 schemes are have shown

a higher value of R2 (> 0.61) in private sector. In case of public sector 12 schemes

and in case of Unit Trust of India, 10 schemes were shown a high risk measure.


sector(other than UTI) and 4 schemes of UTI. It is observed that the various schemes

of ‘ Equity Schemes’, “Balanced Schemes” and “Month Income Plan’ in the private

sector have shown higher rate of risk. A less rate of risk is observed in case of 19

schemes out of 35 schemes observed in the public sector(other than UTI).

STANDARD DEVIATION-ANALYSIS:

117 schemes are have shown a lower value of ‘ sd’ (< 0.50) in private sector.

In case of public sector 16 schemes and in case of Unit Trust of India, one scheme is

having lowest rate of standard deviation. Medium risk was observed for 53 schemes

in private sector, 8 schemes in public sector(other than UTI) and 2schemes of UTI. It

is observed that the various schemes of ‘ Equity Schemes’, “Balanced Schemes” and

“Month Income Plan’ in the private sector have shown higher rate of risk.

BETA ANALYSIS: 223 schemes are have shown a lower value of ‘ BETA’

(< 1) in private sector. In case of public sector 29 schemes and in case of Unit

Trust of India, all the 16 schemes have shown lowest beta value.It is observed

219

that the 13 schemes of ‘ Income Fund’, 9 schemes of “ Monthly Income

Schemes” in the private sector have shown higher rate of risk ( with beta >1) .

A higher value of beta indicates higher risk of the scheme and vice-versa. The

results are indicating that only a few schemes are having higher risk rate i.e. beta

> 1. For instance, 37 schemes in private sector and 6 schemes in public sector

(other than UTI) have shown high risk rate with beta >1.

CONCLUSION:

The performance evaluation measures like standard deviation, beta, sharpe, treynor

and Jensen etc indicates that the performance of public sector schemes are comparatively

better than that of private sector schemes. At the same time, short term schemes are facing

high risk and high volatility where as long term schemes are consistent in giving returns to

the investors.

5.a. theoretical frame work - information and library...

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