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Lal Bahadur Shastri Institute of Management, Delhi

LBSIM Working Paper Series

LBSIM/WP/2020/05

Applying a Bootstrap Analysis to

Evaluate the performance of Indian

Mutual Funds

Anuj Verma

August,2020

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LBSIM Working Papers indicate research in progress by the author(s) and are brought out to elicit ideas,

comments, insights and to encourage debate. The views expressed in LBSIM Working Papers are those of the

author(s) and do not necessarily represent the views of the LBSIM nor its Board of Governors.

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WP/August2020/05

LBSIM Working Paper

Research Cell

Applying a Bootstrap Analysis to Evaluate the Performance of Indian Mutual

Funds

ANUJ VERMA

Associate Professor- Lal Bahadur Shastri Institute of Management, Delhi

August,2020

ABSTRACT

There are many investment avenues in India, but there is lack of awareness and information about

these financial investments among the people. As a result, an investor does not know which avenue

will provide best return. If the person does not have knowledge of how to get maximum benefit

with minimum risk, then one should invest in mutual fund. There are many types of funds and

schemes available in mutual fund market.

To fulfill the purpose of the Research paper, an extensive research was done to understand the

working of the Mutual Fund industry of India. The primary objective of the paper is to know

which funds give best results under their respective fund category. Forty Indian open-ended large

cap equity-oriented schemes having highest assets under management were selected. The data,

which is the daily NAV of the equity funds and the closing of Nifty Index, were collected for a

period of five years starting from 01/04/2013 to 31/03/2018. Finally, Bootstrapping technique

has been used to evaluate the performance of mutual funds.

Keywords: Financial Investment, Mutual Fund, Fund Category

JEL Classification: G24, G30, G11.

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Applying a Bootstrap Analysis to Evaluate the Performance of Indian Mutual

Funds

INDUSTRY OVERVIEW

India has a very dynamic financial sector which is undergoing rapid changes, both in existing and

new financial firms. This sector includes financial institutions such as- non-banking financial

companies, commercial banks, co-operatives, insurance companies, mutual funds, pension funds

and other related fintech entities. The Government of India has introduced several reforms to

liberalize, regulate and enhance this industry. The asset management industry in India is among

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the fastest growing industry in the world. Currently, 44 Asset Management Companies (AMCs) are

operating in the country. The Asset Under Management (AUM) of the Indian mutual fund industry

has been increasing rapidly with a Compounded Annual Growth Rate (CAGR) of 15%. It made a leap

of nearly 22 % from financial year 2016-17 to 2017-18 and the total AUM stood at Rs23.36 lakh

crore on March 2018. The below bar graph indicates the growth of AUM from 2008- 2018.

The amount of equity (MF) portfolios have increased to of 2.27 billion in 2018 which was recorded

the highest. The number of listed companies on NSE and BSE increased from 6,445 in FY10 to

7,501 in March 2018. The market capitalization of all the companies listed on the BSE reached a

record Rs 150 lakh crore (US$ 2.33 trillion) backed by high gains in the broader market. To raise

capital, companies are now preferring to opt for Initial Public Offers (IPOs). This is because the

number of retail investors opting for equity market have increased. The total amount of Initial

Public Offerings increased to Rs 84,357 crore (US$ 13,089 million) by the end of FY18.

The Bombay Stock Exchange listed companies have reached market capitalization of Rs 150 lakh

crore. Also, by the end of financial year 2017-18 the market for Initial Public Offer (IPO) stood at

nearly Rs84,357 crore.

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The Government of India has realized the importance of small merchants and have relaxed the

norms and regulations of turnover up to Rs 2 crore. This will in turn help them to pay 6% of profit

in tax which was previously 8% of total turnover. The Government of India has also launched the

'Bharat 22' exchange traded fund (ETF), which will be managed by ICICIPrudential Mutual Fund,

and is looking to raise Rs 8,000 crore (US$ 1.22 billion) initially. According to Association of

Mutual Funds in India (AMFI) the mutual fund sector has witnessed huge investment in the form

of SIP and is expected to see a growth of more than three times in investor’s accounts which will

turn up to 130 million by 2020. RBI has allowed 100% foreign investment under the automatic

route in “other financial services”. The Securities Exchange Board of India (SEBI) has allowed

exchanges in India to operate in equity and commodity segment simultaneously starting from

October 2018. All these initiatives would go a long way to enhance the growth of financial

industry.

OBJECTIVES OF THE STUDY

1) To evaluate and compare the performance of various mutual fund schemes.

2) To know which schemes has given best performance under their respective fund category.

3) To apply bootstrap statistical analysis and examine the impact of market, size of

portfolio and value of portfolio on the performance of mutual funds in India.

LITERATURE REVIEW

“Applying a Bootstrap Analysis to Evaluate the Performance of Chinese Mutual Funds”

Long-Hui Chen and Hsin-Hung Chen, 2017

In this paper, the performance of Chinese mutual funds has been evaluated by the authors. For the

empirical study, 434 open ended equity schemes were selected which exist from January 2001.

The schemes that provided returns and relevant data for at least two years were taken into the

sample set. For evaluating the performance of mutual funds statistical tools such as- Cahart four

factor model and Jensen Alpha were used. The results from these statistical tools showed that

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excellent management skills were demonstrated by the fund managers while selecting the stocks.

After using performance measures bootstrapping analysis was done on the sample. The alphas

were bootstrapped and then ranked in descending order. After comparing actual alphas with

bootstrapped alphas it was concluded that the positive returns generated by the mutual fund

schemes was due to stock picking ability of the fund manager and not due to luck.

“Performance of equity mutual funds in Brazil- A bootstrap analysis”

Marco Antonio Laes, Marcos Eugenio da Silva, 2014

This paper evaluates the performance of mutual funds in Brazil. For analysis, daily nav of the

mutual fund schemes were collected for ten years (2002-2012). There were two criteria for

considering a scheme in a sample set. The first criteria was a scheme should have atleast one year’s

history and the second criteria is that the net asset value of the fund should exceed $2 million. The

authors have used Cahart four factor model to evaluate the Brazilian mutual funds. It was found

that out of the four factors small minus big and market were two factors that were impacted by the

2008 crisis the most. Then bootstrap simulation was done to identify the luck factor present in the

schemes. It was observed that the returns generated by the schemes were mostly due to luck than

skill of the manager. Also, bad management of the managers has led to poor performance of the

fund.

METHODOLOGY

DATA COLLECTION METHOD

For the purpose of the research the information and details were collected via secondary data. To

have an overview of mutual funds industry in India, secondary information have been collected from

newspapers, reference books and fact sheets. The data used for calculations such as NAV history

of a fund, returns generated by portfolio have been collected from websites of Association of

Mutual Funds India (AMFI), Reserve Bank of India (RBI), Asset Management Companies (AMC),

Value Research and other sources. Forty Indian open-ended large cap equity schemes were selected

which have the highest Asset Under Management (AUM) and their daily NAV were collected for

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a period of five years starting from 01/04/2013 to 31/03/2018. Also, every scheme’s benchmark

index data was collected in order to obtain return of the market.

TOOLS

The statistical tools used to evaluate the performance of mutual fund schemes are-

a) Sharpe Measure

b) Treynor Measure

c) Jensen Alpha Measure

d) M square Measure

e) Bootstrap Procedure

CALCULATIONS

1) Sharpe Measure- To calculate Sharpe measure, three years return of the portfolio,

three years risk free return government securities and standard deviation has been

used.

2) Treynor Measure- To calculate Treynor measure, three years risk free return of

government securities, portfolio and fund’s beta is used.

3) Jensen Alpha- To calculate Jensen Alpha, past three years return of the fund, past three

years risk free return of government securities, average three years return of benchmark

index (Nifty) and fund’s beta is used

4) M-Square Measure- For calculating M- Square, Sharpe ratio, standard deviation of the

excess return and three years risk free return government securities is used.

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PERFORMANCE EVALUATION ON DIFFERENT PARAMETERS

1. Return- An investor cannot depend solely on a year’s return. One must always look at

the returns given by the fund at various time frames. This will tell how well and

consistent the fund has been performing in the last few years

The below table shows the returns generated by various equity funds & balanced funds (also called

hybrid equity fund).

Fund name 1 year

return

(%) as of

08-05-

2018

3 years

return (%)

as of

08-05-2018

5 years

return (%)

as of

08-05-2018

10 years

return (%)

as of

08-05-2018

All equity 12.92 11.01 16.60 11.21

Large cap 12.92 10.01 14.01 9.21

Mid and small cap 13.02 14.83 24.79 14.41

Balanced fund equity oriented 8.34 9.44 14.84 10.69

Equity funds- technology 37.55 11.78 21.30 11.12

Equity funds- pharma 1.36 -1.58 12.98 16.22

Equity funds - infrastructure 10.01 11.12 17.75 5.96

Equity funds- diversified 12.33 11.04 17.84 10.55

Equity funds- thematic 13.40 14.68 18.74 11.87

ELSS 11.57 12.41 19.03 10.59

Source: Valueresearch

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2. Diversification- the main reason people prefer mutual funds over investing directly in

equity market is because the funds diversify the risk by allocating small amount of assets

into various sectors. These asset allocation details are given in scheme information

document (SID) of every fund.

3. Expense Ratio- Expense ratio is a percentage of asset under management taken by the

fund company for performing their services for investors. The NAV of a fund is declared

after accounting for expense ratio. Expense ratio = fund’s operating expenses/ average

asset under management. The below table shows the expense ratio of all selected

schemes

Name Expense Ratio Name Expense Ratio

Aditya Birla Sun Life Frontline

Equity Fund (G)

1.97% Canara Robeco Bluechip

Equity Fund (G)

3%

SBI Blue Chip Fund-Regular

Plan (G)

1.98% Aditya Birla Sun Life

Index Fund

0.80%

ICICI Prudential Bluechip

Fund (G)

2.1% Edelweiss Large Cap Fund

(G)

1.60%

HDFC Top 100 Fund (G) 2.14% SBI Nifty Index Fund 0.65%

Reliance Large Cap Fund (G)

2.26% Taurus Largecap Equity

Fund

2.80%

Franklin India Bluechip Fund

(G)

2.03% Baroda Large cap Fund (G)

2.95%

UTI - Master Share (G)

2.33% Essel Large Cap Equity

Fund

2.79%

Axis Bluechip Fund (G) 2.29% JM Core 11 Fund 1.56%

JM Large Cap Fund (G)

2.08% Principal Nifty 100 Equal

Weight Fund

0.60%

DSP Top 100 Equity Fund (G)

2.23% Reliance Index Fund -

Sensex Plan

0.98%

Kotak Bluechip Fund (G) 2.16% Quant Focused Fund 2.50%

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BNP PARIBAS LARGE CAP

Fund (G)

2.33% Aditya Birla Sun Life

Focused Equity Fund

2.03%

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Tata Large Cap Fund (G)

1.42% Motilal Oswal Focused

25 Fund

2.07%

HSBC Large Cap Equity Fund

(G)

2.5% Sundaram Select

Focus Fund

2.46%

L&T India Large Cap Fund (G)

2.67% HDFC Index Fund - Sensex

Plan

0.30%

IDFC Large Cap Fund (G) 2.62% LIC MF Index-Sensex Plan 1.55%

IDBI India Top 100 Equity

Fund (G)

2.54% Tata Index Nifty Fund

1.27%

Indiabulls Blue Chip Fund (G) 2.51% Taurus Nifty Index Fund 1.67%

LIC MF Large Cap Fund (G) 2.55% LIC MF Index-Nifty Plan 1.20%

Invesco India Largecap Fund

(G)

2.64% IDFC Nifty Fund

0.27%

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LARGE CAP FUNDS

According to SEBI, top 100 companies in terms of market capitalization will come under the large

cap segment.

Name of funds Sharpe

Measure

Treynor

Measure

Jensen Alpha

Measure

M Square

Measure

Aditya Birla Sun Life

Frontline Equity Fund (G)

0.70 1.98 0.05 12.27%

SBI Blue Chip Fund (G) 0.52 0.96 0.04 10.55%

ICICI Prudential Bluechip

Fund (G)

0.86 2.51 0.06 13.75%

HDFC Top 100 Fund (G) 1.04 4.16 0.09 15.87%

Reliance Large Cap Fund (G) 0.86 2.5 0.06 14.47%

Franklin India Bluechip

Fund(G)

0.52 0.95 0.04 10.54%

UTI - Master Share(G) 0.73 2.23 0.06 11.84%

Axis Bluechip Fund (G) 1.42 5.43 0.11 14.49%

JM Large Cap Fund-(G) 0.51 0.95 0.04 9.29%

DSP Top 100 Equity Fund

(G)

0.49 0.48 0.04 10.28%

Kotak Bluechip Fund (G) 0.55 1.64 0.05 10.83%

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BNP PARIBAS LARGE

CAP Fund (G)

0.44 0.14 0.04 9.95%

Tata Large Cap Fund Regular

Plan (G)

0.53 1.57 0.05 10.80%

HSBC Large Cap Equity

Fund(G)

0.72 2.14 0.05 13.15

L&T India Large Cap Fund

Regular Plan (G)

0.53 1.55 0.04 10.35

IDFC Large Cap Fund-

Regular Plan (G)

0.76 2.28 0.07 13.05

IDBI India Top 100 Equity

Fund (G)

0.32 0.02 0.03 8.87%

Indiabulls Blue Chip Fund

(G)

0.79 2.3 0.06 13.06%

LIC MF Large Cap Fund (G) 0.78 2.3 0.06 11.56%

Invesco India Largecap

Fund(G)

0.67 1.79 0.05 11.35%

Canara Robeco Bluechip

Equity Fund (G)

0.99 3.99 0.08 12.50%

Aditya Birla Sun Life

Index Fund

0.80 2.36 0.06 12.00%

Edelweiss Large Cap Fund

(G)

0.75 2.25 0.06 12.10

SBI Nifty Index Fund 0.88 2.54 0.07 12.60%

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Taurus Largecap Equity Fund 0.02 0.01 0.01 6.50%

Baroda Large cap Fund (G) 0.60 1.78 0.05 10.40%

Essel Large Cap Equity Fund 0.45 0.44 0.04 10.10%

JM Core 11 Fund 1.00 3.99 0.11 16.70%

Principal Nifty 100 Equal

Weight Fund

0.22 0.01 0.02 8.50%

Reliance Index Fund -

Sensex Plan

0.97 3.52 0.06 12.70%

Quant Focused Fund 0.38 0.02 0.03 9.60%

Aditya Birla Sun Life

Focused Equity Fund

0.50 0.94 0.04 10.60%

Motilal Oswal Focused

25 Fund

0.53 1.39 0.04 10.70%

Sundaram Select

Focus Fund

0.83 2.49 0.06 12.60%

HDFC Index Fund - Sensex

Plan

1.09 4.16 0.1 13.70%

LIC MF Index-Sensex Plan 0.91 2.96 0.06 12.30%

Tata Index Nifty Fund 0.90 2.61 0.07 12.60%

Taurus Nifty Index Fund 0.92 3.22 0.07 12.20%

LIC MF Index-Nifty Plan 0.74 2.23 0.06 11.70%

IDFC Nifty Fund 0.96 3.42 0.06 13.10%

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RANKING ACCORDING TO MEASURES

Rank Sharpe Measure Treynor Measure Jensen Alpha

Measure

M Square Measure

1 Axis Bluechip Fund Axis Bluechip Fund Axis Bluechip Fund Axis Bluechip Fund

2 HDFC

Index Fund -

Sensex Plan

HDFC Index Fund -

Sensex Plan

HDFC Index Fund -

Sensex Plan

HDFC Index Fund -

Sensex Plan

3 HDFC Top 100

Fund (G)

HDFC Top 100 Fund

(G)

HDFC Top 100 Fund

(G)

HDFC Top 100 Fund

(G)

4 JM Core 11 Fund JM Core 11 Fund JM Core 11 Fund JM Core 11 Fund

5 Canara Robeco

Bluechip Equity

Fund (G)

Canara Robeco

Bluechip Equity

Fund (G)

Canara Robeco

Bluechip Equity

Fund (G)

Canara Robeco

Bluechip Equity

Fund (G)

6 Reliance

Index Fund -

Sensex Plan

Reliance

Index Fund - Sensex

Plan

Reliance

Index Fund - Sensex

Plan

Reliance

Index Fund - Sensex

Plan

7 IDFC Nifty Fund IDFC Nifty Fund IDFC Nifty Fund IDFC Nifty Fund

8 Taurus Nifty

Index Fund

Taurus Nifty

Index Fund

Taurus Nifty

Index Fund

Taurus Nifty

Index Fund

9 LIC MF Index-

Sensex Plan

LIC MF Index-

Sensex Plan

LIC MF Index-

Sensex Plan

LIC MF Index-

Sensex Plan

10 Tata Index

Nifty Fund

Tata Index

Nifty Fund

Tata Index

Nifty Fund

Tata Index

Nifty Fund

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11 SBI Nifty

Index Fund

SBI Nifty

Index Fund

SBI Nifty

Index Fund

SBI Nifty

Index Fund

12 ICICI Prudential

Bluechip Fund (G)

ICICI Prudential

Bluechip Fund (G)

ICICI Prudential

Bluechip Fund (G)

ICICI Prudential

Bluechip Fund (G)

13 Reliance Large Cap

Fund (G)

Reliance Large Cap

Fund (G)

Reliance Large Cap

Fund (G)

Reliance Large Cap

Fund (G)

14 Sundaram Select

Focus Fund

Sundaram Select

Focus Fund

Sundaram Select

Focus Fund

Sundaram Select

Focus Fund

15 Aditya Birla Sun

Life Index Fund

Aditya Birla Sun Life

Index Fund

Aditya Birla Sun Life

Index Fund

Aditya Birla Sun

Life Index Fund

16 Indiabulls Blue

Chip Fund (G)

Indiabulls Blue Chip

Fund (G)

Indiabulls Blue Chip

Fund (G)

Indiabulls Blue Chip

Fund (G)

17 LIC MF Large Cap

Fund (G)

LIC MF Large Cap

Fund (G)

LIC MF Large Cap

Fund (G)

LIC MF Large Cap

Fund (G)

18 IDFC Large Cap

Fund-Regular Plan

(G)

IDFC Large Cap

Fund-Regular Plan

(G)

IDFC Large Cap

Fund-Regular Plan

(G)

IDFC Large Cap

Fund-Regular Plan

(G)

19 Edelweiss Large

Cap Fund (G)

Edelweiss Large Cap

Fund (G)

Edelweiss Large Cap

Fund (G)

Edelweiss Large Cap

Fund (G)

20 LIC MF Index-

Nifty Plan

LIC MF Index-Nifty

Plan

LIC MF Index-Nifty

Plan

LIC MF Index-Nifty

Plan

21 UTI - Master

Share(G)

UTI - Master

Share(G)

UTI - Master

Share(G)

UTI - Master

Share(G)

22 HSBC Large Cap

Equity Fund(G)

HSBC Large Cap

Equity Fund(G)

HSBC Large Cap

Equity Fund(G)

HSBC Large Cap

Equity Fund(G)

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23 Aditya Birla Sun

Life Frontline

Equity Fund (G)

Aditya Birla SunLife

Frontline Equity

Fund (G)

Aditya Birla Sun Life

Frontline Equity

Fund (G)

Aditya Birla Sun

Life Frontline Equity

Fund (G)

24 Invesco India

Largecap Fund(G)

Invesco India

Largecap Fund(G)

Invesco India

Largecap Fund(G)

Invesco India

Largecap Fund(G)

25 Baroda Large cap

Fund (G)

Baroda Large cap

Fund (G)

Baroda Large cap

Fund (G)

Baroda Large cap

Fund (G)

26 Kotak Bluechip

Fund (G)

Kotak Bluechip Fund

(G)

Kotak Bluechip Fund

(G)

Kotak Bluechip

Fund (G)

27 Tata Large Cap

Fund Regular Plan

(G)

Tata Large Cap Fund

Regular Plan (G)

Tata Large Cap Fund

Regular Plan (G)

Tata Large Cap Fund

Regular Plan (G)

28 L&T India Large

Cap Fund Regular

Plan (G)

L&T India Large Cap

Fund Regular Plan

(G)

L&T India Large Cap

Fund Regular Plan

(G)

L&T India Large Cap

Fund Regular Plan

(G)

29 Motilal Oswal

Focused 25 Fund

Motilal Oswal

Focused 25 Fund

Motilal Oswal

Focused 25 Fund

Motilal Oswal

Focused 25 Fund

30 SBI Blue Chip

Fund (G)

SBI Blue Chip Fund

(G)

SBI Blue Chip Fund

(G)

SBI Blue Chip Fund

(G)

31 Franklin India

Bluechip Fund(G)

Franklin India

Bluechip Fund(G)

Franklin India

Bluechip Fund(G)

Franklin India

Bluechip Fund(G)

32 JM Large Cap

Fund-(G)

JM Large Cap Fund-

(G)

JM Large Cap Fund-

(G)

JM Large Cap Fund-

(G)

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33 Aditya Birla Sun

Life Focused

Equity Fund

Aditya Birla Sun Life

Focused Equity Fund

Aditya Birla Sun Life

Focused Equity Fund

Aditya Birla Sun

Life Focused

Equity Fund

34 DSP Top 100

Equity Fund (G)

DSP Top 100 Equity

Fund (G)

DSP Top 100 Equity

Fund (G)

DSP Top 100 Equity

Fund (G)

35 Essel Large Cap

Equity Fund

Essel Large Cap

Equity Fund

Essel Large Cap

Equity Fund

Essel Large Cap

Equity Fund

36 BNP PARIBAS

LARGE CAP Fund

(G)

BNP PARIBAS

LARGE CAP Fund

(G)

BNP PARIBAS

LARGE CAP Fund

(G)

BNP PARIBAS

LARGE CAP Fund

(G)

37 Quant

Focused Fund

Quant Focused Fund

Quant Focused Fund

Quant Focused Fund

38 IDBI India Top 100

Equity Fund (G)

IDBI India Top 100

Equity Fund (G)

IDBI India Top 100

Equity Fund (G)

IDBI India Top 100

Equity Fund (G)

39 Principal Nifty 100

Equal Weight Fund

Principal Nifty 100

Equal Weight Fund

Principal Nifty 100

Equal Weight Fund

Principal Nifty 100

Equal Weight Fund

40 Taurus Largecap

Equity Fund

Taurus Largecap

Equity Fund

Taurus Largecap

Equity Fund

Taurus Largecap

Equity Fund

From the table we can see that the top three equity schemes under large cap funds are- Axis

Bluechip Fund – Growth, HDFC Top 100 Fund - Growth Option and HDFC Index Fund - Sensex

Plan.

But out of these three schemes HDFC Top 100 Fund - Growth Option and HDFC Index Fund -

Sensex Plan have the least expense ratio and make it to the second tier. Now comparing both the

schemes on the basis of standard deviation we can conclude that HDFC Top 100 Fund - Growth

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Option is the best performing scheme as there is less deviation in it’s three years excess return than

HDFC Index Fund - Sensex Plan. The below diagram shows the result.

HDFC Top 100

Fund (G)

Standard Deviation

HDFC Top 100 Fund (G)

and HDFC Index Fund - Sensex Plan

Axis Bluechip Fund (G), HDFC Top 100 Fund (G) and HDFC Index Fund - Sensex Plan

Top 3 schemes

according to

statistical

tools

BOOTSRAPPING PROCEDURE

Bootstrapping is an effective tool to check the reliability and stability of model. It helps in

estimating confidence intervals and standard errors for statistical estimates such as- median, mean,

odds ratio, proportion, correlation and regression coefficient. Bootstrapping mainly estimates the

sampling distribution of an estimator by resampling with replacement from the original sample.

One can construct a hypothesis with the help this procedure and define the number of samples that

are required to get reliable results.

Bootstrapping can be used when one is unsure about the distribution of the data. In this study IBM

SPSS Statistics has been used to identify approximate standard errors. These errors are then

Expense Ratio

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compared with normal regression errors to find the absolute difference. The p value in ANOVA

table is less than 0.05 indicating that the model is fit. In regression table the p values of independent

variables are less than 0.05 and hence are significant. Also, the bootstrap table shows that p values

of these variables have increased but are still below 0.05 concluding that return of mutual fund

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schemes are impacted by market, value of portfolio and size of portfolio.

Bootstrapping Procedure

Bootstrap

Bootstrap Specifications

Sampling Method Simple

Number of Samples 1000

Confidence Interval Level 95.0%

Confidence Interval Type Bias-corrected and accelerated

(BCa)

Regression

Variables Entered/Removeda

Model

Variables

Entered

Variables

Removed

Method

1 hml, smb, rm-

rfb

. Enter

a. Dependent Variable: excess return

b. All requested variables entered.

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Model Summary

Model

R

R Square

Adjusted R

Square

Std. Error of the

Estimate

1 . 787a

. 787

.787

.054393922894

089

a. Predictors: (Constant), hml, smb, rm-rf

ANOVAa

Model Sum of Squares df Mean Square F Sig.

1 Regression 1035.498 3 345.166 116661.417 .002b

Residual .003 1 .003

Total 1035.501 4

a. Dependent Variable: excess return

b. Predictors: (Constant), hml, smb, rm-rf

Coefficientsa

Model

Unstandardized Coefficients

Standardized

Coefficients

t

Sig. B Std. Error Beta

1 (Constant) .584 .042 14.005 .045

rm-rf 1.038 .003 .932 395.590 .002

Smb -1.813 .024 -.162 -74.037 .009

Hml .549 .018 .081 29.921 .021

a. Dependent Variable: excess return

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Bootstrap for Coefficients

Model

B

Bootstrapa

Bias

Std. Error

Sig. (2-tailed)

BCa 95% Confidence Interval

Lower Upper

1 (Constant) .584 -.104b .239b .813b -.077b .639b

rm-rf 1.038 -.020b .046b .032b .909b 1.042b

Smb -1.813 .385b .953b .045b -1.865b,c .845b

Hml .549 -.215b .505b .028b .544b .545b

a. Unless otherwise noted, bootstrap results are based on 1000 bootstrap samples

b. Based on 416 samples

c. Some results could not be computed from jackknife samples, so this confidence interval is computed by

the percentile method rather than the BCa method.

CONCLUSION

Mutual funds are volatile in nature. Hence an investor should read the Scheme Information

Document (SID) carefully before investing. Various factors such as- expense ratio, past

performance, standard deviation and other soft factors should be considered before adding a

scheme into portfolio. Evaluation of mutual funds by statistical tools is very essential and should

not be ignored. From the statistical tools- Sharpe Measure, Treynor Measure, Jensen Alpha and M

Square measure it can be concluded that the best performing Large Cap Fund is HDFC Top 100

Fund - Growth Option.

The significance level in ANOVA table is less than 0.05 indicating that the model is statistically

fit. Also, the bootstrap technique indicates the reliability and validity of the model. Bootstrap

analysis indicate that returns of mutual funds are impacted by market, value of portfolio and size of

portfolio as the significance level of these independent variable are less than 0.05. Hence, an

investor should consider these hard factors before selecting any mutual fund scheme.

REFERENCES

Advisorkhoj. (2013-2018). Equity Large cap funds

AUM. India. AMFI. (2013-2014). AMFI NAV

History. India.

Chen, L.-H. C.-H. (2017). Applying a Bootstrap Analysis to Evaluate the

Performance of Chinese Mutual Funds.

Control, M. (2013-2018). Returns of large cap funds. India.

David Blake, C. I. (2014, June). New Evidence on Mutual Fund Performance: A

Comparison of Alternative Bootstrap Methods. UK.

IBEF. (2018). Indian Financial Service

Industry. India. India, A. (2013-18). NAV

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