performance evaluation of indian mutual funds group 8-9

8/4/2019 Performance Evaluation of Indian Mutual Funds Group 8-9

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PERFORMANCE EVALUATION OF INDIAN

MUTUAL FUNDS

Submitted by

Group 8 & Group 9


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AGENDA

This study has been undertaken to evaluate theperformance of the Indian Mutual Funds vis--vis the Indianstock market

The performance evaluation was done with returns

provided by the individual schemes and the risk levels atwhich they are delivered in comparison with the market andthe risk free rates


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MUTUAL FUNDS

Mutual Funds came into existence in 1963 with theestablishment of Unit Trust of India

In 1993, SEBI (Security Exchange Board of India) wasestablished under which all the mutual funds in India were

required to be registered

With the rise of the mutual fund industry, establishing amutual fund association became a prerequisite

The mutual fund industry is considered as one of the mostdominant players in the world economy and is an importantconstituent of the financial sector and India is no exception


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ANALYSIS

Risk-return analysis

Treynors ratio

Sharpes ratio

Sharpes measure Jensens measure

Famas measure


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RESEARCH METHODOLOGY

All the funds selected for the study are open-ended Mutualfunds under the growth option. The Net Asset Values (NAV)for all the 115 funds being used bear market (Jan-2007 toMar-2009) and bull market(April 2009-Dec 2010)

BSE Sensex has been considered as the benchmark index


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EVALUATION PARAMETERS

Return Daily returns were calculated for each mutual fund

ri = ln(ending NAV/begning NAV)

Standard Deviation

Standard Deviation was calculated to measure theriskiness of all the Mutual fund, stock or portfolio.

Where, s = Standard Deviation,

N = number of weeks in the period,

x = mean of the period,

xi

= return of the corresponding week.


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Regression

Regression was used to calculate of the fund. showsthe riskiness of the fund.

Treynors Ratio

Its an index of portfolio performance measure called as

reward to volatility ratio, based on systematic risk definedin equation


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Sharpes Ratio

It is an index of portfolio performance measure, referredto as reward to variability

Sharpes Measure

It considers that the variance explained by the index

could be referred as the systematic risk and theunexplained variance is called residual or unsystematicrisk


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Jensons Measure

It measures the performance as the excess returnprovided by the portfolio over the expected (CAPM)returns

Famas Measure

This parameter measures fund performance in terms ofexcess returns over expected returns based on premium fortotal risk


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RESULTS

Excel


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THANK YOU

performance evaluation of indian mutual funds group 8-9

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