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An Evaluation of Select
Growth Funds in India
Madhumita Chakraborty*, P K Jain** and Vinay Kallianpur ***
This study attempts to evaluate the performance of mutual funds on the hasis of rate of
retum as well as risk-adjusted methods. The performance of tlie mutual funds are compared
with the risk'free returns as well as the henchmark index (BSE 100), which is taken as a
proxy for market returns. T/xe rate of retum analysis performed on the sample of equity funds
showed that all the mutual funds except one in the sample, earned returns in excess of tlie
risk-free rate of retum offered Í7)r 364'day Treasury Bill (Thill). The comparison of rates of
retum of the henchmark index and üie sample of mutual funds indicates that majority of the
equity mutual funds (included in the sample) have outperformed the henchmark. However,
when the mean retum of the entire sample is corisidered, it does not show significantly different
retum from that of the henchmark BSE 100 index. An analysis hased on risk-adjusted
performance, however, shows a different picture where most of the funds (around 70%) in
the sample have posted positive and hetter Sharpe as well as Treynor's ratio compared to tJie
herichmark BSE 100 index. The study, thus, although provides some evidence of satisfactory
performance in terms of returns generated per unit of risk, yet, a conclusive statement regarding
the capahilities of mutual fund managers is still elusive.
T
he performance of mutual funds portfolios are equal. Therefore,
has evoked a great deal of interest expenditures on research and trading are
in academic circles. The common wasted in which securities prices reflect
belief in a segment of the academia is that all information. However, a vast literature
mutual funds cannot beat the market with contradicts this view and to date there is
their active fund management endeavors no consensus about the ability of fund
as it is in sharp contrast to the efficient managers to earn abnormal returns. It is
market hypothesis. The hypothesis simply therefore, extremely critical for investors
means that securities prices already to know whether the mutual fund
include all available information, implying managers are able to deliver better
that Assistant
returnsProfossdr,
acrossFinance
activeandand passiveIIM
Accoiintinfi, returns,
Lucknow, InJin' thereby justifying
E-mail:jnaJhiimi!a$_MÍml.ac.in the
Professur of Finance, Department of Manai;ement Studies, ilT Delhi, India. E-mail: pkjainfi dms.iitJ.ac.in
MBA Student, Department of Management Studies, IlT Delhi, India. E-mail: kallianpur.vinayCfVnmail.com
SOUTH ASIAN JOURNAL OF MANAGEMENT
management fees they charge. In other concluded that the overall results do not
words, would the investors do better suggest \yidespread inefficiency in the
simply by investing in a market portfolio industry.
and following a passive strategy. This study Treynor (1965) made the first attempt
throws some light on this subject in the to suggest a measure of portfolio
context of India by evaluating the performance which considers the risk
performance of a sample of mutual funds, involved in a portfolio. According to the
which are growth-oriented and by author, managed portfolios carry market
covering a recent time period. risk, i.e.; the aggregate value of the
The reniainder of the paper proceeds as portfolio is dependent on the market
follows: Firstly, it provides a brief review trends. During bull phase, the value may
of past studies on portfolio performance go up and during bear phase, the portfolio
and develops the objectives and value may go down. He introduced the
hypotheses for the present study. Then it concept of 'beta'' parameter. Beta value
discusses the data and methodology. represents the degree of variation in the
Further, it provides empirical findings and portfolio lvalue compared to the market
winds up with concluding remarks. portfolio. I Hence, according to the author,
the appropriate measure of portfolio
REVIEW OE LITERATURE performance is risk premium per unit of
Friend et al. (1962) made the first 'market risk' generated by the portfolio.
extensive study of mutual funds by Risk premium is defined as excess portfolio
evaluating the performance of 152 mutual return over risk-free return. Higher value
funds with annual data from 1953 to 1958. of Treynor's index indicates better
They found that over the period of their performance of portfolio and vice versa.
study, mutual funds earned an average The Treynor's measure of portfolio
annual return of 12.4%, while the performance is a relative measure that
benchmark index earned a return of ranks the funds in terms of risk
12.6%. Because the mutual funds in their (market risk) and return. The index is
sample nearly matched the market index, also termed as reward to volati ity ratio.
after subtracting expenses, the authors Soon thereafter, Sharpe (1966)
Beta is defined as the measure of sensitivity of the security returns to the market index returns'. If the beta
value of the fund is qreater than one (/? > 1), it implies that for a given change in the market returns, the
relative impact of the fund returns will be much higher than the proportionate change in the market returns.
On the other hand, if the value of fund beta is lower than one {ß < 1), the relative impact on the .fund returns
will be lower than the proportionate change in the market returns. For beta = 1, the market and fund returns
will move in the tandeni. A typical fund having beta equal to 1, will be an index fund.
The formula used to compute the beta tneasure is
ß. = Covariance(K,, K^)A'ariance of {KJ '
where ß = Beta Coefficient, a measure of systematic risk of tiiutual fund
K. = Monthly returns on inutual fund j .
i^ = Monthly returns on market portfolio.
Volume 15 g Q No.4
MUTUAL HUND PERFORMANCE: AN EVALUATION OF SELECT GROWTH FUNDS IN INDIA
Volume us g |^ No. 4
SOUTH ASIAN JOURNAL 01- MANAGEMENT
They pointed out that superior of performance evaluation with the study
performance may exist for funds with of performance of Indian equities.
smallest size of net asset value. But due Immediately thereafter, Jain (1982) had
to. high expenses, the investors are pioneered the work on financial
unable to take advantage of their performance of investment schemes of
superior performance. Unit Trust of India (UTI) during the
period 1964-65 to 1979-80, His work is
There have been another set of
considered as the first notable work on
findings, which contradicted the view
performance evaluation of mutual funds
that mutual fund managers are incapable
in India, In 1986, UTI had floated first
of generating abnormal returns. Friend
equity fund in India, namely, Mastershare
et al (1970) report that the average return
under the banner of its subsidiary; UTI
generated by their sample of mutual funds
(Mutual Fund) subsidiary, 1986, Thereafter
was 10,7% per annum while that
considerable interest has been shown by
generated for the market was only 9,9%,
the analysts, academicia ns and
hi the same year, Carlson reported that
researchers to examine the financial
his sample has performed much better in
terms of Sharpe ratio, which was about performance of equity mutual funds in
0,57, compared to 0,43 for the Dow Jones India from the perspective of investors and
benchmark, Kon and Jen (1979) in their fund managers, Barua and Verma (1991)
study concluded that "on average, the had provided empirical évidence of equity
mutual fund sample is able to predict mutual fund performance in India by
security prices well enough to outperform studying the performance of India's first
the naive policy, given their selected levels 7-year ¿lose-end equity mutual fund,
of risk, and to recoup' all management Mastershare, They concluded that the
fees and brokerage commissions", Ippolito performance of the fund was satisfactory
(1989) examined 143 mutual funds for for large investors in terms of rate of
the period 1965-84 and found that on an return.
average, mutual funds provided 0,83% Gupta and Sehgal (1997) evaluated
higher returns per year over the mutual fund performance over a four-year
benchmark before load fees but after period from 1992-96, The sample consisted
management expenses and other fee. of 80 !mutual- fund schemes. They
The benchmark was taken to be tbe concluded that mutual fund industry
risk-adjusted return on the S&P
faired r,easonably well during the period
500 portfolio and the risk-free returns
of study, Mishra (2001) evaluated the
were taken to be the yield on one year
performance over the period, April 1992
US T-bills,
to December 1996, The sample size was
Thus, the above discussion provides no 24 public sector sponsored mutual funds.
consensus regarding the performance of The study concluded dismal performance
mutual funds in the west. In the hidian of PSU mutual funds in India, i n general.
context, Gupta (1981) laid the foundation during the period 1992-96, Sondhi and Jain
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MUTUAL FUND PEREORMANCE; AN EVALUATION OF SELECT GROWTH FUNDS IN INDIA
1(2006) examined the performance of 36 mutual funds are higher than the
mutual funds for the period 1993 to 2002 market return.
and concluded that performance of their, • Whether the risk-adj usted
sample funds remained far from performance of the actively
satisfactory in terms of rates of return and managed growth funds, is hetter
risk-adjusted returns. than that of the passive market .
All these studies except Gupta and portfolio.
Sehgal (1997) have reported less than Mutual funds are managed by
satisfactory performance of mutual funds professional matiagers (equipped with
it! India. sound knowledge of investment
There have been many studies in the management, selection and supervision
west as well as in Itidia showing the of securities/portfolio). Therefore,
performance of mutual fund portfolios. ex-hypothesis, it is expected that they will ,
However, any study investigating the demonstrate performance superior to the
performance of a, very recent period has average market performance.
not heen available. The latest period
examined by previous studies in Iridia is Giveii the above objectives, the
up to,2002 (Sondhi and Jain, 2006). major hypotheses of the study are as
An extrapolation of findings made in the follows;
distant past may not be appropriate given
HJ.- Equity mutual funds have
the changing economic and business
generated higher rates of return
environment and this is the motivation
for this study, which humbly attempts to than those of the conventional risk-
plug the gap by evaluating the free investments (364'day T-bills)
performance of growth funds in India in during the period of study frorn
the recent past. 2005 to 2007.
Hence, the objective of the present H,: Equity funds have generated
study is to evaluate the performance of a higher rates of return than the
sample of growth-oriented mutual funds market portfolio (Bombay Stock
and this shall be met by addressing the Exchange 100 National Index).
following specific issues:
Hy Equity funds liave generated high
• Whether the returns in absolute
excess returns for every wiit of risk.
terms generated by the growth
mutual funds are higher than the The study has practical as well as
risk-free return. academic significance. Large amount
• Whether the returns in absolute (US$31,140 bn as on June 30, 2007),- of
terms generated by the growth savings has been invested in equity
Tlio Indian mutual fund industry comprises 32 Asset Mannf;ement Cimipanies mana^infi assets close tn US$
100 lin: (Rs. 4,00S bn.) under 772 different mutual fund schemes ns at the end of June 2007. The hreak-up o(
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SOUTH ASIAN JOURNAL OF MANAGEMENT
mutual funds. The study provides mutual fund is to track the Net Asset
empirical evidence regarding the extent Value (NAV) of the fund.^ Silice mutual
up to which fund managers of equity funds issue units (akin to shares issued by
mutual funds have succeeded in making a company) to get the subscribers, the
available benefits of equity investment to aggregate market value of invested
the large number of investors, by providing portfolio is marked against the toi:al
a better rate of retum than is available on number of units issued and outstanding
risk-free rate of returri/provided by the market by the mutual funds in the books of
portfolio. The subject-matter is vital for all accounts of mutual funds at any given
the agencies connected to the mutual funds time. NAV per unit at any given time is
industry, i.e., the investors, the practicing computed by dividing the market value
fund managers, the capital market, the of fund's invested portfolio and cash in
policy-makers at the center and industry
hand by the total number of outstanding
level as well as the researchers and the
units at that point of time (Thomset, 1989).
academicians as mutual iunds are engaged
in all important functions of economic value In this study, month-end values form
addition. the basis of NAV'' p'er unit.
Monthly returns have been based on
DATA AND METHODOLOGY month-end NAV per unit. The monthly
The most commonly applied tool for returns for each of the computed single
evaluating financial performance of a periods I (month) have been compounded
the Assets Under Management as given in Table helow shows thut Income (BonJ) has the highest level of assets
under management followed hy Growth (equity).
The NAV can he defined as the aggregate market value of the invested portfolic of mutual funds plus the 'cash'
or 'its equivalent' in handless total external liahilities.
Net Asset Values' have heen ohtained from the records of respective asset management companies, i.e., their
monthly hulletins, hooks of accounts and wehsites.
A negative heta simply means that the fund is inversely correlated with the market.
Volume 15 84 N,lo.4
MUTUAL FUND PERFORMANCE: AN EVALUATION OF SELECT GROWTH FUNEiS !N INDIA
to get single compounded rate of return adequate for the peer group's comparison
on the mutual fund portfolio as per of rate of return. From the investors' point
Equation (1). of view, the track record of three years is
significantly a long period to judge the
R._^ = NAV„/NAV„.| .'..(1) performance of mutual' fund for
where, R, = Single period rate of investment purpose.
return on fund j for The rate of return on 364-day treasury
n''' month. bills has been taken as surrogate measure
NAV - Net asset value at the for risk-free return in this study and the
n
Bombay Stock Exchange (BSE 100)
end of the n''' month.
National Index has been used as surrogate
NAV^ , = Net asset value at the measure for market portfolio in this study.
end of the (n - I)'*" The rationale for the same is that the
month. index is broad based, consisting of 100
The monthly returns so computed for actively traded equity shares listed in the
different single periods have been BSE, and it represents around 67% of total
compounded to get the compounded market capitalization as on May, 2008.
monthly rate of return on mutual funds
The expression for calculating the
(Lee et aL, 2000).
monthly returns for BSE 100 index is
Equation (2) has been used to compute similar to that used for calculating the
monthly compounded rate of return, R, monthly compounded returns for sample
for the fund j . funds.
R^ = IV„/IV„_, . ...(3)
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awareness are not interested in returns of typically do not invest their entire wealth
a mutual fund in isolation, but in in one single fund and hold fund shares
comparison to some alternative as a part oí diversified total wealth,
investment.. For example, a fund should standard deviation, which measures the
meet some minimum hurdle, such as a total risk without distinguishing
return on a completely safe, liquid diversifiable risk and un-diversifiable risk,
investment available at the time. Such a may not be appropriate. Therefore,
return is referred to as the risk-free rate Treynor (1965) has used the beta of a
and usually taken to be tbe rate on fund, wbich represents only the
Treasury bills. Comparing a fund's return non-diversifiable risk, to assess portfolio
to a risk-free investment is not the only performance. His measure assesses risk
relevant comparison. Domestic equity adjusted returns in terms of "returns per
funds are often compared to a benchmark unit of systematic risk". Treynor's ratio
index, say for example, the BSE 100 index. ignores the unsystematic risk or security
The returns also need to be analyzed from specific risk element and assumes that the
the perspective of riskiness' of the funds, portfolio is perfectly diversified. In this
i.e., whether a fund is able to generate study, both the Sharpe's measure and
better return per unit of risk. The market Treynor's measure have been used for
portfolio, which is available with the performance evaluation.
investor, is a passive portfolio for a given
level of risk and whether there is any EMPIRICAL FINDINGS
additional advantage in terms of lower risk Monthly returns have been computed for
or higher returns by investing in mutual all the 40 mutual funds in the sample, for
funds, which are actively managed, need BSE 100 index and for 364-day T-bills
to be addressed. The risk-adjusted (Table I).'It can be observed that all the
performance measures are used to individual funds (except ICICI, very
evaluate the funds from such perspective. cautious fund growth) have provided
The risk is generally equated with better returns than the returns of 0.56%
variability of returns and investors provided by T-bills. Table 1 also gives an
generally expect a higher return for higher estimate of the percentage of funds
variability. The well-known Sharpe that have outperformed as well as
measure, which divides average portfolio underperformed the BSE 100 index.
excess return over the risk-free rate during The majority of the sample mutual funds
the sample period by the standard (57%, 23 in number) have generated
deviation of returns over that period ranks higher returns than the BSE 100 index
mutual funds based on reward per unit of while 43% (17 ifi number) have yielded
variability of return and thus aids in returns lower than the BSE 100 index
performance evaluation. This method, during the period 2005-07.
I
however, presumes that the entire portfolio In order to test whether the mean
of an investor is invested in the fund and returns generated by the sample funds
it is fully diversified. However, as investors and the benchmark index are significantly
Volume IS
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MUTUAL FUND PERFORMANCE: AN EVALUATION OF SELECT GROWTH FUNDS IN INDIA
Table 1: The Monthly Returns for the Sample Mutual Funds, BSE-100 Index and
364-Day Treasury Bills Arranged in Descending Order of Size of Returns, 2005-07
Monthly Returns
BSE 100 0,0311900
364-day T-biU 0,0056000
1 DSP Tiger Reg 0,0396800
2 Tauras Starshare . • 0,0395900 •
3 SBI Magnum Sector Umbrella - Contra Fund - Growth 0,0395100
4 SBI Magnum Multiplier Plus 93 - Growth 0,0394400
5 Reliance Growth - Growth 0,0382600
6 SBI Magnum Global Fund 94 Growth •(:f,0381500
7 Sundaram BNP Paribas Select Mid-Gap Growth 0,0372700
8 • Birla Sunlife Equity Fund Growth 0,0356600
9 Reliance Vision - Growth 0,0349700
10 HDFG Tax Saver Growth 0,0344900
11 HDFC Equity Funds 0,0343400
12 Birla Mid-Gap Fund - Growth 0,0343000
13 Birla Mid Gap 0,0339800
14 DSP Top 100 0,0337400
15 IGIGI Emerging Star Fund 0,0335400
16 HDFG Top 200 Funds 0,0333800
17' TATA Pure Equity Fund - Growth 0,0333500
18 DSP Opportunity Funds 0,0330700
19 HDFG Growth Fund 0,0330000
20 BOB Growth 0,0326200
21 DBS Ghola Opportunities Fund 0,0317700
22 HSBG Equity Fund Growth 0,0314100
23 IGIGI FMGG Fund 0,0312200
24 HSBG Equity Fund Growth . 0,0310200
25 HDFG Gore and Satellite Fund 0,0308700
26 HSBG India Oppotunites Fund Growth 0,0305700
27 Franklin India Tax Shield Growth 0,0302000
28 IGIGI Very Aggre.ssive Fund 0,0298100
29 Birla Advantage Fund - Growth 0,0288800
30 Morgan Stanley Growth Fund 0,0286800 •
31 DBS Ghola Multi Gap Fund 0,0285900
32 Bob Diversified Growth 0,0261500
33 IGIGI Discovery Fund Growth 0.0252400
34 Birla Sun Life Buv India Fund 0,0246800
35 IGIGI Aggressive Fund 0,0244800
36 IGIGI Technology Fund 0,0223300
37 LIG MF Growth Fund 0,0208900
38 SBI Magnum Tax Gain Scheme 93 - Growth 0,0185616
39 IGIGI Gautious Fund Growth 0,0108400
40 IGIGI Very Gautious Fund Growth 0,0051900
Mean 0,0305900
Maximum 0,0396800
Minimum 0,0051900
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different from each other; a t-test has been However, the above analysis based on
used to examine the following.hypothesis: absolute returns may riot represent
Hp — Rate of return of equity. performance adequately as the returns
Funds = Rate of return given by may not be iti synchronization with the
the benchmark. degree of risk assumed by the fund
Hj = Rate of .return of equity manager. Futid manager may assume an
funds < > Rate of return- extra risk to provide returns that may
given by the benchmark. be lower than the expected returns for
that level of risk. Hence, performance
We also test whether the mean sample
evaluation without reckoning the fund
returns are significantly different from the
risk profile may not be sufficient to
risk-free rate and the results are
summarized iti Table 2. convincingly establish the financial
Table 2: Testing for Equality of Mean of Sample Monthly Returns With that of
BSE 100 and 364-Day t-Bills
Item Details Value Mean of, Mean M ean of
Sample i of BSE 100 3í 4-Day
Index , T-BiU
Mean 3.059% ¡ 3.118% D.56%
T-Test for Equality of
Sample Mean with Mean
Returns of BSE-100 -0.51
T-Test for Equality of Sample
Mean with Mean Returns
of 364-Day T-Bills 21.867
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MUTUAL FUND PERFORMANCE: AN EVALUATION OF SELECT GROWTH FUNDS IN INDIA
Table 3: Sharpe's Ratio and Treynor's Ratio for the BSE 100 and Sample Mutual
Funds, 2005-07
Monthly Returns
BSE 100 and Mutual Funds Sharpe Treynor'.s
Ratio Ratio
BSE.100 0.3703 0.0255
1 Birla Advantage Fund Growth 0.4012 0.0304
2 Birla Mid-Cap 0.4228 0.0356
3 Birla Mid-Cap Fund - Growth 0.4735 0.0405
4 Birla Sun Life Buy India Fund 0.3314 0.0294
5 Birla Sunlife Equity Fund Growth 0.4710 0.0372
6 BOB Diversified Growth 0.2618 0.0210
7 BOB Growth - Growth 0.4268 0.0362
8 DBS Chola Multi Cap Fund 0.3601 0.0300
9 DBS Chola Opportunities Fund 0.3939 0.0373
10 DSP Opportunity Funds 0.4056 -0.7067
11 DSP Tiger Reg 0.4567 -1.4540
12 DSP Top 100 0.4180 0.0301
13 Franklin India Tax shield Growth 0.3830 0.0283
14 HDFC Core and Satellite Fund 0.3742 0.0286
15 HDFC Equity Funds 0.4627 0.0342
16 HDFC Growth Fund 0.4259 0.0319
17 HDFC Tax-Saver Growth 0.4527 0.0361
18 HDFC Top 200 Funds 0.4367 0.0317
19 HSBC Equity Fund Growth 0.3938 0.0303
20 HSBC Equity Fund Growth 0.3677 0.0272
21 HSBC India Oppotunites Fund Growth 0.3367 -0.2665
22 ICICI Aggressive Fund Growth Plan 0.4222 0.0313
23 ICICI Cautious Fund Growth 0.3813 0.0288
24 ICICI Discovery Fund Growth 0.2798 • 0.0241
25 ICICI Emerging Star Fund 0.3684 0.0331
26 ICICI FMCG Fund 0.4282 0.0453
27 ICICI Technology Fund 0.2295 0.0291
28 ICICI Very Aggressive Fund 0.3986 0.0296
29 ICICI Very Cautious Fund Growth -0.4189 -0.3072
30 Lie MF Growth Fund 0.2196 0.0172
31 Morgan Stanley Growth Fund 0.3494 0.0267
32 Reliance Growth - Growth 0.4956 0.0425
33 Reliance Vision - Growth 0.4574 0.0353
34 SBI Magnum Global Fund 94 - Growth 0.4977 0.0496
35 SBI Magnum Multiplier Plus 93 - Growth 0.5175 0.0420
36 SBI Magnum Sector Umbrella - Contra Fund - Growth 0.5161 0.0416
37 SBI Magnum Tax Gain Scheme 93 - Growth 0.1439 0.0201
38 Sundaram BNP Paribas Select Mid-Cap - Growth 0.5625 0.0557
39 Tata Pure Equity Fund - Growth 0.4249 0.0323
40 Tauras Starshare 0.4104 • 0.0368
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SOUTH ASIAN JOURNAL. OF MANAGEMENT
been produced by ICICI Very Cautious in terms of Treynor's ratio, but not in
Eund. Table 3 also indicates that 70% (28 terms of Sharpe ratio may diversify the
in number) of the sample mutual funds portfolio in such a way as to reduce the
have outperformed the BSE 100 index unique risk oí the portfolio.
when their Sharpe Indices are compared.
30% of the sample mutual funds have CONCLUSION
shown lower risk adjusted returns than that The study evaluated the performance of
of the market portfolio (BSE 100) index. mutual funds on both the rate of return
A look at Treynor's ratio reveals that as well as the risk-adjusted methods.
32 of the sample mutual funds selected The .performance of the mutual funds was
for the study in the period 2005-2007 compared with the risk-free returns that
have posted a Treynor's ratio, which the investor would have gained had he
is better than that of the benchmark invested his corpus in a risk-free asset such
BSE 100 index. This is in line with as a T-bill. The performance is also
the observation made for the other compared with the benchmark index (BSE
measure of risk adjusted return, i.e., 100), which is taken as a proxy for market
Sharpe's ratio where 70% of the sample
returns.
funds have posted better returns.
The rates of return analysis performed
The present study states that out of
on the sample of- equity funds clearly
the sample, only one fund (2.5%) has
showed that all except one of the mutual
posted negative ratio as per the Sharpe's
funds iii the sample earned returns in
measure and four funds have posted
negative ratios as per the Treynor's excess of the risk-free rate of return offered
measure during the period 2005-2007. by 364^day Treasury bill for the period
The negative return as per Sharpe's 2005-2007. The t-test performed on the
measure arises because of lower returns sample indicates that the mean return
posted by ICICI Very Cautious Eund provided by the sample is significantly
compared to risk-free rate. On the higher than that of the T-bills. The
other hand, apart from ICICI Very comparison of rates of return of the
Cautious Eund, three other funds, DSP benchmark index and the sample of
TIGER Eund, DSP Opportunity Eunds mutual funds indicates that majority of
and HSBC India Opportunities the equity mutual funds included in the
Eund Crowth, which show negative sample have outperformed the
Treynor's ratio have earned positive
benchmark. However, when the mean
excess returns, but their betas have
return of the entire sample is considered,
been negative' during the period under
it does not show significantly different
study. It may be pointed out here
that those funds (four in our sample) return from that of the benchmark BSE
which have shown better performance 100 index.
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