Performance and Characteristics of Retail Equity Mutual Funds in India

B.Suresh Naidu,
Research Scholar,
Department of Management Studies,
Sri Venkateswara University, Tirupati-517502

Dr.B.SUDHIR
Associate Professor,
Department of Management Studies,
Sri Venkateswara University, Tirupati-517502.

Abstract:

The study examined the relation between the performance and characteristics of 108 retail
equity mutual funds in India to know whether mutual fund characteristics can be used to
distinguish superior from inferior performance of mutual fund schemes. The study used a
multiple regression model to examine whether mutual fund characteristics, such as the
expense ratio, portfolio turnover ratio and other attributes useful in explaining fund
performance measured by using the risk adjusted measures. The results indicate that superior
performance on an average occurs among larger funds with average trading activity and
higher betas having low cash levels. So investors should be aware of these fund
characteristics before investing.

Keywords: Equity mutual funds, performance, characteristics

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Introduction:

The Indian mutual fund industry has been steadily growing with assets under management
worth 596976.8 crore as on March 2011. The retail assets under management are worth
16225 crore as on March 2011.The story of mutual fund industry in India started in 1963 with
the formation of Unit Trust of India, at the initiative of the Government of India and Reserve
Bank.

Mutual funds have opened new vistas to millions of small investors by virtually taking
investment to their doorstep. In India, a small investor generally goes for bank deposits,
which do not provide hedge against inflation and often have negative real returns. He has
limited access to price sensitive information and if available, may not be able to comprehend
publicly available information contained in technical and legal jargons. He finds himself to be
an odd man out in the investment game. Mutual funds have come, as a much needed help to
these investors. MFs are looked upon by individual investors as financial portfolio managers
process information, identify investment opportunities, formulate investment strategies,
invest funds and monitor progress at a very low cost. Thus the success of MFs is essentially
the result of the combined efforts of competent fund managers and alert investors.

Significance of the study:

Though the MF Industry has been in existence since 1963 in India, no major study was done
to examine the relation between fund performance and fund characteristics or attributes. An
important issue facing investors is whether they can use mutual fund characteristics to
distinguish superior from inferior performance. So this study was taken to find the relation
between fund performance and fund attributes namely Expense Ratios, Cash Level, Dividend
Yield, Asset Size, Portfolio Turnover rate, Beta for retail equity mutual funds in India as 80%
of the investment in mutual funds is in equity mutual funds by the retail investors.

Literature Review:

Haslem, J. A., Baker, H. K., & Smith, D. M. (2008) investigated the relation between the
performance and characteristics of 1,779 domestic, actively managed retail equity mutual
funds with diverse expense ratios. They show that using expense ratio standard deviation
classes is an effective method for characterizing fund expenses for investors. Using various
performance measures including Russell-index-adjusted returns, the results indicate that
superior performance, on average, occurs among large funds with low expense ratios, low
trading activity, and no or low front-end loads. Performance is invariant with respect to
whether funds have12b-1 fees or not.

Edelen et al. (2007) find that for funds with relatively small (large) average trade size, trading
is positively (negatively) related to fund returns. Trading costs are comparable in size to
expense ratios and increasingly reduce fund performance as relative trade size increases.
They find that portfolio turnover has a marginally negative relation to fund performance.

Dr.R.Madhumati, Sharad Panwar (2006) studied a sample of public-sector sponsored &

private-sector sponsored mutual funds of varied net assets to investigate the differences in
characteristics of assets held, portfolio diversification, and variable effects of diversification

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on investment performance for the period May, 2002 to May, 2005.The study found that
public-sector sponsored funds do not differ significantly from private-sector sponsored funds
in terms of mean returns%. However, there is a significant difference between public-sector
sponsored mutual funds and private-sector sponsored mutual funds in terms of average
standard deviation, average variance and average coefficient of variation(COV).The study
also found that there is a statistical difference between sponsorship classes in terms of e
SDAR(excess standard deviation adjusted returns)as a performance measure. When residual
variance (RV) is used as the measure of mutual fund portfolio diversification characteristic,
there is a statistical difference between public-sector sponsored mutual funds and private-
sector sponsored mutual funds for the study period.

Dukes, W. P., English, P. C., II, & Davis, S. M. (2006) provide evidence that even after
adjusting for economies of scale, funds with 12b-1 fees have higher expense ratios net of the
12b-1 fees than do funds without such fees. This finding suggests that 12b-1 fees are more
than just a deadweight cost. They also demonstrate that 12b-1 fees are highest for funds that
ultimately fail, that the proportion of funds with 12b-1 fees is increasing over time, and that
the level of those fees is also increasing over time.

Dowen, R. J., & Mann, T. (2004) examined pure no-load funds over a 5-year period. For
equity funds, trading activity is negatively related to returns. Expense ratios are not
significantly related to returns. Potential capital gains exposure and tax cost ratio are
positively related to return. For fixed income funds, trading activity is positively related to
returns. Expense ratios and tax cost ratios are negatively related to returns. Mutual funds
exhibit economies of scale and managers experience scale and scope economies. The
individual investor is better off in a large fund that is a member of a large fund family.

Jan and Hung (2003) studied the mutual fund performance of America from 1961 to 2000.
They believed that better performance funds charge a selling expense, have a larger scale,
have a higher turnover rate or have lower fees.

Wermers, R. (2000) find that funds hold stocks that outperform the market by 1.3 percent per
year, but their net returns underperform by one percent. Of the 2.3 percent difference between
these results, 0.7 percent is due to the underperformance of non stock holdings, whereas 1.6
percent is due to expenses and transactions costs. Thus, funds pick stocks well enough to
cover their costs. Also, high-turnover funds beat the Vanguard Index 500 fund on a net return
basis. The evidence supports the value of active mutual fund management.

Wilfred L. Dellva, Gerard T. Olson (1998) found that, on average, 12b-1 fees, deferred sales
charges, and redemption fees increase expenses whereas funds with front-end loads generally
have lower expenses. They also found that funds with 12b-1 fees and redemption fees, on
average, earn higher risk adjusted returns but funds with front-end load charges earn lower
risk adjusted returns. They also find that turnover activity increases fund expenses, but does
not necessarily lead to better performance. The effect of mutual fund’s holding cash on
performance is positive and significant and higher performance reflects lower expense ratios.
Funds with higher percentages of cash have lower transaction costs (and higher performance)
because of greater liquidity to meet redemptions. They show a negative relation between fund
net returns and expense levels. They report mixed results between dividend yield and various
performance measures.

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Carhart,M.M.(1997), on persistence of mutual fund performance found that expense ratios,
portfolio turnover and load fees are significant and negatively related to performance

Malhotra and McLeod (1997) focused specifically on analyzing the several key determinants
of fund expense ratios. The authors argue that since fund expenses are more stable and more
predictable than fund returns, investors should use fund expenses as a selection criterion
when buying a mutual fund. They conclude that investors should pay attention to fund size,
age, fund complex, turnover ratio, cash ratio, and the presence of 12b-1 fees before investing.
Their findings show that larger and more mature funds have lower expense ratio. On
average, load funds and 12b-1 funds have higher expense ratios than no-load and non-12b-1
funds. Additionally, funds that belong to a large fund family have lower expense ratios due to
economies of scope and funds with higher portfolio turnover are associated with higher
expense ratios. The authors find no evidence that a fund’s expense ratio is related to the
fund’s risk level and investment objective.

Elton,Gruber, Das and Hlavka (1993) find that funds with higher fees and turnover
underperform those with lower fees and turnover.

Objectives of the Study:

 To evaluate the performance of Retail Equity Mutual Fund Schemes.
 To study the relation between the Fund performance and Fund characteristics.

Methodology:

Data Collection:
Data is collected from secondary sources. Yearly data on adjusted NAVs and Fund attributes
of equity mutual fund schemes was collected from the websites valuereasearchonline.com,
Moneycontrol.com, mutualfundsindia.com, amfiindia.com and NSE S&P CNX Nifty data is
obtained from nseindia.com for the period from April 2006 to March 2011.

Sample Design:
Using secondary data the study analyzes the performance and characteristics of 100 actively
managed equity schemes and 8 index schemes. All the sample schemes are open ended in
nature and are predominantly equity based with growth as their objective.

Data Analysis:
The data collected was analyzed with the help of statistical techniques like T – test, F– test
and multiple regression techniques. Apart from these statistical techniques the popular risk
adjusted performance measures namely Treynor’s ratio, Sharpe’s ratio and Jenson’s alpha are
employed in this study to measure the performance of selected schemes of selected mutual
fund companies. Multiple regression model was used to examine whether mutual fund
characteristics, such as the expense ratio, portfolio turnover ratio and other attributes useful in
explaining fund performance. Front end & exit loads were not considered as there is no front
end loads and also exit load for the funds invested for more than one year for all the sample
schemes. 12b-1 fees were not considered separately as these charges are part of expense ratio.
The regression model tests several factors that could affect mutual fund performance.

First, the expense ratios may have a significant impact on the returns generated by the mutual
fund schemes. Studies by Carhart (1997), Dellva and Olson (1998), and Jan and Hung (2003),

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show a negative relation between fund net returns and expense levels. Therefore, the study
expects a negative relation between expense ratios and performance.
Second, higher performing mutual funds are likely to attract more investor purchases. Study
by Haslem, J. A., Baker, H. K., & Smith, D. M (2008) find that larger equity funds tend to
outperform smaller equity funds, which may reflect economies of scale. As funds increase in
size, they experience operating efficiencies from scale economies resulting in lower expense
ratios for the mutual fund investors. So this study expects a positive relation between fund
asset size and performance.
Third, portfolio turnover represents mutual fund trading activity. Studies by Haslem, J. A.,
Baker, H. K., & Smith, D. M (2008) ,Elton, Gruber, Das and Hlavka (1993), Dowen and
Mann (2004) and Edelen et al. (2007) find that funds with higher fees and turnover
underperform those with lower fees and turnover. They find that portfolio turnover has
negative relation to fund performance. Therefore, this study expects a negative relation
between portfolio turnover and fund performance.
Fourth, beta as a measure of systematic risk may explain the mutual fund performance.
Study by Haslem, J. A., Baker, H. K., & Smith, D(2008) found mixed performance results for
beta. Funds with riskier portfolios have higher betas and therefore higher performance. So we
expect a positive relation between beta and fund performance.
Fifth, mutual funds normally meet shareholder redemptions by selling securities or reducing
cash. By selling securities, funds incur transaction costs and reduce fund performance. By
holding a higher percentage of cash, funds have lower transaction costs because they have
greater liquidity to meet redemptions, but cash holdings also lower returns. Study by Wilfred
L. Dellva, Gerard T. Olson (1998) find that mutual fund’s holding cash on performance is
positive and significant and higher performance reflects lower expense ratios but study by
Haslem, J. A., Baker, H. K., & Smith, D(2008) found mixed performance results for the cash
level. Despite this tradeoff, the study expects a positive relation between cash and fund
performance.
Sixth, the dividend yields may have positive impact on the fund performance. But studies by
Haslem, J. A., Baker, H. K., & Smith, D (2008) and Dellva and Olson (1998) report mixed
results between dividend yield and various performance measures. However, the study
expects a positive relation between dividend yield and fund performance.
The study used a regression model to estimate the characteristics that explain fund
performance.

The hypothesis is:

Performancepi = b0 + b1 (Expense ratio) +b2 (Net assets) +b3 (Turnover)
+b4 (Beta)+b5 (Cash) +b6 (dividend yield)+ ei -----------(1)

Performancepi is the value for performance measure p, measured net of expenses, for fund i.
Performance measures are the Sharpe ratio, Treynor’s ratio and Jensen’s alpha, each
measured over a period of five years. Expense Ratio is the fees charged by the fund. Net
assets is the natural logarithm of fund i net assets (in crores) because this variable may be
nonlinearly related to performance. Turnover is the annual portfolio turnover as a whole
percentage for fund i. Beta is the five year beta for fund i used to indicate the systematic risk
of a fund. Cash is the whole percentage of fund i assets. Dividend yield is the prospective
fund i yield over the next12 months, calculated as the value-weighted average dividend yield
for all stocks in the fund, and ei is the error term.

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In summary, the hypothesized signs of the coefficients of the explanatory variables relative to
mutual fund performance are: expense ratio class (-), asset size (+), turnover (-) beta (+), cash
(+), and dividend yield (+).

Results:

Table 1 below presents the results of a regression model, as depicted by Eq. (1), used to
examine the relation between mutual fund performance and fund characteristics. The results
are directionally similar in many respects to those reported by Haslem, J. A., Baker, H. K., &
Smith, D(2008) and Dellva and Olson (1998). The adjusted R2 for the three regressions range
from 0.0739 to 0.2487. By the normal measures of cross-sectional analysis, the regression
model performed well in explaining fund returns. F values for each regression are significant
at the 0.01 and 0.05 levels respectively. The results reflect the sensitivity of the funds’
average performance to the choice of the performance measure. The expense ratio is negative
and statistically significant at normal levels for the performance measure Sharpe ratio and not
significant for Treynor’s ratio and Jensen’s alpha measures. These mixed results do not lead
to a definitive interpretation on the relation between expense ratio and performance. By
contrast, the results of Haslem, J. A., Baker, H. K., & Smith, D (2008) find that the
probability of a fund achieving a positive risk-adjusted return increases as its expense ratio
decreases. The results show that fund size is positive and significant at the 0.01 level for all
performance measures, which suggests that fund size is a distinguishing variable for
explaining performance. The results are consistent with the results of Haslem, J. A., Baker,
H. K., & Smith, D (2008) that larger equity funds tend to outperform smaller equity funds,
which may reflect economies of scale. The portfolio trading activity is positive and
significant for all the three performance measures at 0.01 level and 0.05 levels. The evidence
shows that superior mutual funds tend to engage in frequent portfolio trading activity than do
inferior funds. The findings are inconsistent with the results of Haslem, J. A., Baker, H. K., &
Smith, D (2008) that superior mutual funds tend to engage in less portfolio trading activity
than do inferior funds and by Dellva and Olson (1998) that no difference exists in turnover
activity for superior and inferior performing funds. The coefficient for dividend yield is
significantly positive for the Sharpe ratio, but not significant for the performance measures
treynor ratio and Jensen’s alpha. These inconsistent results show that each measure captures
different aspects of performance. The effects of a mutual fund’s cash holdings on
performance is negative and significant at the 0.01 level for the Sharpe ratio and Jensen’s
alpha and not significant for trenyor ratio. Using these performance measures, the study
found that funds that hold more cash typically underperform those that hold less cash. By
contrast, study by Haslem, J. A., Baker, H. K., & Smith, D (2008) find mixed results for cash
level versus performance of the fund. For the performance measures Sharpe ratio and Jensen
measure the coefficient for beta is positive and significant at the 0.01 level and not significant
for the performance measure Jensen alpha. In these instances, there appears to be a linear
relation between systematic risk and performance. Study by Haslem, J. A., Baker, H. K., &
Smith, D (2008) found mixed results for beta versus performance, depending on the measure
used.

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Table 1
Regression results for the performance and characteristics of retail equity mutual
funds
Dependant Variables
Explanatory variables Hypothesized sign sharpe ratio Treynor ratio Jensen Alpha
Intercept * 0.0737 -3.4099 -6.0715
Expense Ratio (%) (-) *-0.0231 -2.1033 -0.2460
Net Assets (+) *0.0172 *0.7084 *0.8782
Turnover ratio (-) *0.00004 *0.0022 **0.00009
Dividend Yield (%) (+) *0.0137 2.1132 0.5208
Cash Level (%) (+) *-0.0015 -0.02444 *-0.0621
Beta(5 year) (+) *0.1065 *8.6777 1.4075
F *3.1413 *6.9054 **2.4248
Adjusted R2 0.1072 0.2487 0.0739
*, ** indicates statistical significance at 0.01, 0.05 levels respectively.
Summary and conclusions:
The study provides strong evidence on the performance and characteristics of 108 domestic,
retail equity mutual funds in India. The study provides evidence that supports links between
mutual fund performance and fund characteristics. Based on the regression analysis, the study
found evidence suggesting that larger equity funds tend to outperform smaller equity funds,
which may reflect economies of scale. The study found a negative relation between
performance and expense ratio and statistically significant only using Sharpe ratio
performance measure. So expense ratios are not strongly significant to mutual fund returns.
The study found a significant positive relation between performance and turnover for all the
three performance measures. The study also found significant positive relation between
performance and beta for Jensen and Sharpe ratio performance measures. In addition, the
results indicate a significant negative relation between performance and cash level using
Sharpe and Jensen performance measures. The study found a positive relation between fund
performance and dividend yield but only significant for Sharpe performance measure.
So the study concludes that superior performance on an average occurs among larger funds
with average trading activity and higher betas having low cash levels. So investors should be
aware of these fund characteristics before investing.

References:
Carhart,M.M.(1997), “on persistence of mutual fund performance”, Journal Of
Finance,52,57-82.
Dowen, R. J., & Mann, T. (2004). Mutual fund performance, management behavior, and
investor costs. Financial Services Review, 13, 79–91.
Dukes, W. P., English, P. C., II, & Davis, S. M. (2006). Mutual fund mortality, 12b-1 fees,
and the net expense ratio. Journal of Financial Research, 24, 235–252.
Dr.R.Madhumati, Sharad Panwar (2006) “Characteristics and performance evaluation of
selected mutual funds in India, Capital Market Conference, 2006.
Edelen, R. M., Evans, R., & Kadlec, G. B. (2007). Scale effects in mutual fund performance:
The role of trading costs. Echo Investment Advisors, LLC working paper.
Elton,E.J.Gruber;S,Das;M.Hlavka. “Efficiency with costly interpretation of evidence from
managed portfolios” Review of Financial Studies, 6(1993).1-22.

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Haslem, J. A., Baker, H. K., & Smith, D. M. . Performance and characteristics of actively
managed retail equity mutual funds with diverse expense ratios, Financial Services Review
17 (2008) 49–68.
Jan, Y. C., & Hung, M. W. (2003). Mutual fund attributes and performance. Financial
Services Review, 12, 165–178.
Malhotra, D. K., & McLeod, R. W. (1997). An empirical analysis of mutual fund expenses.
Journal of Financial Research, 20, 175–190.
Wermers, R. (2000). Mutual fund performance: an empirical decomposition into stock-
picking talent, style, transactions costs, and expenses. Journal of Finance, 50, 1655–1695.
Wilfred L. Dellva, Gerard T. Olson (1998).” The relationship between mutual fund fees
and expenses and their effects on performance”. Financial Review, 33, 85-104.

APPENDIX-1: FUND ATTRIBUTES OF RETAIL EQUITY MUTUAL FUNDS

Expense Portfolio Dividend Cash
Fund Type/Scheme Ratio Turnover Yield Level Beta Assets
Equity: index
Birla Sunlife Index 1.5 165 1.12 1.81 1.00137 25.76
Canara Robeco Nifty
Index 1 159 1.22 0.52 0.99081 34.71
Franklin India Index Nse
Nifty 1 3 1.22 2.63 0.99884 4.98
HDFC Index Nifty 1 18.29 1.22 0.24 0.93833 130.67
LICMF Index Nifty 0.88 247.71 1.22 2.97 0.95887 53.47
Principle Index 1 60 1.22 0.09 0.99578 18.38
SBI Magnum Index Fund 1.5 11 1.22 0.23 1.00487 62.12
UTI Nifty Fund 1.5 68.98 1.22 0.03 0.98749 204.18
Equity: Technology
DSPBR Technology .com
Reg 2.48 133 1.23 1.52 1.5799 67.68
Franklin Infotech 2.42 1.31 1.55 1.86 1.4186 148.4
ICICI Prudential
Technology 2.46 11 1.75 6.75 1.69755 117.08
SBI Magnum IT 2.5 49 1.52 4.11 1.77268 49.71
Birla Sunlife New
Milllennium 2.5 18 1.25 5.61 1.33794 60.62
Equity: Tax Saving
BNP Paribas Tax
advantage plan 2.5 21 1.24 3.43 1.09796 48.66
Canara Robeco Equity
Tax Saver 2.38 51 1.08 9.32 1.34979 243.82
Escorts Tax Plan 2.5 47.55 1.25 10.39 1.17236 14.88
Franklin India Taxshield 2.14 42.19 1.12 7.68 1.14348 796.63
HDFC Tax Saver 1.86 26.01 1.22 9.86 1.35163 2823.02
ICICI Prudential Tax Plan 1.99 153 1.2 7.87 1.48817 1251.55
ING Tax savings 2.5 92.8 1.45 6.23 1.37206 37.19

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Kotak Taxsaver 2.22 119.58 1.12 1.71 1.2015 530.76
L&T Taxsaver 2.5 60 1.18 3.08 1.3517 29.02
LICMF Tax Gain 2.11 44 1.21 7.78 0.92344 39.18
Reliance Tax Saver 1.88 32 1.16 3.07 1.11832 2070.93
Sahara Tax gain 2.5 67.44 1.31 3.95 1.18784 11.11
SBI Magnum Tax gain 1.81 34 1.08 4.46 1.15468 5413.99
Sundaram Tax Saver 1.96 237 0.99 5.8 1.05549 1466.5
Tata Tax Saving 2.43 127 1.32 6.57 1.15417 135.97
UTI Equity Tax Savings 2.25 42.84 1.29 5.61 1.04955 488.45
BSL infra 2.22 84 1.1 8.12 1.40707 438.14
Equity: Infrastructure
Canara Robeco
Infrastructure 2.4 57 1.27 5.81 1.28507 140.52
ICICI PRU Infrastructure 1.85 108 1.21 10.22 0.97643 2997.66
Tata Infrastructure 2.5 34 1.12 1.58 1.22031 1641.06
UTI Infrasturcture 1.93 30.18 1.25 1.32 1.01135 2646.05
Equity: Pharma
Franklin Pharma 2.46 8.74 0.93 13.47 1.42424 147.62
Reliance Pharma 2.27 9 1.03 2.38 1.53588 551.19
SBI Magnum Pharma 2.5 65 0.98 5.07 1.34843 38.14
UTI Pharma and Health
care fund 2.5 27.02 0.87 6.72 0.91988 88.99
Equity: Largecap
DSPBR Top 100 Equity
Reg 1.86 277 1.16 3.32 0.94079 2700.6
DWS Alpha Equity
Regular 2.39 58 1.24 4.04 0.92662 137.86
Franklin India Bluechip 1.85 45.37 1.14 8.68 1.11076 3396.48
HSBC Equity 2 0.17 1.11 5.01 0.83635 951.34
ICICI PRU Top 100 2.32 177 1.14 8.52 0.91685 380.88
ING large cap equity fund 2.5 37.96 1.41 2.21 0.97354 8.5
Kotak 50 2.04 86.97 1.33 0.36 0.98446 864.57
Sahara Growth 2.5 88.93 1.39 8.77 0.84984 11.9
Sundaram Select Focus
Reg 2.02 304 1.11 2.17 1.04158 861.77
UTI Master Plus 91 2.08 39.9 1.28 1.87 0.98686 898.85
Equity: Multicap
Birla Sunlife Equity 2.01 79 1.08 5.67 1.31885 951.31
BNP Paribas
Opportunities 2.5 36 1.23 2.89 1.0361 43.43
DWS investment
Opprtunities reg 2.39 71 1.29 6.27 1.14664 124.22
HDFC Equity 1.79 48.39 1.18 3.13 1.37223 8404.84
HDFC Premier Multicap 2.24 21.19 1.13 13.18 1.40919 466.41
ING Domestic 2.5 59.39 1.43 6.43 1.13137 56.89

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Opprtunities
JM Equity 2.5 38 1.05 2.89 -0.1523 28.13
Kotak Contra 2.5 146.49 1.26 1.1 1.08014 71.26
Reliance Regular Savings
Equity 1.85 37 0.88 3.88 1.41729 3263.7
Tata Equity PE 2.5 46 1.54 2.05 1.34887 721.88
Templeton India Growth 2.12 2.81 1.53 4.48 1.35588 1135.07
Equity:Large & Midcap
Baroda Pioneer Growth 2.5 63 1.21 4.92 1.10287 59.92
Birla Sunlife Advantage 2.31 31 0.97 0.15 1.25412 347.31
Birla sunlife Frontline
equity 1.88 69 1.13 3.57 1.16735 2741.94
Birla Sunlife Top 100 2.32 57 1.12 8.67 0.98471 323.16
BNP Paribas Equity 2.5 61 1.2 0.99 0.84586 58.51
canara Robeco equity
diversified 2.32 44 1.16 0.53 1.34775 392.7
DSPBR Opporutinities 2.09 66 1.1 4.32 1.13495 765.38
Fidelity Equity 1.85 7 1.1 7.06 1.1037 3062.96
Franklin India Flexi Cap 1.9 55.02 1.29 3.36 1.22265 2034.97
Franklin India
Opportunities 2.31 153.05 1.1 4.17 1.06578 406.72
Franklin India Primaplus 1.93 43.26 1.11 3.04 1.05046 1703.72
HDFC TOP 200 1.79 31.03 1.29 2.58 1.17699 9591.25
HSBC India Opportunities 2.36 14 1.15 4.83 0.88978 188.06
HSBC Progressive
Themes 2.32 41 1.43 8.09 0.92328 232.77
ICICI Pru top 200 2.22 49 1.26 9.41 1.11135 553.24
IDFC Classic Equity Plan
A 1.2 240 0.96 1.64 1.02865 211.84
ING Core Equity 2.5 79.06 1.4 4.84 1.11449 42.39
L&T Growth 2.5 79 1.02 14.66 1.15814 17.6
LIC MF Growth 1.27 56 1.31 1.74 1.08074 109.16
Morganstanely Growth 1.9 36 1.02 2.37 1.19411 1633.54
Principal Growth 2.36 100 1.29 0.12 1.13679 244.57
Reliance Equity 1.89 122 1.14 5.83 0.37153 1443.61
SBI Bluechip 2.11 64 1.31 6.81 1.12217 840.1
SBI Magnum Equity 2.3 168 1.09 3.7 1.20713 422.59
Sundaram growth reg 2.4 173 1.09 5.11 1.2372 168.08
Tata pure equity 2.5 90 1.25 1.57 1.11162 606.42
UTI equity 1.9 116.42 1.19 3.83 1.04977 2006.93
Equity: Mid & Small
Cap
SBI Magnum Emerging
Business 2.35 187 1.18 8.07 1.92173 296.88
Birla Sunlife Midcap 1.91 73 1.1 1.74 1.78379 1683.81

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Canara Robeco Emerging
Equity 2.5 51 1.12 8.2 1.92799 39.18
Escorts Growth 2.5 46.75 1.18 23.76 1.4344 6.48
Franklin India Prima 2.12 36.16 1.24 6.52 1.63648 821.05
HSBC Midcap Equity 2.35 55 0.95 9.29 1.54188 145.88
ICICI Pru Discovery 1.94 86 1.4 7.53 1.79255 1611.71
IDFC Premier Equity Plan
A 1.93 112 0.78 1.05 1.40886 1806.09
ING Midcap 2.5 99.84 1.74 7.22 1.42688 15.41
JM Emerging Leader 2.37 42.49 1 8.24 1.90144 140.43
KOTAK Midcap 2.39 170.31 1.19 2.92 1.43068 277.76
L &T Midcap 2.5 68 1.39 3.7 1.71899 52.36
Reliance Growth 1.79 29 1 4.77 1.38393 7059.95
Sahara Midcap 2.49 66.01 1.35 6.75 1.6782 13.32
SBI Magnum Midcap 2.34 106 1.37 6.8 1.62745 260.62
Sundaram S.M.I.L.E Reg 2.16 210 1.5 3.06 1.62561 650.47
Tata Growth 2.5 119 1.52 5.84 1.44466 45.64
UTI Master Value 2.24 55.74 1.35 1.35 1.53961 680.64
Equity:FMCG
Franklin FMCG 2.5 2.43 1.3 4.75 0.79546 47.66
ICICI PRU FMCG 2.5 46 2.21 3.98 0.91687 69.62
Equity:Banking
Reliance Banking Retial 1.99 20 1.28 6.36 1.38668 1647.46
UTI Banking Sector Reg 2.39 308.4 1.13 3.17 1.32487 347.96

APPENDIX-2: FUNDS RISK ADJUSTED MEASURES

sharpe treynor jensen
Fund Type Scheme Ratio Ratio Measure

Equity: index Birla Sunlife Index 0.2896 10.2360 0.7058

Canara Robeco Nifty Index 0.2821 9.9211 0.3865
Franklin India Index Nse
Nifty 0.3005 10.5623 1.0300
HDFC Index Nifty 0.2171 7.6199 -1.7933
LICMF Index Nifty 0.1902 6.6850 -2.7291
Principle Index 0.2584 9.0884 -0.4408
SBI Magnum Index Fund 0.2712 9.5236 -0.0075
UTI Nifty Fund 0.2913 10.2380 0.6981
DSPBR Technology .com
Equity: Technology Reg 0.3288 12.2096 4.2318
Franklin Infotech 0.2718 11.2435 2.4292
ICICI Prudential Technology 0.3227 12.3885 4.8505
SBI Magnum IT 0.2835 11.1075 2.7944
Birla Sunlife New
Milllennium 0.1939 7.2874 -3.0020

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 BNP Paribas Tax advantage
plan 0.0690 2.4318 -7.7948
Canara Robeco Equity Tax
Equity: Tax Saving Saver 0.3716 13.4318 5.2651
Escorts Tax Plan 0.1290 4.6146 -5.7638
Franklin India Taxshield 0.2995 10.7129 1.3514
HDFC Tax Saver 0.2946 10.6612 1.5275
ICICI Prudential Tax Plan 0.2528 9.2933 -0.3539
ING Tax savings 0.1643 5.9691 -4.8872
Kotak Taxsaver 0.1990 6.9996 -3.0416
L&T Taxsaver 0.1807 6.5029 -4.0932
LICMF Tax Gain 0.0638 2.2633 -6.7114
Reliance Tax Saver 0.2248 8.2355 -1.4489
Sahara Tax gain 0.3169 11.4577 2.2885
SBI Magnum Tax gain 0.2614 9.2233 -0.3554
Sundaram Tax Saver 0.2797 9.9575 0.4500
Tata Tax Saving 0.1941 6.9054 -3.0305
UTI Equity Tax Savings 0.1517 5.4214 -4.3133
Equity: Infrastructure BSL infra 0.2567 9.1751 -0.5010
Canara Robeco Infrastructure 0.3057 11.1667 2.1019
ICICI PRU Infrastructure 0.3958 15.3110 5.6436
Tata Infrastructure 0.2855 10.4318 1.0991
UTI Infrasturcture 0.1958 7.2675 -2.2893
Equity: Pharma Franklin Pharma 0.3124 12.8419 4.7154
Reliance Pharma 0.4122 16.4661 10.6514
SBI Magnum Pharma 0.1357 5.2580 -5.7620
UTI Pharma and Health care
fund 0.2326 9.3599 -0.1575
Equity: Largecap DSPBR Top 100 Equity Reg 0.4270 15.0618 5.2032
DWS Alpha Equity Regular 0.3128 11.3855 1.7183
Franklin India Bluechip 0.3555 12.5950 3.4033
HSBC Equity 0.3128 11.2752 1.4587
ICICI PRU Top 100 0.2969 10.4379 0.8314
ING large cap equity fund 0.2922 10.2615 0.7111
Kotak 50 0.3163 11.2853 1.7270
Sahara Growth 0.3634 13.0495 2.9901
Sundaram Select Focus Reg 0.3076 10.9545 1.4826
UTI Master Plus 91 0.2248 7.8937 -1.6159
Equity: Multicap Birla Sunlife Equity 0.2813 9.9708 0.5799
BNP Paribas Opportunities 0.0516 1.8434 -7.9652
DWS investment Opprtunities
reg 0.3330 12.3404 3.2213
HDFC Equity 0.4006 14.4072 6.6911
HDFC Premier Multicap 0.2914 10.4954 1.3589
ING Domestic Opprtunities 0.2427 8.5295 -1.1332

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 JM Equity 0.0995 -26.1979 5.4416
Kotak Contra 0.1969 7.1009 -2.6250
Reliance Regular Savings
Equity 0.4799 17.2372 10.9217
Tata Equity PE 0.3774 13.5151 5.3738
Templeton India Growth 0.3606 12.9584 4.6470
Equity:Large &
Midcap Baroda Pioneer Growth 0.3405 12.3223 3.0784
Birla Sunlife Advantage 0.1851 6.6102 -3.6631
Birla sunlife Frontline equity 0.4300 15.1711 6.5839
Birla Sunlife Top 100 0.2488 8.8249 -0.6954
BNP Paribas Equity 0.1901 6.7742 -2.3320
canara Robeco equity
diversified 0.3168 11.4635 2.6044
DSPBR Opporutinities 0.3122 11.0049 1.6727
Fidelity Equity 0.3855 13.6178 4.5105
Franklin India Flexi Cap 0.3053 10.9025 1.6768
Franklin India Opportunities 0.2135 7.4969 -2.1680
Franklin India Primaplus 0.3700 13.0324 3.6780
HDFC TOP 200 0.4246 15.0978 6.5520
HSBC India Opportunities 0.2327 8.2156 -1.1705
HSBC Progressive Themes -0.0098 -0.3574 -9.1299
ICICI Pru top 200 0.2770 9.7809 0.2777
IDFC Classic Equity Plan A 0.2106 7.4758 -2.1142
ING Core Equity 0.2649 9.3406 -0.2123
L&T Growth 0.2356 8.2806 -1.4483
LIC MF Growth 0.1148 4.1731 -5.7906
Morganstanely Growth 0.1505 5.3680 -4.9712
Principal Growth 0.0626 2.2080 -8.3249
Reliance Equity -0.3966 -17.6301 -10.0910
SBI Bluechip 0.1594 5.6587 -4.3455
SBI Magnum Equity 0.3492 12.2854 3.3248
Sundaram growth reg 0.2427 8.5920 -1.1619
Tata pure equity 0.2987 10.6061 1.1950
UTI equity 0.2856 10.3165 0.8245
Equity: Mid & Small SBI Magnum Emerging
Cap Business 0.2725 9.8089 0.5338
Birla Sunlife Midcap 0.3225 11.6886 3.8485
Canara Robeco Emerging
Equity 0.2546 9.2791 -0.4859
Escorts Growth 0.2226 8.0243 -2.1614
Franklin India Prima 0.2030 7.4245 -3.4474
HSBC Midcap Equity 0.1188 4.2870 -8.0858
ICICI Pru Discovery 0.3073 11.6315 3.7650
IDFC Premier Equity Plan A 0.4490 16.4033 9.6820

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 ING Midcap 0.1806 6.4406 -4.4098
JM Emerging Leader 0.0747 2.6874 -13.0128
KOTAK Midcap 0.1620 5.8364 -5.2860
L &T Midcap 0.2688 9.7790 0.4261
Reliance Growth 0.3534 12.5946 4.2397
Sahara Midcap 0.2855 10.3385 1.3549
SBI Magnum Midcap 0.1848 6.5440 -4.8614
Sundaram S.M.I.L.E Reg 0.3051 11.1035 2.5562
Tata Growth 0.2254 7.9811 -2.2392
UTI Master Value 0.2949 10.7755 1.9159
Equity:FMCG Franklin FMCG 0.2931 11.3771 1.4684
ICICI PRU FMCG 0.2570 9.3034 -0.2088
Equity:Banking Reliance Banking Retial 0.6342 22.6656 18.2134
UTI Banking Sector Reg 0.5386 19.1037 12.6825

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