CHAPTER -5

PERFORMANCE EVALUATION OF MUTUAL FUNDS

5.0. Introduction 156
5.A. Theoretical Frame Work 157
5.A.1.Ratios Used to Measure Performance 157
5.A.1.1. Sharpe Ratio 157
5.A.1.2. Treynor Ratio 159
5.A.1.3. Jensen Ratio 160
5.A.1.4. Beta 161
5.A.1.5. R Square 161
5.A.1. 6. Standard deviation 161
5.A.1.7.Compound Annual Growth Rate – CAGR 162

5.B. PERFORMANCE APPRAISAL OF MUTUAL FUNDS IN INDIA 165

5.B.1.Risk and Return Analysis 166
5.B.2. Particulars of Selected Sample Schemes 166
* Analysis of peer group 166
*. Analysis of performance 168
1. Sharpe Analysis 168
2. Treynor Analysis 170
3. Jensen Analysis 172
4. CAGR 174
5. Correlation 176
6. Standard Deviation 178
7. Beta Analysis 180
5.B.3. Balanced Fund Schemes 182
5.B.4. Equity Schemes 185
5.B.5. Floating Rate Income Schemes 188
5..B.6.Gilt Long-Term Schemes 191
5..B.7. Gilt Short-Term Schemes 194
5.B.8. Income Fund Schemes 196
5.B.9. Liquid Funds Schemes 199
5.B.10. Monthly Income Plan(MIP) Schemes 202
5.B.11. Sector Funds –FMCG Schemes 205
5.B.12.Sector Funds-PHARMA Schemes 207
5.B.13. Sector Funds- Infotech Schemes 209
5.B.14. Short-Term Income Schemes 211
5.B.15. Tax Schemes 214
5.C. Findings and Conclusion 217

155
 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.

156
 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

157
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.

158
 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

159
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.

Jensen Ratio (JR) =

160
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 (∑X 2)-(∑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.

161
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.

162
 Table 5.1: Overview of Different Measures:

MEASURES DESCRIPTION INTEPRETATION

Sharpe Ratio Sharpe Ratio= Fund return in excess

The higher the Sharpe ratio, the
of risk free return/ Standard deviation
better a funds returns relative to
of Fund. Sharpe ratios are ideal for
the amount of risk taken.
comparing funds that have a mixed

asset classes.

Treynor Ratio Treynor ratio= Fund return in excess The higher the Treynor ratio

of risk free return/ Beta of Fund. shows higher returns and lesser

Treynor ratio indicates relative market risk of the fund

measure of market risk.

Jensen Measure This shows relative ratio between Jensen measure is based on

alpha and beta systematic risk. It is also suitable

for evaluating a portfolio’s

performance in combination with

other portfolios.

163
R-Square R- square measures the correlation of R-squared values range between 0

a fund’s movement to that of an index. and 1, where 0 represents no

R-squared describes the level of correlation and 1 represents full

association between the fund's correlation.

volatility and market risk.

Standard Deviation Standard Deviation allows us to Should be near to its mean return.

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.

Beta Beta is a fairly commonly used Beta > 1 = high risky

measure of risk. It basically indicates Beta = 1 = Avg

the level of volatility associated with Beta <1 = Low Risky

the fund as compared to the

benchmark.

164
 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.

165
 Table 5.2: PARTICULARS OF SELECTED SAMPLE SCHEMES:

S.NO. ORGANIZATION NO. OF Schemes Schemes SAMPLE

SCHEMES excluded Eligible to SIZE
OFFERED Study
1 Private Sector 1592 77 1515 260
2 Public sector 198 99 99 35
(other than UTI)
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.

166
 Table 5.3 PERFORMANCE EVALUATION OF ALL INDIA MUTUAL FUND

SCHEMES BY DEC, 2008

(Peer Group Averages)

Natur No. of Hypothesi %Returns (CAGR) Standard R- Beta Sharpe Treynor Jenson

e of scheme s lYear 2 year 3 Deviation Squar

Fund Test Years ed

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 35 Disproved 8.76 8.21 7.56 0.02 0.17 0.15 3.55 3.52 0.05

Schemes

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

Pharma
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

167
  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).

168
 Table 5.4: SHARPE ANALYSIS

TYPE OF Private sector Public sector (other UTI

FUND than UTI)
Sample S S= S Sample S S= S Sample S S= S
size <0 0 >1 size <0 0 >1 size <0 0 >1
to to to
1 1 1
1. Balanced 16 16 - - 4 4 - - 1 1 - -
Fund
2. Equity Fund 29 28 1 - - - - - 6 6 - -
3. Floating 29 - 3 26 6 1 1 4 - - - -
Rate Income
scheme
4. Gilt-Long 26 1 25 - 5 - 5 - 4 - 4 -
Term
5. Gilt Short 15 6 9 - 1 - 1 - 1 - 1 -
Term
6. Income 32 5 27 - 3 1 2 - - - - -
Fund
7. Liquid Fund 32 - 1 31 3 - - 3 - - - -
8. MIP 29 27 2 - 5 5 - - 1 1 - -
9. Sector – 3 3 - - - - - - - - - -
a) FMCG
b) Pharma 3 3 - - 1 1 - - 1 1 - -
c) Infotech 6 6 - - - - - - - - - -
10. Short term 21 - 19 2 3 1 2 - 1 - 1 -
Income
scheme
11. Tax 19 19 - - 4 4 - - 1 1 - -
Schemes
- -
Total 260 114 87 59 35 17 11 7 16 10 6 -
Remarks on L M B L M B L M -
Performance
Note: S – indicates Sharpe measure
L : Low performance
M: Medium performance
B: Better Performance

Source: Compiled from the data tables.

169
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.

170
 Table 5.5 : TREYNOR ANALYSIS

TYPE OF Private sector Public sector (other UTI

FUND than UTI)
Sample T T= T Sample T T T Sample T T T
size <0 0 to >1 size <0 = >1 size <0 = >1
1 0 0
to to
1 1
1. Balanced 16 16 - - 4 4 - - 1 1 - -
Fund
2. Equity 29 29 - - - - - - 6 6 - -
Fund
3. Floating 29 - 29 - 6 2 4 - - - - -
Rate Income
scheme
4. Gilt-Long 26 1 26 - 5 - 5 - 4 - 4 -
Term
5. Gilt Short 15 7 8 - 1 - 1 - 1 - 1 -
Term
6. Income 32 6 24 2 3 - 3 - - - - -
Fund
7. Liquid 32 2 30 - 3 - 3 - - - - -
Fund
8. MIP 29 18 11 - 5 3 2 - 1 1 - -
9. Sector – 3 3 - - - - - - - - - -
a) FMCG
b) Pharma 3 3 - - 1 1 - - 1 1 - -
c) Infotech 6 6 - - - - - - - - -
10. Short 21 1 20 - 3 - 2 1 1 - 1 -
term Income
scheme
11. Tax 19 19 - - 4 4 - - 1 1 - -
Schemes

260 111 149 2 35 14 20 1 16 10 6

Remarks on L M B L M B L M
Performance
Note: T – indicates Treynor measure

L : Low performance
M: Medium performance
B: Better Performance
Source: Compiled from the data tables.

171
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.

172
 Table 5.6: JENSEN ANALYSIS

TYPE OF Private sector Public sector (other UTI

FUND than UTI)
Sample J J= J Sample J J J Sample J J J
size <0 0 to >1 size <0 = >1 size <0 = >1
1 0 0
to to
1 1
1. Balanced 16 13 3 - 4 3 1 - 1 1 -
Fund
2. Equity 29 10 19 - - 1 - - 6 4 2 -
Fund
3. Floating 29 29 - - 6 6 - - - - - -
Rate Income
scheme
4. Gilt-Long 26 1 25 - 5 2 3 - 4 - 4 -
Term
5. Gilt Short 15 8 7 - 1 - 1 - 1 - 1 -
Term
6. Income 32 - 32 - 3 1 2 - - - - -
Fund
7. Liquid 32 - 32 - 3 - 3 - - - - -
Fund
8. MIP 29 18 11 - 5 3 2 - 1 1 -
9. Sector – 3 3 - - - - - - - - -
a) FMCG
b) Pharma 3 3 - - 1 1 - - 1 - 1 -
c) Infotech 6 6 - - - - - - - - - -
10. Short 21 4 17 - 3 1 2 - 1 - 1 -
term Income
scheme
11. Tax 19 15 4 - 4 3 1 - 1 1 - -
Schemes
-
260 110 150 - 35 20 15 - 16 7 9 -
Remarks on B M L B M L B M L
Performance
Note: J – indicates Jensen measure

L : Low performance
M: Medium performance
B: Better Performance

Source: Compiled from the data tables

173
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).

174
 Table 5.7: CAGR - ANALYSIS

TYPE OF Private sector Public sector (other UTI

FUND than UTI)
Sampl P N CR Sampl P N C Sampl P N C
e size R R e size R R R e size R R R
1. Balanced 16 9 7 - 4 3 1 - 1 - 1 -
Fund
2. Equity 29 13 16 - - - - - 6 2 4 -
Fund
3. Floating 29 9 - 20 6 1 - 5 - - - -
Rate
Income
scheme
4. Gilt-Long 26 17 - 9 5 - - 5 4 4 - -
Term
5. Gilt Short 15 - - 15 1 - - 1 1 - - -
Term
6. Income 32 11 - 21 3 1 - 2 - - - -
Fund
7. Liquid 32 - - 32 3 - - 3 - - - -
Fund
8. MIP 29 27 - 2 5 5 - - 1 1 - 1
9. Sector – 3 1 2 - - - - - - - - -
a) FMCG
b) Pharma 3 1 2 - 1 - 1 - 1 - 1 -
c) Infotech 6 - 6 - - - - - - - - -
10. Short 21 - - 21 3 3 - - 1 - - -
term
Income
scheme
11. Tax 19 - 19 - 4 - 4 - 1 - 1 1
Schemes

260 88 52 12 35 13 6 16 16 7 7 2
0
Remarks on M L B M L B M L B
Performanc
e
PR: Positive Returns based on 3 year CAGR
NR: Negative Return based on 3 year CAGR
CR: Constant Return – Marginal difference based on 3 year CAGR
L : Low performance
M: Medium performance
B: Better Performance
Source: Compiled from the data tables.

175
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.

176
 Table 5.8: CORRELATION OF FUND MOVEMENT (R2 Value) ANALYSIS

TYPE OF Private sector Public sector (other UTI

FUND than UTI)
Sampl R2 R2 R2 Sampl R2 R2 R2 Sampl R2 R2 R2
=0 = = =0 = = =0 = =
e size e size e size
to 0.31 0.61 to 0.31 0.61 to 0.31 0.61
0.30 to to 1 0.30 to to 1 0.30 to to 1
0.60 0.60 0.60

1. Balanced 16 - 2 14 4 - - 4 1 - - 1
Fund
2. Equity 29 1 1 27 - - - - 6 - - 6
Fund
3. Floating 29 25 4 - 6 6 - - - - - -
Rate
Income
scheme
4. Gilt- 26 7 13 6 5 2 3 - 4 - 4 -
Long Term
5. Gilt 15 12 3 - 1 1 - - 1 1 - -
Short Term
6. Income 32 11 13 8 3 3 - - - - - --
Fund
7. Liquid 32 32 - - 3 3 - - - - - -
Fund
8. MIP 29 1 2 26 5 1 1 3 1 - - 1
9. Sector – 3 - - 3 - - - - - - - -
a) FMCG
b) Pharma 3 - - 3 1 - - 1 1 - - 1
c) Infotech 6 - 3 3 - - - - - - - -
10. Short 21 6 14 1 3 3 - - 1 1 - -
term
Income
scheme
11. Tax 19 - - 19 4 - - 4 1 - - 1
Schemes

260 95 55 11 35 19 4 12 16 2 4 10
0
Remarks L M H L M H L M H
on C C C C C C C C C
Performanc
e

LC: Low Correlation

MC: Medium Correlation
HC: High Correlation

Source: Compiled from the data tables.

177
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.

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.

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

vice-versa. The results relating to R 2 and standard deviation are shown a similar

trend.

178
 Table 5.9: INTENSITY OF RISK (STANDARD DEVIATION ) ANALYSIS

TYPE OF Private sector Public sector (other than UTI

FUND UTI)
Sample Sd Sd Sd Sample Sd Sd Sd Sample Sd Sd Sd
size < = >1 size < = >1 size < = >1
0.50 0.50 0.50 0.50 0.50 0.50
to 1 to 1 to 1
1. Balanced 16 - - 16 4 - - 4 1 - - 1
Fund
2. Equity 29 - - 29 - - - - 6 - - 6
Fund
3. Floating 29 29 - - 6 6 - - - - - -
Rate Income
scheme

4. Gilt-Long 26 - 23 3 5 - 5 - 4 - - 4
Term
5. Gilt Short 15 15 - - 1 1 - - 1 - 1 -
Term

6. Income 32 20 12 - 3 3 - - - - - -
Fund
7. Liquid 32 32 - - 3 3 - - - - - -
Fund
8. MIP 29 - 18 11 5 - 3 2 1 - 1 -
9. Sector – 3 - - 3 - - - - - - - -
a) FMCG
b) Pharma 3 - - 3 1 - - 1 1 - - 1
c) Infotech 6 - - 6 - - - - - - -
10. Short 21 21 - - 3 3 - - 1 1 - -
term Income
scheme

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

260 117 53 90 35 16 8 11 16 1 2 13
Remarks on LR MR HR LR MR HR LR MR HR
Performance

LR : Low Risk
MR: Medium Risk
HR: High Risk

Source: Compiled from the data tables.

179
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.

180
 Table 5.10: BETA ANALYSIS
TYPE OF FUND Private sector Public sector (other than UTI
UTI)
Sample B<1 B>1 Sample B<1 B>1 Sample B<1 B>1
size size size
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 – 3 3 - - - - - - -
a) FMCG
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

LR : Low Risk
HR: High Risk

Source: Compiled from the data tables.

181
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.

---

182
 Table 5.11: BALANCED FUND

Fund Size %Returns (CAGR) Standard R-Squared

Scheme Name NAV (Rs.Cr) lYear 2 Years 3 Years Deviation 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 -0.1531
Birla 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 0.0024
DSP BlackRock Balanced Fund - Growth 34.0570 438.24 -35.34 -5.64 6.97 3.6735 0.8789 0.9109 -0.2067 -0.8337 0.0302
Escorts Opportunities Fund - Growth 23.5606 152.77 -28.26 -3.52 3.57 2.7435 0.3697 0.4412 -0.2438 -1.5160 -0.2864
Escorts Balanced Fund - Growth 37.9454 2.36 -45.83 -9.94 3.19 4.1758 0.4842 0.7685 -0.2662 -1.4466 -0.4456
HDFC Balanced Fund - Growth 23.7550 81.87 -37.33 -14.32 -1.59 3.8441 0.8646 0.9454 -0.2024 -0.8231 0.0414
ING Balanced Fund - Growth 13.6200 4.73 -45.85 -13.36 -3.36 4.1842 0.9553 1.0817 -0.2532 -0.9794 -0.1218
JM Balanced - Growth 13.1019 19.50 -58.61 -25.26 -6.61 4.6996 0.8318 1.1337 -0.3320 -1.3763 -0.5777
Kotak Balance - Growth 15.2030 56.67 -41.06 -8.97 3.94 4.1635 0.6809 0.9087 -0.2953 -1.3532 -0.4419
FT India Balanced Fund - Growth 26.8305 218.38 -40.59 -9.11 3.85 3.7586 0.9323 0.9580 -0.2498 -0.9800 -0.1084
ICICI Prudential Balanced - Growth 23.8200 207.67 -46.16 -16.53 -2.65 4.2778 0.8611 1.0499 -0.2462 -1.0032 -0.1432
Reliance RSF - Balanced - Growth 9.5734 23.41 -39.09 -8.58 -1.87 3.9603 0.9005 0.9940 -0.2261 -0.9008 -0.0338
PRINCIPAL Balanced Fund - Growth 16.5300 41.12 -44.10 -13.17 -2.12 4.1764 0.9114 1.0545 -0.2403 -0.9517 -0.0895
Sundaram 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 -0.1361
Tata Balanced Fund - Growth 38.9073 155.25 -46.04 -11.19 3.17 4.1720 0.9075 1.0526 -0.2608 -1.0337 -0.1757
HDFC 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

183
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 -0.1024
LIC Balanced - Plan C (Growth) 35.9700 22.98 -45.08 -11.28 1.61 4.8842 0.8008 1.1544 -0.2020 -0.8545 0.0142
Baroda Pioneer Balance Fund - Growth 16.9800 0.63 -47.89 -13.08 -4.71 4.0723 0.7750 0.9465 -0.2860 -1.2307 -0.3444
Canara 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

184
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.

185
 Table 5.12: EQUITY SCHEMES

Fund Size %Returns (CAGR) Standard

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

1. Private Sector:

Benchmark Equity And Derivative Opportunities Fund - 10.8877 36.52 7.96 N.A N.A 0.1644 0.0661 -0.0072 0.2332 -5.3370 0.0286
Growth
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 0.0803
HSBC Equity Fund - Growth 55.1608 956.43 -48.28 -12.50 4.39 4.7671 0.9499 0.7898 -0.2328 -1.4053 -0.0386
HSBC 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 0.1320
Kotak 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

186
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 0.0779
Quantum 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 0.0389
UTI 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 0.1793
UTI 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

187
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.

188
 Table 5.13: FLOATING RATE INCOME SCHEMES
Fund Size %Returns (CAGR) Standar
d
Scheme Name NAV (Rs.Cr) lYear 2 3 Deviatio R- Beta Sharpe Treynor Jenson
Years Years n Square
1. Private Sector: d
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 13.7415 103.41 8.38 6.74 6.46 0.0236 0.0741 0.1247 1.9697 0.3733 0.0410
- Growth
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 140.351 0.0584
3
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 0.0543
PRINCIPAL 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 - 13.4637 126.91 9.14 8.76 8.05 0.0134 0.2241 0.1232 4.6084 0.5011 0.0562
Growth
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

189
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 0.0598
Reliance 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 - 14.8041 81.10 8.55 8.22 7.66 0.0137 0.1367 0.0984 3.7476 0.5217 0.0469
Growth
SBI 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

190
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.

191
 Table 5.14. GILT LONG-TERM

%Returns (CAGR)

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

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 0.1507
Birla 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 - 28.7639 20.83 18.70 11.18 9.18 0.9621 0.6149 0.9125 0.1901 0.2005 0.0866
(G)
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 0.0024
PRINCIPAL 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 0.0549
Templeton 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

192
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 0.0104
Tata 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 0.0104
Tata 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 -0.0185
SBI 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 -0.0172
LIC G Sec Fund - Growth 22.5009 72.43 13.51 9.28 7.78 0.7041 0.5906 0.6490 0.1465 0.1589 0.0346
LIC 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 0.0346
Canara 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

193
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.

194
 Table 5.15: GILT SHORT-TERMS
%Returns (CAGR)

lYear 2 Years 3 Years

Fund
Size Standard
Scheme Name NAV (Rs.Cr) Deviation R-Squared Beta Sharpe Treynor Jenson
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 - 13.3423 203.16 1.38 3.78 3.82 0.1790 0.0917 0.0649 -0.4433 -1.2229 -0.0862
Growth
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 -0.0144
DSP BlackRock G Sec Fund - Plan B - S 18.7495 45.44 6.75 5.79 5.99 0.0697 0.0742 0.0230 0.2649 0.8041 0.0160
T D - (G)
HDFC 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 -0.0162
HSBC Gilt Fund - STP - Growth 12.1396 447.93 5.81 5.20 4.82 0.0216 0.0151 0.0032 0.1172 0.7898 0.0022
PRINCIPAL 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 Duration 10.3581 0.01 N.A N.A N.A 0.1452 0.0334 0.0289 -0.1486 -0.7459 -0.0246
Plan - India
Lotus Reg -Gilt
Growth
Fund - Short Duration 10.0282 13.99 N.A N.A N.A 0.2288 0.2463 0.2552 -0.4015 -0.3600 -0.1188
Plan - IP - Growth
ICICI Prudential GFTP - Growth 21.4453 115.20 12.61 9.55 8.55 0.3457 0.4577 0.2828 0.3357 0.4103 0.0862
ICICI Prudential GFTP - PF Option - 13.6647 49.79 12.73 9.73 8.35 0.3532 0.4576 0.2890 0.3209 0.3922 0.0828
Growth
Reliance G Sec Fund - STP - Retail - 12.2831 0.93 N.A N.A N.A 0.1752 0.1009 0.0921 -0.3466 -0.6591 -0.0705
Growth
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 - 15.5537 60.45 7.08 6.31 5.77 0.1242 0.1675 0.0615 0.1932 0.3903 0.0175
Growth
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 0.0315
3. 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

195
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.

196
 Table 5.16: INCOME FUND

Fund Size %Returns (CAGR) Standard

Scheme Name NAV (Rs.Cr) lYear 2 Years 3 Years Deviation R- Beta Sharpe Treynor Jenson
Squared
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 0.1140
Birla 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 0.0320
Benchmark 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 0.0800
DWS 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 0.0246
DSP 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 0.0263
Escorts 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 0.0245
HSBC 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

197
HDFC HIF - Growth 27.6799 47.28 7.17 6.16 5.12 0.4104 0.7409 1.2153 0.0220 0.0074 0.0480
Kotak 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 0.0377
Sundaram 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 0.0100
Tata 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
Peer Group Average 7.74 7.08 6.34 0.38 0.32 0.76 0.06 0.50 0.05

198
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.

199
 Table 5.17: LIQUID FUNDS

%Returns (CAGR)

lYear 2 3 Years
Years
Fund Size Standard R-
Scheme Name NAV (Rs.Cr) Deviation Squared Beta Sharpe Treynor Jenson
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 0.0281
Birla 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 - Growth 1103.2356 77.49 8.67 N.A N.A 0.0163 0.1925 0.1390 3.2712 0.3838 0.0471
IDFC Cash Fund - Plan A - Growth 15.4376 1180.76 7.59 6.98 6.59 0.0307 0.0859 0.1751 1.0995 0.1931 0.0260

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 0.0577
Edelweiss 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 0.0544
PRINCIPAL 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

200
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 0.0545
Kotak 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 0.0476
Lotus 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 0.0479
Lotus 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 0.0467
ICICI 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

2. Public Sector (Other than UTI):

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 NA
Peer Group Average 8.21 7.78 7.15 0.05 0.10 0.00 2.88 0.44 0.05

201
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.

202
 Table 5.18: MIP

Fund Size %Returns (CAGR) Standard

Scheme Name NAV (Rs.Cr) lYear 2 Years 3 Years Deviation R- Beta Sharpe Treynor Jenson
Squared
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 -0.0474
Birla 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 -0.0659
Birla Sun Life MIP - Growth 19.5694 97.70 -9.12 1.00 4.08 0.8116 0.7072 0.7477 -0.3489 -0.3787 -0.1155
Birla 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 -0.1556
DBS 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 0.4269
DWS MIP Fund - Growth 13.5345 7.38 -4.08 2.73 4.79 0.7137 0.7221 0.6665 -0.2616 -0.2801 -0.0373
DSP 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 - 14.8350 71.42 -3.21 4.44 7.62 0.9788 0.7264 0.9160 -0.1607 -0.1717 0.0481
Growth
DSP BlackRock Savings Plus - Conservative Fund - 12.8677 3.87 1.19 3.89 5.30 0.3434 0.7079 0.3173 -0.2280 -0.2467 -0.0072
GrowthMIP - STP - Growth
HDFC 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 -0.0449
HDFC 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 -0.0018
HSBC MIP - Regular Plan - Growth 13.3504 64.66 -3.31 4.27 6.13 0.6216 0.7543 0.5910 -0.2581 -0.2715 -0.0280
HSBC MIP - Savings Plan - Growth 14.2166 119.75 -7.49 - 3.84 6.72 0.8959 0.8042 0.8795 -0.2653 -0.2702 -0.0405
PRINCIPAL MIP- Growth 16.5543 41.05 4.78 4.83 5.30 0.8427 0.7440 0.7975 -0.2086 -0.2204 0.0030

PRINCIPAL MIP Plus - Growth 13.9981 77.85 -7.91 5.16 6.17 1.1892 0.7643 1.1406 -0.1905 -0.1986 0.0292
ING MIP Fund - Growth 12.1175 3.20 -10.62 0.15 2.79 1.0253 0.9065 1.0717 -0.2843 -0.2720 -0.0512
JM MIP - Growth 13.2723 9.60 -8.39 0.21 3.75 0.9108 0.6785 0.8225 -0.2469 -0.2733 -0.0404
Kotak 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

203
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 0.0028
ICICI 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 0.1312
Sundaram 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 -0.0817
Tata 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 -0.0133
SBI Magnum MIP - Floater - Growth 10.9506 11.87 -4.31 1.20 N.A 0.7433 0.5162 0.5844 -0.2406 -0.3060 -0.0478
Baroda 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 0.0253
LIC 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

204
 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.

205
 Table 5.19: SECTOR FUNDS - FMCG

Fund Size %Returns (CAGR) Standard

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

Peer Group Average -37.54 -14.92 -1.90 4.33 0.78 0.84 -0.19 -0.97 -0.68

206
 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.

207
 Table 5.20: SECTOR FUNDS - PHARMA

%Returns (CAGR)

1 year 2 Years 3 Years

Fund Size Standard R-
Scheme Name NAV (Rs.Cr) Deviation Squared Beta Sharpe Treynor Jenson

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
2. Public Sector (Other than UTI):
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 - 17.6000 43.29 -17.82 -10.45 -3.64 4.0204 0.9418 0.8937 -0.0771 -0.3470 0.1652
Growth

Peer Group Average -29.23 -15.96 -6.08 4.42 0.84 0.92 -0.13 -0.62 -0.09

208
 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.

209
 Table 5.21: SECTOR FUNDS- INFOTECH

Fund Size %Returns (CAGR) Standard

Scheme Name NAV (Rs.Cr) lYear 2 3 Years Deviation R- Beta Sharpe Treynor Jenson
Years 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 - 14.4530 64.82 -53.50 -19.04 -1.25 5.1015 0.5613 0.6849 -0.2627 -1.9570 -0.6489
Growth
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

Peer Group Average -51.52 -28.67 -9.78 4.89 0.66 0.71 -0.26 -1.85 -0.53

210
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.
 Table 5.22: SHORT-TERM INCOME SCHEME
Fund %Returns (CAGR) Standard
Size

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

Name Years Years Squared

1. Private Sector :

Fortis Short Term Income 13.0686 129.10 9.56 7.93 7.20 0.0988 0.1900 0.3480 0.6934 0.1969 0.0615
Fund - Growth

Birla Sun Life Short Term 15.5486 2584.24 8.71 9.33 8.38 0.0578 0.2063 0.2059 0.9266 0.2599 0.0494
Fund - Growth

AIG Short Term Fund - 1052.8135 21.60 N.A N.A N.A 0.1193 0.3799 0.5610 0.1787 0.0380 0.0100
Retail - Growth

IDFC SSIF - Short Term - 16.8671 24.69 6.63 7.64 7.02 0.2109 0.4709 1.1434 0.0451 0.0083 -0.0136
Plan A - Growth

Birla Sun Life Short Term 12.8865 2819.66 6.06 5.85 5.32 0.1731 0.0499 0.3034 0.0205 0.0117 -0.0026
Opportunities Fund - Ret -
Growth

DWS Short Maturity Fund - 14.3152 35.32 7.22 7.54 6.92 0.2145 0.6630 1.3733 0.1287 0.0201 -0.0001
Growth

DSP BlackRock Short Term 14.7534 38.91 8.65 7.40 7.16 0.0275 0.3717 0.1331 1.9090 0.3949 0.0499
Fund - Growth

Fidelity Short Term Income 11.6502 24.72 7.22 6.97 N.A 0.1333 0.5121 0.7563 0.1798 0.0317 0.0087
Fund - Growth

HDFC Short Term Plan - 15.5117 64.91 8.57 8.55 7.73 0.1411 0.5390 0.8143 0.3271 0.0567 0.0297
Growth

HSBC Income Fund - S T P 14.4346 22.10 9.02 8.05 7.41 0.0508 0.2486 0.1988 1.1599 0.2964 0.0549
- Reg - Growth

PRINCIPAL Income Fund - 15.1600 25.40 6.54 6.96 6.83 0.1270 0.5706 0.7593 0.0886 0.0148 -0.0041
STP - Growth

ING Short Term Income 15.3352 31.12 8.02 8.68 7.99 0.1514 0.4103 0.7641 0.2855 0.0566 0.0278
Fund - Growth

JM Short Term Fund - 16.2670 13.19 14.25 11.49 9.57 0.4242 0.1596 1.3437 0.3261 0.1030 0.1112
Growth

212
Kotak Bond Short Term Plan 15.4274 74.20 6.97 7.99 7.54 0.1448 0.3561 0.6829 0.1315 0.0279 0.0053
- Growth

Templeton India STIP - 1581.0357 529.05 7.30 8.40 7.66 0.1585 0.5271 0.9123 0.1273 0.0221 0.0018
Growth

Lotus India Short Term Plan 11.5571 629.90 7.63 N.A N.A 0.1282 0.5060 0.7231 0.2642 0.0468 0.0193
- Regular - Growth

ICICI Prudential STP - 16.6282 166.62 9.55 9.23 8.30 0.2393 0.3999 1.2022 0.2524 0.0502 0.0362
Growth

Reliance Short Term Fund - 15.0486 232.33 7.66 8.62 7.97 0.1032 0.6430 0.6562 0.3229 0.0508 0.0201
Growth

Sundaram BNP Paribas 14.7991 0.36 7.46 7.64 7.27 0.0246 0.0235 - 1.3949 -1.1492 0.0349
Select Debt - S T A P - 0.0298
Appreciation

Tata Short Term Bond Fund 15.6041 27.26 9.47 9.52 8.40 0.1183 0.5066 0.6675 0.4656 0.0825 0.0416
- Growth

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 (other

than UTI)

SBI SHF - Short Term - 10.9186 1.11 6.83 N.A N.A 0.0446 0.0475 0.0767 0.5036 0.2930 0.0209
Retail - Growth
SBI Magnum NRI 10.8985 0.23 1.31 0.87 1.37 0.0264 0.0212 - -3.0161 2.6247 -0.0790
Investment Fund - Short 0.0303
Term Bond Plan - Grow
LIC Short Term Plan - 13.4564 1.49 8.54 6.86 6.40 0.1308 0.0071 0.0870 0.3909 0.5877 0.0494
Growth

3. UTI

UTI Short Term Income 14.1152 15.36 8.53 8.09 7.68 0.0872 0.2209 0.3221 0.5862 0.1586 0.0446
Fund - Ret - Growth

Peer Group Average 7.96 7.86 7.26 0.13 0.35 0.58 0.33 0.18 0.02

213
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.

214
 Table 5.23: TAX SCHEME
Fund %Returns (CAGR) Standard
Size

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

Name Years Years Squared

Birla Sun Life Tax Plan – 6.7000 88.41 -55.39 -21.58 N.A 5.2406 0.8334 0.8133 -0.2554 -1.6460 -0.2355
Growth
Birla Sun Life Tax Relief 96 4.6800 407.66 N.A N.A N.A 6.0841 0.9441 0.9723 -0.2931 -1.8342 -0.4645
– Growth
DWS Tax Saving Fund – 6.9841 42.73 -58.27 -19.74 N.A 5.7246 0.8699 0.9077 -0.2422 -1.5274 -0.1552
Growth
DSP BlackRock Tax Saver 7.4210 334.60 -52.91 N.A N.A 5.6600 0.8128 0.8675 -0.2123 -1.3856 -0.0252
Fund – Growth

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

HDFC Long Term 55.5600 515.74 -53.19 -22.04 -8.12 4.8862 0.9178 0.7958 -0.2573 -1.5801 -0.1779
Advantage Fund – Growth
HSBC Tax Saver Equity 6.9672 165.87 -49.72 N.A N.A 4.8425 0.8776 0.7712 -0.2415 -1.5161 -0.1231
Fund – Growth

PRINCIPAL Tax Savings 38.6000 142.42 -64.80 -25.06 -5.54 5.8957 0.8274 0.9031 -0.3138 -2.0487 -0.6251
Fund
ING Tax Saving Fund – 11.8400 27.02 -65.03 -32.91 -14.78 6.5661 0.8388 1.0223 -0.2550 -1.6380 -0.2878
Growth
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 – 92.1887 384.76 -49.73 -14.94 -0.93 5.2209 0.9618 0.8704 -0.2211 -1.3265 0.0261
Growth

ICICI Prudential Taxplan – 49.9200 435.29 -55.88 -26.15 -10.62 5.4990 0.8448 0.8592 -0.2499 -1.5992 -0.2085
Growth
Sundaram BNP Paribas 22.1711 434.93 -47.47 -9.62 5.20 4.8274 0.8415 0.7528 -0.2260 -1.4490 -0.0697
Taxsaver – (Open Ended
Fund) – Growth
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 Tax 20.7396 1.74 -53.22 -18.32 -0.54 5.7030 0.9765 0.9580 -0.2193 -1.3057 0.0486
Fund
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 (Other

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

215
SBI Magnum Tax Gain 27.9200 2282.90 -55.91 -20.17 -2.07 5.3343 0.9480 0.8797 -0.2473 -1.4996 -0.1259
Scheme 93 – Growth

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

Peer Group Average -55.03 -19.81 -4.85 5.58 0.86 0.87 -0.26 -1.67 -0.28

216
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

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.

 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.

217
 CAGR Analysis: 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.

 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.

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).

 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

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 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.

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