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.
α
Jensen Ratio (JR) =
Β
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 (∑X2)-(∑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 e size = 0 = = e size = 0 = = e size = 0 = = 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 R2 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 SBIGrowth 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 HDFCT D - (G) 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 LotusPlan - IndiaReg -GiltGrowth 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 RelianceGrowth 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 DSPGrowth 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 HDFCGrowth MIP - STP - Growth 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
218 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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