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Lal Bahadur Shastri Institute of Management, Delhi
LBSIM Working Paper Series
LBSIM/WP/2020/05
Applying a Bootstrap Analysis to
Evaluate the performance of Indian
Mutual Funds
Anuj Verma
August,2020
2
LBSIM Working Papers indicate research in progress by the author(s) and are brought out to elicit ideas,
comments, insights and to encourage debate. The views expressed in LBSIM Working Papers are those of the
author(s) and do not necessarily represent the views of the LBSIM nor its Board of Governors.
3
WP/August2020/05
LBSIM Working Paper
Research Cell
Applying a Bootstrap Analysis to Evaluate the Performance of Indian Mutual
Funds
ANUJ VERMA
Associate Professor- Lal Bahadur Shastri Institute of Management, Delhi
August,2020
ABSTRACT
There are many investment avenues in India, but there is lack of awareness and information about
these financial investments among the people. As a result, an investor does not know which avenue
will provide best return. If the person does not have knowledge of how to get maximum benefit
with minimum risk, then one should invest in mutual fund. There are many types of funds and
schemes available in mutual fund market.
To fulfill the purpose of the Research paper, an extensive research was done to understand the
working of the Mutual Fund industry of India. The primary objective of the paper is to know
which funds give best results under their respective fund category. Forty Indian open-ended large
cap equity-oriented schemes having highest assets under management were selected. The data,
which is the daily NAV of the equity funds and the closing of Nifty Index, were collected for a
period of five years starting from 01/04/2013 to 31/03/2018. Finally, Bootstrapping technique
has been used to evaluate the performance of mutual funds.
Keywords: Financial Investment, Mutual Fund, Fund Category
JEL Classification: G24, G30, G11.
4
Applying a Bootstrap Analysis to Evaluate the Performance of Indian Mutual
Funds
INDUSTRY OVERVIEW
India has a very dynamic financial sector which is undergoing rapid changes, both in existing and
new financial firms. This sector includes financial institutions such as- non-banking financial
companies, commercial banks, co-operatives, insurance companies, mutual funds, pension funds
and other related fintech entities. The Government of India has introduced several reforms to
liberalize, regulate and enhance this industry. The asset management industry in India is among
5
the fastest growing industry in the world. Currently, 44 Asset Management Companies (AMCs) are
operating in the country. The Asset Under Management (AUM) of the Indian mutual fund industry
has been increasing rapidly with a Compounded Annual Growth Rate (CAGR) of 15%. It made a leap
of nearly 22 % from financial year 2016-17 to 2017-18 and the total AUM stood at Rs23.36 lakh
crore on March 2018. The below bar graph indicates the growth of AUM from 2008- 2018.
The amount of equity (MF) portfolios have increased to of 2.27 billion in 2018 which was recorded
the highest. The number of listed companies on NSE and BSE increased from 6,445 in FY10 to
7,501 in March 2018. The market capitalization of all the companies listed on the BSE reached a
record Rs 150 lakh crore (US$ 2.33 trillion) backed by high gains in the broader market. To raise
capital, companies are now preferring to opt for Initial Public Offers (IPOs). This is because the
number of retail investors opting for equity market have increased. The total amount of Initial
Public Offerings increased to Rs 84,357 crore (US$ 13,089 million) by the end of FY18.
The Bombay Stock Exchange listed companies have reached market capitalization of Rs 150 lakh
crore. Also, by the end of financial year 2017-18 the market for Initial Public Offer (IPO) stood at
nearly Rs84,357 crore.
6
The Government of India has realized the importance of small merchants and have relaxed the
norms and regulations of turnover up to Rs 2 crore. This will in turn help them to pay 6% of profit
in tax which was previously 8% of total turnover. The Government of India has also launched the
'Bharat 22' exchange traded fund (ETF), which will be managed by ICICIPrudential Mutual Fund,
and is looking to raise Rs 8,000 crore (US$ 1.22 billion) initially. According to Association of
Mutual Funds in India (AMFI) the mutual fund sector has witnessed huge investment in the form
of SIP and is expected to see a growth of more than three times in investor’s accounts which will
turn up to 130 million by 2020. RBI has allowed 100% foreign investment under the automatic
route in “other financial services”. The Securities Exchange Board of India (SEBI) has allowed
exchanges in India to operate in equity and commodity segment simultaneously starting from
October 2018. All these initiatives would go a long way to enhance the growth of financial
industry.
OBJECTIVES OF THE STUDY
1) To evaluate and compare the performance of various mutual fund schemes.
2) To know which schemes has given best performance under their respective fund category.
3) To apply bootstrap statistical analysis and examine the impact of market, size of
portfolio and value of portfolio on the performance of mutual funds in India.
LITERATURE REVIEW
“Applying a Bootstrap Analysis to Evaluate the Performance of Chinese Mutual Funds”
Long-Hui Chen and Hsin-Hung Chen, 2017
In this paper, the performance of Chinese mutual funds has been evaluated by the authors. For the
empirical study, 434 open ended equity schemes were selected which exist from January 2001.
The schemes that provided returns and relevant data for at least two years were taken into the
sample set. For evaluating the performance of mutual funds statistical tools such as- Cahart four
factor model and Jensen Alpha were used. The results from these statistical tools showed that
7
excellent management skills were demonstrated by the fund managers while selecting the stocks.
After using performance measures bootstrapping analysis was done on the sample. The alphas
were bootstrapped and then ranked in descending order. After comparing actual alphas with
bootstrapped alphas it was concluded that the positive returns generated by the mutual fund
schemes was due to stock picking ability of the fund manager and not due to luck.
“Performance of equity mutual funds in Brazil- A bootstrap analysis”
Marco Antonio Laes, Marcos Eugenio da Silva, 2014
This paper evaluates the performance of mutual funds in Brazil. For analysis, daily nav of the
mutual fund schemes were collected for ten years (2002-2012). There were two criteria for
considering a scheme in a sample set. The first criteria was a scheme should have atleast one year’s
history and the second criteria is that the net asset value of the fund should exceed $2 million. The
authors have used Cahart four factor model to evaluate the Brazilian mutual funds. It was found
that out of the four factors small minus big and market were two factors that were impacted by the
2008 crisis the most. Then bootstrap simulation was done to identify the luck factor present in the
schemes. It was observed that the returns generated by the schemes were mostly due to luck than
skill of the manager. Also, bad management of the managers has led to poor performance of the
fund.
METHODOLOGY
DATA COLLECTION METHOD
For the purpose of the research the information and details were collected via secondary data. To
have an overview of mutual funds industry in India, secondary information have been collected from
newspapers, reference books and fact sheets. The data used for calculations such as NAV history
of a fund, returns generated by portfolio have been collected from websites of Association of
Mutual Funds India (AMFI), Reserve Bank of India (RBI), Asset Management Companies (AMC),
Value Research and other sources. Forty Indian open-ended large cap equity schemes were selected
which have the highest Asset Under Management (AUM) and their daily NAV were collected for
8
a period of five years starting from 01/04/2013 to 31/03/2018. Also, every scheme’s benchmark
index data was collected in order to obtain return of the market.
TOOLS
The statistical tools used to evaluate the performance of mutual fund schemes are-
a) Sharpe Measure
b) Treynor Measure
c) Jensen Alpha Measure
d) M square Measure
e) Bootstrap Procedure
CALCULATIONS
1) Sharpe Measure- To calculate Sharpe measure, three years return of the portfolio,
three years risk free return government securities and standard deviation has been
used.
2) Treynor Measure- To calculate Treynor measure, three years risk free return of
government securities, portfolio and fund’s beta is used.
3) Jensen Alpha- To calculate Jensen Alpha, past three years return of the fund, past three
years risk free return of government securities, average three years return of benchmark
index (Nifty) and fund’s beta is used
4) M-Square Measure- For calculating M- Square, Sharpe ratio, standard deviation of the
excess return and three years risk free return government securities is used.
9
PERFORMANCE EVALUATION ON DIFFERENT PARAMETERS
1. Return- An investor cannot depend solely on a year’s return. One must always look at
the returns given by the fund at various time frames. This will tell how well and
consistent the fund has been performing in the last few years
The below table shows the returns generated by various equity funds & balanced funds (also called
hybrid equity fund).
Fund name 1 year
return
(%) as of
08-05-
2018
3 years
return (%)
as of
08-05-2018
5 years
return (%)
as of
08-05-2018
10 years
return (%)
as of
08-05-2018
All equity 12.92 11.01 16.60 11.21
Large cap 12.92 10.01 14.01 9.21
Mid and small cap 13.02 14.83 24.79 14.41
Balanced fund equity oriented 8.34 9.44 14.84 10.69
Equity funds- technology 37.55 11.78 21.30 11.12
Equity funds- pharma 1.36 -1.58 12.98 16.22
Equity funds - infrastructure 10.01 11.12 17.75 5.96
Equity funds- diversified 12.33 11.04 17.84 10.55
Equity funds- thematic 13.40 14.68 18.74 11.87
ELSS 11.57 12.41 19.03 10.59
Source: Valueresearch
10
2. Diversification- the main reason people prefer mutual funds over investing directly in
equity market is because the funds diversify the risk by allocating small amount of assets
into various sectors. These asset allocation details are given in scheme information
document (SID) of every fund.
3. Expense Ratio- Expense ratio is a percentage of asset under management taken by the
fund company for performing their services for investors. The NAV of a fund is declared
after accounting for expense ratio. Expense ratio = fund’s operating expenses/ average
asset under management. The below table shows the expense ratio of all selected
schemes
Name Expense Ratio Name Expense Ratio
Aditya Birla Sun Life Frontline
Equity Fund (G)
1.97% Canara Robeco Bluechip
Equity Fund (G)
3%
SBI Blue Chip Fund-Regular
Plan (G)
1.98% Aditya Birla Sun Life
Index Fund
0.80%
ICICI Prudential Bluechip
Fund (G)
2.1% Edelweiss Large Cap Fund
(G)
1.60%
HDFC Top 100 Fund (G) 2.14% SBI Nifty Index Fund 0.65%
Reliance Large Cap Fund (G)
2.26% Taurus Largecap Equity
Fund
2.80%
Franklin India Bluechip Fund
(G)
2.03% Baroda Large cap Fund (G)
2.95%
UTI - Master Share (G)
2.33% Essel Large Cap Equity
Fund
2.79%
Axis Bluechip Fund (G) 2.29% JM Core 11 Fund 1.56%
JM Large Cap Fund (G)
2.08% Principal Nifty 100 Equal
Weight Fund
0.60%
DSP Top 100 Equity Fund (G)
2.23% Reliance Index Fund -
Sensex Plan
0.98%
Kotak Bluechip Fund (G) 2.16% Quant Focused Fund 2.50%
11
BNP PARIBAS LARGE CAP
Fund (G)
2.33% Aditya Birla Sun Life
Focused Equity Fund
2.03%
12
Tata Large Cap Fund (G)
1.42% Motilal Oswal Focused
25 Fund
2.07%
HSBC Large Cap Equity Fund
(G)
2.5% Sundaram Select
Focus Fund
2.46%
L&T India Large Cap Fund (G)
2.67% HDFC Index Fund - Sensex
Plan
0.30%
IDFC Large Cap Fund (G) 2.62% LIC MF Index-Sensex Plan 1.55%
IDBI India Top 100 Equity
Fund (G)
2.54% Tata Index Nifty Fund
1.27%
Indiabulls Blue Chip Fund (G) 2.51% Taurus Nifty Index Fund 1.67%
LIC MF Large Cap Fund (G) 2.55% LIC MF Index-Nifty Plan 1.20%
Invesco India Largecap Fund
(G)
2.64% IDFC Nifty Fund
0.27%
13
LARGE CAP FUNDS
According to SEBI, top 100 companies in terms of market capitalization will come under the large
cap segment.
Name of funds Sharpe
Measure
Treynor
Measure
Jensen Alpha
Measure
M Square
Measure
Aditya Birla Sun Life
Frontline Equity Fund (G)
0.70 1.98 0.05 12.27%
SBI Blue Chip Fund (G) 0.52 0.96 0.04 10.55%
ICICI Prudential Bluechip
Fund (G)
0.86 2.51 0.06 13.75%
HDFC Top 100 Fund (G) 1.04 4.16 0.09 15.87%
Reliance Large Cap Fund (G) 0.86 2.5 0.06 14.47%
Franklin India Bluechip
Fund(G)
0.52 0.95 0.04 10.54%
UTI - Master Share(G) 0.73 2.23 0.06 11.84%
Axis Bluechip Fund (G) 1.42 5.43 0.11 14.49%
JM Large Cap Fund-(G) 0.51 0.95 0.04 9.29%
DSP Top 100 Equity Fund
(G)
0.49 0.48 0.04 10.28%
Kotak Bluechip Fund (G) 0.55 1.64 0.05 10.83%
14
BNP PARIBAS LARGE
CAP Fund (G)
0.44 0.14 0.04 9.95%
Tata Large Cap Fund Regular
Plan (G)
0.53 1.57 0.05 10.80%
HSBC Large Cap Equity
Fund(G)
0.72 2.14 0.05 13.15
L&T India Large Cap Fund
Regular Plan (G)
0.53 1.55 0.04 10.35
IDFC Large Cap Fund-
Regular Plan (G)
0.76 2.28 0.07 13.05
IDBI India Top 100 Equity
Fund (G)
0.32 0.02 0.03 8.87%
Indiabulls Blue Chip Fund
(G)
0.79 2.3 0.06 13.06%
LIC MF Large Cap Fund (G) 0.78 2.3 0.06 11.56%
Invesco India Largecap
Fund(G)
0.67 1.79 0.05 11.35%
Canara Robeco Bluechip
Equity Fund (G)
0.99 3.99 0.08 12.50%
Aditya Birla Sun Life
Index Fund
0.80 2.36 0.06 12.00%
Edelweiss Large Cap Fund
(G)
0.75 2.25 0.06 12.10
SBI Nifty Index Fund 0.88 2.54 0.07 12.60%
15
Taurus Largecap Equity Fund 0.02 0.01 0.01 6.50%
Baroda Large cap Fund (G) 0.60 1.78 0.05 10.40%
Essel Large Cap Equity Fund 0.45 0.44 0.04 10.10%
JM Core 11 Fund 1.00 3.99 0.11 16.70%
Principal Nifty 100 Equal
Weight Fund
0.22 0.01 0.02 8.50%
Reliance Index Fund -
Sensex Plan
0.97 3.52 0.06 12.70%
Quant Focused Fund 0.38 0.02 0.03 9.60%
Aditya Birla Sun Life
Focused Equity Fund
0.50 0.94 0.04 10.60%
Motilal Oswal Focused
25 Fund
0.53 1.39 0.04 10.70%
Sundaram Select
Focus Fund
0.83 2.49 0.06 12.60%
HDFC Index Fund - Sensex
Plan
1.09 4.16 0.1 13.70%
LIC MF Index-Sensex Plan 0.91 2.96 0.06 12.30%
Tata Index Nifty Fund 0.90 2.61 0.07 12.60%
Taurus Nifty Index Fund 0.92 3.22 0.07 12.20%
LIC MF Index-Nifty Plan 0.74 2.23 0.06 11.70%
IDFC Nifty Fund 0.96 3.42 0.06 13.10%
16
RANKING ACCORDING TO MEASURES
Rank Sharpe Measure Treynor Measure Jensen Alpha
Measure
M Square Measure
1 Axis Bluechip Fund Axis Bluechip Fund Axis Bluechip Fund Axis Bluechip Fund
2 HDFC
Index Fund -
Sensex Plan
HDFC Index Fund -
Sensex Plan
HDFC Index Fund -
Sensex Plan
HDFC Index Fund -
Sensex Plan
3 HDFC Top 100
Fund (G)
HDFC Top 100 Fund
(G)
HDFC Top 100 Fund
(G)
HDFC Top 100 Fund
(G)
4 JM Core 11 Fund JM Core 11 Fund JM Core 11 Fund JM Core 11 Fund
5 Canara Robeco
Bluechip Equity
Fund (G)
Canara Robeco
Bluechip Equity
Fund (G)
Canara Robeco
Bluechip Equity
Fund (G)
Canara Robeco
Bluechip Equity
Fund (G)
6 Reliance
Index Fund -
Sensex Plan
Reliance
Index Fund - Sensex
Plan
Reliance
Index Fund - Sensex
Plan
Reliance
Index Fund - Sensex
Plan
7 IDFC Nifty Fund IDFC Nifty Fund IDFC Nifty Fund IDFC Nifty Fund
8 Taurus Nifty
Index Fund
Taurus Nifty
Index Fund
Taurus Nifty
Index Fund
Taurus Nifty
Index Fund
9 LIC MF Index-
Sensex Plan
LIC MF Index-
Sensex Plan
LIC MF Index-
Sensex Plan
LIC MF Index-
Sensex Plan
10 Tata Index
Nifty Fund
Tata Index
Nifty Fund
Tata Index
Nifty Fund
Tata Index
Nifty Fund
17
11 SBI Nifty
Index Fund
SBI Nifty
Index Fund
SBI Nifty
Index Fund
SBI Nifty
Index Fund
12 ICICI Prudential
Bluechip Fund (G)
ICICI Prudential
Bluechip Fund (G)
ICICI Prudential
Bluechip Fund (G)
ICICI Prudential
Bluechip Fund (G)
13 Reliance Large Cap
Fund (G)
Reliance Large Cap
Fund (G)
Reliance Large Cap
Fund (G)
Reliance Large Cap
Fund (G)
14 Sundaram Select
Focus Fund
Sundaram Select
Focus Fund
Sundaram Select
Focus Fund
Sundaram Select
Focus Fund
15 Aditya Birla Sun
Life Index Fund
Aditya Birla Sun Life
Index Fund
Aditya Birla Sun Life
Index Fund
Aditya Birla Sun
Life Index Fund
16 Indiabulls Blue
Chip Fund (G)
Indiabulls Blue Chip
Fund (G)
Indiabulls Blue Chip
Fund (G)
Indiabulls Blue Chip
Fund (G)
17 LIC MF Large Cap
Fund (G)
LIC MF Large Cap
Fund (G)
LIC MF Large Cap
Fund (G)
LIC MF Large Cap
Fund (G)
18 IDFC Large Cap
Fund-Regular Plan
(G)
IDFC Large Cap
Fund-Regular Plan
(G)
IDFC Large Cap
Fund-Regular Plan
(G)
IDFC Large Cap
Fund-Regular Plan
(G)
19 Edelweiss Large
Cap Fund (G)
Edelweiss Large Cap
Fund (G)
Edelweiss Large Cap
Fund (G)
Edelweiss Large Cap
Fund (G)
20 LIC MF Index-
Nifty Plan
LIC MF Index-Nifty
Plan
LIC MF Index-Nifty
Plan
LIC MF Index-Nifty
Plan
21 UTI - Master
Share(G)
UTI - Master
Share(G)
UTI - Master
Share(G)
UTI - Master
Share(G)
22 HSBC Large Cap
Equity Fund(G)
HSBC Large Cap
Equity Fund(G)
HSBC Large Cap
Equity Fund(G)
HSBC Large Cap
Equity Fund(G)
18
23 Aditya Birla Sun
Life Frontline
Equity Fund (G)
Aditya Birla SunLife
Frontline Equity
Fund (G)
Aditya Birla Sun Life
Frontline Equity
Fund (G)
Aditya Birla Sun
Life Frontline Equity
Fund (G)
24 Invesco India
Largecap Fund(G)
Invesco India
Largecap Fund(G)
Invesco India
Largecap Fund(G)
Invesco India
Largecap Fund(G)
25 Baroda Large cap
Fund (G)
Baroda Large cap
Fund (G)
Baroda Large cap
Fund (G)
Baroda Large cap
Fund (G)
26 Kotak Bluechip
Fund (G)
Kotak Bluechip Fund
(G)
Kotak Bluechip Fund
(G)
Kotak Bluechip
Fund (G)
27 Tata Large Cap
Fund Regular Plan
(G)
Tata Large Cap Fund
Regular Plan (G)
Tata Large Cap Fund
Regular Plan (G)
Tata Large Cap Fund
Regular Plan (G)
28 L&T India Large
Cap Fund Regular
Plan (G)
L&T India Large Cap
Fund Regular Plan
(G)
L&T India Large Cap
Fund Regular Plan
(G)
L&T India Large Cap
Fund Regular Plan
(G)
29 Motilal Oswal
Focused 25 Fund
Motilal Oswal
Focused 25 Fund
Motilal Oswal
Focused 25 Fund
Motilal Oswal
Focused 25 Fund
30 SBI Blue Chip
Fund (G)
SBI Blue Chip Fund
(G)
SBI Blue Chip Fund
(G)
SBI Blue Chip Fund
(G)
31 Franklin India
Bluechip Fund(G)
Franklin India
Bluechip Fund(G)
Franklin India
Bluechip Fund(G)
Franklin India
Bluechip Fund(G)
32 JM Large Cap
Fund-(G)
JM Large Cap Fund-
(G)
JM Large Cap Fund-
(G)
JM Large Cap Fund-
(G)
19
33 Aditya Birla Sun
Life Focused
Equity Fund
Aditya Birla Sun Life
Focused Equity Fund
Aditya Birla Sun Life
Focused Equity Fund
Aditya Birla Sun
Life Focused
Equity Fund
34 DSP Top 100
Equity Fund (G)
DSP Top 100 Equity
Fund (G)
DSP Top 100 Equity
Fund (G)
DSP Top 100 Equity
Fund (G)
35 Essel Large Cap
Equity Fund
Essel Large Cap
Equity Fund
Essel Large Cap
Equity Fund
Essel Large Cap
Equity Fund
36 BNP PARIBAS
LARGE CAP Fund
(G)
BNP PARIBAS
LARGE CAP Fund
(G)
BNP PARIBAS
LARGE CAP Fund
(G)
BNP PARIBAS
LARGE CAP Fund
(G)
37 Quant
Focused Fund
Quant Focused Fund
Quant Focused Fund
Quant Focused Fund
38 IDBI India Top 100
Equity Fund (G)
IDBI India Top 100
Equity Fund (G)
IDBI India Top 100
Equity Fund (G)
IDBI India Top 100
Equity Fund (G)
39 Principal Nifty 100
Equal Weight Fund
Principal Nifty 100
Equal Weight Fund
Principal Nifty 100
Equal Weight Fund
Principal Nifty 100
Equal Weight Fund
40 Taurus Largecap
Equity Fund
Taurus Largecap
Equity Fund
Taurus Largecap
Equity Fund
Taurus Largecap
Equity Fund
From the table we can see that the top three equity schemes under large cap funds are- Axis
Bluechip Fund – Growth, HDFC Top 100 Fund - Growth Option and HDFC Index Fund - Sensex
Plan.
But out of these three schemes HDFC Top 100 Fund - Growth Option and HDFC Index Fund -
Sensex Plan have the least expense ratio and make it to the second tier. Now comparing both the
schemes on the basis of standard deviation we can conclude that HDFC Top 100 Fund - Growth
20
Option is the best performing scheme as there is less deviation in it’s three years excess return than
HDFC Index Fund - Sensex Plan. The below diagram shows the result.
HDFC Top 100
Fund (G)
Standard Deviation
HDFC Top 100 Fund (G)
and HDFC Index Fund - Sensex Plan
Axis Bluechip Fund (G), HDFC Top 100 Fund (G) and HDFC Index Fund - Sensex Plan
Top 3 schemes
according to
statistical
tools
BOOTSRAPPING PROCEDURE
Bootstrapping is an effective tool to check the reliability and stability of model. It helps in
estimating confidence intervals and standard errors for statistical estimates such as- median, mean,
odds ratio, proportion, correlation and regression coefficient. Bootstrapping mainly estimates the
sampling distribution of an estimator by resampling with replacement from the original sample.
One can construct a hypothesis with the help this procedure and define the number of samples that
are required to get reliable results.
Bootstrapping can be used when one is unsure about the distribution of the data. In this study IBM
SPSS Statistics has been used to identify approximate standard errors. These errors are then
Expense Ratio
21
compared with normal regression errors to find the absolute difference. The p value in ANOVA
table is less than 0.05 indicating that the model is fit. In regression table the p values of independent
variables are less than 0.05 and hence are significant. Also, the bootstrap table shows that p values
of these variables have increased but are still below 0.05 concluding that return of mutual fund
22
schemes are impacted by market, value of portfolio and size of portfolio.
Bootstrapping Procedure
Bootstrap
Bootstrap Specifications
Sampling Method Simple
Number of Samples 1000
Confidence Interval Level 95.0%
Confidence Interval Type Bias-corrected and accelerated
(BCa)
Regression
Variables Entered/Removeda
Model
Variables
Entered
Variables
Removed
Method
1 hml, smb, rm-
rfb
. Enter
a. Dependent Variable: excess return
b. All requested variables entered.
23
Model Summary
Model
R
R Square
Adjusted R
Square
Std. Error of the
Estimate
1 . 787a
. 787
.787
.054393922894
089
a. Predictors: (Constant), hml, smb, rm-rf
ANOVAa
Model Sum of Squares df Mean Square F Sig.
1 Regression 1035.498 3 345.166 116661.417 .002b
Residual .003 1 .003
Total 1035.501 4
a. Dependent Variable: excess return
b. Predictors: (Constant), hml, smb, rm-rf
Coefficientsa
Model
Unstandardized Coefficients
Standardized
Coefficients
t
Sig. B Std. Error Beta
1 (Constant) .584 .042 14.005 .045
rm-rf 1.038 .003 .932 395.590 .002
Smb -1.813 .024 -.162 -74.037 .009
Hml .549 .018 .081 29.921 .021
a. Dependent Variable: excess return
19
Bootstrap for Coefficients
Model
B
Bootstrapa
Bias
Std. Error
Sig. (2-tailed)
BCa 95% Confidence Interval
Lower Upper
1 (Constant) .584 -.104b .239b .813b -.077b .639b
rm-rf 1.038 -.020b .046b .032b .909b 1.042b
Smb -1.813 .385b .953b .045b -1.865b,c .845b
Hml .549 -.215b .505b .028b .544b .545b
a. Unless otherwise noted, bootstrap results are based on 1000 bootstrap samples
b. Based on 416 samples
c. Some results could not be computed from jackknife samples, so this confidence interval is computed by
the percentile method rather than the BCa method.
CONCLUSION
Mutual funds are volatile in nature. Hence an investor should read the Scheme Information
Document (SID) carefully before investing. Various factors such as- expense ratio, past
performance, standard deviation and other soft factors should be considered before adding a
scheme into portfolio. Evaluation of mutual funds by statistical tools is very essential and should
not be ignored. From the statistical tools- Sharpe Measure, Treynor Measure, Jensen Alpha and M
Square measure it can be concluded that the best performing Large Cap Fund is HDFC Top 100
Fund - Growth Option.
The significance level in ANOVA table is less than 0.05 indicating that the model is statistically
fit. Also, the bootstrap technique indicates the reliability and validity of the model. Bootstrap
analysis indicate that returns of mutual funds are impacted by market, value of portfolio and size of
portfolio as the significance level of these independent variable are less than 0.05. Hence, an
investor should consider these hard factors before selecting any mutual fund scheme.
REFERENCES
Advisorkhoj. (2013-2018). Equity Large cap funds
AUM. India. AMFI. (2013-2014). AMFI NAV
History. India.
Chen, L.-H. C.-H. (2017). Applying a Bootstrap Analysis to Evaluate the
Performance of Chinese Mutual Funds.
Control, M. (2013-2018). Returns of large cap funds. India.
David Blake, C. I. (2014, June). New Evidence on Mutual Fund Performance: A
Comparison of Alternative Bootstrap Methods. UK.
IBEF. (2018). Indian Financial Service
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