PERFORMANCE EVALUATION OF MUTUAL FUND SCHEMESshodhganga.inflibnet.ac.in/bitstream/10603/13577/15... · CHAPTER 6 PERFORMANCE EVALUATION OF MUTUAL FUND SCHEMES As the concept of mutual

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CHAPTER 6

PERFORMANCE EVALUATION OF MUTUAL FUND SCHEMES

As the concept of mutual fund is gaining more and more importance with a wide array

of institutions vying to lure the investing public, a proper evaluation of performance

of mutual funds, ability of the funds to diversify and time their investment is of

practical importance for a valued judgment.

Mutual Fund is one of the most preferred investment alternatives for the small

investors as it offers an opportunity to invest in a diversified, professionally managed

portfolio at a relatively low cost. The paradigm shift towards mutual funds assumed

greater importance ever since the financial sector gained momentum under the

globalized and liberalized environment. Each mutual fund has its own investment

objective such as capital appreciation, high current income or money market income.

A mutual fund generally states its own investment objectives and investors as a part of

their own investment strategies choose the appropriate mutual fund for investment.

The performance of the mutual fund products becomes more complex in context of

accommodating both risk and return measurement while giving due importance to

investment objectives.

The portfolio manager deals with the process of selection of securities from the

number of opportunities available with different expected returns and carrying

different levels of risk. The selection of securities is made with a view to provide the

investors the maximum yield for a given level of risk or ensure minimum risk for a

given level of return. Thus the portfolio manager should have the ability to derive

above average returns for a given risk class; completely diversify the portfolio to

eliminate all unsystematic risk. First requirement can be achieved either through

superior timing or superior security selection. A portfolio manager can select high

beta securities during a time when he thinks the market will perform well and low (or

negative) beta stocks at a time when he thinks the market will perform poorly thereby

deriving above average risk-adjusted returns. Conversely, a portfolio manager can try

to select undervalued stocks or bonds for a given risk class. Second requirement

demands that one should be able to completely diversify all unsystematic risk. We can

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measure the level of diversification by computing the correlation between the returns

of the portfolio and the market portfolio.

The models devised by Sharpe, Treynor and Jensen have been applied to evaluate the

performance of sample schemes. The performance measure suggested by Treynor

(1965) is based on the concept of characteristics lines. It is interpreted as stating the

reward (return minus the risk-free rate) in relation to a systematic risk, i.e. beta risk.

The performance measure evolved by Sharpe (1966) is based on capital asset pricing

model (CAPM). It is an excess return earned over risk free return per unit of risk

involved i.e. per unit of standard deviation. The Sharpe measure adjusts portfolio

performance by total risk rather than beta risk. Sharpe’s logic for introducing total risk

instead of beta lies with the assumption behind the beta risk. Beta risk assumes that a

portfolio is well diversified with no remaining diversifiable risk. Sharpe argues that a

portfolio manager who does not hold a well-diversified portfolio should be penalized

for exposing returns to diversifiable risk. Hence, the Sharpe measure adjusts portfolio

return for total risk which includes both systematic (beta) risk and diversifiable risk.

Generally, if mutual funds or other portfolios are well diversified, the Sharpe and

Treynor measures will give them the same rankings. A poorly diversified portfolio

could have a higher ranking under the Treynor measure than for the Sharpe measure.

The Jensen’s classic study (1968) uses the characteristic line estimated by the market

model where the CAPM is its benchmark. It is the regression of excess return of the

scheme with excess return of the market, acting as dependent and independent

variable respectively. The Jensen’s alpha can be used to rank portfolios within peer

groups. Higher positive value of alpha indicates its better performance. The Jensen

alpha generates very similar rankings as does the Treynor index only for a set of

comparable portfolio betas. In general, the Jensen alpha produces different ranking

than does the Treynor index. Among the above performance measures, Sharpe

measure that considers total risk associated with funds is suitable for small investors,

as the ordinary investors lack the necessary skill and resources to diversify. However,

Treynor measure and Jensen Model use systematic risk based on the assumption that

the unsystematic risk is diversifiable. These models are suitable for large investors

like institutional investors with high risk taking capacities as they do not face paucity

of funds and can invest in a number of options to dilute some risks. Thus mutual fund

schemes which underperform according to Sharpe measure may outperform according

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to Treynor measure as Treynor measure takes into account only systematic risk

whereas Sharpe measure has to consider total risk.

6.1 COMPARISON OF SHARPE MEASURE WITH BENCHMARK

INDICES

The selected schemes under study have been evaluated using the Sharpe measure and

results have been compared with the benchmarks to know whether selected schemes

outperformed or underperformed the market. As per Table 6.1, majority of the

schemes outperformed benchmark on the basis of Sharpe measure up to year 2005-06

except in the year 2002-03 and 2005-06 when these schemes underperformed BSE

200 and BSE Sensex respectively. From 2006-07 onwards majority of schemes

underperformed all the benchmarks except S&P CNX Nifty in 2008-09, BSE Sensex

in 2007-08, 2008-09 and 2009-10, BSE 100 and BSE 200 from 2008-09 to 2010-11.

6.2 COMPARISON OF TREYNOR MEASURE WITH BENCHMARK

INDICES

The schemes under study have been evaluated using the Treynor measure and results

have been compared with the benchmarks to know whether the selected schemes

outperformed or underperformed the market. Table 6.2 highlights that majority of the

schemes outperformed all the benchmark indices on the basis of Treynor measure

upto year 2005-06 except in 2002-03 when these schemes underperformed BSE 200.

From 2006-07 onwards, majority of schemes underperformed the benchmark S&P CNX Nifty and BSE

Sensex except in 2007-08 (in case of S&P CNX Nifty and BSE Sensex) and 2009-10 (in case of BSE

Sensex). On the other hand, majority of schemes underperformed the benchmark BSE 100 and BSE 200

during most part of the study except 2008-09 (in case of BSE 200), 2009-10 (in case of BSE 100 and BSE

200) and 2010-11 (in case of BSE 100).

6.3 COMPARISON OF SHARPE AND TREYNOR VALUES ON THE BASIS

OF S&P CNX NIFTY

The table 6.3 highlights that on the basis of Sharpe and Treynor measures, majority of the schemes

outperformed S&P CNX Nifty upto year 2005-06. From 2006-07 onwards, majority of schemes

underperformed S&P CNX Nifty on the basis of Sharpe measure (except in 2008-09) and Treynor

measure (except in year 2007-08).

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Table 6.1

Comparison of Sharpe's Measure with Benchmark Indices

Year↓ SI- S&P CNX Nifty SI-BSE Sensex SI-BSE 100 SI-BSE 200 Total No.

Of

Schemes Positive Negative Positive Negative Positive Negative Positive Negative

2002-03 39(86.67) 6(13.33) 41(91.11) 4(8.89) 30(66.67) 15(33.33) 18(40.00) 27(60.00) 45

2003-04 43(86.00) 7(14.00) 41(82.00) 9(18.00) 37(74.00) 13(26.00) 28(56.00) 22(44.00) 50

2004-05 42(84.00) 8(16.00) 40(80.00) 10(20.00) 36(72.00) 14(28.00) 36(72.00) 14(28.00) 50

2005-06 33(66.00) 17(34.00) 21(42.00) 29(58.00) 33(66.00) 17(34.00) 37(74.00) 13(26.00) 50

2006-07 19(38.00) 31(62.00) 4(8.00) 46(92.00) 17(34.00) 33(66.00) 20(40.00) 30(60.00) 50

2007-08 23(46.00) 27(54.00) 38(76.00) 12(24.00) 23(46.00) 27(54.00) 23(46.00) 27(54.00) 50

2008-09 27(54.00) 23(46.00) 32(64.00) 18(36.00) 32(64.00) 18(36.00) 32(64.00) 18(36.00) 50

2009-10 20(40.81) 29(59.18) 30(61.22) 19(38.77) 32(65.30) 17(34.69) 31(63.26) 18(36.73) 49

2010-11 16(33.33) 32(66.67) 20(41.67) 28(58.33) 28(58.33) 20(41.67) 25(52.08) 23(47.92) 48

Note: 1. Figures in table show the number of mutual fund schemes

2. Figures in parentheses denote percentage with respect to total number of schemes.

3. SI-S&P CNX Nifty means difference of Sharpe value of scheme and S&P CNX Nifty.

4. SI-BSE Sensex means difference of Sharpe value of scheme and BSE Sensex.

5. SI-BSE 100 means difference of Sharpe value of scheme and BSE 100.

6. SI-BSE 200 means difference of Sharpe value of scheme and BSE 200.

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Table 6.2

Comparison of Treynor's Measure with Benchmark Indices

Year↓ TI- S&P CNX Nifty TI-BSE Sensex TI-BSE 100

TI-BSE 200 Total No.

Of

Schemes Positive Negative Positive Negative Positive Negative Positive Negative

2002-03 33(73.33) 12(26.67) 35(77.78) 10(22.22) 28(62.22) 17(37.78) 17(37.78) 28(62.22) 45

2003-04 50(100.00) 0 46(92.00) 4(8.00) 40(80.00) 10(20.00) 30(60.00) 20(40.00) 50

2004-05 40(80.00) 10(20.00) 39(78.00) 11(22.00) 36(72.00) 14(28.00) 36(72.00) 14(28.00) 50

2005-06 34(68.00) 16(32.00) 27(54.00) 23(46.00) 33(66.00) 17(34.00) 37(74.00) 13(26.00) 50

2006-07 20(40.00) 30(60.00) 4(8.00) 46(92.00) 19(38.00) 31(62.00) 20(40.00) 30(60.00) 50

2007-08 26(52.00) 24(48.00) 40(80.00) 10(20.00) 24(48.00) 26(52.00) 24(48.00) 26(52.00) 50

2008-09 20(40.00) 30(60.00) 21(42.00) 29(58.00) 23(46.00) 27(54.00) 27(54.00) 23(46.00) 50

2009-10 22(44.89) 27(55.10) 32(65.31) 17(34.69) 35(71.43) 14(28.57) 32(65.31) 17(34.69) 49

2010-11 16(33.33) 32(66.67) 17(35.42) 31(64.58) 27(56.25) 21(43.75) 24(50.00) 24(50.00) 48

Note: 1. Figures in table show the number of mutual fund schemes

2. Figures in parentheses denote percentage with respect to total number of schemes.

3. TI-S&P CNX Nifty means difference of Treynor value of scheme and S&P CNX Nifty.

4. TI -BSE Sensex means difference of Treynor value of scheme and BSE Sensex.

5. TI -BSE 100 means difference of Treynor value of scheme and BSE 100.

6. TI -BSE 200 means difference of Treynor value of scheme and BSE 200.

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Table 6.3

Comparison of Sharpe and Treynor values on the basis of S&P CNX Nifty

Measure→

Year↓

Sharpe Treynor Total No. Of

Schemes Number of Schemes

Outperformed

Number of Schemes

Underperformed

Number of Schemes

Outperformed

Number of Schemes

Underperformed

2002-03 39(86.67) 6(13.33) 33(73.33) 12(26.67) 45

2003-04 43(86.00) 7(14.00) 50(100.00) 0 50

2004-05 42(84.00) 8(16.00) 40(80.00) 10(20.00) 50

2005-06 33(66.00) 17(34.00) 34(68.00) 16(32.00) 50

2006-07 19(38.00) 31(62.00) 20(40.00) 30(60.00) 50

2007-08 23(46.00) 27(54.00) 26(52.00) 24(48.00) 50

2008-09 27(54.00) 23(46.00) 20(40.00) 30(60.00) 50

2009-10 20(40.81) 29(59.18) 22(44.89) 27(55.10) 49

2010-11 16(33.33) 32(66.67) 16(33.33) 32(66.67) 48

Note: Figures in parentheses denote percentage to total number of schemes.

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6.3.1 Comparison of HDFC Mutual Fund with S&P CNX Nifty

Table 6.4 shows the performance of HDFC Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on S&P CNX Nifty. HDFC Equity Fund

underperformed the benchmark index in terms of Sharpe and Treynor measures for

the year 2006-07 and HDFC Growth Fund underperformed in the year 2009-10. For

rest of the years, HDFC Equity Fund and HDFC Growth Fund outperformed the

benchmark index with regard to both Sharpe and Treynor measures. HDFC Top 200

Fund outperformed the benchmark indices in terms of both the measures for 6 out of 9

years under study. However in the year 2009-10, the performance of the fund was

above the benchmark index in terms of Treynor measure and below in terms of

Sharpe measure. It underperformed the benchmark index in terms of both the

measures during 2006-07 and 2007-08. The analysis of results shows that HDFC

Capital Builder Fund outperformed the benchmark index on the basis of Sharpe and

Treynor measures for all the years except 2006-07. HDFC Balanced Fund

outperformed the benchmark index on the basis of Sharpe and Treynor measures for 5

out of 9 years under study. It underperformed the benchmark index with regard to

both the measures for 4 years (2004-05 to 2007-08) out of 9 years under study. HDFC

Prudence Fund outperformed the benchmark index for all the years of the study

except for the years 2006-07 and 2007-08.

6.3.2 Comparison of Franklin Templeton Mutual Fund with S&P CNX Nifty

Table 6.5 shows the performance of Franklin Templeton Mutual Fund Schemes on the

basis of Sharpe and Treynor measures based on S&P CNX Nifty. Franklin India

Bluechip Fund underperformed the benchmark index in terms of Sharpe and Treynor

measures for the year 2007-08 and Franklin India Prima Plus Fund underperformed in

the year 2009-10. For rest of the years, Franklin India Bluechip Fund and Franklin

India Prima Plus Fund outperformed the benchmark index with regard to both Sharpe

and Treynor measures. Franklin India Opportunities Fund outperformed the

benchmark index in terms of both Sharpe and Treynor measures for 3 years (2004-05,

2005-06 and 2006-07) out of 9 years under study. However in the year 2003-04, the

fund underperformed the benchmark index in terms of Sharpe measure and

outperformed in terms of Treynor measure. It underperformed the respective

benchmark index with regard to both the measures for the remaining 5 years of the

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study. Franklin India Prima Fund outperformed the benchmark index in terms of both

the measures for 6 out of 9 years under study. However in the year 2008-09, the

performance of the fund was above the benchmark index in terms of Sharpe measure

and below in terms of Treynor measure. It underperformed the benchmark index in

terms of both the measures during 2006-07 and 2007-08. Franklin India Balanced

Fund outperformed the benchmark index for 3 years (2002-03, 2003-04 and 2008-09)

out of 9 years under study. For the remaining 6 years, the fund performed below the

benchmark in terms of both Sharpe and Treynor measures.

6.3.3 Comparison of Tata Mutual Fund with S&P CNX Nifty

Table 6.6 shows the performance of Tata Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on S&P CNX Nifty. The analysis of the results

shows that Tata Equity Opportunities Fund outperformed the benchmark index on the

basis of Sharpe and Treynor for 6 out of 9 years of the study and for the rest of the

years (2006-07, 2008-09 and 2010-11) it underperformed the benchmark index. Tata

Growth fund outperformed the benchmark index for 4 years (2003-04 to 2005-06 and

2007-08) in terms of Sharpe and Treynor measures. However in the year 2002-03,

fund outperformed the benchmark index in terms of Sharpe measure and

underperformed in terms of Treynor measure. For the remaining period, it

underperformed the benchmark index. Tata Pure Equity Fund underperformed during

2008-09 and 2009-10. For the rest of the years, the fund outperformed the benchmark

index in terms of both the measures. Similarly Tata Select Equity Fund also

outperformed the benchmark index in terms of both the measures for 7 out of 9 years

under study and underperformed during 2008-09 and 2010-11. Tata Balanced Fund

outperformed the benchmark index in terms of Sharpe and Treynor measures for 6

out of 9 years under study. The fund underperformed the benchmark index during

2006-07, 2008-09 and 2010-11. Tata Young Citizens’ Fund underperformed the

benchmark index for the Sharpe measure for all the years and underperformed the

benchmark index for Treynor measures for all the years except 2003-04 and 2007-08.

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Table 6.4

Performance of HDFC Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on S&P CNX Nifty

Name of

the

scheme→

Year ↓

HDFC Equity

Fund

HDFC Growth

Fund

HDFC Top 200

Fund

HDFC Capital

Builder Fund

HDFC Balanced

Fund

HDFC Prudence

Fund

Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor

2002-03 O O O O O O O O O O O O

2003-04 O O O O O O O O O O O O

2004-05 O O O O O O O O U U O O

2005-06 O O O O O O O O U U O O

2006-07 U U O O U U U U U U U U

2007-08 O O O O U U O O U U U U

2008-09 O O O O O O O O O O O O

2009-10 O O U U U O O O O O O O

2010-11 O O O O O O O O O O O O

O- Outperformed respective benchmark index.

U- Underperformed respective benchmark index

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Table 6.5

Performance of Franklin Templeton Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on S&P CNX Nifty

Name of

the

scheme→

Year ↓

Franklin India

Bluechip Fund

Franklin India

Opportunities Fund

Franklin India

Prima Fund

Franklin India

Prima Plus Fund

Franklin India

Balanced Fund

Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor

2002-03 O O U U O O O O O O

2003-04 O O U O O O O O O O

2004-05 O O O O O O O O U U

2005-06 O O O O O O O O U U

2006-07 O O O O U U O O U U

2007-08 U U U U U U O O U U

2008-09 O O U U O U O O O O

2009-10 O O U U O O U U U U

2010-11 O O U U O O O O U U


U- Underperformed respective benchmark index.

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Table 6.6

Performance of Tata Mutual Funds Schemes on the basis of Sharpe and Treynor Measures based on S&P CNX Nifty

Name of

the

scheme→

Year ↓

Tata Equity

Opportunities

Fund

Tata Growth

Fund

Tata Pure Equity

Fund

Tata Select

Equity Fund

Tata Balanced

Fund

Tata Young

Citizens’ Fund


2002-03 O O O U O O O O O O U U

2003-04 O O O O O O O O O O U O

2004-05 O O O O O O O O O O U U

2005-06 O O O O O O O O O O U U

2006-07 U U U U O O O O U U U U

2007-08 O O O O O O O O O O U O

2008-09 U U U U U U U U U U U U

2009-10 O O U U U U O O O O U U

2010-11 U U U U O O U U U U U U



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6.3.4 Comparison of SBI Mutual Fund with S&P CNX Nifty

Table 6.7 depicts the performance of SBI Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on S&P CNX Nifty. SBI Magnum Equity Fund

outperformed the benchmark index for 4 out of the 9 years under study. In 2003-04, it

underperformed the benchmark index for Sharpe measure and outperformed for

Treynor measure but situation reversed in 2008-09. It underperformed the benchmark

index in terms of both the measures for the rest of the period during 2006-07, 2009-10

and 2010-11. SBI MSFU-Contra Fund outperformed the benchmark index for 5 out of

9 years under study. In 2003-04, it underperformed the benchmark index for Sharpe

measure and outperformed for Treynor measure but situation reversed in 2004-05. It

underperformed the benchmark index in terms of both the measures for the rest of the

period during 2008-09 and 2010-11. SBI Magnum Global Fund showed

outperformance in terms of both Sharpe and Treynor measures in 6 out of 9 years

under study. The fund showed underperformance during 2007-08, 2008-09 and 2010-

11. SBI Magnum Multiplier Plus 1993 Fund outperformed the benchmark index for 7

out of 9 years under study. In 2002-03, the fund outperformed the benchmark index in

terms of Sharpe measure and underperformed in terms of Treynor measure. The fund

underperformed the benchmark index with regard to both the measures in 2010-11.

SBI Magnum Balanced Fund underperformed the benchmark index in terms of both

Sharpe and Treynor measures for 6 out of 9 years under study. The fund outperformed

the benchmark index during 2003-04, 2004-05, and 2005-06.

6.3.5 Comparison of Principal Mutual Fund with S&P CNX Nifty

Table 6.8 shows the performance of Principal Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on S&P CNX Nifty. Principal Growth Fund

outperformed the benchmark index in terms of both the measures for 4 years (2002-

03, 2003-04, 2004-05 and 2009-10) out of 9 years under study. In 2005-06, the fund

underperformed the benchmark index with regard to Sharpe measure and

outperformed with regard to Treynor measure. The fund underperformed the

benchmark index in terms of both the measures for 4 out of 9 years.

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Principal Resurgent India Equity Fund outperformed the benchmark index with regard

to both the measures for 4 years (2002-03, 2003-04, 2004-05 and 2007-08) out of 8

years under study. It underperformed the benchmark index with regard to both the

measures for the rest of the period. Principal Balanced Fund underperformed the

benchmark index for 6 out of 9 years under study. In 2002-03, the fund outperformed

the benchmark index with regard to Sharpe measure and underperformed with regard

to Treynor measure. It outperformed the benchmark index during 2003-04 and 2004-

05.

6.3.6 Comparison of Taurus Mutual Fund with S&P CNX Nifty

Table 6.9 shows the performance of Taurus Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on S&P CNX Nifty for the study period. Taurus

Bonaza Fund outperformed the benchmark in terms of Sharpe and Treynor measure

for 4 years (2002-03, 2004-05, 2005-06 and 2008-09) out of 9 years under study. In

2003-04, the fund underperformed the benchmark index with regard to Sharpe

measure and outperformed with regard to Treynor measure. The fund underperformed

the benchmark index in terms of both the measures for 4 out of 9 years. Taurus

Starshare outperformed the benchmark index for 7 out of 9 years under study and

underperformed the benchmark during 2008-09 and 2009-10. Taurus Discovery Fund

outperformed the benchmark index on the basis of both the Sharpe and Treynor

measures for 4 years (2003-04, 2004-05, 2005-06 and 2007-08). In 2002-03, the fund

outperformed the benchmark index with regard to Sharpe measure and

underperformed with regard to Treynor measure. It underperformed the benchmark

index for the remaining 4 years under study.

6.3.7 Comparison of UTI Mutual Fund with S&P CNX Nifty

Table 6.10 shows the performance of UTI Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on S&P CNX Nifty. UTI Equity Fund

outperformed the benchmark index in terms of Sharpe and Treynor measures for 5 out

of 9 years under study and underperformed the benchmark index from 2004-05 to

2007-08.

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Table 6.7

Performance of SBI Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on S&P CNX Nifty

Name of

the

scheme→

Year ↓

SBI Magnum Equity

Fund

SBI MSFU-Contra

Fund

SBI Magnum Global

Fund

SBI Magnum

Multiplier Plus 1993

SBI Magnum

Balanced Fund


2002-03 O O O O O O O U U U

2003-04 U O U O O O O O O O

2004-05 O O O U O O O O O O

2005-06 O O O O O O O O O O

2006-07 U U O O O O O O U U

2007-08 O O O O U U O O U U

2008-09 O U U U U U O O U U

2009-10 U U O O O O O O U U

2010-11 U U U U U U U U U U



122

Table 6.8

Performance of Principal Mutual Fund Schemes on the basis of Sharpe and

Treynor Measures based on S&P CNX Nifty

Name of

the

scheme→

Year ↓

Principal Growth

Fund

Principal Resurgent

India Equity Fund

Principal Balanced

Fund

Sharpe Treynor Sharpe Treynor Sharpe Treynor

2002-03 O O O O O U

2003-04 O O O O O O

2004-05 O O O O O O

2005-06 U O U U U U

2006-07 U U U U U U

2007-08 U U O O U U

2008-09 U U U U U U

2009-10 O O U U U U

2010-11 U U - - U U



Table 6.9

Performance of Taurus Mutual Fund Schemes on the basis of Sharpe and

Treynor Measures based on S&P CNX Nifty

Name of

the

scheme→

Year ↓

Taurus Bonanza

Fund Taurus Starshare

Taurus Discovery

Fund


2002-03 O O O O O U

2003-04 U O O O O O

2004-05 O O O O O O

2005-06 O O O O O O

2006-07 U U O O U U

2007-08 U U O O O O

2008-09 O O U U U U

2009-10 U U U U U U

2010-11 U U O O U U



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UTI Master Growth Fund outperformed the benchmark index in terms of Sharpe and

Treynor measures for 3 years (2002-03, 2003-04 and 2008-09) out of 9 years. It

underperformed the benchmark index in terms of both the measures for the remaining

6 years. UTI Master Value Fund underperformed the benchmark index in terms of

both Sharpe and Treynor measures for 3 years (2005-06, 2006-07 and 2007-08) out of

9 years under study. However in the year 2003-04, the fund underperformed the

benchmark index in terms of Sharpe measure and outperformed in terms of Treynor

measure. It outperformed the respective benchmark index with regard to both the

measures for the remaining 5 years of the study. UTI Master Plus Unit Scheme 91

outperformed the benchmark index in terms of both Sharpe and Treynor measures for

3 years (2002-03, 2003-04 and 2006-07) out of 9 years under study. However in the

year 2008-09, the fund outperformed the benchmark index in terms of Sharpe

measure and underperformed in terms of Treynor measure. It underperformed the

selected benchmark index with regard to both the measures for the remaining 5 years

of the study. UTI Master Share Fund outperformed the benchmark index in terms of

Sharpe and Treynor measures for 4 years (2003-04, 2007-08, 2008-09 and 2009-10)

out of 9 years. It underperformed the benchmark index in terms of both the measures

for the remaining 5 years. UTI Index Select Fund underperformed the benchmark

index in terms of both the measures for 4 out of 7 years under study. However in the

year 2003-04, the fund underperformed the benchmark index in terms of Sharpe

measure and outperformed in terms of Treynor measure. It outperformed the

respective benchmark in terms of both the measures during 2006-07 and 2008-09.

UTI Balanced Fund outperformed the benchmark index in terms of Sharpe and

Treynor measures for 3 years (2002-03, 2003-04 and 2004-05) out of 9 years. It

underperformed the benchmark index in terms of both the measures for the remaining

6 years.

6.3.8 Comparison of Birla Sunlife Mutual Fund with S&P CNX Nifty

Table 6.11 shows the performance of Birla Sunlife Mutual Fund Schemes on the basis

of Sharpe and Treynor measures based on S&P CNX Nifty. Birla Sunlife Advantage

Fund outperformed the benchmark index for 4 out of the 9 years under study. In 2002-

03, it outperformed the benchmark index for Sharpe measure and underperformed for


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and 2010-11. Birla Sunlife Equity Fund outperformed the benchmark index in terms

of both Sharpe and Treynor measures for 5 out of 9 years under study. However in

2006-07, it underperformed the benchmark index in terms of Sharpe measure and

outperformed in terms of Treynor measure. It underperformed the benchmark index in

terms of both the measures during 2008-09, 2009-10 and 2010-11. Birla Sunlife

Frontline Equity Fund showed a consistent outperformance of returns against

benchmark index for all the years except 2010-11. Birla Sunlife Midcap Fund

underperformed the benchmark index during 2006-07, 2008-09 and 2010-11. For the

year 2009-10, the fund underperformed the benchmark index in terms of Sharpe

measure and outperformed in terms of Treynor measure. For the rest of the period, the

fund outperformed the benchmark index in terms of both the measures. Birla Sunlife

Basic Industries Fund outperformed the benchmark index in terms of Sharpe and

Treynor measures for 4 years (2002-03, 2003-04, 2004-05 and 2007-08) out of 9

years. It underperformed the benchmark index in terms of both the measures for the

remaining 5 years. Birla Sunlife Balanced Fund outperformed the benchmark index in

terms of both the Sharpe and Treynor measures in 2003-04 and 2004-05. Further in

2008-09, it outperformed the benchmark index in terms of Sharpe measure and

underperformed in terms of Treynor measure. For the rest of the years, the fund

underperformed the benchmark index in terms of both the measures. Birla Sunlife 95

Fund outperformed the benchmark index during 2003-04, 2004-05 and 2007-08. In

2002-03 and 2008-09, the fund outperformed the benchmark index on the basis of

Sharpe measure and underperformed on the basis of Treynor measure. Further, the

fund underperformed the benchmark index for the remaining 4 years of the study.

6.3.9 Comparison of ICICI Prudential Mutual Fund with S&P CNX Nifty

Table 6.12 shows that ICICI Prudential Dynamic Plan outperformed the S&P CNX

Nifty in terms of Sharpe and Treynor measures for 6 out of 8 years under study. The

fund underperformed the benchmark index with regard to both the measures during

2007-08 and 2010-11. ICICI Prudential Growth Plan outperformed the benchmark

index on the basis of both the measures for 7 out of 9 years under study. The fund

underperformed the benchmark index with regard to both the measures during 2007-

08 and 2010-11. ICICI Prudential Power Fund outperformed the benchmark index for

125

7 out of 9 years under study. In 2008-09, the fund outperformed the benchmark index

in terms of Sharpe measure and underperformed in terms of Treynor measure. The

fund underperformed the benchmark index with regard to both the measures in 2007-

08. ICICI Prudential Balanced Fund outperformed the benchmark for 4 years (2002-

03 to 2005-06) out of 9 years. The fund underperformed the benchmark for the

remaining years of the study.

6.3.10 Comparison of Sundaram BNP Paribas Mutual Fund with S&P CNX

Nifty

Table 6.13 shows the performance of Sundaram BNP Paribas Mutual Fund on the

basis of Sharpe and Treynor measures based on S&P CNX Nifty. Sundaram BNP

Paribas Growth Fund outperformed the benchmark index in terms of Sharpe and

Treynor measures for 7 out of 9 years under study. It underperformed the benchmark

index during 2008-09 and 2009-10. The results of Sundaram BNP Paribas Select

Focus depict that the fund underperformed the selected benchmark index during

2009-10 and 2010-11. For the year 2008-09, the fund outperformed the benchmark

index with regard to Sharpe measure and underperformed with regard to Treynor

measure. It outperformed the benchmark index in terms of both Sharpe and Treynor

measures for remaining 5 years of the study. Sundaram BNP Paribas Select Midcap

Fund outperformed the benchmark index in terms of Sharpe and Treynor measures for

5 out of 8 years under study. However in 2007-08, the fund underperformed the


measure. It underperformed the benchmark index during 2008-09 and 2009-10.

Sundaram BNP Paribas Balanced Fund outperformed the benchmark index in terms

of both the measures in 2002-03 and 2003-04. Further in 2004-05, it outperformed

the benchmark index in terms of Sharpe measure and underperformed in terms of

Treynor measure. But for the rest of the years, the fund underperformed the

benchmark index in terms of both the measures.

126

Table 6.10

Performance of UTI Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on S&P CNX Nifty

Name of

the

scheme→

Year ↓

UTI Equity Fund UTI Master

Growth

UTI Master

Value Fund

UTI Master Plus

Unit Scheme 91

UTI Master

Share

UTI Index Select

Fund

UTI Balanced

Fund

Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor

2002-03 O O O O O O O O U U U U O O

2003-04 O O O O U O O O O O U O O O

2004-05 U U U U O O U U U U U U O O

2005-06 U U U U U U U U U U U U U U

2006-07 U U U U U U O O U U O O U U

2007-08 U U U U U U U U O O U U U U

2008-09 O O O O O O O U O O O O U U

2009-10 O O U U O O U U O O - - U U

2010-11 O O U U O O U U U U - - U U



127

Table 6.11

Performance of Birla Sunlife Mutual Funds Schemes on the basis of Sharpe and Treynor Measure based on S&P CNX Nifty

Name of

the

scheme→

Year ↓

Birla Sunlife

Advantage Fund

Birla Sunlife

Equity Fund

Birla Sunlife

Frontline Equity

Fund

Birla Sunlife

Midcap Fund

Birla Sunlife

Basic Industries

Fund

Birla Sunlife

Balanced Fund

Birla Sunlife 95

Fund


2002-03 O U O O - - - - O O U U O U

2003-04 O O O O O O O O O O O O O O


2005-06 O O O O O O O O U U U U U U

2006-07 U U U O O O U U U U U U U U

2007-08 U O O O O O O O O O U U O O

2008-09 O O U U O O U U U U O U O U

2009-10 U U U U O O U O U U U U U U




128

Table 6.12

Performance of ICICI Prudential Mutual Fund Schemes on the basis of Sharpe

and Treynor Measures based on S&P CNX Nifty

Name of

the

scheme→

Year ↓

ICICI Prudential

Dynamic Plan

ICICI Prudential

Growth Plan

ICICI Prudential

Power

ICICI Prudential

Balanced Fund

Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor

2002-03 - - O O O O O O

2003-04 O O O O O O O O

2004-05 O O O O O O O O

2005-06 O O O O O O O O

2006-07 O O O O O O U U

2007-08 U U U U U U U U

2008-09 O O O O O U U U

2009-10 O O O O O O U U

2010-11 U U U U O O U U



Table 6.13

Performance of Sundaram BNP Paribas Mutual Fund Schemes on the basis of

Sharpe and Treynor Measures based on S&P CNX Nifty

Name of

the

scheme→

Year ↓

Sundaram BNP

Paribas Growth

Fund

Sundaram BNP

Paribas Select

Focus

Sundaram BNP

Paribas Select

Midcap

Sundaram BNP

Paribas Balanced

Fund


2002-03 O O - - - - O O

2003-04 O O O O O O O O

2004-05 O O O O O O O U

2005-06 O O O O O O U U

2006-07 O O O O O O U U

2007-08 O O O O U O U U

2008-09 U U O U U U U U

2009-10 U U U U U U U U

2010-11 O O U U O O U U



129

6.4 COMPARISON OF SHARPE AND TREYNOR VALUES ON

THE BASIS OF BSE SENSEX

The table 6.14 highlights that majority of schemes evaluated using Sharpe and

Treynor measures outperformed BSE Sensex in 6 out of 9 years taken for the study.

However, majority of the schemes underperformed benchmark in remaining 3 years

i.e. 2005-06, 2006-07 and 2010-11 (as per Sharpe measure) and 2006-07, 2008-09 and

2010-11 (as per Treynor measure).

Table 6.14

Comparison of Sharpe and Treynor values on the basis of BSE Sensex

Measure→

Year↓

Sharpe Treynor Total No.

Of

Schemes

Number of

Schemes Outperformed

Number of

Schemes Underperformed

Number of

Schemes Outperformed

Number of

Schemes Underperformed

2002-03 41(91.11) 4(8.89) 35(77.78) 10(22.22) 45

2003-04 41(82.00) 9(18.00) 46(92.00) 4(8.00) 50

2004-05 40(80.00) 10(20.00) 39(78.00) 11(22.00) 50

2005-06 21(42.00) 29(58.00) 27(54.00) 23(46.00) 50

2006-07 4(8.00) 46(92.00) 4(8.00) 46(92.00) 50

2007-08 38(76.00) 12(24.00) 40(80.00) 10(20.00) 50

2008-09 32(64.00) 18(36.00) 21(42.00) 29(58.00) 50

2009-10 30(61.22) 19(38.77) 32(65.31) 17(34.69) 49

2010-11 20(41.67) 28(58.33) 17(35.42) 31(64.58) 48


6.4.1 Comparison of HDFC Mutual Fund with BSE Sensex

Table 6.15 shows the performance of HDFC Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on the BSE Sensex. HDFC Equity Fund and

HDFC Top 200 Fund underperformed the benchmark index in terms of Sharpe and

Treynor measures for the year 2006-07. For rest of the years, HDFC Equity Fund and

HDFC Top 200 Fund outperformed the benchmark index with regard to both Sharpe

and Treynor measures. HDFC Growth Fund outperformed the benchmark index in

terms of both the measures for 6 out of 9 years under study but for remaining years of

the study (2005-06, 2006-07 and 2009-10), the fund underperformed the benchmark

index in terms of both the measures. HDFC Capital Builder Fund outperformed the

benchmark index with regard to both the measures for 7 out of 9 years under study.

Further in 2005-06, it underperformed the benchmark index in terms of Sharpe

130

measure and outperformed in terms of Treynor measure. It underperformed the

benchmark index in terms of both the measures in 2006-07. HDFC Balanced Fund

outperformed the benchmark index on the basis of Sharpe and Treynor measures for 5

out of 9 years under study. It underperformed the benchmark index with regard to

both the measures for 4 years (2004-05 to 2007-08) out of 9 years under study. HDFC

Prudence Fund outperformed the benchmark index with regard to both the measures

for 7 out of 9 years under study. Further in 2007-08, it underperformed the benchmark

index in terms of Sharpe measure and outperformed in terms of Treynor measure. It

underperformed the benchmark index in terms of both the measures in 2006-07.

6.4.2 Comparison of Franklin Templeton Mutual Fund with BSE Sensex

Table 6.16 presents the performance of Franklin Templeton Mutual Fund Schemes on

the basis of Sharpe and Treynor measures based on the BSE Sensex. Franklin India

Bluechip Fund outperformed the benchmark index in terms of both the measures for 6

out of 9 years under study. However, it underperformed the benchmark index in terms

of both the measures for 3 years (2005-06 to 2007-08). Franklin India Opportunities

Fund outperformed the benchmark index for 4 years (2004-05 to 2007-08) out of 9

years under study. Further in the year 2002-03, the fund outperformed the benchmark

index in terms of Sharpe measure and underperformed in terms of Treynor measure.

For rest of the years, the fund underperformed the benchmark index in terms of both

the measures. Franklin India Prima Fund outperformed the benchmark in terms of

both the measures for 6 out of 9 years under study. However in the year 2008-09, the

fund outperformed the benchmark index in terms of Sharpe measure and

underperformed in terms of Treynor measure. It underperformed the respective

benchmark in terms of both the measures for 2006-07 and 2007-08. Franklin India

Prima Plus Fund showed a consistent outperformance of returns against benchmark

index for all the years except 2006-07. Franklin India Balanced Fund outperformed

the benchmark index on the basis of Sharpe and Treynor measures for 4 years (2002-

03, 2003-04, 2007-08 and 2008-09) out of 9 years under study. It underperformed the

benchmark index with regard to both the measures for 5 out of 9 years under study.

131

Table 6.15

Performance of HDFC Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE Sensex

Name of

the

scheme→

Year ↓

HDFC Equity

Fund

HDFC Growth

Fund

HDFC Top 200

Fund

HDFC Capital

Builder Fund

HDFC Balanced

Fund

HDFC Prudence

Fund


2002-03 O O O O O O O O O O O O

2003-04 O O O O O O O O O O O O

2004-05 O O O O O O O O U U O O

2005-06 O O U U O O U O U U O O

2006-07 U U U U U U U U U U U U

2007-08 O O O O O O O O U U U O

2008-09 O O O O O O O O O O O O

2009-10 O O U U O O O O O O O O

2010-11 O O O O O O O O O O O O



132

Table 6.16

Performance of Franklin Templeton Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE Sensex

Name of

the

scheme→

Year ↓

Franklin India

Bluechip Fund

Franklin India

Opportunities Fund

Franklin India

Prima Fund

Franklin India

Prima Plus Fund

Franklin India

Balanced Fund


2002-03 O O O U O O O O O O

2003-04 O O U U O O O O O O

2004-05 O O O O O O O O U U

2005-06 U U O O O O O O U U

2006-07 U U O O U U U U U U

2007-08 U U O O U U O O O O

2008-09 O O U U O U O O O O

2009-10 O O U U O O O O U U

2010-11 O O U U O O O O U U



133

6.4.3 Comparison of Tata Mutual Fund with BSE Sensex

Table 6.17 presents the performance of Tata Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on BSE Sensex. The analysis of the results shows

that Tata Equity Opportunities Fund outperformed the benchmark index on the basis

of Sharpe and Treynor for 6 years out of 9 years under the study and for the rest of the

years (2006-07, 2008-09 and 2010-11) it underperformed the benchmark index. Tata

Growth Fund outperformed benchmark index for 3 years (2003-04, 2004-05 and

2007-08) in terms of Sharpe and Treynor measures. In 2002-03 it outperformed the

benchmark index for Sharpe measure and underperformed for Treynor measure but

situation reversed in 2005-06. For the remaining period, it underperformed the

benchmark index. Tata Pure Equity Fund reported that the fund underperformed

during 2006-07 and 2008-09. For the rest of the years, the fund outperformed the

benchmark index in terms of both Sharpe and Treynor measures. Similarly Tata

Select Equity Fund also outperformed the benchmark index for 6 out of 9 years under

study and underperformed during 2006-07 and 2008-09. For the year 2010-11, the

fund outperformed the benchmark index with regard to Sharpe measure and

underperformed with regard to Treynor measure. Tata Balanced Fund outperformed

the benchmark index in terms of Sharpe and Treynor measures for 5 out of 9 years

under study. However in the year 2005-06, fund underperformed the benchmark

index with regard to Sharpe measure and outperformed with regard to Treynor

measure. For the rest of the years (2006-07, 2008-09 and 2010-11) the fund

underperformed the benchmark index with regard to both the measures. Tata Young

Citizens’ fund outperformed the benchmark index for both the Sharpe and Treynor

measures only in one year i.e. 2009-10. It underperformed for 6 out of 9 years. In

2002-03, it outperformed the benchmark index for Sharpe measure and

underperformed for Treynor measure. In 2007-08, it underperformed the benchmark

index for Sharpe measure and outperformed for Treynor measure.

134

6.4.4 Comparison of SBI Mutual Fund with BSE Sensex

Table 6.18 presents the performance of SBI Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on BSE Sensex. SBI Magnum Equity Fund

outperformed the benchmark index for 4 out of the 9 years under study. In 2003-04, it

underperformed the benchmark index for Sharpe measure and outperformed for



and 2010-11. SBI MSFU-Contra Fund outperformed the benchmark index for 4 out of

the 9 years under study. In 2003-04, it underperformed the benchmark index for

Sharpe measure and outperformed for Treynor measure but situation reversed in

2004-05 and 2008-09. It underperformed the benchmark index in terms of both the

measures for the rest of the period during 2006-07 and 2010-11. SBI Magnum Global

Fund outperformed the benchmark index for 7 out of 9 years under study. In 2010-11,

the fund outperformed the benchmark index in terms of Sharpe measure and

underperformed in terms of Treynor measure. The fund underperformed the

benchmark index with regard to both the measures in 2008-09. SBI Magnum

Multiplier Plus Fund underperformed the benchmark index in terms of both the

measures in 2006-07 and 2010-11. Further in 2002-03, it outperformed the

benchmark index in terms of Sharpe measure and underperformed in terms of Treynor

measure. But for the rest of the years, the fund outperformed the benchmark index in

terms of both the measures. SBI Magnum Balanced Fund underperformed the

benchmark index in terms of both the measures for 5 out of 9 years under study. The

fund outperformed the benchmark index for the remaining 4 years (2003-04, 2004-05,

2005-06, and 2007-08).

135

Table 6.17

Performance of Tata Mutual Funds Schemes on the basis of Sharpe and Treynor Measures based on BSE Sensex

Name of

the

scheme→

Year ↓

Tata Equity

Opportunities

Fund

Tata Growth

Fund

Tata Pure Equity

Fund

Tata Select

Equity Fund

Tata Balanced

Fund

Tata Young

Citizens’ Fund


2002-03 O O O U O O O O O O O U

2003-04 O O O O O O O O O O U U

2004-05 O O O O O O O O O O U U

2005-06 O O U O O O O O U O U U

2006-07 U U U U U U U U U U U U

2007-08 O O O O O O O O O O U O

2008-09 U U U U U U U U U U U U

2009-10 O O U U O O O O O O O O

2010-11 U U U U O O O U U U U U



136

Table 6.18

Performance of SBI Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE Sensex

Name of

the

scheme→

Year ↓

SBI Magnum Equity

Fund

SBI MSFU-Contra

Fund

SBI Magnum Global

Fund

SBI Magnum


SBI Magnum

Balanced Fund


2002-03 O O O O O O O U U U

2003-04 U O U O O O O O O O

2004-05 O O O U O O O O O O

2005-06 U U O O O O O O O O

2006-07 U U U U O O U U U U

2007-08 O O O O O O O O O O

2008-09 O U O U U U O O U U

2009-10 O O O O O O O O U U

2010-11 U U U U O U U U U U



137

6.4.5 Comparison of Principal Mutual Fund with BSE Sensex

Table 6.19 presents the performance of Principal Mutual Fund Schemes on the basis

of Sharpe and Treynor measures based on BSE Sensex. Principal Growth Fund

outperformed the benchmark index in terms of both the measures for 5 out of the 9

years under study. The fund underperformed the benchmark index for the remaining 4

years (2005-06, 2006-07, 2008-09 and 2010-11). Principal Resurgent India Equity

Fund outperformed the benchmark index in terms of both Sharpe and Treynor

measures for 4 out of 8 years under study. However in 2009-10, it underperformed the


measure. It underperformed the benchmark index in terms of both the measures for

the rest of the period during 2005-06, 2006-07 and 2008-09. Principal Balanced Fund


years (2002-03, 2004-05 and 2007-08) out of 9 years. It underperformed the

benchmark index in terms of both the measures for the remaining 6 years.

Table 6.19


Treynor Measures based on BSE Sensex

Name of

the

scheme→

Year ↓

Principal Growth

Fund

Principal

Resurgent India

Equity Fund

Principal Balanced

Fund


2002-03 O O O O O O

2003-04 O O O O U U

2004-05 O O O O O O

2005-06 U U U U U U

2006-07 U U U U U U

2007-08 O O O O O O

2008-09 U U U U U U

2009-10 O O U O U U

2010-11 U U - - U U



138

6.4.6. Comparison of Taurus Mutual Fund with BSE Sensex

Table 6.20 depicts the performance of Taurus Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on BSE Sensex. Taurus Bonanza Fund


under study.

Table 6.20



Name of

the

scheme

→

Year ↓

Taurus Bonanza Fund Taurus Starshare Taurus Discovery

Fund


2002-03 O O O O O U

2003-04 U O O O O O

2004-05 O O O O O O

2005-06 O O O O U O

2006-07 U U U U U U

2007-08 O O O O O O

2008-09 O O U U U U

2009-10 U U U U U U

2010-11 U U O O U U



It underperformed during the years 2006-07, 2009-10 and 2010-11. In 2003-04, the

fund underperformed the benchmark with regard to Sharpe measure and outperformed

with regard to Treynor measure. Taurus Starshare outperformed the benchmark index

in terms of both the measures for 6 out of 9 years under study and underperformed the

benchmark index during 2006-07, 2008-09 and 2009-10. Taurus Discovery Fund

outperformed the benchmark index during 2003-04, 2004-05 and 2007-08. In 2002-

03, the fund outperformed the benchmark index on the basis of Sharpe measure and

underperformed on the basis of Treynor measure. However, the trend reversed in

2005-06. Further, the fund underperformed the benchmark index for remaining 4

years of the study.

139

6.4.7 Comparison of UTI Mutul Fund with BSE Sensex

Table 6.21 shows the performance of UTI Mutual Fund Schemes on the basis of Sharpe and

Treynor measures based on BSE Sensex. UTI Equity Fund showed outperformance in terms

of both Sharpe and Treynor measures in 6 out of 9 years under study. The fund showed

underperformance during 2004-05, 2005-06 and 2006-07. UTI Master Growth Fund

underperformed the benchmark index in terms of both the measures for 5 out of 9 years under

study. The fund outperformed the selected benchmark index for the remaining 4 years (2002-

03, 2003-04, 2007-08 and 2008-09). UTI Master Value Fund underperformed the benchmark

index in terms of both the measures for 2005-06 and 2006-07. Further in the year 2003-04,

the fund underperformed the benchmark index with regard to Sharpe measure and

outperformed with regard to Treynor measure but for the rest of the years, the fund

outperformed the benchmark index with regard to both the measures. UTI Master Plus Unit

Scheme 91 outperformed the benchmark index during 2002-03 and 2003-04 but

underperformed the benchmark index for 6 years based on Sharpe and Treynor measure. In

2008-09, the fund outperformed the benchmark index with regard to Sharpe measure and

underperformed with regard to Treynor measure. UTI Master Share Fund outperformed the

benchmark index during 2007-08, 2008-09 and 2009-10. In 2003-04, the fund

underperformed the benchmark index in terms of Sharpe measure and outperformed in terms

of Treynor measure. However, the trend reversed in 2010-11. Further, the fund

underperformed the benchmark index for the remaining 4 years of the study. UTI Index Select

Fund outperformed the benchmark index with regard to both Sharpe and Treynor measures

during 2007-08 and 2008-09. For the remaining years, it underperformed the benchmark

index with regard to both the performance measures. UTI Balanced Fund outperformed for 3

years (2002-03, 2003-04 and 2009-10) out of 9 years of the study. In 2008-09, it

outperformed the benchmark index for Sharpe measure and underperformed for Treynor

measure. The fund underperformed the benchmark index for the remaining 5 years.

6.4.8 Comparison of Birla Sunlife Mutual Fund with BSE Sensex

Table 6.22 presents the performance of Birla Sunlife Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on BSE Sensex. Birla Sunlife Advantage Fund

outperformed the benchmark index for 4 years (2003-04, 2004-05, 2007-08 and 2008-09) out

of the 9 years under study. Further in the year 2002-03, the fund outperformed the benchmark

index in terms of Sharpe measure and underperformed in terms of Treynor measure. For rest

of the years the fund underperformed the benchmark index in terms of both the measures.

140

Table 6.21

Performance of UTI Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE Sensex

Name of

the scheme→

Year ↓


Growth UTI Master Value

Fund UTI Master Plus Unit Scheme 91

UTI Master Share UTI Index Select

Fund UTI Balanced Fund


2002-03 O O O O O O O O U U U U O O

2003-04 O O O O U O O O U O U U O O

2004-05 U U U U O O U U U U U U U U



2007-08 O O O O O O U U O O O O U U

2008-09 O O O O O O O U O O O O O U

2009-10 O O U U O O U U O O - - O O

2010-11 O O U U O O U U O U - - U U



141

Table 6.22

Performance of Birla Sunlife Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE Sensex

Name of

the

scheme→ Year ↓

Birla Sunlife

Advantage Fund

Birla Sunlife

Equity Fund

Birla Sunlife

Frontline Equity

Fund

Birla Sunlife

Midcap Fund

Birla Sunlife Basic

Industries Fund

Birla Sunlife

Balanced Fund

Birla Sunlife 95

Fund


2002-03 O U O O - - - - O O U U O O



2005-06 U U O O U U O O U U U U U U


2007-08 O O O O O O O O O O U U O O

2008-09 O O O U O O U U O U O U O U

2009-10 U U U U O O O O O O U U O O




142

Birla Sunlife Equity Fund outperformed the benchmark index in terms of Sharpe and

Treynor measures for 5 out of 9 years under study. However in 2008-09, fund

outperformed the benchmark index in terms of Sharpe measure and underperformed

in terms of Treynor measure. It underperformed the benchmark index during 2006-07,

2009-10 and 2010-11. Birla Sunlife Frontline Equity Fund outperformed the

benchmark index in terms of both the measures for 6 out of 8 years under study. It

underperformed the benchmark index in terms of both the measures during 2005-06

and 2006-07. Birla Sunlife Midcap Fund outperformed the benchmark index in terms

of both the measures for 5 out of 8 years under study. But for the remaining years of

the study (i.e. 2006-07, 2008-09 and 2010-11), the fund underperformed the

benchmark index in terms of both the measures. Birla Sunlife Basic Industries Fund

underperformed the benchmark index during 2005-06, 2006-07 and 2010-11.

However in 2008-09, it outperformed the benchmark index in terms of Sharpe

measure and underperformed in terms of Treynor measure. It outperformed the

benchmark index in terms of both the measures for 5 out of 9 years under study. Birla

Sunlife Balanced Fund outperformed the benchmark index during 2003-04 and 2004-

05. However in 2008-09, it outperformed the benchmark index in terms of Sharpe

measure and underperformed in terms of Treynor measure. It underperformed the

benchmark index in terms of both the measures for 6 out of 9 years under study. Birla

Sunlife 95 Fund outperformed the benchmark index in terms of Sharpe and Treynor

measures for 5 out of 9 years under study. However in 2008-09, fund outperformed


Treynor measure. It underperformed the benchmark index during 2005-06, 2006-07

and 2010-11.

6.4.9 Comparison of ICICI Prudential Mutual Fund with BSE Sensex

Table 6.23 highlights that ICICI Prudential Dynamic Plan outperformed the BSE

Sensex based on both Sharpe and Treynor measures for 6 out of 8 years under study.

The fund underperformed the benchmark index during 2007-08 and 2010-11. ICICI

Prudential Growth Plan showed outperformance in terms of both Sharpe and Treynor

measures in 6 out of 9 years under study.

143

Table 6.23


and Treynor Measures based on BSE Sensex

Name of

the

scheme→

Year ↓

ICICI Prudential

Dynamic Plan

ICICI Prudential

Growth Plan

ICICI Prudential

Power

ICICI Prudential

Balanced Fund


2002-03 - - O O O O O O

2003-04 O O O O O O O O

2004-05 O O O O O O O O

2005-06 O O O O O O U O

2006-07 O O U U U U U U

2007-08 U U U U O O U U

2008-09 O O O O O U U U

2009-10 O O O O O O U O

2010-11 U U U U O O U U



The fund showed underperformance during 2006-07, 2007-08 and 2010-11. ICICI

Prudential Power Plan outperformed the benchmark index for 7 out of 9 years under

study. The fund underperformed the benchmark based on both the Sharpe and

Treynor measures in 2006-07. In 2008-09, the fund outperformed the benchmark

index with regard to Sharpe measure and underperformed with regard to Treynor

measure. ICICI Prudential Balanced Fund outperformed the benchmark with regard to

both the measures for 3 years (2002-03, 2003-04 and 2004-05) out of 9 years under

study. The fund underperformed the benchmark index for 4 years based on both the

measures. But for the remaining two years i.e. 2005-06 and 2009-10, the fund

underperformed the benchmark index in terms of Sharpe measure and outperformed

in terms of Treynor measure.

6.4.10 Comparison of Sundaram BNP Paribas with BSE Sensex

Table 6.24 shows the performance of Sundaram BNP Paribas Mutual Fund Schemes

on the basis of Sharpe and Treynor measures based on BSE Sensex. Sundaram BNP

Paribas Growth Fund outperformed the benchmark index in terms of both Sharpe and

Treynor measures for 5 out of 9 years under study. However in 2005-06, it


in terms of Treynor measure. It underperformed the benchmark index in terms of both

144

the measures during 2006-07, 2008-09 and 2009-10. Sundaram BNP Paribas Select

Focus outperformed the benchmark index during 2003-04, 2004-05 and 2007-08.

Table 6.24

Performance of Sundaram Mutual Fund Schemes on the basis of Sharpe and


Name of

the

scheme→

Year ↓

Sundaram BNP

Paribas Growth

Fund

Sundaram BNP

Paribas Select

Focus

Sundaram BNP

Paribas Select

Midcap

Sundaram BNP

Paribas Balanced

Fund


2002-03 O O - - - - O O

2003-04 O O O O O O O O

2004-05 O O O O O O U U

2005-06 U O U U O O U U

2006-07 U U U U O O U U

2007-08 O O O O O O U U

2008-09 U U O U U U O O

2009-10 U U U U U U O O

2010-11 O O U U O O U U



For the year 2008-09, the fund outperformed the benchmark index in terms of Sharpe

measure and underperformed in terms of Treynor measure. For the rest of the period

fund underperformed the benchmark index in terms of both the measures. Sundaram

BNP Paribas Select Midcap fund outperformed the benchmark index in terms of both

the measures for 6 out of 8 years under study. It underperformed the benchmark index

in terms of both the measures during 2008-09 and 2009-10. Sundaram BNP Paribas

Balanced Fund outperformed the benchmark index in terms of both the measures in 4

(2002-03, 2003-04, 2008-09 and 2009-10) out of 9 years under study. But for the rest

of the period it underperformed the benchmark index in terms of both the measures.

145

6.5 COMPARISON OF SHARPE AND TREYNOR VALUES ON

THE BASIS OF BSE 100

Table 6.25 depicts that majority of schemes outperformed the benchmark on the basis

of Sharpe measure in 7 out of 9 years taken for study while during 2006-07 and

2007-08 majority of the schemes underperformed. Similarly, majority of the schemes

outperformed the benchmark according to Treynor measure in 6 out of 9 years taken

for the study while during 2006-07, 2007-08 and 2008-09, majority of the schemes

underperformed.

Table 6.25

Comparison of Sharpe and Treynor values on the basis of BSE 100

Measure→

Year↓

Sharpe Treynor Total No.

Of Schemes

Number of

Schemes

Outperformed

Number of

Schemes

Underperformed

Number of

Schemes

Outperformed

Number of

Schemes

Underperformed

2002-03 30(66.67) 15(33.33) 28(62.22) 17(37.78) 45

2003-04 37(74.00) 13(26.00) 40(80.00) 10(20.00) 50

2004-05 36(72.00) 14(28.00) 36(72.00) 14(28.00) 50

2005-06 33(66.00) 17(34.00) 33(66.00) 17(34.00) 50

2006-07 17(34.00) 33(66.00) 19(38.00) 31(62.00) 50

2007-08 23(46.00) 27(54.00) 24(48.00) 26(52.00) 50

2008-09 32(64.00) 18(36.00) 23(46.00) 27(54.00) 50

2009-10 32(65.30) 17(34.69) 35(71.43) 14(28.57) 49

2010-11 28(58.33) 20(41.67) 27(56.25) 21(43.75) 48


6.5.1 Comparison of HDFC Mutual Fund with BSE 100

Table 6.26 presents the performance of HDFC Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on BSE 100. HDFC Equity Fund underperformed the

benchmark index in terms of Sharpe and Treynor measures for the year 2006-07 and HDFC

Growth Fund underperformed in the year 2009-10. For the remaining years, HDFC Equity

Fund and HDFC Growth Fund outperformed the benchmark index with regard to both

Sharpe and Treynor measures. HDFC Top 200 Fund outperformed the benchmark index in

terms of both the measures for 7 out of 9 years under study and underperformed the

benchmark index during 2006-07 and 2007-08. HDFC Capital Builder Fund showed a

consistent outperformance against benchmark index for all the years except 2006-07.

However, HDFC Balanced Fund outperformed the selected benchmark index in terms of

both the measures for 4 years (2002-03, 2008-09, 2009-10, and 2010-11) out of 9 years

146

under study. It underperformed the benchmark index with regard to both the measures for

the remaining 5 years of the study. HDFC Prudence Fund outperformed the benchmark

index on the basis of both Sharpe and Treynor measures for 7 out of 9 years under study.

The fund underperformed the benchmark index during 2006-07 and 2007-08.

6.5.2 Comparison of Franklin Templeton Mutual Fund with BSE 100

Table 6.27 highlights the performance of Franklin Templeton Mutual Fund Schemes

on the basis of Sharpe and Treynor measures based on BSE 100. The analysis of

results shows that Franklin India Bluechip Fund outperformed the benchmark index

on the basis of Sharpe and Treynor measures for all the years except 2007-08.

Franklin India Opportunities Fund outperformed the selected benchmark index in

terms of both the measures for 4 years (2004-05 to 2006-07 and 2010-11) out of 9

years under study. It underperformed the benchmark index with regard to both the

measures for the remaining 5 years of the study. Franklin India Prima Fund

outperformed the benchmark index for all the years of the study except for the years

2006-07 and 2007-08. Franklin India Prima Plus Fund outperformed the benchmark

index for all the years under study. Franklin India Balanced Fund outperformed the

benchmark index for just 3 years (2002-03, 2003-04 and 2008-09) out of 9 years

under study. During the remaining years it underperformed the benchmark index in

terms of both the Sharpe and Treynor measures.

6.5.3 Comparison of Tata Mutual Fund with BSE 100

Table 6.28 highlights the performance of Tata Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on BSE 100. The analysis of the results shows

that Tata Equity Opportunities Fund outperformed the benchmark index on the basis

of Sharpe and Treynor for 6 out of 9 years under study and for the rest of the years

(2006-07, 2008-09 and 2010-11), it underperformed the benchmark index. Tata

Growth Fund outperformed benchmark index for 4 years (2003-04 to 2005-06 and 2007-

08) in terms of Sharpe and Treynor measures. For the remaining period, it underperformed

the benchmark index.

147

Table 6.26

Performance of HDFC Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE 100

Name of

the

scheme→

Year ↓

HDFC Equity

Fund

HDFC Growth

Fund

HDFC Top 200

Fund

HDFC Capital

Builder Fund

HDFC Balanced

Fund

HDFC Prudence

Fund


2002-03 O O O O O O O O O O O O

2003-04 O O O O O O O O U U O O

2004-05 O O O O O O O O U U O O

2005-06 O O O O O O O O U U O O

2006-07 U U O O U U U U U U U U

2007-08 O O O O U U O O U U U U

2008-09 O O O O O O O O O O O O

2009-10 O O U U O O O O O O O O

2010-11 O O O O O O O O O O O O



148

Table 6.27

Performance of Franklin Templeton Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE 100

Name of

the

scheme→

Year ↓

Franklin India

Bluechip Fund

Franklin India

Opportunities Fund

Franklin India

Prima Fund

Franklin India

Prima Plus Fund

Franklin India

Balanced Fund


2002-03 O O U U O O O O O O

2003-04 O O U U O O O O O O

2004-05 O O O O O O O O U U

2005-06 O O O O O O O O U U

2006-07 O O O O U U O O U U

2007-08 U U U U U U O O U U

2008-09 O O U U O O O O O O

2009-10 O O U U O O O O U U

2010-11 O O O O O O O O U U



149

Table 6.28

Performance of Tata Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE 100

Name of

the

scheme→

Year ↓

Tata Equity

Opportunities

Fund

Tata Growth

Fund

Tata Pure Equity

Fund

Tata Select

Equity Fund

Tata Balanced

Fund

Tata Young

Citizens’ Fund


2002-03 O O U U O O O O O O U U

2003-04 O O O O O O O O O O U U

2004-05 O O O O O O O O O O U U

2005-06 O O O O O O O O O O U U

2006-07 U U U U U O O O U U U U

2007-08 O O O O O O O O O O U O

2008-09 U U U U U U U U U U U U

2009-10 O O U U O O O O O O O O

2010-11 U U U U O O O O U U U U



150

Tata Pure Equity Fund outperformed for 7 out of 9 years under study. For the year 2008-

09, the fund underperformed the benchmark index in terms of both Sharpe and Treynor

measures and it underperformed the benchmark index for Sharpe measure in 2006-07 and

outperformed for Treynor measure. Tata Select Equity Fund also outperformed the

benchmark index in terms of both the measures for 8 out of 9 years under study and

underperformed the respective benchmark with regard to both the measures for the year

2008-09. Tata Balanced Fund outperformed the benchmark index in terms of Sharpe and

Treynor measures for 6 out of 9 years under study. However in the years 2006-07, 2008-

09 and 2010-11, it underperformed the benchmark index in terms of both the measures.

Tata Young Citizens’ Fund outperformed the benchmark index with regard to both

Sharpe and Treynor measures in the year 2009-10. During the remaining years it

underperformed the benchmark index in terms of both the measures except for 2007-08

when it underperformed the benchmark index for Sharpe measure and outperformed for

Treynor measure.

6.5.4 Comparison of SBI Mutual Fund with BSE 100

Table 6.29 depicts the performance of SBI Mutual Fund Schemes on the basis of Sharpe

and Treynor measures based on BSE 100. SBI Magnum Equity Fund showed

outperformance in terms of both Sharpe and Treynor measures in 6 out of 9 years under

study. The fund showed underperformance during 2002-03, 2003-04 and 2006-07. SBI

MSFU-Contra Fund outperformed the benchmark index for 5 out of the 9 years under

study. In 2003-04, it underperformed the benchmark index for Sharpe measure and

outperformed for Treynor measure but situation reversed in 2008-09. It underperformed

the benchmark index in terms of both the measures during 2004-05 and 2010-11. SBI

Magnum Global Fund underperformed the benchmark index in terms of both the

measures in 2007-08 and 2008-09. Further in 2003-04, it underperformed the benchmark

index in terms of Sharpe measure and outperformed in terms of Treynor measure. But for

the rest of the years, the fund outperformed the benchmark index in terms of both the

measures. SBI Magnum Multiplier Fund outperformed the benchmark index for 7 out

of 9 years under study. In 2010-11, the fund outperformed the benchmark index in

terms of Sharpe measure and underperformed in terms of Treynor measure.

151

Table 6.29

Performance of SBI Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE 100

Name of the

scheme→

Year ↓

SBI Magnum Equity

Fund

SBI MSFU-Contra

Fund

SBI Magnum Global

Fund

SBI Magnum


SBI Magnum

Balanced Fund


2002-03 U U O O O O U U U U

2003-04 U U U O U O O O O O

2004-05 O O U U O O O O O O

2005-06 O O O O O O O O O O

2006-07 U U O O O O O O U U

2007-08 O O O O U U O O U U

2008-09 O O O U U U O O U U

2009-10 O O O O O O O O U U

2010-11 O O U U O O O U U U



152

The fund underperformed the benchmark index with regard to both the measures in

2002-03. SBI Magnum Balanced Fund underperformed the benchmark index in terms

of both Sharpe and Treynor measures for 6 out of 9 years under study. The fund

outperformed the benchmark index in terms of both the measures during 2003-04,

2004-05 and 2005-06.

6.5.5 Comparison of Principal Mutual Fund with BSE 100

Table 6.30 reveals the performance of Principal Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on BSE 100. Principal Growth Fund

outperformed the benchmark index in terms of both the measures for 4 (2002-03,

2003-04, 2004-05 and 2009-10) out of 9 years under study. But for the rest of the

period it underperformed the benchmark index in terms of both the measures.

Principal Resurgent India Equity Fund outperformed the benchmark index in terms of

both the measures for 5 out of 8 years under study. But for the remaining years of the

study (2005-06, 2006-07 and 2008-09), the fund underperformed the benchmark

index in terms of both the measures. Principal Balanced Fund underperformed the

benchmark index for 7 out of 9 years under study. In 2009-10, the fund


in terms of Treynor measure. The fund outperformed the benchmark index with

regard to both the measures in 2004-05.

Table 6.30


Treynor Measures based on BSE 100

Name of

the

scheme→

Year ↓

Principal Growth

Fund

Principal

Resurgent India

Equity Fund

Principal Balanced

Fund


2002-03 O O O O U U

2003-04 O O O O U U

2004-05 O O O O O O

2005-06 U U U U U U

2006-07 U U U U U U

2007-08 U U O O U U

2008-09 U U U U U U

2009-10 O O O O U O

2010-11 U U - - U U



153

6.5.6 Comparison of Taurus Mutual Fund with BSE 100

Table 6.31 reveals the performance of Taurus Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on BSE 100. Taurus Bonaza Fund reveals

outperformance for 4 years (2002-03, 2004-05, 2005-06 and 2008-09) out of 9 years

under study. However in 2003-04, it underperformed the benchmark index with

regard to Sharpe measure and outperformed with regard to Treynor measure. The

fund underperformed the benchmark index in terms of both the measures for the

remaining 4 years. Taurus Starshare Fund outperformed the benchmark index for 7

out of 9 years under study. It underperformed the benchmark index during 2008-09

and 2009-10. Taurus Discovery Fund outperformed the benchmark index on the basis

of both Sharpe and Treynor measure for 4 years (2004-05, 2005-06, 2007-08 and

2010-11) out of 9 years under study. In 2002-03, the fund outperformed the

benchmark index with regard to Sharpe measure and underperformed with regard to

Treynor measure. The fund underperformed the benchmark index for the remaining 4

years.

Table 6.31



Name of

the

scheme→

Year ↓

Taurus Bonanza


Taurus Discovery

Fund


2002-03 O O O O O U

2003-04 U O O O U U

2004-05 O O O O O O

2005-06 O O O O O O

2006-07 U U O O U U

2007-08 U U O O O O

2008-09 O O U U U U

2009-10 U U U U U U

2010-11 U U O O O O



154

6.5.7 Comparison of UTI Mutul Fund with BSE 100


Sharpe and Treynor measures based on BSE 100. UTI Equity Fund outperformed the

benchmark index for 5 out of 9 years. The fund underperformed the benchmark index

with regard to both the measures for 4 years (2004-05 to 2007-08). UTI Master

Growth Fund underperformed the benchmark index in terms of both the measures in 7

out of 9 years under study and outperformed the benchmark index during 2003-04 and

2008-09. UTI Master Value Fund outperformed the benchmark index with regard to

both the measures for 5 out of 9 years. The fund underperformed the benchmark index

with regard to both the measures for 4 years (2003-04, 2005-06, 2006-07 and 2007-

08). UTI Master Plus Unit Scheme 91 outperformed the benchmark index in terms of

both Sharpe and Treynor measures for 3 years (2003-04, 2006-07 and 2010-11) out of

9 years under study. However in the year 2008-09, the fund outperformed the


measure. It underperformed the respective benchmark index with regards to both the

measures for the remaining 5 years of the study. UTI Master Share Fund

outperformed the benchmark index in terms of both the measures in 4 (2007-08 to

2010-11) out of 9 years under study. But for the rest of the period it underperformed

the benchmark index in terms of both the measures. UTI Index Select Fund

underperformed the benchmark index with regard to both the measures for 5 out of 7

years under study. For the years 2006-07 and 2008-09, the fund outperformed the

benchmark index on the basis of Sharpe and Treynor measures. UTI Balanced Fund

underperformed the benchmark index for 6 out of the 9 years under study. In 2002-03

and 2008-09, it outperformed the benchmark index for Sharpe measure and

underperformed for Treynor measure. It outperformed the benchmark index in terms

of both the measures in 2009-10.

6.5.8 Comparison of Birla Sunlife Mutual Fund with BSE 100

Table 6.33 highlights the performance of Birla Sunlife Mutual Fund Schemes on the

basis of Sharpe and Treynor measures based on BSE 100. Birla Sunlife Advantage

Fund outperformed the benchmark index in terms of Sharpe and Treynor measures for

4 years (2003-04, 2004-05, 2005-06 and 2008-09) out of 9 years. It underperformed

155

the benchmark index in terms of both the measures for the remaining 5 years. Birla

Sunlife Equity Fund outperformed the benchmark index for 5 out of the 9 years under

study. In 2008-09, it outperformed the benchmark index for Sharpe measure and

underperformed for Treynor measure but situation reversed in 2009-10. It

underperformed the benchmark index in terms of both the measures during 2006-07

and 2010- 11. Birla Sunlife Frontline Equity Fund outperformed the benchmark index

for all the years under study. Birla Sunlife Midcap Fund outperformed the

benchmarks index in terms of both the measures for 5 out of 8 years. But for the

remaining years of the study (i.e. 2006-07, 2008-09 and 2010-11), the fund

underperformed the benchmark index in terms of both the measures. Birla Sunlife

Basic Industries Fund outperformed the benchmark index in terms of Sharpe and

Treynor measures for 5 out of 9 years under study. However in 2008-09, the fund



2006-07 and 2010-11. Birla Sunlife Balanced Fund underperformed the benchmark

index for 7 out of 9 years under study. In 2008-09, the fund outperformed the


measure. The fund outperformed the benchmark index with regard to both the

measures in 2003-04. Birla Sunlife 95 Fund outperformed the benchmark index for 4

years (2003-04, 2004-05, 2007-08 and 2009-10) out of 9 years under study. Further in

the year 2008-09, the fund outperformed the benchmark index in terms of Sharpe

measure and underperformed in terms of Treynor measure. For rest of the years the

fund underperformed the benchmark index in terms of both the measures.

6.5.9 Comparison of ICICI Prudential Mutual Fund with BSE 100

Table 6.34 highlights that ICICI Prudential Dynamic Plan outperformed the BSE 100

with regard to both the measures for 7 out of 8 years under study and underperformed

the benchmark only in one year i.e. 2007-08. ICICI Prudential Growth Plan

outperformed benchmark index for 7 out of 9 years under study. The fund

underperformed the benchmark for the remaining 2 years (2004-05 and 2007-08)

based on both the measures.

156

Table 6.32

Performance of UTI Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE 100

Name of the

scheme→

Year ↓


Growth

UTI Master Value

Fund

UTI Master Plus

Unit Scheme 91

UTI Master

Share

UTI Index Select

Fund

UTI Balanced

Fund


2002-03 O O U U O O U U U U U U O U

2003-04 O O O O U U O O U U U U U U





2008-09 O O O O O O O U O O O O O U

2009-10 O O U U O O U U O O - - O O

2010-11 O O U U O O O O O O - - U U



157

Table 6.33

Performance of Birla Sunlife Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE 100

Name of

the

scheme→

Year ↓

Birla Sunlife

Advantage Fund

Birla Sunlife

Equity Fund

Birla Sunlife

Frontline Equity

Fund

Birla Sunlife

Midcap Fund

Birla Sunlife Basic

Industries Fund

Birla Sunlife

Balanced Fund

Birla Sunlife 95

Fund


2002-03 U U O O - - - - O O U U U U





2007-08 U U O O O O O O O O U U O O

2008-09 O O O U O O U U O U O U O U

2009-10 U U U O O O O O O O U U O O




158

ICICI Prudential Power Plan outperformed the benchmark index for 7 out of 9 years

under study. The fund underperformed the benchmark based on both the measures for

2007-08. In 2008-09, the fund outperformed the benchmark with regard to Sharpe

measure and underperformed with regard to Treynor measure. ICICI Prudential

Balanced Fund outperformed the benchmark index for 4 years (2002-03, 2003-04,

2005-06 and 2009-10) out of 9 years under study. The fund underperformed the

benchmark index for the remaining years.

Table 6.34


and Treynor Measures based on BSE 100

Name of the

scheme→

Year ↓

ICICI Prudential

Dynamic Plan

ICICI Prudential

Growth Plan

ICICI Prudential

Power

ICICI Prudential

Balanced Fund


2002-03 - - O O O O O O

2003-04 O O O O O O O O

2004-05 O O U U O O U U

2005-06 O O O O O O O O

2006-07 O O O O O O U U

2007-08 U U U U U U U U

2008-09 O O O O O U U U

2009-10 O O O O O O O O

2010-11 O O O O O O U U



6.5.10 Comparison of Sundaram BNP Paribas with BSE 100

Table 6.35 provides the performance of Sundaram BNP Paribas Mutual Fund on the

basis of Sharpe and Treynor measures based on BSE 100. The results reveal that

Sundaram BNP Paribas Growth Fund outperformed the benchmark index in terms of

both the measures for 6 out of 9 years under study. However in 2006-07, it


in terms of Treynor measure. During 2008-09 and 2009-10, it underperformed the

benchmark index in terms of both the measures. Sundaram BNP Paribas Select Focus

outperformed the benchmark index with regard to both the measures for 6 out of 8

years under study. Further in 2008-09, it outperformed the benchmark index in terms

of Sharpe measure and underperformed in terms of Treynor measure. It

underperformed the benchmark index in terms of both the measures in 2009-10.

159

Sundaram BNP Paribas Select Midcap Fund outperformed the benchmark index in

terms of both the measures for 5 out of 8 years under study. However in 2009-10, it


in terms of Treynor measure.

Table 6.35


Sharpe and Treynor Measures based on BSE 100

Name of the

scheme→

Year ↓

Sundaram BNP Paribas Growth

Fund

Sundaram BNP Paribas Select

Focus

Sundaram BNP Paribas Select

Midcap

Sundaram BNP Paribas Balanced

Fund


2002-03 O O - - - - U U

2003-04 O O O O O O O O

2004-05 O O O O O O U U

2005-06 O O O O O O U U

2006-07 U O O O O O U U

2007-08 O O O O U U U U

2008-09 U U O U U U O O

2009-10 U U U U U O O O

2010-11 O O O O O O U U



It underperformed the benchmark index in terms of both the measures for the

remaining two years (2007-08 and 2008-09). Sundaram BNP Paribas Balanced Fund


years (2003-04, 2008-09 and 2009-10) out of 9 years. It underperformed the

benchmark index in terms of both the measures for the remaining 6 years.

6.6 COMPARISON OF SHARPE AND TREYNOR VALUES ON THE

BASIS OF BSE 200

Table 6.36 highlights that majority of the schemes outperformed the benchmark

according to Sharpe measure in 6 out of 9 years taken for study while in 2002-03,

2006-07 and 2007-08, majority of the schemes underperformed. Similarly, majority

of schemes outperformed the benchmark according to Treynor measure in 5 out of 9

years taken for the study while during 2002-03, 2006-07 and 2007-08 majority of the

160

schemes underperformed. In 2010-11, an equal number of schemes (50%) performed

above and below the benchmark according to Treynor measure.

Table 6.36

Comparison of Sharpe and Treynor values on the basis of BSE 200

Measure→ Year↓

Sharpe Treynor Total

No. Of Schemes

Number of

Schemes

Outperformed

Number of

Schemes

Underperformed

Number of

Schemes

Outperformed

Number of

Schemes

Underperformed

2002-03 18(40.00) 27(60.00) 17(37.78) 28(62.22) 45

2003-04 28(56.00) 22(44.00) 30(60.00) 20(40.00) 50

2004-05 36(72.00) 14(28.00) 36(72.00) 14(28.00) 50

2005-06 37(74.00) 13(26.00) 37(74.00) 13(26.00) 50

2006-07 20(40.00) 30(60.00) 20(40.00) 30(60.00) 50

2007-08 23(46.00) 27(54.00) 24(48.00) 26(52.00) 50

2008-09 32(64.00) 18(36.00) 27(54.00) 23(46.00) 50

2009-10 31(63.26) 18(36.73) 32(65.31) 17(34.69) 49

2010-11 25(52.08) 23(47.92) 24(50.00) 24(50.00) 48


6.6.1 Comparison of HDFC Mutual Fund with BSE 200

Table 6.37 depicts the performance of HDFC Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on BSE 200. HDFC Equity Fund underperformed the

benchmark index in terms of Sharpe and Treynor measures for the year 2006-07 and

HDFC Growth Fund underperformed in the year 2009-10. For rest of the years, HDFC

Equity Fund and HDFC Growth Fund outperformed the benchmark index with regard to

both Sharpe and Treynor measures. HDFC Top 200 Fund outperformed the benchmark

index on the basis of both Sharpe and Treynor measures for 7 out of 9 years under study.

The fund underperformed the benchmark index during 2006-07 and 2007-08. HDFC

Capital Builder Fund outperformed the benchmark index with regard to both the measures

for 7 out of 9 years under study. Further in 2002-03, it outperformed the benchmark index

in terms of Sharpe measure and underperformed in terms of Treynor measure. It

underperformed the benchmark index in terms of both the measures in 2006-07. HDFC

Balanced Fund outperformed the benchmark index in terms of Sharpe and Treynor

measures for 3 years (2008-09, 2009-10 and 2010-11) out of 9 years. It underperformed

the benchmark index in terms of both the measures for the remaining 6 years. HDFC

Prudence Fund outperformed the benchmark index for 7 out of 9 years under study and

underperformed the benchmark during 2006-07 and 2007-08.

161

Table 6.37

Performance of HDFC Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE 200

Name of

the

scheme→

Year ↓

HDFC Equity

Fund

HDFC Growth

Fund

HDFC Top 200

Fund

HDFC Capital

Builder Fund

HDFC Balanced

Fund

HDFC Prudence

Fund


2002-03 O O O O O O O U U U O O

2003-04 O O O O O O O O U U O O

2004-05 O O O O O O O O U U O O

2005-06 O O O O O O O O U U O O

2006-07 U U O O U U U U U U U U

2007-08 O O O O U U O O U U U U

2008-09 O O O O O O O O O O O O

2009-10 O O U U O O O O O O O O

2010-11 O O O O O O O O O O O O



162

6.6.2 Comparison of Franklin Templeton Mutual Fund with BSE 200

Table 6.38 provides the performance of Franklin Templeton Mutual Fund Schemes on

the basis of Sharpe and Treynor measures based on BSE 200. Franklin India Bluechip

Fund outperformed the benchmark index in terms of both the measures during all the

years under study except 2007-08. Franklin India Opportunities Fund outperformed

the benchmark index for 3 years (2004-05 to 2006-07) out of 9 years under study. It

underperformed the benchmark index in terms of both the measures for remaining 6

years of the study. Franklin India Prima Fund outperformed the benchmark index with

regard to both the measures for 7 out of 9 years under study. For the years 2006-07

and 2007-08, the fund underperformed the benchmark index on the basis of Sharpe

and Treynor measures. Franklin India Prima Plus Fund outperformed the benchmark

index for all the years. Franklin India Balanced Fund outperformed the benchmark

index during 2003-04 and 2008-09. During the remaining years it underperformed the

benchmark index in terms of both Sharpe and Treynor measures.

6.6.3. Comparison of Tata Mutual Fund with BSE 200

Table 6.39 provides the performance of Tata Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on BSE 200. The results reveal that Tata Equity

Opportunities Fund outperformed the benchmark index on the basis of Sharpe and

Treynor measures for 5 out of 9 years of the study and for the rest of the years (2003-04,

2006-07, 2008-09 and 2010-11), it underperformed the benchmark index. Tata Growth

Fund outperformed benchmark index for 4 years (2003-04 to 2005-06 and 2007-08) in

terms of Sharpe and Treynor measures. During other years of the study, it

underperformed the benchmark index. Tata Pure Equity Fund underperformed the

benchmark index during 2002-03 and 2008-09. For the rest of the years, the fund

outperformed the benchmark index. Similarly Tata Select Equity Fund also outperformed

the benchmark index with regard to both the measures for 7 out of 9 years under study

and underperformed during 2002-03 and 2008-09. Tata Balanced Fund outperformed the

benchmark index in terms of Sharpe and Treynor measures for 4 years (2004-05, 2005-

06, 2007-08 and 2009-10) out of 9 years under study. For the remaining period, it

underperformed the benchmark index. Tata Young Citizens’ Fund underperformed the

benchmark index for both Sharpe and Treynor measures throughout the study period

except for the years 2009-10 (for both the measures) and 2007-08 (for Treynor measure).

163

Table 6.38

Performance of Franklin Templeton Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE 200

Name of

the

scheme→

Year ↓

Franklin India

Bluechip Fund

Franklin India

Opportunities Fund

Franklin India

Prima Fund

Franklin India

Prima Plus Fund

Franklin India

Balanced Fund


2002-03 O O U U O O O O U U

2003-04 O O U U O O O O O O

2004-05 O O O O O O O O U U

2005-06 O O O O O O O O U U

2006-07 O O O O U U O O U U

2007-08 U U U U U U O O U U

2008-09 O O U U O O O O O O

2009-10 O O U U O O O O U U

2010-11 O O U U O O O O U U


U- Underperformed respective benchmark index

164

Table 6.39

Performance of Tata Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE 200

Name of

the

scheme→

Year ↓

Tata Equity

Opportunities

Fund

Tata Growth

Fund

Tata Pure Equity

Fund

Tata Select

Equity Fund

Tata Balanced

Fund

Tata Young

Citizens’ Fund


2002-03 O O U U U U U U U U U U

2003-04 U U O O O O O O U U U U

2004-05 O O O O O O O O O O U U

2005-06 O O O O O O O O O O U U

2006-07 U U U U O O O O U U U U

2007-08 O O O O O O O O O O U O

2008-09 U U U U U U U U U U U U

2009-10 O O U U O O O O O O O O

2010-11 U U U U O O O O U U U U



165

6.6.4 Comparison of SBI Mutual Fund with BSE 200

Table 6.40 highlights the performance of SBI Mutual Fund Schemes on the basis of

Sharpe and Treynor measures based on BSE 200. SBI Magnum Equity Fund showed

outperformance in terms of both Sharpe and Treynor measures in 6 out of 9 years

under study. The fund showed underperformance during 2002-03, 2003-04 and 2006-

07. SBI MSFU-Contra Fund outperformed the benchmark index in terms of both the

measures for 6 out of 9 years under study and underperformed the benchmark index

during 2003-04, 2004-05 and 2010-11. SBI Magnum Global Fund outperformed the

benchmark index in terms of both the measures for 5 out of 9 years under study. The

fund underperformed the benchmark index for remaining 4 years (2002-03, 2003-04,

2007-08 and 2008-09). SBI Magnum Multiplier Plus Fund underperformed the

benchmark index in terms of both the measures in 2002-03 and 2003-04. Further in

2010-11, it outperformed the benchmark index in terms of Sharpe measure and

underperformed in terms of Treynor measure. But for the rest of the years, the fund

outperformed the benchmark index in terms of both the measures. SBI Magnum

Balanced Fund outperformed the benchmark index in terms of both the measures in

2004-05 and 2005-06. Further in 2003-04, it underperformed the benchmark index in

terms of Sharpe measure and outperformed in terms of Treynor measure. But for the

rest of the years, the fund underperformed the benchmark index in terms of both the

measures.

6.6.5 Comparison of Principal Mutual Fund with BSE 200

Table 6.41 presents the performance of Principal Mutual Fund Schemes on the basis

of Sharpe and Treynor measures based on BSE 200. Principal Growth Fund

outperformed the benchmark index in terms of both the measures for 5 out of the 9

years under the study. The fund underperformed the benchmark index for remaining 4

years (2006-07, 2007-08, 2008-09 and 2010-11). The results of Principal Resurgent

India Equity Fund depict that the fund underperformed the selected benchmark index

during 2006-07 and 2008-09. For the year 2009-10, the fund underperformed the

benchmark index with regard to Sharpe measure and outperformed with regard to

Treynor measure. It outperformed the benchmark index in terms of both Sharpe and

Treynor measures for remaining 5 years of the study.

166

Table 6.40

Performance of SBI Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE 200

Name of

the

scheme→

Year ↓

SBI Magnum Equity

Fund

SBI MSFU-Contra

Fund

SBI Magnum Global

Fund

SBI Magnum


SBI Magnum

Balanced Fund


2002-03 U U O O U U U U U U

2003-04 U U U U U U U U U O

2004-05 O O U U O O O O O O

2005-06 O O O O O O O O O O

2006-07 U U O O O O O O U U

2007-08 O O O O U U O O U U

2008-09 O O O O U U O O U U

2009-10 O O O O O O O O U U

2010-11 O O U U O O O U U U



167

Principal Balanced Fund underperformed the benchmark index on the basis of Sharpe

and Treynor measures for 8 out of 9 years of the study. For the year 2004-05, the fund

outperformed the benchmark index in terms of both the measures.

Table 6.41



Name of

the

scheme→

Year ↓

Principal Growth

Fund

Principal

Resurgent India

Equity Fund

Principal Balanced

Fund


2002-03 O O O O U U

2003-04 O O O O U U

2004-05 O O O O O O

2005-06 O O O O U U

2006-07 U U U U U U

2007-08 U U O O U U

2008-09 U U U U U U

2009-10 O O U O U U

2010-11 U U - - U U



6.6.6 Comparison of Taurus Mutual Fund with BSE 200

Table 6.42 highlights the performance of Taurus Mutual Fund Schemes on the basis

Sharpe and Treynor measures based on BSE 200. Taurus Bonaza Fund outperformed

the benchmark index for 4 years (2002-03, 2004-05, 2005-06 and 2008-09) out of 9

years under the study. However in 2003-04, the fund underperformed the benchmark

index in terms of Sharpe measure and outperformed in terms of Treynor measure. The

fund underperformed the benchmark in terms of both the measures for the remaining

4 years. Taurus Starshare outperformed the benchmark index on the basis of both

Sharpe and Treynor measures for 7 out of 9 years under study. The fund

underperformed the benchmark index during 2008-09 and 2009-10. Taurus Discovery

Fund underperformed the benchmark index in terms of both the measures for 5 out of

9 years under study. The fund outperformed the benchmark index for remaining 4

years (2004-05, 2005-06, 2007-08 and 2010-11).

168

Table 6.42



Name of

the

scheme→

Year ↓

Taurus Bonanza


Taurus Discovery

Fund


2002-03 O O O O U U

2003-04 U O O O U U

2004-05 O O O O O O

2005-06 O O O O O O

2006-07 U U O O U U

2007-08 U U O O O O

2008-09 O O U U U U

2009-10 U U U U U U

2010-11 U U O O O O



6.6.7 Comparison of UTI Mutual Fund with BSE 200


Sharpe and Treynor measures based on BSE 200. UTI Equity Fund outperformed the

selected benchmark index in terms of both the measures for 4 years (2002-03, 2008-

09, 2009-10 and 2010-11) out of 9 years under study. It underperformed the

benchmark index with regard to both the measures for the remaining 5 years of the

study. UTI Master Growth Fund underperformed the benchmark index in terms of

both the measures in 7 out of 9 years under study and outperformed the benchmark

index during 2003-04 and 2008-09. UTI Master Value Fund outperformed the


with regard to both the measures for 4 years (2003-04, 2005-06 to 2007-08). UTI

Master Plus Unit Scheme 91 outperformed the benchmark index for 4 years (2005-06,

2006-07, 2008-09 and 2010-11) out of 9 years of the study. It underperformed the

benchmark index with regards to both the measures for the remaining 5 years of the

study. UTI Master Share Fund outperformed the benchmark index for 4 years (2007-

08 to 2010-11) out of 9 years of the study but for the rest of the years, it

underperformed the benchmark index. UTI Index Select Fund outperformed the

benchmark index with regard to both the Sharpe and Treynor measures during 2005-

06, 2006-07 and 2008-09 and for the remaining years of the study it underperformed

169

the benchmark index with regard to both the performance measures. UTI Balanced

Fund underperformed the benchmark index for 7 out of 9 years under study. In 2008-

09, the fund outperformed the benchmark index in terms of Sharpe measure and

underperformed in terms of Treynor measure. The fund outperformed the benchmark

index with regard to both the measures in 2009-10.

6.6.8 Comparison of Birla Sunlife Mutual Fund with BSE 200

Table 6.44 shows the performance of Birla Sunlife Mutual Fund Schemes on the basis

of Sharpe and Treynor measures based on BSE 200. Birla Sunlife Advantage Fund


years (2003-04, 2004-05, 2005-06 and 2008-09) out of 9 years. It underperformed the

benchmark index in terms of both the measures for the remaining 5 years. Birla

Sunlife Equity Fund outperformed the benchmark index in terms of Sharpe and

Treynor measures for 5 out of 9 years under the study. However in 2008-09, the fund



2009-10 and 2010-11. Birla Sunlife Frontline Equity Fund outperformed the

benchmark index for all the years under study. Birla Sunlife Midcap Fund

outperformed the benchmarks index in terms of both the measures for 5 out of 8 years

under study. But for remaining years of the study (2006-07, 2008-09 and 2010-11),

the fund underperformed the benchmark index in terms of both the measures. Birla

Sunlife Basic Industries Fund outperformed the benchmarks index in terms of both

the measures for 6 out of 9 years under study. But for remaining years of the study

(2005-06, 2006-07 and 2010-11), the fund underperformed the benchmark index in

terms of both the measures. Birla Sunlife Balanced Fund underperformed the

benchmark index for 7 out of 9 years under study. In 2008-09, the fund outperformed


Treynor measure. The fund outperformed the benchmark index with regard to both

the measures in 2003-04. Birla Sunlife 95 Fund outperformed the benchmark index

for 4 years (2003-04, 2004-05, 2007-08 and 2009-10) out of 9 years under study.

Further in the year 2008-09, the fund outperformed the benchmark index in terms of

Sharpe measure and underperformed in terms of Treynor measure. For the remaining

years the fund underperformed the benchmark index in terms of both the measures.

170

6.6.9 Comparison of ICICI Prudential Mutual Fund with BSE 200

Table 6.45 depicts that ICICI Prudential Dynamic Plan underperformed for 3 years

(2003-04, 2007-08 and 2010-11) out of 8 years under study. The fund outperformed

the benchmark index based on both the Sharpe and Treynor measures for the

remaining 5 years of the study. ICICI Prudential Growth Plan outperformed the


with regard to both the measures for 4 years (2002-03 to 2004-05 and 2007-08). ICICI

Prudential Power Plan outperformed the benchmark index for 8 years out of 9 years

under study in terms of both the Sharpe and Treynor measures. The fund

underperformed only in 2007-08. ICICI Prudential Balanced Fund underperformed

the benchmark index in terms of both Sharpe and Treynor measures for 6 out of 9

years under study. The fund outperformed the benchmark index during 2003-04,

2005-06 and 2009-10.

6.6.10 Comparison of Sundaram BNP Paribas Mutual Fund with BSE 200

Table 6.46 shows the performance of Sundaram BNP Paribas Mutual Fund Schemes

on the basis of Sharpe and Treynor measures based on BSE 200 for the study period.

Sundaram BNP Pariabas Growth Fund outperformed the benchmark index in terms of

Sharpe and Treynor measures for 6 out of 9 years of the study and for the rest of the

years (2002-03, 2008-09 and 2009-10), it underperformed the benchmark index.

Sundaram BNP Paribas Select Focus underperformed the benchmark index during

2009-10 and 2010-11. However in 2008-09, it outperformed the benchmark index in

terms of Sharpe measure and underperformed in terms of Treynor measure. It


under study. Sundaram BNP Paribas Select Midcap Fund outperformed the

benchmark index in terms of both the measures for 5 out of 8 years under study. But

for the remaining years of the study (2007-08 to 2009-10), the fund underperformed

the benchmark index in terms of both the measures. Sundaram BNP Paribas Balanced

Fund underperformed the benchmark index in terms of both the measures in 7 out of 9

years under study and outperformed the benchmark index during 2008-09 and 2009-

10.

171

Table 6.43

Performance of UTI Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE 200

Name of

the

scheme→

Year ↓


Growth

UTI Master Value

Fund

UTI Master Plus

Unit Scheme 91

UTI Master

Share

UTI Index Select

Fund

UTI Balanced

Fund


2002-03 O O U U O O U U U U U U U U

2003-04 U U O O U U U U U U U U U U





2008-09 O O O O O O O O O O O O O U

2009-10 O O U U O O U U O O - - O O

2010-11 O O U U O O O O O O - - U U



172

Table 6.44

Performance of Birla Sunlife Mutual Fund Schemes on the basis of Sharpe and Treynor Measures based on BSE 200

Name of the

scheme→

Year ↓

Birla Sunlife

Advantage Fund

Birla Sunlife

Equity Fund

Birla Sunlife

Frontline Equity

Fund

Birla Sunlife

Midcap Fund

Birla Sunlife Basic

Industries Fund

Birla Sunlife

Balanced Fund

Birla Sunlife 95

Fund


2002-03 U U U U - - - - O O U U U U




2006-07 U U O O O O U U U U U U U U

2007-08 U U O O O O O O O O U U O O

2008-09 O O O U O O U U O O O U O U

2009-10 U U U U O O O O O O U U O O




173

Table 6.45


and Treynor Measures based on BSE 200

Name of

the

scheme→

Year ↓

ICICI Prudential

Dynamic Plan

ICICI Prudential

Growth Plan

ICICI Prudential

Power

ICICI Prudential

Balanced Fund


2002-03 - - U U O O U U

2003-04 U U U U O O O O

2004-05 O O U U O O U U

2005-06 O O O O O O O O

2006-07 O O O O O O U U

2007-08 U U U U U U U U

2008-09 O O O O O O U U

2009-10 O O O O O O O O

2010-11 U U O O O O U U



Table 6.46


Sharpe and Treynor Measures based on BSE 200

Name of

the

scheme→

Year ↓

Sundaram BNP

Paribas Growth

Fund

Sundaram BNP

Paribas Select

Focus

Sundaram BNP

Paribas Select

Midcap

Sundaram BNP

Paribas Balanced

Fund


2002-03 U U - - - - U U

2003-04 O O O O O O U U

2004-05 O O O O O O U U

2005-06 O O O O O O U U

2006-07 O O O O O O U U

2007-08 O O O O U U U U

2008-09 U U O U U U O O

2009-10 U U U U U U O O

2010-11 O O U U O O U U



174

6.7 COMPARISON OF JENSEN VALUES ON THE BASIS OF S&P

CNX NIFTY

Table 6.47 reveals that in 4 out of 9 years under the study (2002-03, 2003-04, 2004-05

and 2005-06), majority of the mutual fund schemes had positive value of alpha, that

is, outperformed the benchmark. Further, in 4 out of 9 years (2006-07, 2008-09, 2009-

10 and 2010-11), majority of the mutual fund schemes had negative value of alpha,

that is, underperformed the benchmark. In 2007-08, an equal number of schemes

(50%) performed above and below the benchmark according to Jensen measure.

Table 6.47

Jensen's Measure with S&P CNX Nifty

Year↓ Number of

Schemes having

Positive alpha

Number of

Schemes having

Negative alpha

Total no. of

Schemes

2002-03 33(73.33) 12(26.67) 45

2003-04 50(100.00) 0(00.00) 50

2004-05 40(80.00) 10(20.00) 50

2005-06 34(68.00) 16(32.00) 50

2006-07 20(40.00) 30(60.00) 50

2007-08 25(50.00) 25(50.00) 50

2008-09 20(40.00) 30(60.00) 50

2009-10 23(46.93) 26(53.07) 49

2010-11 16(33.33) 32(66.67) 48


6.8 COMPARISON OF JENSEN VALUES ON THE BASIS OF BSE SENSEX

Table 6.48 shows that majority of the schemes in six out of nine years under the study

(2002-03 to 2005-06, 2007-08 and 2009-10) had positive value of alpha, that is,

outperformed the benchmark. However, majority of schemes in three out of nine years

(2006-07, 2008-09 and 2010-11) showed negative value of alpha, that is,

underperformed the benchmark.

175

6.9 COMPARISON OF JENSEN VALUES ON THE BASIS OF BSE 100

Table 6.49 shows that majority of the schemes in six out of nine years under study (2002-03 to

2005-06, 2009-10 and 2010-11) had positive value of alpha, that is, outperformed the benchmark.

However, majority of schemes in three out of nine years (2006-07, 2007-08 and 2008-09)

showed negative value of alpha, that is, underperformed the benchmark.

Table 6.48 Jensen's Measure with BSE Sensex

Year↓ Number of

Schemes having

Positive alpha

Number of

Schemes having

Negative alpha

Total no. of

Schemes

2002-03 35(77.78) 10(22.22) 45

2003-04 46(92.00) 04(8.00) 50

2004-05 39(78.00) 11(22.00) 50

2005-06 27(54.00) 23(46.00) 50

2006-07 4(8.00) 46(92.00) 50

2007-08 39(78.00) 11(22.00) 50

2008-09 21(42.00) 29(58.00) 50

2009-10 33(67.43) 16(32.67) 49

2010-11 17(35.41) 31(64.59) 48


Table 6.49

Jensen's Measure with BSE 100

Year↓ Number of Schemes

having Positive alpha

Number of Schemes

having Negative alpha

Total no. of

Schemes

2002-03 28(62.22) 17(37.78) 45

2003-04 40(80.00) 10(20.00) 50

2004-05 36(72.00) 14(28.00) 50

2005-06 33(66.00) 17(34.00) 50

2006-07 19(38.00) 31(62.00) 50

2007-08 23(46.00) 27(54.00) 50

2008-09 23(46.00) 27(54.00) 50

2009-10 36(73.47) 13(26.53) 49

2010-11 27(56.25) 21(43.75) 48

Note: Figures in parentheses denote percentage to total number of schemes

176

6.10 COMPARISON OF JENSEN VALUES ON THE BASIS OF BSE 200

Table 6.50 reveals that in 5 out of 9 years under study ( 2003-04 to 2005-06, 2008-09 and 2009-

10), majority of the mutual fund schemes had positive value of alpha, that is, outperformed the

benchmark. Further, in 3 out of 9 years (2002-03, 2006-07 and 2007-08), majority of the mutual

fund schemes had negative value of alpha, that is, underperformed the benchmark. In 2010-11, an

equal number of schemes (50%) performed above and below the benchmark according to Jensen

measure.

Table 6.50

Jensen's Measure with BSE 200

Year↓ Number of

Schemes having

Positive alpha

Number of

Schemes having

Negative alpha

Total no.

of

Schemes

2002-03 17(37.78) 28(62.22) 45

2003-04 30(60.00) 20(40.00) 50

2004-05 36(72.00) 14(28.00) 50

2005-06 37(74.00) 13(26.00) 50

2006-07 20(40.00) 30(60.00) 50

2007-08 23(46.00) 27(54.00) 50

2008-09 27(54.00) 23(46.00) 50

2009-10 33(67.34) 16(32.66) 49

2010-11 24(50.00) 24(50.00) 48


6.11 CONCLUSION

Thus it is clearly evident from the above analysis that majority of the schemes

outperformed all the benchmark indices on the basis of both Sharpe and Treynor

measure up to year 2005-06. From 2006-07 onwards, majority of schemes

underperformed selected benchmark indices on the basis of both the measures during

most period of the study. Jensen measure also highlights the similar results as

majority of schemes outperformed during most of the years under study.

Documents

PERFORMANCE EVALUATION OF MUTUAL FUND SCHEMESshodhganga.inflibnet.ac.in/bitstream/10603/13577/15... · CHAPTER 6 PERFORMANCE EVALUATION OF MUTUAL FUND SCHEMES As the concept of mutual