Chapter -3 Data Presentation and Analysis

Table 1: Returns on selected schemes of selected companies Return on selected schemes

Canara Robeco !utual "und

200 0.05002836 5

2010 0.014652

2011 -0.02106

2012 0.021597

2013 0.00616

#D"C !utual "und

0.016657

0.00778

-0.41701

0.009391

0.005453

$D"C !utual "und

0.003119

0.004939

0.006748

0.007878

0.007513

Deutsche !utual "und

0.004432

0.004523

0.761828

0.007753

0.007287

PR$%C$PA& !utual "und

0.007677

0.004317

0.007281

0.008141

0.006326

!or'an (tanley !utual "und

0.065773

0.013435

-0.02352

0.024019

0.006866

(undaram !utual "und

0.00611

-0.00026

0.004652

0.006965

-0.01697

()$ !utual "und

0.003957

0.004454

0.007182

8.323669

0.007378

$nterpretation Nav return shows the actual return on the investment over a period o time. !he past per ormance will not "uarantee the uture# still it is important to anal$se the past data to orecast the uture.

Table 2: (harpe*s Ratio Calculated "or Different "unds

%ame of the schemes

A+era'e Return

(tandard de+iation ,-D.

(harpe Ratio

Canara Robeco !utual "und

-0.03572

0.025722

-1.38886

#D"C !utual "und

-0.12555

0.190932

-0.65755

$D"C !utual "und

-0.04396

0.001987

-22.1227

Deutsche !utual "und

0.107165

0.338021

0.317036

PR$%C$PA& !utual "und

-0.04325

0.001514

-28.5614

!or'an (tanley !utual "und

-0.03268

0.032345

-1.01052

(undaram !utual "und

-0.0499

0.009946

-5.01744

()$ !utual "und

1.619328

3.71989

0.435316

$nterpretation

%ere# 8 &utual 'und have (een ta)en or the stud$. !he ta(le No. 1 shows the avera"e return on sample de(t (ased schemes and &ar)et return on *+, +,N+,-. !he mar)et standard deviation .ris)/ o the schemes are less than one e0cept +1 o +*2 &utual 'und and. !he result shows that one out o ei"ht selected mutual und schemes has more standard deviation than mar)et inde0 namel$ +*2 &utual 'und. 2t means that these scheme is more ris)$ than mar)et port olio. 3hile the lowest standard deviation in return indicated less ris)$ than mar)et port olio. None o mutual und schemes# out o ei"ht do not shows ne"ative value o +harpe 2nde0 namel$. 2 mutual und scheme has ne"ative value o +harpe 2nde0 in the anal$sis that indicates the in erior per ormance.

Table 3: Treynor*s Ratio Calculated "or Different "unds

%ame of the schemes Canara Robeco !utual "und

A+era'e Return
-0.03572

)eta ,/.

Treynor Ratio

-0.02677

1.334312

#D"C !utual "und

-0.12555

-0.03371

3.724319

$D"C !utual "und

-0.04396

0.00067

-65.5949

Deutsche !utual "und

0.107165

0.048582

2.205837

PR$%C$PA& !utual "und

-0.04325

-0.00279

15.48686

!or'an (tanley !utual "und

-0.03268

-0.03854

0.848161

(undaram !utual "und

-0.03572

-0.00572

8.723112

()$ !utual "und

-0.12555

-1.88195

-0.86045

0 $nterpretation !re$nor is a measurement o the returns earned in e0cess o that which could have (een earned on an investment that has no diversi ia(le ris) per each unit o mar)et ris) assumed. !a(le 3 shows tre$nor meausre o de(t (ased mutual unds. !he hi"her the tre$nor ratio# the (etter the per ormance under anal$sis. 'rom anal$sis it is noted that 4ll the schemes are per ormed well than the stoc) mar)et inde0 s5p sn0 ni t$ durin" the entire period o stud$. 4lpha is a ris)ad6usted measure return on an investment. 2t is the return in e0cess o the compensation or the ris) (orne. !he alpha measure shows the level o ris) associated with the return. 2 alpha.7 i / 8 0# the investment has earned too little or its ris) .or# was too ris)$ or the return/# i alpha.7 i / 9 0# the investment has earned a return ade:uate or the ris) ta)en and i alpha.7 i / ; 0# the investment has a return in e0cess o the reward or the assumed ris). !a(le 3 shows alpha measures o de(t (ased mutual unds or the $ear 2009 to 2013. 2t is noted that the stoc) mar)et has e:uivalent return or the ris). +toc) mar)et alpha is <ero or the entire stud$ period. 2t can (e said that 2009-13 is "lorious time or the investor# invaria(l$ all the mutual unds are produced (etter return durin" this peiod. de(t (ased mutual unds seems to (e a "ood compan$# it has "iven hi"hest alpha measure o 15.48686 with the comparision o all other de(t (ased mutual unds durin" the period o 2009-13.

Table 1: 2ensen*s Alpha Calculated "or Different "unds

%ame of the schemes

Return

34pected Return

Alpha

Canara Robeco !utual "und

-0.03572

0.052295

-0.08802

#D"C !utual "und

-0.12555

0.055918

-0.18146

$D"C !utual "und

-0.04396

0.049937

-0.0939

Deutsche !utual "und

0.107165

0.052777

0.054387

PR$%C$PA& !utual "und

-0.04325

0.05026

-0.09351

!or'an (tanley !utual "und

-0.03268

0.053186

-0.08587

(undaram !utual "und

-0.0499

0.050571

-0.10047

()$ !utual "und

1.619328

-2.90339

4.522719

$nterpretation

!a(le 4 "ives the results o the =ensen &easure. >ut o the ,i"ht unds# two unds showed positive alpha values indicatin" superior per ormance. %ence these unds have "enerated returns in e0cess o e:uili(rium returns. !he e:uili(rium returns o a und is the return that it is e0pected to earn with the "iven level o s$stematic ris). 3e see si0 scheme the alpha value to (e statisticall$ si"ni icant at 5? level o si"ni icance. !hus this und has "enerated a(ove normal returns. !hus# the null h$pothesis that the o(served value o di erential measure .alpha/ or the sample can (e re6ected@ as or ma6orit$ o the unds the alpha is not ound to (e di erent rom <ero e0cept one scheme. 2n "eneral we can see that ma6orit$ o the schemes have produced normal and (elow normal returns# and have not "enerated e0cess returns than e0pected. !he superior per ormance is noticea(le onl$ in respect o one scheme.

Chapter-1 (ummary and conclusion

(ummary !his paper has mainl$ aimed at e0aminin" the per ormance o 2ndian &utual unds in terms o a/ +harpe Aatio (/ !re$nor Aatio and c/ =ensen di erential return measure. !he stud$ used dail$ N4B or 8mutual und schemes or a period o ive $ear rom 1st =anuar$ 2009 to 30 th 1ecem(er 2013# and the empirical results reported here indicated a mi0ed per ormance o de(t schemes durin" the stud$ period. !he +harpe Aatio indicates that onl$ ew schemes show "ood per ormance# while in terms o !re$nor ratio "ood per ormance ($ ma6orit$ o the scheme. !he =ensenCs measure# alpha is positive or 87.5? o the unds which shows that the unds are "eneratin" "ood returns. !he returns o the unds are positive and hence in "eneral we can sa$ that the per ormance o the &utual unds durin" this period is satis actor$. %owever we have to note that e0cept one scheme no other scheme has produced e0cess return in the mar)et and the unds are not ade:uatel$ diversi ied. 3ith the positive outloo) at the Dapital &ar)et# we can hope that the &utual und industr$ would per orm (etter in the da$s to come.

Conclusion: 1e(t scheme are suita(le or "enuine investors as there e0ists a variet$ o investors needs dependin" on o(6ective# e0pectations and ris) ta)in" a(ilities etc. 2t is "ood channel investin" and turnin" it into an investment opportunit$ as well as or availin" ta0 relie . !here is no dou(t that the determinant or investin" in a mutual und is the N4B actor. &utual unds have to ocus

more on proper pricin"# (etter investor servicin" as well as o er handsome returns. &utual unds have to understand the Es$cholo"$ o investors.