PERFORMANCE EVALUATION OF OPEN ENDED SCHEMES OF MUTUAL FUNDS

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1 428 PERFORMANCE EVALUATION OF OPEN ENDED SCHEMES OF MUTUAL FUNDS DR. VIKAS KUMAR* *Guest Faculty, Department of Commerce, Sri Harischandra Post Graduate College, Varanasi. INTRODUCTION Household savings play an important role in domestic capital formation. Only a small part of the household savings in India is channelized to the capital market. Attracting more household savings to the capital market requires efficient intermediation. Mutual funds have emerged as one of the important class of financial intermediaries which cater to the needs of retail investors. Mutual funds have become an important vehicle for mobilization of savings particularly from the household sector. Mutual funds are one of the most favoured investment routes for the small and medium investors across the world. Ideally, Mutual funds provide opportunities for small investors to participate in the capital market without assuming a very high degree of risk. An important principle of investment in capital market is that do not put all the eggs in one basket i.e. diversification. A small investor is not able to have a diversified portfolio mainly due to paucity of resources. However, a mutual fund pools together the savings of such small investors and invests the same in the capital market and passes the benefits to the investors. Thus, investors can indirectly participate in the capital market by subscribing to the units of mutual funds. Mutual funds employ professional fund managers to manage the investment activities. Therefore, investors also get benefits of professional expertise of these managers. OBJECTIVES OF THE STUDY 1. To examine the funds sensitivity to the market fluctuation in the terms of Beta. 2. To appraise the performance of mutual funds with regard to risk-return adjustment, the model suggested by Sharp, Treynore and Jensen. SIGNIFICANCE OF THE STUDY Evaluating historical performance of mutual funds is important both for investors as well as portfolio managers. It enables an investor to access as to how much return has been generated by the portfolio manager and what risk level has been assumed in generating such returns. Further, an investor can also appraise the comparative performance of different fund managers. Similarly fund managers would also be able to know their performance over time and also vis-avis that of other competitors in the industry. The evaluation also provides a mechanism for identifying strengths and weaknesses of fund managers in the investment process, which helps them to take corrective actions.

2 429 BENCHMARK INDEX For this study, broad-100 shared base BSE National Index has been used as a proxy for market index this is because BSE National index is comparatively for broad based than BSE Sensex that is constituted of 30 shares only. Hence it would cover the majority percentage of different scheme portfolios and therefore is expected to provide better performance benchmark. RISK FREE RATE Risk free rate of return refers to that minimum return on investment that has no risk of losing the investment over which it is earned. For the present study, it has been marked as 6% (.06) per annum or per month. PERIOD OF STUDY The growth oriented schemes, which have been floated by the selected funds during the period Jan to Dec. 2009, have been considered for the purpose of the study. Monthly Net Asset Value (NAV) as declared by the relevant mutual funds from the Jan. 1 st 2000 of a particular scheme to 31 st Dec has been used for the purpose. DATA This study examines 20 open-ended schemes being launched by selected five mutual funds namely LIC, HDFC, ICICI, Reliance and Birla Sun Life. These schemes have been selected on the basis of regular data availability during the period of Jan to Dec Monthly Net Asset Value (NAV) data has been used and the period of the data considered is from the date 1 st Jan of the scheme or from the date of availability till Dec. 31, LIMITATIONS OF THE STUDY For the purpose of performance evaluation, those schemes have been selected which are in operation since last 10 years. These schemes relate to five mutual funds namely LIC, HDFC, ICICI, Reliance and Birla Sun Life. Only open ended schemes have been considered for this purpose. Performance evaluation of all the schemes operated by selected mutual funds was not possible because of non availability of sufficient data. Table 5.1 depicts the list of sample scheme selected for study, these schemes relate to five mutual funds namely LIC Mutual Fund, HDFC Mutual Fund, ICICI Mutual Fund, Reliance Mutual Fund and Birla Sun Life Mutual Fund. Only open ended schemes have been considered for this purpose. Out of 20 schemes 13 schemes are equity schemes 4 are debt schemes and remaining 3 are balanced schemes.

3 430 TABLE 5.1 LIST OF MUTUAL FUNDS SCHEMES STUDIED Name of the Scheme Date of Launch Equity Scheme Birla Sun Life Buy India Fund Birla Sun Life Equity Fund Growth Birla Sun Life India Opportunities Fund Birla Sun Life MNC Fund HDFC Top 200 Growth ICICI Prudential FMCG Growth ICICI Prudential Growth Plan ICICI Prudential Tax Plan Growth LIC Equity Fund Growth LIC Growth Fund Growth LIC Tax Plan Growth Reliance Growth Fund Reliance Vision Growth 15/01/ /08/ /12/ /04/ /09/ /03/ /07/ /08/ /02/ /02/ /02/ /10/ /10/1995 Debt Scheme Birla Sun Life Income Fund Birla Sun Life Income Plus Growth Birla Sun Life Monthly Income Plus ICICI Prudential Income Fund Growth Balanced Schemes Birla Sun Life 95 Growth 03/03/ /10/ /07/ /07/ /02/1995

4 431 Birla Sun Life Freedom Fund Growth ICICI Prudential Balance Growth 22/10/ /11/1999 Different scheme launch in different dates therefore, for the purpose performance evaluation the period covers Jan, 2000 to Dec The parameters like average return, standard deviation, coefficient of determination, Beta, Sharpe ratio, Treynor ratio, Jenson s measures, etc. has been calculated separately for all the schemes. TABLE 5.2 AVERAGE RETURN EARNED BY THE SCHEMES Name of the Scheme Return Equity Scheme Birla Sun Life Buy India Fund Birla Sun Life Equity Fund Growth Birla Sun Life India Opportunities Fund Birla Sun Life MNC Fund HDFC Top 200 Growth ICICI Prudential FMCG Growth ICICI Prudential Growth Plan ICICI Prudential Tax Plan Growth LIC Equity Fund Growth LIC Growth Fund Growth LIC Tax Plan Growth Reliance Growth Fund Reliance Vision Growth Debt Scheme

5 432 Birla Sun Life Income Fund Birla Sun Life Income Plus Growth Birla Sun Life Monthly Income Plus ICICI Prudential Income Fund Growth Balanced Schemes Birla Sun Life 95 Growth Birla Sun Life Freedom Fund Growth ICICI Prudential Balance Growth Table 5.2 shows the average return earned by the various schemes. For calculation of average return earned by the schemes Growth in the value for each month over the previous month has been divided by the value of the previous month. Then the average of the full series has been taken. In equity schemes Reliance vision growth , Reliance growth fund , ICICI prudential tax plan growth , Birla Sun Life equity fund Growth and HDFC top 200 Growth are the higher return earners as against BSE 100 return ( ), LIC tax plan growth, with has shown the worst performance as against BSE 100 return of It could be seen here that 8 out of 13 the equity schemes has underperform the market. In debt scheme, Birla Sun Life Income Fund , Birla Sun Life Income Plus Growth , Birla Sun Life Monthly Income Plus , ICICI Prudential Income Fund Growth Debts schemes are registered underperform against the BSE 100 index. In Balanced Schemes, Birla Sun Life 95 growth , Birla Sun Life freedom fund growth and ICICI Prudential balanced growth has underperformed the BSE 100 return Out of the total of 20 schemes studied, 5 schemes showed average return higher than that of BSE 100 average return out of which 5 are equity schemes. Table 5.3 shows the standard deviation of selected schemes. it is the most common expression to measure risk of the fund return. Higher the value of standard deviation of the fund returns, greater will be the total risk carried by the fund. It is observed that the maximum deviation of funds return is shown by ICICI Prudential tax Plan growth followed by Reliance Vision Growth , Birla Sun Life India Opportunity Fund , Birla Sun Life Equity Fund Growth , Birla Sun Life MNC Fund Birla Sun Life Monthly Income plus was least risky scheme with lowest standard deviation Standard Deviation of benchmark BSE 100 index is

6 433 TABLE 5.3 STANDARD DEVIATION Name of the Scheme Standard Deviation Equity Scheme Birla Sun Life Buy India Fund Birla Sun Life Equity Fund Growth Birla Sun Life India Opportunities Fund Birla Sun Life MNC Fund HDFC Top 200 Growth ICICI Prudential FMCG Growth ICICI Prudential Growth Plan ICICI Prudential Tax Plan Growth LIC Equity Fund Growth LIC Growth Fund Growth LIC Tax Plan Growth Reliance Growth Fund Reliance Vision Growth Debt Scheme Birla Sun Life Income Fund Birla Sun Life Income Plus Growth Birla Sun Life Monthly Income Plus ICICI Prudential Income Fund Growth Balanced Schemes Birla Sun Life 95 Growth

7 434 Birla Sun Life Freedom Fund Growth ICICI Prudential Balance Growth All the schemes selected for study less standard deviation then BSE 100 Index. It means all the schemes are less risky than benchmark index, but equity schemes are more risky then balance scheme and Debt schemes because in the case of equity schemes shows higher standard deviation in comparison to balance schemes and debt schemes. Categorizations of Schemes Table 5.3 (a) presents the risk return grid of Mutual Funds. After classification of the sample schemes in to risk return category 15 schemes falls in category 1 st i.e. Low Return Low Risk. Out of 15 schemes 8 are equity schemes, 4 are Debt schemes and remaining 3 are balanced schemes. Further five schemes fall in 2 nd category i.e. High return and low risk. These five schemes are Reliance growth fund, Reliance Vision Growth, ICICI Prudential tax plan growth, Birla Sun Life Equity Fund Growth and HDFC Top 200 Growth. No schemes fall in 3 rd category i.e. High Return and High Risk and 4 th category i.e. Low Return and High Risk because all the schemes have lower standard deviation then benchmark BSE 100 index. TABLE 5.3 (A) RISK RETURN GRID OF MUTUAL FUNDS SCHEMES Category 1 LIC Tax Plan Growth Birla Sun Life India Opportunities Fund LIC Equity Fund Growth LIC Growth Fund Growth Birla Sun Life Buy India Fund ICICI Prudential FMCG Growth ICICI Prudential Growth Plan Birla Sun Life MNC Fund Birla Sun Life Income Fund Category 2 Reliance Growth fund Reliance Vision Growth ICICI Prudential tax plan growth Birla Sun Life Equity Fund Growth HDFC Top 200 Growth

8 435 Birla Sun Life Income Plus Growth ICICI Prudential Income Fund Growth Birla Sun Life Freedom Fund Growth ICICI Prudential Balance Growth Birla Sun Life 95 Growth Birla Sun Life Monthly income Plus No sample scheme Category 3 No sample scheme Category 4 TABLE 5.4 CO-EFFICIENT OF DETERMINATION (R 2 ) Name of the Scheme R 2 Equity Scheme Birla Sun Life Buy India Fund Birla Sun Life Equity Fund Growth Birla Sun Life India Opportunities Fund Birla Sun Life MNC Fund HDFC Top 200 Growth ICICI Prudential FMCG Growth ICICI Prudential Growth Plan ICICI Prudential Tax Plan Growth LIC Equity Fund Growth LIC Growth Fund Growth LIC Tax Plan Growth

9 436 Reliance Growth Fund Reliance Vision Growth Debt Scheme Birla Sun Life Income Fund Birla Sun Life Income Plus Growth Birla Sun Life Monthly Income Plus ICICI Prudential Income Fund Growth Balanced Schemes Birla Sun Life 95 Growth Birla Sun Life Freedom Fund Growth ICICI Prudential Balance Growth Table 5.4 shows that Coefficient of determination (R 2 ), the coefficient measure to extent to which market index has been able to explain the variation in mutual fund. The table 5.4 remains that in the equity schemes the maximum and minimum values of (R 2 ) where found in case of ICICI prudential growth plan (0.5184) and Birla Sun Life MNC fund (0.2571) respectively. The low value of (R 2 ) indicates less diversification of the portfolio. High Value of (R 2 ) in case of ICICI prudential growth plan shows high diversification of the portfolio that can be easily contains the market variability. Thus it could be seem that the schemes like LIC equity fund growth (0.5092), Birla Sun Life Equity fund growth (0.4907), HDFC top 200 growth (0.4765), ICICI prudential tax plan growth (0.4488) and Reliance growth fund (0.4365) have reasonably exploited the diversification strategy for performing their portfolios. However for other schemes the lower value of (R 2 ) indicates that the market does not explain substantial part of variation in the return of a particular scheme. This suggests that the portfolio of the scheme is inadequately diversified in debt scheme. In debt scheme generally a low (R 2 ) value for majority of the scheme that portfolio of is scheme is generally confined to investment in shares of particular type of companies only. For the, in Balanced Schemes a high (R 2 ) value of the schemes show that the portfolio of these schemes is adequately diversified. Table 5.5 presents the systematic risk of 20 schemes. Considered for the purpose of this study in all the scheme have beta less than 1 (i.e. market beta) implying thereby that these schemes tended to hold portfolios that were less risky than the market portfolio. It was observed that highest beta in the case of ICICI prudential tax plan growth followed by Birla Sun Life Equity Fund Growth , Birla Sun Life India Opportunity Fund , LIC Equity

10 437 Fund Growth , Reliance Growth Fund , and lowest beta in the case of Birla Sun Life income plus growth TABLE 5.5 BETA Name of the Scheme Beta (β) Equity Scheme Birla Sun Life Buy India Fund Birla Sun Life Equity Fund Growth Birla Sun Life India Opportunities Fund Birla Sun Life MNC Fund HDFC Top 200 Growth ICICI Prudential FMCG Growth ICICI Prudential Growth Plan ICICI Prudential Tax Plan Growth LIC Equity Fund Growth LIC Growth Fund Growth LIC Tax Plan Growth Reliance Growth Fund Reliance Vision Growth Debt Scheme Birla Sun Life Income Fund Birla Sun Life Income Plus Growth Birla Sun Life Monthly Income Plus ICICI Prudential Income Fund Growth

11 438 Balanced Schemes Birla Sun Life 95 Growth Birla Sun Life Freedom Fund Growth ICICI Prudential Balance Growth TABLE 5.6 SHARPE OF THE SCHEMES Name of the Scheme Sharpe Equity Scheme Birla Sun Life Buy India Fund Birla Sun Life Equity Fund Growth Birla Sun Life India Opportunities Fund Birla Sun Life MNC Fund HDFC Top 200 Growth ICICI Prudential FMCG Growth ICICI Prudential Growth Plan ICICI Prudential Tax Plan Growth LIC Equity Fund Growth LIC Growth Fund Growth LIC Tax Plan Growth Reliance Growth Fund Reliance Vision Growth Debt Scheme Birla Sun Life Income Fund

12 439 Birla Sun Life Income Plus Growth Birla Sun Life Monthly Income Plus ICICI Prudential Income Fund Growth Balanced Schemes Birla Sun Life 95 Growth Birla Sun Life Freedom Fund Growth ICICI Prudential Balance Growth Table 5.6 depicts value of Sharpe s reward to variability ratio. It is an excess return earned over risk free return per unit of risk involved, i.e. per unit of standard deviation. Positive value of the index shows good performance it could be seen that 15 out of 20 schemes have recorded better Sharpe index than the BSE National Index. This indicates 75 percent schemes have outperformed the BSE national index. Five schemes namely LIC Growth Fund Growth , LIC Equity Fund Growth , Birla Sun Life Freedom Fund Growth , Birla Sun Life India Opportunity Fund and LIC Tax Plan Growth are less than BSE 100 national index Sharpe ratio i.e , the top five performers are Birla Sun Life Monthly Income Plus, Reliance growth fund, Reliance Vision Growth, HDFC Top 200 growth, Birla Sun Life Equity Fund Growth. This implies that the funds decision for diversified portfolio in a falling market has proved successful in earning higher excess returns per unit of risk as compared to the market. The Sharpe index is important from small investor point of view who seek diversification through mutual funds, i.e. mutual funds are supposed to protect small investors against vagaries of stock markets and the fund managers of these schemes has done well to protect them. Table 5.7 shows Treynor of the scheme it is the excess return over risk free return per unit of systematic risk i.e. beta. Here, too, all the schemes recorded positive value indicating there by that the schemes provided adequate returns as against the level of risk involved in the investment. Analysis of table 5.7 reveals that all the mutual funds schemes have positive values. In terms of Treynors ratio, the top five performers are ICICI prudential Income Fund Growth , ICICI prudential balance Growth , Birla Sun Life Income Fund , Birla Sun Life Income Plus Growth , Birla Sun Life Monthly Income Plus A higher Treynor Index as compared to market indicates that investor who invested in mutual fund to form well diversified portfolio did receive adequate return per unit of systematic risk undertaken.

13 440 TABLE 5.7 TREYNOR OF THE SCHEMES Name of the Scheme Treynor Equity Scheme Birla Sun Life Buy India Fund Birla Sun Life Equity Fund Growth Birla Sun Life India Opportunities Fund Birla Sun Life MNC Fund HDFC Top 200 Growth ICICI Prudential FMCG Growth ICICI Prudential Growth Plan ICICI Prudential Tax Plan Growth LIC Equity Fund Growth LIC Growth Fund Growth LIC Tax Plan Growth Reliance Growth Fund Reliance Vision Growth Debt Scheme Birla Sun Life Income Fund Birla Sun Life Income Plus Growth Birla Sun Life Monthly Income Plus ICICI Prudential Income Fund Growth Balanced Schemes Birla Sun Life 95 Growth

14 441 Birla Sun Life Freedom Fund Growth ICICI Prudential Balance Growth TABLE 5.8 JENSEN S MEASURE Name of the Scheme Jensen Equity Scheme Birla Sun Life Buy India Fund Birla Sun Life Equity Fund Growth Birla Sun Life India Opportunities Fund Birla Sun Life MNC Fund HDFC Top 200 Growth ICICI Prudential FMCG Growth ICICI Prudential Growth Plan ICICI Prudential Tax Plan Growth LIC Equity Fund Growth LIC Growth Fund Growth LIC Tax Plan Growth Reliance Growth Fund Reliance Vision Growth Debt Scheme Birla Sun Life Income Fund Birla Sun Life Income Plus Growth Birla Sun Life Monthly Income Plus

15 442 ICICI Prudential Income Fund Growth Balanced Schemes Birla Sun Life 95 Growth Birla Sun Life Freedom Fund Growth ICICI Prudential Balance Growth Table 5.8 shows the Jenson s Measures. It is the regression of excess return of the scheme with excess return of the market, acting as dependent and independent variables respectively. Higher positive value of alpha posted by the scheme indicates its better performance. The analysis of the table reveals that all the schemes have positive Jenson s Measures. Highest Value of Jenson s Measure are Reliance Vision Growth followed by Reliance Growth Fund , HDFC Top 200 Growth , ICICI Prudential tax Plan , Birla Sun Life Equity Fund Growth Lowest Jenson s measure found again in the case of LIC tax Plan Growth Higher Positive value of Jenson s measures indicates good market timing ability of fund managers as regard investment in securities PERFORMANCE APPRAISAL EQUITY SCHEME i. As far as the equity schemes are concerned, Reliance Vision Growth was at the top with highest average monthly return (2.5032%) followed by Reliance Growth Fund (2.4002%), ICICI Prudential Tax Plan Growth (2.0373%), Birla Sun Life Equity Fund Growth (1.9982%), HDFC Top 200 Growth (1.9883), Birla Sun Life MNC Fund (1.6069%), ICICI Prudential Growth Fund (1.523%), ICICI Prudential FMCG Fund (1.4816%) and Birla Sun Life Buy India Fund (1.4665%). ii. iii. Calculation of total risk as measured by standard deviation shows that ICICI Prudential Tax Plan was the most risky scheme with highest standard deviation ( ), followed by Reliance Vision Growth ( ), Birla Sun Life India Opportunities Fund ( ). ICICI Prudential FMCG Growth was least risky scheme with lowest standard deviation ( ). Calculation of systematic risk as measured by beta shows that all the equity schemes found low systematic risk as beta less than 1, ICICI Prudential Tax Plan have highest beta ( ) followed by BSL Equity Fund Growth ( ), Birla Sun Life India Opportunity Fund ( ) LIC Equity Fund Growth ( ) and Reliance Growth Fund ( ). ICICI Prudential FMCG Growth have lowest beta (0.3366).

16 443 iv. The coefficient of Determination (R 2 ) measures the extent to which market index has been able to explain the variation in mutual funds. The maximum and minimum value of R 2 was found in the case of ICICI Prudential Growth Plan (0.5184) & Birla Sun Life MNC Fund (0.2571). v. As per Sharpe ratio Reliance Growth Fund ( ) maintain 1 st Rank followed by Reliance Vision Growth ( ), HDFC Top 200 Growth ( ), Birla Sun Life Equity Fund Growth ( ), ICICI Prudential Tax Plan ( ), lowest Sharpe ratio found in the case of LIC Tax Plan Growth ( ) vi. vii. As per Treynor Ratio Reliance Vision Fund ( ) highest ratio, followed by Reliance Growth Fund ( ), HDFC Top 200 Growth ( ), ICICI Prudential FMCG Growth ( ), and Birla Sun Life MNC Fund ( ), lowest Treynor ratio found in the case of LIC Tax Plan Growth ( ). As per Jenson s alpha Reliance Vision Growth ( ) performed well followed by Reliance Growth Fund ( ), HDFC Top 200 Growth ( ), and ICICI Prudential Tax Plan Growth ( ) lowest Jenson s alpha found in the case of LIC Tax Plan Growth ( ). DEBT SCHEME i. As far as the income schemes are concerned, Birla Sun Life Monthly Income Plus was at the top with highest average monthly return (0.8421%) followed by ICICI Prudential Income Fund (0.7817%), Birla Sun Life Income Plus (0.7665%), Birla Sun Life Income Fund (0.7495%). ii. iii. iv. Calculation of total risk as measured by standard deviation shows that ICICI Prudential Income Fund Growth was the most risky scheme with highest standard deviation ( ) followed by Birla Sun Life Income Plus Growth ( ), Birla Sun Life Income Fund ( ), Birla Sun Life Monthly Income Plus was least risky scheme with lowest standard deviation ( ). Calculation of systematic risk as measured by beta shows that all the income schemes found low systematic risk as beta less than 1, Birla Sun Life Income Fund have highest beta ( ) followed by ICICI Prudential Income Fund ( ), Birla Sun Life Income Plus Growth ( ) and Birla Sun Life Monthly Income Plus Fund ( ). The maximum and minimum value of R 2 was found in the case of Birla Sun Life Income Plus Growth (0.0148) and ICICI Prudential Income Fund Growth (0.0023) and in case of Birla Sun Life Monthly Income Plus (0.3576). v. As per Sharpe ratio Birla Sun Life Monthly Income Plus ( ) maintain 1 st Rank followed by Birla Sun Life Income Plus Growth ( ), Birla Sun Life Income Fund ( ) and lowest Sharpe ratio found in the case of ICICI Prudential Income Fund Growth ( )

17 444 vi. vii. As per Treynor Ratio ICICI Prudential Income Fund ( ) highest ratio, followed by Birla Sun Life Income Fund ( ), Birla Sun Life Income Plus ( ), and Birla Sun Life Monthly Income Plus ( ). As per Jenson s alpha Birla Sun Life monthly Income Plus ( ) performed well followed by ICICI Prudential Income Fund ( ), Birla Sun Life Income Plus ( ), and lowest Jenson s alpha found in the case of Birla Sun Life Income Fund ( ). BALANCED SCHEME i. As far as the balance schemes are concerned, Birla Sun Life 95 was at the top with highest average monthly return (1.5434%) followed by ICICI Prudential Balance Fund (1.1527%), Birla Sun Life Freedom Fund (0.9223%). ii. iii. Calculation of total risk as measured by standard deviation shows that Birla Sun Life 95 Fund was the most risky scheme with highest standard deviation ( ) followed by ICICI Prudential Balance Fund ( ), Birla Sun Life Freedom Fund ( ). Calculation of systematic risk as measured by beta shows that all the balanced schemes found low systematic risk as beta less than 1, Birla Sun Life 95 Fund have highest beta ( ) followed by ICICI Prudential Balance Fund ( ) and Birla Sun Life Freedom Fund ( ). iv. The maximum and minimum value of R 2 was found in the case of Birla Sun Life 95 Fund (0.514) and Birla Sun Life Freedom Fund (0.4022). v. As per Sharpe ratio Birla Sun Life 95 Fund ( ) maintain 1 st rank followed ICICI Prudential Balance Fund ( ), lowest Sharpe ratio found in the case of Birla Sun Life Freedom Fund ( ). vi. vii. As per Treynor Ratio ICICI Prudential Balance Fund ( ) highest ratio, followed by Birla Sun Life 95 Fund (0.0242), Birla Sun Life Freedom Fund ( ). As per Jenson s alpha Birla Sun Life 95 Fund ( ) performed well followed by ICICI Prudential Balance Fund ( ), Birla Sun Life Freedom Fund ( ). Out of the total 20 schemes studied, five schemes (25%) showed an average return higher than in comparison to the market return while the remaining 15 schemes (75%) generated lower returns than that of the market. The top five performers are Reliance Growth Fund, Reliance Vision Fund, ICICI Prudential Tax Plan, HDFC Top 200 and Birla Sun Life Equity Fund. The Sharpe ratio is important from small inventors point of view who see diversification through mutual funds, i.e. mutual funds are supposed to protect small investors against vagaries of stock market and the fund managers of these schemes have done well to protect them. Reliance Growth Fund, Reliance Vision Fund, ICICI Prudential Tax Plan, HDFC Top 200 and Birla Sun Life Equity Fund have performed better than the other schemes.

18 445 Treynor ratio is the excess return earn over risk free return per unit of systematic risk i.e. beta. Reliance Growth Fund, Reliance Vision Fund, ICICI Prudential Tax Plan, HDFC Top 200 and Birla Sun Life Equity Fund indicate that investors who invested in these schemes to form well diversified portfolio did receive adequate return per unit of systematic risk undertaking. Jensen s measure is the regression of excess return of the scheme with excess return of the market. Higher positive value of alpha posted by the schemes indicates its better performance. The analysis of the schemes shows Reliance Growth Fund, Reliance Vision Fund, ICICI Prudential Tax Plan and HDFC Top 200 have highest positive alpha. CONCLUSION The analysis of the open ended schemes shows that out of twenty, five schemes namely Reliance Growth Fund, Reliance Vision Fund, ICICI Prudential Tax Plan, HDFC Top 200 and Birla Sun Life Equity Fund, performs better in comparison to benchmark index BSE-100 index in terms of monthly average return and risk involved in these schemes less then benchmark. In respect of models suggested by Sharpe, Treynor and Jenson s measures these schemes also perform better. REFERENCES 1. Anjaria, D.C., AMFI Workbook, AMFI Mumbai, 2. Singh, Jaspal, Mutual Funds: Growth Performance and Prospectus, Deep and Deep Publication Pvt. Ltd., New Delhi, Pandian, Punithavathy, Security Analysis and Portfolio Management, Vikas Publication House Pvt. Ltd. 4. Sahadevan and Raju MT, (1996), Mutual Funds Data, Interpretation and Analysis, Prentice hall of India. 5. Agarwal P.R. (1996), Mutual funds-a Comprehensive Approach, Orient Law house, Delhi. 6. Khuran, Ajay (1996), Top Management Turnover An Empirical Investigation of Mutual Fund Managers, Journal of Financial Economics, Jayadev M. (1996) Mutual Fund Performance; An Analysis of Monthly Returns, Finance India, Vol. X, No.1, (March), Sadhak H, (1997) Mutual Fund Investment and Market Practices in India, Sage Publication India. 8. Jayadev M. (1998), Performance Evaluation of Portfolio Managers: An Empirical Evidence on Indian Mutual Funds, Applied Finance Vol.5, No.2, July.

19 Gupta, O.P. and Sehagal S. (2000), Investment Performance of Mutual Funds: The Indian Experience, In Indian Capital Markets: Trends and Dimensions edited by UMA Shashikant and Arumugam, Tata McGraw Hill, New Delhi. 10. Rao K.V. and Venkateshwarlu, K. (1998), Market Timing Abilities of Fund Managers- A case Study of Unit Trust of India, A paper presented at the Second Capital Market Conference Organized by UTI Institute Capital Market, Mumbai. 11. Mishra B, (2001), A study of Mutual Funds in India, unpublished Research paper under the aegis of Faculty of Management Studies, University of Delhi.