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Risk-adjusted Performance Evaluation of Indian Mutual Fund Schemes

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  • Kavita Arora

Abstract

The present study evaluates the performance of mutual fund schemes in India using risk-adjusted measures of performance evaluation, namely, Sharpe ratio and Treynor ratio, for a sample of 100 Indian mutual fund schemes selected on the basis of availability of consecutive data during the period 1st April 2000 to 31st March 2008. The findings suggest that the overall performance of mutual fund schemes during the study period was mixed. The results of Sharpe ratios of mutual fund schemes revealed that during the full study period, Sharpe ratios of 52 per cent of schemes were better than the Sharpe ratios of their benchmark indices. It was also found that 42 per cent of growth schemes, 40 per cent of tax planning schemes, 75 per cent of income schemes and 91 per cent of balanced schemes, respectively, had performed better than their respective indices in terms of Sharpe ratio. During the full study period, 70 per cent of mutual fund schemes had higher Treynor ratios than those of their respective indices. Analysis further revealed that in the full study period, 64 per cent of growth schemes, 60 per cent of tax planning schemes, 76 per cent of income schemes and 100 per cent of balanced schemes, respectively, had better Treynor ratios than the Treynor ratios of their benchmark indices.

Suggested Citation

  • Kavita Arora, 2015. "Risk-adjusted Performance Evaluation of Indian Mutual Fund Schemes," Paradigm, , vol. 19(1), pages 79-94, June.
    • Handle: RePEc:sae:padigm:v:19:y:2015:i:1:p:79-94
    DOI: 10.1177/0971890715585203
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    References listed on IDEAS

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    1. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    2. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    3. Elton, Edwin J & Gruber, Martin J & Rentzler, Joel C, 1987. "Professionally Managed, Publicly Traded Commodity Funds," The Journal of Business, University of Chicago Press, vol. 60(2), pages 175-199, April.
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    Cited by:

    1. Meena Sharma & Manish Didwania & D. Suresh Kumar, 2019. "Performance Evaluation of Banks Sponsored Mutual Funds: An Analytical Study," Paradigm, , vol. 23(2), pages 197-218, December.
    2. Ying-Sing LIU & Liza LEE, 2022. "Are Modifications in the ETF's Investment Performance and Risks during the COVID-19 Pandemic Event?," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 23(1), pages 05-17, June.

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