Upload
others
View
5
Download
0
Embed Size (px)
Citation preview
108
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
109
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
110
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).
111
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.
112
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.
113
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.
114
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
115
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.
116
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
117
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
118
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
119
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.
120
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.
121
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
123
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
Treynor measure but situation reversed in 2007-08. It underperformed the benchmark
124
index in terms of both the measures for the rest of the period during 2006-07, 2009-10
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
benchmark index in terms of Sharpe measure and outperformed in terms of Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
2004-05 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
2010-11 U U U U U U U U U U U U U U
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Note: Figures in parentheses denote percentage to total number of schemes.
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
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 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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
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 2005-06, 2006-07
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Multiplier Plus 1993
SBI Magnum
Balanced Fund
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
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 for
the rest of the period during 2005-06, 2006-07 and 2008-09. Principal Balanced Fund
outperformed the benchmark index in terms of Sharpe and Treynor measures for 3
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
Performance of Principal Mutual Fund Schemes on the basis of Sharpe and
Treynor Measures based on BSE Sensex
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 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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
outperformed the benchmark index in terms of both the measures for 5 out of 9 years
under study.
Table 6.20
Performance of Taurus Mutual Fund Schemes on the basis of Sharpe and
Treynor Measures based on BSE Sensex
Name of
the
scheme
→
Year ↓
Taurus Bonanza Fund Taurus Starshare Taurus Discovery
Fund
Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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 ↓
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 U O U U O O
2004-05 U U U U O O U U U U U U U U
2005-06 U U U U U U U U U U U U U U
2006-07 U U U U U U 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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
2002-03 O U O O - - - - O O U U O O
2003-04 O O O O O O O O O O O O O O
2004-05 O O O O O O O O O O O O O O
2005-06 U U O O U U O O U U U U U U
2006-07 U U 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 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
2010-11 U U U U O O U U U U U U U U
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
the benchmark index in terms of Sharpe measure and underperformed in terms of
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
Performance of ICICI Prudential Mutual Fund Schemes on the basis of Sharpe
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
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 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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
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
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
Treynor Measures based on BSE Sensex
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Note: Figures in parentheses denote percentage to total number of schemes.
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
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 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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
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 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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Multiplier Plus 1993
SBI Magnum
Balanced Fund
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
underperformed the benchmark index in terms of Sharpe measure and outperformed
in terms of Treynor measure. The fund outperformed the benchmark index with
regard to both the measures in 2004-05.
Table 6.30
Performance of Principal Mutual Fund Schemes on the basis of Sharpe and
Treynor Measures based on BSE 100
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 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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Performance of Taurus Mutual Fund Schemes on the basis of Sharpe and
Treynor Measures based on BSE 100
Name of
the
scheme→
Year ↓
Taurus Bonanza
Fund Taurus Starshare
Taurus Discovery
Fund
Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
154
6.5.7 Comparison of UTI Mutul Fund with BSE 100
Table 6.32 shows the performance of UTI Mutual Fund Schemes on the basis of
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
benchmark index in terms of Sharpe measure and underperformed in terms of Treynor
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
outperformed the benchmark index in terms of Sharpe measure and underperformed
in terms of Treynor measure. It underperformed the benchmark index during 2005-06,
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
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 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 ↓
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 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
2004-05 U U U U O O U U U U U U U U
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 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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
2002-03 U U O O - - - - O O U U U U
2003-04 O O O O O O O O O O O O O O
2004-05 O O O O O O O O O O U U O O
2005-06 O O O O O O O O U U U U U U
2006-07 U U U U 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 U O U O U
2009-10 U U U O O O O O O O U U O O
2010-11 U U U U O O U U U U U U U U
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Performance of ICICI Prudential Mutual Fund Schemes on the basis of Sharpe
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
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 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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
underperformed the benchmark index in terms of Sharpe measure and outperformed
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
underperformed the benchmark index in terms of Sharpe measure and outperformed
in terms of Treynor measure.
Table 6.35
Performance of Sundaram BNP Paribas Mutual Fund Schemes on the basis of
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
outperformed the benchmark index in terms of Sharpe and Treynor measures for 3
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
Note: Figures in parentheses denote percentage to total number of schemes.
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Multiplier Plus 1993
SBI Magnum
Balanced Fund
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Performance of Principal Mutual Fund Schemes on the basis of Sharpe and
Treynor Measures based on BSE 200
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 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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Performance of Taurus Mutual Fund Schemes on the basis of Sharpe and
Treynor Measures based on BSE 200
Name of
the
scheme→
Year ↓
Taurus Bonanza
Fund Taurus Starshare
Taurus Discovery
Fund
Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
6.6.7 Comparison of UTI Mutual Fund with BSE 200
Table 6.43 shows the performance of UTI Mutual Fund Schemes on the basis of
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
benchmark index 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 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
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 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
outperformed the benchmark index in terms of Sharpe measure and underperformed
in terms of Treynor measure. It underperformed the benchmark index during 2002-03,
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
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 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
benchmark index for 5 out of 9 years. The fund underperformed the benchmark index
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
outperformed the benchmark index in terms of both the measures for 5 out of 8 years
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 ↓
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 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
2004-05 U U U U O O U U U U U U U U
2005-06 U U U U U U O O U U O O 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 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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
2002-03 U U U U - - - - O O U U U U
2003-04 O O O O O O O O O O O O O O
2004-05 O O O O O O O O O O U U O O
2005-06 O O O O O O O O U U 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
2010-11 U U U U O O U U U U U U U U
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
173
Table 6.45
Performance of ICICI Prudential Mutual Fund Schemes on the basis of Sharpe
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
Table 6.46
Performance of Sundaram BNP Paribas Mutual Fund Schemes on the basis of
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
Sharpe Treynor Sharpe Treynor Sharpe Treynor Sharpe Treynor
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
O- Outperformed respective benchmark index.
U- Underperformed respective benchmark index.
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
Note: Figures in parentheses denote percentage to total number of schemes.
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
Note: Figures in parentheses denote percentage to total number of schemes.
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
Note: Figures in parentheses denote percentage to total number of schemes.
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.