Performanceevaluationofindianmutualfunds 090708154941-phpapp02

ARP Report
On
“Performance Evaluation of Indian Mutual Funds”

Submitted in partial fulfillment of the requirement of
Global Masters in Business Administration (GMBA)

Wealth Management and Investment Banking

Submitted by: Under the Guidance of:

Name: Kanchan Chainani Dr. Parvinder Arora
Roll No. GDEC08WM028

Name: Rounak Jhawar
Roll No. GDEC08IB015

Name: Sagar Bavishi

GMBA Batch Dec 08

S P Jain Center of Management
Dubai UAE / Singapore

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ACKNOWLEDGEMENT

We would like to express our profound gratitude to all those who have been instrumental in the
preparation of this report which has been prepared in partial fulfillment of Global Masters in
Business Administration (GMBA).

We wish to thank our dean, Mr. Michael Barnes, Dr. Seetharaman, Dean, SPJCM Singapore,
Mrs. Vinika Rao, Mr. Parvinder Arora, Mr. Sandeep Chakrobarty, Mr. Uday Bhate, Mr. AVR
Srinivas, Mrs. Suparna Mallya and all the staff and Faculty members of SPJCM for their support
and vision.

We wish to place on record our deep sense of gratitude to Mr. Parvinder Arora a highly
esteemed and distinguished mentor for his expert advice and help.

This project could only be completed with the assistance of Mr. Sandeep Chakrobarty and Mr.
Uday Bhate both having being a valued guide.

Finally we would like to thank our Parents, Family, Friends and God almighty for their unending
inspiration and encouragement.

Place: Singapore Kanchan Chainani
Date: 25.04.2009 Rounak Jhawar
Sagar Bavishi

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DECLARATION

We hereby declare that the matter included in this ARPs report entitled “Performance Evaluation
of Indian Mutual Funds”, is the result of study carried out by us. We further declare that this is
our original work and has not been published anywhere before.

This Project Work has been carried out for the sole purpose of submission in partial fulfillment of
Global Masters in Business Administration (GMBA) in Wealth Management and Investment
Banking at SP Jain Center of Management, Singapore.

The above is true to the best of our knowledge and information.

Name: Kanchan Chainani

Name: Rounak Jhawar
Roll No. GDEC08IB015

Name: Sagar Bavishi

GMBA Batch Dec 08
SP Jain Center of Management
10, Hyderabad Road (Dr. Parvinder Arora)
Singapore Project Mentor

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INDEX

Page
Serial No. Topic
Numbers
1 Executive summary 6-7
2 Introduction 8-9
3 Significance of the study 10
4 Literature review 11-17
5 Data 18
6 Research methodology 18-21
7 Data Analysis and interpretation 22-31
8 Findings and conclusion 32-33

9 References 34-35

10 Appendix 36-53

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APPENDIX

Appendix Page
Description
No. Numbers
Appendix 1 List of funds selected for study 36

Appendix 2 Average Returns of selected funds 37

Appendix 3 Absolute Returns of selected funds 38

Appendix 4 Standard Deviation of selected funds 39

Appendix 5 Betas of selected funds 40

Appendix 6 Relative Performance Index (RPI) 41

Appendix 7 Mann-Whitney U-Test of Average Returns 42-47

Appendix 8 Mann-Whitney U-Test of Absolute Returns 47-52
Hierarchical multiple clustering -
Appendix 9 Agglomeration method 52

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Executive Summary:
This study has been undertaken to evaluate the performance of the Indian Mutual Funds vis-à-
vis the Indian stock market. For the purpose of this study, 21 open ended equity based growth
mutual funds were selected as the sample. The data, which is the weekly NAV’s of the funds
and the closing of the BSE Sensex, were collected for a period of 5 years starting 19/03/2004 to
13/02/2009.

Different statistical tools were used on the data obtained to get the average returns, absolute
returns, standard deviation, Fund Beta, R-squared value, residual value, Relative Performance
Index were calculated. These variables of the funds were compared with the same variables of
the market to assess how the different funds have performed against the market.

A Statistical test, Mann Whitney U-Test, was done on the returns of the fund with respect to the
Sensex returns. Another U-Test was done taking absolute return as the variable. These U- Test
were done to test the hypothesis which was that the fund returns over the period of time are
similar to the market returns over the period of time.

All the funds were classified into a hierarchical cluster on the basis of their average returns,
absolute returns, standard deviation, fund beta, and relative performance index. This
classification was to see whether the funds have similar properties or not.

All the mutual funds gave similar returns with respect to the market expect for certain time period
which was during the late 2005 and early 2006. There is a positive correlation with the absolute
returns of the market and the mutual funds over the period of time. The study showed that the
standard deviation of the funds were high during the boom period in comparison with the market
and were comparatively lower when the recessionary trend started. The fund betas also show
that there is significant correlation between the fund returns and the market returns. Of the 21
funds considered for this study, 7 funds had RPI less than 0.7, 3 funds had RPI of almost 1 and
11 funds had RPI of more than 1.

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The results of the U-Test showed that all the funds are accepting the hypothesis that is they are
giving returns in sync with the market except for one fund which is UTI CCP Advantage growth
fund, whose returns vary significantly from the market returns. With the help of clustering it was
seen that a lot of different funds have similar properties and so were classified into one cluster.
There were a few outliers who didn’t have any property in common with the other funds but still
behaved more or less in the same way as the market and other funds. A U-Test was also done
on the absolute returns and the results of this were also similar to the U-Test on average returns,
that is, for UTI CCP Advantage Fund the returns were not similar to the market returns and
varied significantly.

Introduction:

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The mutual fund industry has been in India for a long time. This came into existence in 1963 with
the establishment of Unit Trust of India, a joint effort by the Government of India and the
Reserve Bank of India. The next two decades from 1986 to 1993 can be termed as the period of
public sector funds with entry of new public sector players into the mutual fund industry namely,
Life Insurance Corporation of India and General Insurance Corporation of India.

The year of 1993 marked the beginning of a new era in the Indian mutual fund industry with the
entry of private players like Morgan Stanley, J.P Morgan, and Capital International1. This was the
first time when the mutual fund regulations came into existence. SEBI (Security Exchange Board
of India) was established under which all the mutual funds in India were required to be
registered. SEBI was set up as a governing body to protect the interest of investor. By the end of
2008, the number of players in the industry grew enormously with 46 2 fund houses functioning in
the country.

With the rise of the mutual fund industry, establishing a mutual fund association became a
prerequisite. This is when AMFI (Association of Mutual Funds India) was set up in 1995 as a
nonprofit organization. Today AMFI ensures mutual funds function in a professional and healthy
manner thereby protecting the interest of the mutual funds as well as its investors.

The mutual fund industry is considered as one of the most dominant players in the world
economy and is an important constituent of the financial sector and India is no exception. The
industry has witnessed startling growth in terms of the products and services offered, returns
churned, volumes generated and the international players who have contributed to this growth.
Today the industry offers different schemes ranging from equity and debt to fixed income and
money market.

The market has graduated from offering plain vanilla and equity debt products to an array of
diverse products such as gold funds, exchange traded funds (ETF’s), and capital protection
oriented funds and even thematic funds. In addition investments in overseas markets have also
been a significant step. Due credit for this evolution can be given to the regulators for building an
appropriate framework and to the fund houses for launching such different products. All these
reasons have encouraged the traditional conservative investor, from parking fund in fixed
deposits and government schemes to investing in other products giving higher returns.
1
India infoline website under the link mutual fund school, history
2
AMFI website as on April 21, 2009

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It is interesting to note that the major benefits of investing in a mutual funds is to capitalize on
the opportunity of a professionally managed fund by a set of fund managers who apply their
expertise in investment. This is beneficial to the investors who may not have the relevant
knowledge and skill in investing. Besides investors have an opportunity to invest in a diversified
basket of stocks at a relatively low price. Each investor owns a portion of the fund and hence
shares the rise and fall in the value of the fund. A mutual fund may invest in stocks, cash, bonds
or a combination of these.

Mutual funds are considered as one of the best available investment options as compare to
others alternatives. They are very cost efficient and also easy to invest in. The biggest
advantage of mutual funds is they provide diversification, by reducing risk & maximizing returns.

India is ranked one of the fastest growing economies in the world. Despite this huge progression
in the industry, there still lies huge potential and room for growth. India has a saving rate of more
than 35% of GDP, with 80% of the population who save3. These savings could be channelized in
the mutual funds sector as it offers a wide investment option. In addition, focusing on the rapidly
growing tier II and tier III cities within India will provide a huge scope for this sector. Further
tapping rural markets in India will benefit mutual fund companies from the growth in agriculture
and allied sectors. With subsequent easing of regulations, it is estimated that the mutual fund
industry will grow at a rate of 30% - 35% in the next 3 to 5 years and reach US 300 billion by
20154.

As it can be noted, there is huge growth and potential in the mutual fund industry. The
development of this sector so far has been commendable and with the above positive factors we
are looking at a more evolved industry.

Significance of the Study:

Over the last couple of years mutual funds have given impressive returns, especially equity
funds5. The growth period first started during early 2005 with markets appreciating significantly.
3
Deccanherald.com under national, detailed story an article called “Saving rate high in India due to lack of social
security”
4
Sify.com under the link finance, business an article called “Mutual fund sector to grow at 30%-35% in 3-5 years”
5
IBNlive.com under the link markets. Article called “Mutual Funds: The fading star of India”

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With 2006 approaching more towards 2007, markets rallied like never before. The financial year
2007-08 was a year of reckoning for the mutual fund industry in many ways. Most stocks were
trading in green. All fund houses boasted of giving phenomenal returns. Many funds
outperformed markets. Equity markets were in the limelight. Investors who were not exposed to
equity stocks suddenly infused funds. AUM grew considerably and fund houses were on a spree
of launching new schemes.

Growth funds which aim at giving capital appreciation invest in growth stocks of the fastest
growing companies. Since these funds are more risky providing above average earnings,
investors pay a premium for the same. These funds have grown to become extensively popular
in India. All the leading fund houses offer several schemes under the growth funds today.

The remarkable performance of this industry has attracted many researchers to study and
examine the growth, the performance of funds, the players in the market and the regulators. It is
interesting to learn the growth phase of these funds over this period.

The study aims at:
1. Comparing the performance of the selected funds vies-a-vies the benchmark index, BSE
(Bombay Stock Exchange) Sensex
2. Capturing differences in the performance levels, if any.
3. Ascertaining whether the returns generated by the funds are purely attributable to market
movement or individual fund performance.

Literature Review:

Performance evaluation of mutual funds is one of the preferred areas of research where a good
amount of study has been carried out. The area of research provides diverse views of the same.

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For instance one paper 6evaluated the performance of Indian Mutual Fund Schemes in a bear
market using relative performance index, risk-return analysis, Treynor’s ratio, Sharpe’s ratio,
Jensen’s measure, Fama’s measure. The study finds that Medium Term Debt Funds were the
best performing funds during the bear period of September 98-April 2002 and 58 of 269 open
ended mutual funds provided better returns than the overall market returns.

Another paper7 used Return Based Style Analysis (RBSA) to evaluate equity mutual funds in
India using quadratic optimization of an asset class factor model proposed by William Sharpe
and analysis of the relative performance of the funds with respect to their style benchmarks.
Their study found that the mutual funds generated positive monthly returns on the average,
during the study period of January 2000 through June 2005. The ELSS funds lagged the Growth
funds or all funds taken together, with respect to returns generated. The mean returns of the
growth funds or all funds were not only positive but also significant. The ELSS funds also
demonstrated marginally higher volatility (standard deviation) than the Growth funds.

One study8 identified differences in characteristics of public-sector sponsored & private-sector
sponsored mutual funds find the extent of diversification in the portfolio of securities of public-
sector sponsored and private-sector sponsored mutual funds and compare the performance of
public-sector sponsored and private-sector sponsored mutual funds using traditional investment
measures. They primarily use Jensen’s alpha, Sharpe information ratio, excess standard
deviation adjusted return (eSDAR) and find out that portfolio risk characteristics measured
through private-sector Indian sponsored mutual funds seems to have outperformed both Public-
sector sponsored and Private-sector foreign sponsored mutual funds and the general linear
model of analysis of covariance establishes differences in performance among the three classes
of mutual funds in terms of portfolio diversification.

Another study9 examined the risk-adjusted performance of open-end mutual funds which invest
mainly in German stocks using Jenson’s measure and Sharpe’s measure. The study finds out
that the rates of return of the mutual funds and the rates of return of the chosen benchmark both

6
Dr. Rao, Narayan “Performance Evaluation of Indian Mutual Funds”, www.ssrn.com, paper no.433100 and
PP.1-24
7
Prof. Banerjee, Ashok et. Al (2007),”Performance Evaluation of Indian Mutual Funds vis-à-vis their style
benchmarks”, www.ssrn.com, paper no.962827 and PP.1-18
8
Panwar,Sharad and Dr. Madhumathi (2006), “Characteristics and performance evaluation of selected mutual
funds in India”, www.ssrn.com, paper no.876402 and PP. 1-19
9
Stehle,Richard and Grewe,Olaf (2001), “Long-Run Performance of German Stock Mutual Funds”,
www.ssrn.com, paper no.271452 and PP. 1-32

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must include identical return components. Either both must include dividends or exclude them.
The performance estimates are not very sensitive with respect to the benchmark choice. When
we look at an investment strategy in which the investment in a specific fund has the same risk as
the chosen benchmark, the average underperformance is small when we weight the individual
fund returns equally. The average performance is neutral, when we weight the individual fund
returns according to fund size, measured by assets under management.

One more paper10 analyzed whether it was more appropriate to apply a factor-based or a
characteristic-based model - both known as benchmarks in portfolio performance measurement
using the Linear model, asset pricing model and Fama and French factors. The study showed
that if information on returns was used and a linear model was proposed that adjusted return to
a set of exogenous variables, then the right side of the equation reported the achieved
performance and the passive benchmark that replicated the style or risk of the assessed
portfolio. While, a factor model utilizes a replicate benchmark with short positions implicitly
symmetrical to the long positions. Performance of Russell indexes was analyzed by applying
various factor models, constructed from the indexes themselves, and other models that use the
indexes directly as benchmarks; the presence of biases was detected. Therefore, according to
the empirical findings, selection of exogenous variables that define the replicate benchmark
would appear to be more relevant than the type of model applied.

Another study11 aimed at analyzing performance of select open-ended equity mutual fund using
Sharpe Ratio, Hypothesis testing and return based on yield. The most important finding of the
study had been that only four Growth plans and one Dividend plan (5 out of the 42 plans
studied) could generate higher returns than that of the market which is contrary to the general
opinion prevailing in the Indian mutual fund market. Even the Sharpe ratios of Growth plans and
the corresponding Dividend plans stand testimony to the relatively better performance of Growth
plans. The statistical tests in terms of F-test and t-Test further corroborate the significant
performance differences between the Growth plans and Dividend plans.

10
Carlos,Juan (2005), “Portfolio Performance: Factors or Benchmarks?”, www.ssrn.com, paper no.760204 and
PP. 1-26
11
Rao,D.N (2006), “Investment styles and Performance of Equity Mutual Funds in India”, www.ssrn.com, paper
no. 922595 and PP. 1-30

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Another study12 investigated mutual fund performance using a survivorship bias controlled
sample of 506 funds from the 5 most important mutual fund countries using Carhart (1997) 4-
factor asset-pricing model. The study revealed a preference of European funds for small and
high book-to-market stocks (value). Secondly, it showed that small cap mutual funds as an
investment style out-performed their benchmark, even after control for common factors in stock
returns. Finally 4 out of 5 countries delivered positive aggregate alphas, where only UK funds
out-performed significantly.

One more study13 looked at some measures of composite performance that combine risk and
return levels into a single value using Treynor’s ratio, Sharpe’s ratio, Jenson’s measure. The
study analyzed the performance of 80 mutual funds and based on the analysis of these 80
funds, it was found that none of the mutual funds were fully diversified. This implied there is still
some degree of unsystematic risk that one cannot get rid of through diversification. This also led
to another conclusion that none of those funds would land on Markowitz’s efficient portfolio
curve.

Another paper14 aimed to evaluate if mutual fund managers exhibit persistently superior stock
selection skills over a short-horizon of one year using risk-adjusted abnormal returns (RAR),
One-factor capital asset pricing model or CAPM three-factor, Fama-French model, Four-factor
Carhart model. Their study demonstrated that short-term persistence in equity mutual funds
performance does not necessarily imply superior stock selection skills. Common factors in stock
returns explained some of the abnormal returns in top ranking mutual fund schemes. Only the
winner portfolios sorted on four-factor alphas' provided an annual abnormal return of about 10%
on post-formation basis using daily data. The short-term persistence results were much better
when daily data was used rather than monthly observations, thus implying that data frequency
does affect inferences about fund performance.

A similar study15 examined the empirical properties of performance measures for mutual funds
using Simulation procedures combined with random and random-stratified samples of NYSE and

12
Otten,Rogér and Bams,Dennis, “European Mutual Fund Performance”, www.ssrn.com, paper no.213808 and PP.
1-42
13
Wolasmal,Hewad, “Performance evaluation of mutual funds”, published by Econ WPA, paper no. 0509023 and
PP. 1-20
14
Prof. Sehgal,Sanjay and Jhanwar,Manoj (2007),”Short-Term Persistence In Mutual Funds Performance:
Evidence From India”, www.ssrn.com, paper no.962829 and PP. 1-23
15
Kothari,S.P. and Warner,Jerold (1997), “Evaluating Mutual Fund Performance”, www.ssrn.com, paper no.75871
and PP. 1-46

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AMEX securities and other performance measurement tools employed are Sharpe measure,
Jensen alpha, Treynor measure, appraisal ratio, and Fama-French three-factor model alpha.
The study revealed that standard mutual fund performance was unreliable and could result in
false inferences. In particular, it was easy to detect abnormal performance and market-timing
ability when none exists. The results also showed that the range of measured performance was
quite large even when true performance was ordinary. This provided a benchmark to gauge
mutual fund performance. Comparisons of their numerical results with those reported in actual
mutual fund studies raised the possibility that reported results were due to misspecification,
rather than abnormal performance. Finally, the results indicated that procedures based on the
Fama-French 3-factor model were somewhat better than CAPM based measures.

One more paper16 evaluated whether or not the selected mutual funds were able to outperform
the market on the average over the studied time period. In addition to that by examining the
strength of interrelationships of values of PCMs for successive time periods , the study also tried
to infer about the extent to which the future values of fund performance were related to its past
by using single index model. The study revealed that there were positive signals of information
asymmetry in the market with mutual fund managers having superior information about the
returns of stocks as a whole. PCM also indicated that on an average mutual funds provided
excess (above-average) return, but only when unit of time period was longer (1 qtr or 4 qtr).
Therefore, they concluded that for assessing the true performance of a particular mutual fund, a
longer time horizon is better.

Another study17 examined the effect of incorporating lagged information variables into the
evaluation of mutual fund managers’ performance in Indian context with the monthly data for 89
Indian mutual fund schemes using Treynor - Mazuy Model, Merton-Henriksson Model. The study
revealed the use of conditioning lagged information variables causing the alphas to shift towards
the right and reducing the number of negative timing coefficients, though it could not be
concluded that alphas of conditional model were better compared to its unconditional
counterpart as they were not found to be statistically significant. The noticeably different results
of the unconditional timing models vis-à-vis conditional timing models testified superiority of the
model

16
Bhattacharjee,Kaushik and Prof. Roy,Bijan (2006), “Fund Performance Measurement Without Benchmark - A
Case Of Select Indian Mutual Funds”, www.ssrn.com, paper no.962035 and PP. 1-10
17
Roy,Bijanand and Deb,Saikat (2003), “The Conditional Performance of Indian Mutual Funds- An Empirical
Study”, www.ssrn.com, paper no.593723 and PP. 1-24

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One more study18 talked about a 4-step model for selecting the right equity fund and illustrated
the same in the context of equity mutual funds in Saudi Arabia. The 4 step model was as follows:

1. Compare returns across funds within the same category.
2. Compare fund returns with the returns of benchmark index.
3. Compare against the fund’s own performance.
4. Risk-related parameters : as indicated by the Standard Deviation (SD) and risk-adjusted
returns as calculated by the Sharpe Ratio (SR).

The study revealed that most of the funds invested in Arab stocks had been in existence for less
than a year and the volatility of the GCC stock markets contributed to the relatively poor
performance of these funds and the turnaround of these funds could take place only with the
rallying of GCC and other Arab markets. Out of the six categories of equity mutual funds in
Saudi Arabia discussed above, Funds invested in Asian and European stocks were more
consistent in their performance and yielded relatively higher returns than other categories,
though funds invested in Saudi stocks yielded higher 3-year returns. Given the future outlook of
Asian economies, particularly China and India and the newly emerging economies such as
Brazil and Russia, funds invested in the stocks of these countries are likely to continue their
current performance in near future.

One more paper19 studied the performance and portfolio characteristics of 828 newly launched
U.S. equity mutual funds over the time period 1991-2005 using Carhart (1997) 4-factor asset-
pricing model. Their study revealed new U.S. equity mutual funds outperformed their peers by
0.12% per month over the first three years. However, there were distinct patterns in this superior
risk-adjusted performance estimated using Carhart’s (1997) 4-factor model. The number of fund
that started to outperform older funds shrunk substantially after one to three years. These results
suggested that the initially favorable performance was to some extent due to risk taking and not
necessarily superior manager skill. Scrutinizing the returns further confirmed that the returns of
fund started to exhibit higher standard deviations and higher unsystematic risk that could not be
explained by the risk exposure to the four factors of the Car hart model.

18
Rao,D.N. (2006), “4 Step model to evaluate performance of Mutual Funds in Saudi Arabia” www.ssrn.com,
paper no.946937 and PP. 1-16
19
Karoui,Aymen and Meier,Iwan (2008), “Performance and Characteristics of Mutual fund”, www.ssrn.com, paper
no.1313284 and PP. 1-37

15

Another paper20, analyzed the Indian Mutual Fund Industry pricing mechanism with empirical
studies on its valuation. It also analyzed data at both the fund-manager and fund-investor levels.
It stated that mispricing of the Mutual funds could be evaluated by comparing the return on
market and return on stock. During the pricing period, if the return on stock is negative, then it
indicates overpricing and if are positive indicates under pricing. Relative performance
measurement was used to measure the performance of the MF with SENSEX and it used
Standard Deviation, Correlation analysis, Co-efficient of Determination and Null Hypothesis. This
study revealed that standard deviations of the 3-month returns were significant with the increase
in the period. The Standard Deviation increase indicated higher deviations from the actual
means. The variance and coefficient of variation (COV) were also significant. Variance increases
in the later periods indicated higher variability in the returns. As the time horizon increased COV
decreased implying value are less consistent as compared to small duration of investments.

One more study21, provided extensive evidence on portfolio characteristics of mutual funds and
studied the relation between fund performance and the fund manager's investment strategy
using both the traditional unconditional alpha model, as in Jensen (1968), and the conditional
alpha, following Ferson and Schadt (1996). The study showed that a weak negative relation
exists between performance and past stock returns in the portfolio. Investing in value stocks
could help to improve overall performance. It also showed that mutual funds with a more
diversified portfolio performed somewhat better than funds with a less diversified portfolio.
However, diversification could be achieved by extending the funds' investment universe and
investing in non-listed stocks. Elton, Gruber, Das and Hlavka (1993) showed that funds investing
in these types of assets could achieve superior performance simply because these assets were
not captured within the benchmark model. This paper, however, found no evidence to indicate
that investment outside the fund's primary investment universe would enhance performance.
Moreover, the effects of cash holdings on performance were explored, and some weak evidence
suggested that large cash holdings implied better tactical decisions.

Another paper22 examined the performance of equity and bond mutual funds that invested
primarily in the emerging markets using Treynor’s ratio, Sharpe’s ratio, Jensen’s measure. With

20
Agrawal,Deepak (2007), “Measuring Performance of Indian Mutual funds”, www.ssrn.com, paper no.1311761
and PP. 1-17
21
Engström,Stefan (2004), “Investment Strategies, Fund Performance and Portfolio Characteristics”,
www.ssrn.com, paper no.520442 and PP. 1-29
22
Ahmed,Parvez; Gangopadhyay, Partha & Nanda, Sudhir (2001), “Performance of Emerging Market Mutual
Funds”, www.ssrn.com, paper no.289278 and PP. 1-41

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this research they found that on an average the U.S. stock market outperformed emerging equity
markets but the emerging market bonds outperformed U.S. bonds. They also found that overall
emerging market stock funds under-performed the respective MSCI indexes. These were
evident by their lower return, higher risk, and thus lower Sharpe ratios.

One more paper23 studied the performance of mutual funds around the world using a sample of
10,568 open-end actively managed equity funds from 19 countries using different models,
mainly, domestic market model, international market model, Carhart (1997) domestic four-factor
model, Carhart (1997) international four-factor model. With the help of this research they came
to a conclusion that the funds size was positively related with fund performance. Larger funds
performed better suggesting the presence of significant economies of scale in the mutual fund
industry worldwide. This conclusion is consistent among domestic and foreign funds, and in
several other robustness tests. Fund age is negatively related with fund performance indicating
that younger funds tend to perform better. This finding seemed mainly driven by the samples of
foreign and U.S. funds. When investing abroad, young mutual funds seemed to offer investors
higher returns.

Data:

For the purpose of this study, out of 46 fund houses available in India, 21 Funds across 5 fund
houses have been selected. On the basis of the highest AUM (assets under management) 24;
these 5 fund houses were selected. All the funds were selected by simple random sampling.
First the sample size was 30, but because of the non availability of data for 9 funds, only 21
funds were considered for the study. All the funds selected for the study are open-ended equity

23
Ferreira, Miguel A.; Miguel, António F.; Ramos, Sofiann (2006), “The Determinants of Mutual Fund
Performance: A Cross-Country Study”, www.ssrn.com, paper no.947098 and PP. 1-58
24
As on April 21, 2009. AUM which is assets under management refers to the total assets managed by a fund. It is
often used as a measure of comparison vis-à-vis competitors.

17

funds under the growth option. The Net Asset Values (NAV) for all the 21 funds are from March
2004 to March 2009, which is the period of this study.

Since, all these are equity funds, the BSE Sensex (Bombay Stock Exchange Sensitive Index);
which is the oldest, most widely and commonly used benchmark index in India; has been
considered as the benchmark index. The funds selected for this study can be found in Annexure
- appendix 1.

Research Methodology:

The funds which have been evaluated for this study have been randomly selected from the
Indian fund houses like Reliance, Birla, UTI, HDFC, and ICICI. The data, which is the weekly
NAV’s (Net Asset Value), of the selected fund was collected from Reuters.

To compare the funds with a market index the BSE Sensex was selected for the only reason that
it is India’s most widely and commonly used Benchmark index. The weekly NAV’s and the
Sensex closing were collected over a period of 5 years. The NAV’s and the Sensex closing were
then divided into 32 periods with 8 weekly NAV’s (on an average) in each group.

After this the returns were calculated for both the funds and the BSE Sensex. Once the grouping
of weekly NAV’s of the funds and the BSE Sensex were done the average return, standard
deviation, and absolute returns were calculated both for Fund NAV’s and the Sensex closing.
These calculations were done for each group for all the 21 funds.

Hierarchical Clustering:

For the purpose of this study we have used agglomerative hierarchical clustering, which is a
method which builds a hierarchy of clusters using a bottom up approach, wherein it starts with a
single cluster and then merges a pair of cluster as it moves up the hierarchy.

For the purpose of clustering, an appropriate metric should be used and for this study, Euclidean
distance method is used. This is a metric which is an ordinary distance between and two given
points on a scale and can be measured by a ruler, proven by the Pythagoras theorem.
This can be represented by the following formula:

18

These results are then graphically represented using a dendogram, which an arrangement of
clusters obtained from hierarchical clustering.

Hypothesis Testing:

It is a method of making statistical decisions using experimental data. For this study, we have 21
funds with a 5 year weekly data, which is divided into 32 periods which effectively gives us 32
average returns and 32 absolute returns for the period. The main purpose of this exercise is to
obtain significant sample size in order to conduct a non-parametric Mann-Whitney U-Test which
was proposed by Mann and Whitney (1947). This kind of hypothesis testing is used on samples
which are not normally distributed and since the sample used for the purpose of this study is not
normally distributed, we have used the Mann-Whitney U-Test.

Mann-Whitney U-Test for Average Returns:

For the purpose of this study, hypothesis is used to test the changes in the average returns over
the given 32 periods and compare these average returns with the BSE Sensex returns for the
same period, to conclude whether the average returns of the fund and the benchmark index are
the same.

The U-test can be represented in an equation as per the below:

19

Where,
n1 and n2 = sample size of the mutual fund and BSE Sensex index.

The following formula is used to compute the Z value:

Where,
U = U value,
mu = mean of the U values and
σu = standard deviation of the U values.

On the basis of the above inputs, the U-test hypothesis is established as per below:

H0: x1 = x2
Ha: x1 ≠ x2

x1 = Mean returns for the BSE Sensex Index.
x2 = Mean returns for the Mutual Fund.

Mann-Whitney U-Test for Absolute Returns:

For the purpose of this study, hypothesis is used to test the changes in the absolute returns over
the given 32 periods and compare these absolute returns with the BSE Sensex returns for the
same period, to conclude whether the absolute returns of the fund and the benchmark index are
the same.

U-test hypothesis is as per below:

H0: x1 = x2

20

Ha: x1 ≠ x2

Where,
x1 = Absolute returns for the Base Sensex Index.
x2 = Absolute returns for the Mutual Fund.

Data analysis and Interpretation:

Returns:

Returns are the yield that an asset generates over a period of time. It is the percentage increase
or decrease in the value of the investment over a period of time.

In this study the fund returns and the Sensex returns have been calculated for each of the
period.

21

There are 21 funds with a 5 year weekly data, which is divided into 32 periods which effectively
gives us 32 betas and 32 average returns for the period. The main purpose of this exercise is to
obtain significantly large sample size in order to conduct a non-parametric Mann-Whitney U-
Test.

The fund returns for each of the period were calculated as follows:

Current NAV – Previous NAV x 100
Previous NAV

The BSE Sensex returns were calculated as follows:

Current Closing – Previous Closing x 100
Previous Closing

Average Returns:

Average return is the simple average of the returns generated by an asset. In this study daily
average return of both the Sensex and the funds were calculated for each of the 32 periods.

Average returns of the BSE Sensex returns and the fund’s returns have been calculated with this
formula:

Where, = average return,
n = number of weeks in the period,
x1 – xn = return of the corresponding week

In the data collected for the study, the selected mutual funds have given average returns in
varying degrees. During late 2004, funds posted average returns in the range of 0.50% - 2.75%

22

while markets in the same period gave average returns of 0.69%. Similar average returns were
seen in late 2005 and early 2006 when markets went up significantly. However, with the fall in
markets in mid 2006, negative average returns were seen. Average returns posted by these
funds were in the range of -1.7% to -3.75% while markets had returns of roughly -2%. Beginning
of 2008 and onwards faced worse returns to the extent of -6% by funds and similar returns by
markets. On the whole, mutual funds provided average returns in the same range as markets
with the exception of certain time periods as represented in Table 1 and Table 2 in the Appendix
2.

The average returns of the funds are not significantly different over the period, this has been
proved by conducting a Mann Whitney U-test on the average returns of the 21 funds and with
95% confidence we can conclude that the average returns of the funds were not significantly
different from the average returns of the BSE Sensex index. This study shows that although the
markets slumped in the later half of the 2nd period, the gains out of the bull run in the 1st half
where the average returns for these funds were in the range of 0.5% to 2.75% of the 2nd period
offsets the losses where the average returns of these funds were in the range of -1.7% to
-3.75%, and hence the overall returns in the 1st period and the 2nd period are quite similar.

Absolute Returns:

After analyzing the average returns a clears no conclusion could be drawn hence absolute return
were calculated to give a clearer indication of the returns generated. Absolute Returns refers to
the returns that an asset achieves over a period of time. It measures the percentage
appreciation or depreciation in the value of an asset over a certain time frame.

The absolute returns of the BSE Sensex returns and the fund returns were calculated as follows:

Return of the last week – Return of the first week x 100
Return of the first week

23

Absolute return measures the appreciation or fall in the fund’s performance as a percentage of
the initial invested amount. These returns were compared to the benchmark index to in order to
ascertain the extent to which the portfolio has outperformed / underperformed in relation to the
index. Typically there should be a low correlation between the fund’s performance and the index
(refer), as the fund is expected to outperform and deliver positive absolute return vis-à-vis index.

Form the analysis in appendix 3 Table 3 and 4, it can be noted that mutual funds have delivered
varying returns over different time periods. During the last quarter of 2004, mutual funds
delivered impressive returns. On an average the selected mutual funds had returns of
approximately 10% whilst markets gave returns of around 6% during the same period. A similar
phase was witnessed in mid 2005 where on an average funds gave returns of 13% and markets
posted returns on the same lines. During 2006 and 2007 funds gave comparable returns to the
previous years but this time around the index outperformed the funds significantly.

The absolute returns of the funds till the end of 2007 was in the range of 10% to 13% and the
absolute returns of the BSE Sensex in the same period ranged from 6% to 17%, in the period
between 2004 to end of 2005 the funds have managed to outperform the BSE Sensex, however,
we observe that in the period between 2006 to end of 2007 the funds have significantly
underperformed compared to the BSE Sensex. However, there was massive slump in the period
of September 2008 to October 2008, during which the funds returns fell to -35% as compared to
BSE Sensex returns of -40%. This study shows the correlation in the absolute returns of the
funds and the BSE Sensex and shows us that in the long-run the absolute returns of the fund
and index are quite similar as represented in Table 3 and Table 4 in the appendix.

Hence it can be seen, that on the whole, it can be concluded that in terms of absolute returns,
funds have been performing in line with markets. However, the extent of the impact and
movement has been lesser or more in relation to markets in certain periods.

Standard Deviation:

Standard Deviation is a tool which measures the variability of the data set. It is the square root of
the square of the mean deviations from the arithmetic mean of a data series. It is calculated to
measure the riskiness of a fund, stock or portfolio. Higher the standard deviation means higher

24

the risk and higher the returns of the asset and a low standard deviation mans that the asset is
less risky and will generate less returns.

The standard deviation of the fund returns and the BSE Sensex returns were calculated with the
following formula:

Where, s = Standard Deviation,
N= number of weeks in the period,
= mean of the period,
xi = return of the corresponding week.

Standard deviation which measures variability and extent of dispersion from data, expresses the
volatility of the fund. It mainly indicates the risk associated with the given fund.

Form the analysis in appendix 4 table 5 and table 6; it was observed that mutual funds have
witnessed high standard deviation in booming markets. During mid 2004 and mid 2006 Standard
deviation is in the range of 3% - 9%; which is fairly high compared to the market. The markets in
the same period had an average volatility of approximately 2%. This shows that during these
periods, funds were more volatile compared to the other time periods. This shows that the risk
associated with these funds were much higher during these periods compared to the market.

This also meant that since the mutual funds were having much higher risks and volatility; they
were susceptible to high returns also. During this period, standard deviation in the range of 1% -
14 % was seen. However, with the fall of markets in 2008 and recession beating down the
markets, returns collapsed and the funds posted negative returns. Standard deviation marginally
came down and is currently hovering in the range of 2% - 6.5%.

The standard deviation of the fund returns were significantly high during the 2007 to 2008 period
when the BSE Sensex moved up sharply from 12000 levels in March 2007 to 21000 levels in

25

December 2007, here the standard deviation moved up sharply from the 3% to 8% levels to 3%
to 14% levels. This trend was observed in the period from January 2008 to June 2008 when the
BSE Sensex plummeted from the 21000 levels to 13000 levels, this shows that sudden rise or
fall in the markets result in the similar movement in the standard deviation of the fund returns.

Regression:

Regression is a statistical tool to analyze the fund returns with respect to the market returns to
calculate the fund beta and the R squared value. Here the fund returns are the dependent
variables and the market returns are the independent variables. The regression Equation is as
follows.

Y = a + bx + c

Where, Y = dependent Variable
X = independent variable
a = y – intercept of the line
b = slope of the regression line
c = residual value.

With the help of this the fund beta is calculated. Beta is the measure of volatility of a stock, fund,
portfolio, etc with respect to the market. If the beta is positive then the fund returns are directly
proportional to the market returns and if the beta is negative then the fund returns are inversely
proportional to the market.

Beta of a fund is calculated with the following formula:

Where, βa = fund beta
Cov (ra,rp) = covariance of the returns of the fund and the market,

26

Var rp = variance of the market returns.

The beta of the portfolio expresses how the expected return of the mutual fund is correlated with
the returns of the markets in the given period.

The study takes into consideration each beta of the 32 periods of 21 funds, here the average
betas of 20 funds is in the range of 0.6 to 0.9 and for one fund the average beta exceeds 1 as
per appendix 5 in Table 7 and Table 8. This shows that there is a significant level of correlation
in the returns of the funds as compared to BSE Sensex index and that most the funds have
performed as much or near the market performance.

Overall it can be concluded that from the data collected for the study, most of the funds are
sensitive to the market and have given returns as much as the market has or near the market
returns.

Residual Value:

Using the regression equation and the regression analysis the ‘c’ value or the residual value has
been calculated for all the 32 periods for each of the 21 funds.

The residual value shows that how much portion of the return can be attributed to the fund or
the portfolio and how much is the attributed to the market. Residual value shows what
percentage of return is independent of the market and is that because of the fund properties.

The residual value for each of the 21 funds for all the 32 periods is coming up to 0. So it can be
inferred that the funds are responding to the markets only. And the funds returns cannot to
attributed to the fund properties or the fund components. This is true for all the funds during each
of the 32 periods.

Relative Performance Index:

The Relative Performance Index for the sample size has been computed. This is calculated to
show how each fund has performed in relation to the market. Here, we take the market index as
the BSE Sensex Index.

27

On the basis of the RPI analysis, we graded the funds as:

Under-performers (X<=0.7),
Par-performers (0.8<=X<=1.1) and
Over-performers (X>=1.2)

Relative Performance Index has been calculated for all the funds. It has been calculated with the
following formula:

(Current NAV-Beginning Period NAV) / Beginning Period NAV___
(Current BSE – BSE at Beginning Period) / BSE at Beginning Period

This is calculated to show how each fund has performed in relation to the market. BSE Sensex
has been taken as the market index. The following observations were made in this study as
seen in appendix 6 Table 9:

• There were a total of 7 funds that gave a return that was lower than the market return
over the 5 year period and hence had a RPI of less than 0.7

• There were a total of 3 funds that gave approximately the same return as the market
return over the 5 year period.

• The remaining 11 funds gave a return in excess of the market return over the 5 year
period and hence they all have a RPI of over 1. This shows that some fund managers
were able to diversify the risks and generate an overall positive return even after over a
year long bear market run from January 2008 onwards.

Mann-Whitney U-Test for Average Returns:

To measure the performance of the mutual fund a U-test has been conducted on the average
returns of the mutual funds and the BSE Sensex index. For the purpose of this study, hypothesis
is used to test the changes in the average returns of the fund and the BSE Sensex Index over

28

the given 32 periods, to conclude whether the average returns of the fund and the BSE Sensex
Index are the same.

In this study each fund has 32 average returns and these average returns are then compared to
the returns of the BSE Sensex Index, hypothesis is used to test the changes in the average
returns over the given 32 periods and compare these average returns with the BSE Sensex
returns for the same period, to conclude whether the average returns of the fund and the
benchmark index are the same. The null hypothesis is accepted if the average returns of the two
are same. If not then the null hypothesis is rejected.

H0: x1 = x2
Ha: x1 ≠ x2
On conducting the U-Test for the 32 average returns for each fund the following was observed
as per the appendix7.

At 95% confidence interval, the significance level for 20 funds is more than 0.05, which helps us
accept the null hypothesis, which says that the average returns of the funds over the tested two
periods are similar.

One fund in particular, UTI CCP growth fund, has a significant value of 0.003 which is less than
0.05. This shows that for UTI CCP growth fund the null hypothesis is rejected; that the fund
returns are similar to the market returns.

UTI CCP growth fund has given returns which are not similar to the market returns given over
the period of 5 years which have been considered for this study. UTI CCP growth fund has given
an average return of 0.0058% where as the BSE Sensex during the same 5 year period has
given an average return of 0.2919%, which is significantly higher than the return given UTI CCP
growth fund.

Mann-Whitney U-Test for Absolute Returns:

For the purpose of this study, hypothesis is used to test the changes in the absolute returns of
the fund and the BSE Sensex Index over the given 32 periods, to conclude whether the absolute
returns of the fund and the BSE Sensex Index are the same.

29

In this study each fund has 32 absolute returns and these absolute returns are then compared to
the returns of the BSE Sensex Index, hypothesis is used to test the changes in the absolute
returns over the given 32 periods and compare these absolute returns with the BSE Sensex
returns for the same period, to conclude whether the absolute returns of the fund and the
benchmark index are the same. The null hypothesis is accepted if the absolute returns of the two
are same. If not then the null hypothesis is rejected.

On conducting the U-Test for the 32 average returns for each fund the following was observed
as per the appendix 8.
At 95% confidence interval, the significance level for 20 funds is more than 0.05, which helps us
accept the null hypothesis, which says that the average returns of the funds over the tested two
periods are similar.

One fund in particular, UTI CCP growth fund, has a significant value of 0.006 which is less than
0.05. This shows that for UTI CCP growth fund the null hypothesis is rejected; that the fund
returns are similar to the market returns.

By running the Mann-Whitney U-test on the Average returns as well as Absolute returns of the
BSE Sensex Index and the average returns confirms the hypothesis that at 95% confidence, 20
out of the 21 funds have returns quite similar to the returns of the BSE Sensex Index. Also, the
UTI CCP growth is one common outlier which has generated significantly lower returns as
compared to the benchmark index.

Hierarchical Clustering:

Hierarchical Clustering has been done for all the funds considered in this study. Clustering has
been done on the basis of different properties which are, Average Returns, Absolute Returns,
Standard Deviation, Beta, R Squared, and Relative Performance Index.

With the help of the agglomeration schedule table 10 appendix 9 the clusters of mutual funds
were formed. The graphical representation of the clusters formed can be seen in the form of a
dendogram figure1, appendix 9. Birla Sun Life Advantage Fund, UTI Master Equity Plan and
HDFC Top 200 Fund, form one cluster. Another cluster is being formed by ICICI Prudential

30

Power, ICICI Prudential Growth fund , UTI Master Index Fund and ICICI Prudential Ind. These
clusters are formed because they are closely related to each other and the variables values that
they have with each other are more or less the same. Birla Sun Life Midcap, ICICI Prudential
Tax, HDFC Equity Fund-Growth, Reliance Vision Fund, HDFC Growth Fund-Growth, Birla Sun
Life Equity, Birla Sun Life Buy and HDFC Long Term Advantage have again been clustered into
similar groups.

Findings and Conclusions:

The study done on the performance evaluation of Indian mutual funds was fruitful as all the
objectives of the study were successfully achieved. The following are the findings from this
study.

• The selected for the study gave returns in synchronization with the markets. When there
was boom in the stock market the funds gave positive returns a little more than what the
market had given. During the recessionary phase the markets declined steadily and so
did the fund returns. Overall the fund returns and the market returns, for the period of 5
years taken into consideration for this study, was the more or less same with a very
nominal difference in them.

• The performance of the funds were different from each other, though a few firm had
common attributes which can be seen from the clusters that they make, a few funds

31

didn’t fall into any cluster at all. One such fund UTI CCP Advantage Fund was an outlier
and gave returns very less than the market and also when compared to the other funds.

• It can be easily concluded that most of the fund returns can be attributed to the market
that is they were in direct correlation with the market. But in the sample of 21 funds
considered for this study one fund; UTI CCP Advantage Fund; didn’t perform as the
market and for this fund the returns generated cannot be attributed to the market. The
performance of this fund can be attributed to both the market and as well as the fund
composition and properties.

Limitations of the Study:

• Since the funds selected for this study were open ended equity based growth mutual
funds the fund composition kept on changing over the time period, so it became difficult
to understand the fund properties as historical data pertaining to the fund composition
was not available.

• Because of unavailability of historical data and fund composition it was difficult to
ascertain the performance to the fund properties and a simple evaluation was done
against the market performance.

32

Bibliography

Books and Papers

Black, Ken “Business Statistics”, PP 302-381
Cooper, Donald and Schindler, Pamela “Business Research Methods”, PP. 494-526
DeRoon, Frans A et. Al (2000),” Evaluating Style Analysis”, www.ssrn.com, paper no.1118582
and PP.1-37
Lynch, Anthony W et Al (2002). “Does Mutual Fund Performance Vary over the Business
Cycle?” ”, www.ssrn.com, paper no.470783 and PP.1-21

Websites

Article base, Finance, Investing, www.articlebase.com

33

Association of Mutual in India, www.amfiindia.com
Business Maps of India, Mutual Fund, Performance, http://business.mapsofindia.com
Deccan herald, National, Detailed Story, www.deccanherald.com
Domain-b, Markets, Mutual Fund, www.domain-b.com
Economic Times, Personal Finance, Mutual fund
news,http://economictimes.indiatimes.com/Personal_Finance/Mutual_Funds/MF_News/Mutual_f
unds_assets_jump_4_pc_in_Dec_add_Rs_16300_cr/articleshow/3926747.cms
Email wire, Home, News by company, RNCOS, www.emailwire.com
Finance Research, www.financeresearch.net
Financial chronicle, My Money, Mutual Funds, www.mydigitalfc.com
Find articles, business service
industry,http://findarticles.com/p/articles/mi_m1TSD/is_1_6/ai_n25012619/pg_1?
tag=artBody;col1
I Trust, Mutual Funds, www.itrust.in
IBN Live, Markets, www.ibnlive.in.com
India Finance and Investment Guide, Mutual Funds, http://finance.indiamart.com
India Funds Research, Mutual Funds, www.indiafund.net
Karvy, Mutual Funds, Articles, www.karvy.com
Live mint, money matters, www.livemint.com
Money control, mutual funds, www.moneycontrol.com
Mutual funds India, www.mutualfundsindia.com
Myiris, mutual funds, www.myiris.com
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RNCOS, www.rncos.com
Sify, Business, Mutual funds, http://sify.com/finance/mutualfunds/
SSRN papers, www.ssrn.com

34

Annexure

Appendix 1

The list of Funds selected for the study is:

Birla Sun Life India Opportunities Fund - Growth
Birla Sun Life Advantage Fund-Growth
Birla Sun Life Equity Fund-Growth
Birla Sun Life Midcap Fund-Growth
Birla Sun Life Buy India Fund-Growth
UTI Mastershare-Income
UTI CCP Advantage Fund-Growth
UTI Master Index Fund-Growth
UTI Energy Fund-Income
UTI MNC Fund-Income
UTI Master Equity Plan Unit Scheme
ICICI Prudential Power Plan-Growth

35

ICICI Prudential Tax Plan-Growth
ICICI Prudential Index Fund
ICICI Prudential Growth Plan-Growth
HDFC Equity Fund-Growth
HDFC Long Term Advantage Fund-Growth
HDFC Growth Fund-Growth
HDFC Top 200 Fund-Dividend
Reliance Growth Fund-Growth Plan
Reliance Vision Fund-Growth

Appendix 2

Table 1: Average Returns for the period ending from 14th May, 2005 to 1st September, 2006

36

Table 2: Average Returns for the period ending from 27th September, 2006 to 13th February,
2009

Appendix 3

Table 3: Absolute Returns for the period ending from 14th May, 2005 to 1st September, 2006

37

Table 4: Absolute Returns for the period ending from 27th September, 2006 to 13th February,
2009

38

Appendix4

Table 5: Standard deviation of returns for the period ending from 14th May, 2005 to 1st
September, 2006

39

Table 6: Standard deviation of returns for the period ending from 27th September, 2006 to 13th
February, 2009

Appendix 5

Table 7: Betas for the period ending from 14th May, 2005 to 1st September, 2006

40

Table 8: Betas for the period ending from 27th September, 2006 to 13th February, 2009

Appendix 6

Relative Performance Index:

41

Table 9: Relative Performance Index

Appendix 7
Ranks
Test Statistics
Mean Sum of
Name N Rank Ranks

42

Avg. Birla Sun Life
returns Advantage 32 32.06 1026.00
Fund-Growth
BSE Sensex
32 32.94 1054.00
Returns Avg.
Total 64 returns
Mann-Whitney U 498.000
Wilcoxon W 1026.000
Z -.188
Asymp. Sig. (2-
.851
tailed)

Ranks Test Statistics

Mean Sum of
Name N Rank Ranks
Avg. Birla Sun Life
returns Buy India 32 32.38 1036.00
Fund-Growth
BSE Sensex
32 32.63 1044.00
Returns Avg.
Total 64 returns
Wilcoxon W 1036.000
Z -.054
Asymp. Sig. (2-
.957
tailed)

Ranks
Test Statistics
Mean Sum of
Name N Rank Ranks
Avg. Birla Sun Life
returns Equity Fund- 32 33.78 1081.00
Growth
BSE Sensex
32 31.22 999.00
Returns
Total 64

43

Avg.
returns
Wilcoxon W 999.000
Z -.551
Asymp. Sig. (2-
.582
tailed)


Mean Sum of
Avg.
Name N Rank Ranks
returns
Avg. Birla Sun Life
returns India
32 30.03 961.00 Wilcoxon W 961.000
Opportunities
Z -1.061
Fund-Growth
BSE Sensex Asymp. Sig. (2-
32 34.97 1119.00 .289
Returns tailed)
Total 64


Mean Sum of
Name N Rank Ranks
Avg. Birla Sun Life
returns Midcap Fund- 32 33.59 1075.00
Growth
BSE Sensex
32 31.41 1005.00
Returns Avg.
Total 64 returns
Wilcoxon W 1005.000
Z -.470
Asymp. Sig. (2-
.638
tailed)


Mean Sum of
Name N Rank Ranks
Avg. BSE Sensex
32 32.13 1028.00
returns Returns
HDFC Equity
Fund-Growth 32 32.88 1052.00
Total 64

44

Avg.
returns
Wilcoxon W 1028.000
Z -.161
Asymp. Sig. (2-
.872
tailed)

Mean Sum of
Name N Rank Ranks
Avg. BSE Sensex
32 32.00 1024.00
returns Returns
HDFC Growth
Fund-Growth 32 33.00 1056.00
Avg.
Total 64 returns
Wilcoxon W 1024.000
Z -.215
Asymp. Sig. (2-
.830
tailed)


Mean Sum of
Name N Rank Ranks Avg.
Avg. BSE Sensex returns
32 33.03 1057.00 Mann-Whitney U 495.000
returns Returns
HDFC Long Wilcoxon W 1023.000
Term Z -.228
32 31.97 1023.00 Asymp. Sig. (2-
Advantage .819
Fund-Growth tailed)
Total 64


Mean Sum of
Name N Rank Ranks
Avg. BSE Sensex
32 33.53 1073.00
returns Returns
HDFC Top
200 Fund- 32 31.47 1007.00
Dividend Avg.
Total 64 returns
Wilcoxon W 1007.000
Z -.443
Asymp. Sig. (2-
.658
tailed)


45

Mean Sum of
Name N Rank Ranks
Avg. BSE Sensex
32 32.50 1040.00
returns Returns
ICICI
Prudential
32 32.50 1040.00
Growth Plan-
Growth Avg.
Total 64 returns
Wilcoxon W 1040.000
Z .000
Asymp. Sig. (2-
1.000
tailed)


Mean Sum of
Name N Rank Ranks
Avg. BSE Sensex
32 32.31 1034.00
returns Returns
ICICI
Prudential 32 32.69 1046.00
Avg.
Index Fund
returns
Total 64 Mann-Whitney U 506.000
Wilcoxon W 1034.000
Z -.081
Asymp. Sig. (2-
.936
tailed)

Ranks
Test Statistics
Mean Sum of Avg.
Name N Rank Ranks returns
Avg. BSE Sensex Mann-Whitney
32 31.88 1020.00 492.000
returns Returns U
ICICI Wilcoxon W 1020.00
Prudential 0
32 33.13 1060.00
Power Plan- Z -.269
Growth Asymp. Sig. (2-
Total 64 .788
tailed)

Ranks Test
Statistics

46

Mean Sum of
Name N Rank Ranks
Avg. BSE Sensex
32 31.44 1006.00
returns Returns
ICICI
Prudential
32 33.56 1074.00 Avg.
Tax Plan-
returns
Growth
Total Mann-Whitney U 478.000
64
Wilcoxon W 1006.000
Z -.457
Asymp. Sig. (2-
.648
tailed)


Mean Sum of
Name N Rank Ranks
Avg. BSE Sensex
32 30.44 974.00
returns Returns
Reliance
Growth Fund- 32 34.56 1106.00 Avg.
Growth Plan returns
Wilcoxon W 974.000
Z -.886
Asymp. Sig. (2-
.376
tailed)


Mean Sum of
Name N Rank Ranks
Avg. BSE Sensex
32 31.94 1022.00
returns Returns
Reliance
Vision Fund- 32 33.06 1058.00
Growth
Total 64

47

Avg.
returns
Wilcoxon W 1022.000
Z -.242
Asymp. Sig. (2-
.809
Ranks tailed)
Test Statistics
Mean Sum of
Name N Rank Ranks Avg.
Avg. BSE Sensex returns
32 39.44 1262.00
returns Returns Mann-Whitney U 290.000
UTI CCP Wilcoxon W 818.000
Advantage 32 25.56 818.00 Z -2.981
Fund-Growth Asymp. Sig. (2-
Total .003
64 tailed)


Mean Sum of
Name N Rank Ranks
Avg. BSE Sensex
32 36.13 1156.00
returns Returns
UTI Energy
32 28.88 924.00
Fund-Income Avg.
Total 64 returns
Wilcoxon W 924.000
Z -1.558
Asymp. Sig. (2-
.119
tailed)


Mean Sum of
Name N Rank Ranks
Avg. BSE Sensex
32 33.44 1070.00
returns Returns
UTI Master
Equity Plan 32 31.56 1010.00 Avg.
Unit Scheme returns
Wilcoxon W 1010.000
Z -.403
Asymp. Sig. (2-
.687
tailed)


48

Mean Sum of
Name N Rank Ranks
Avg. BSE Sensex
32 32.56 1042.00
returns Returns
UTI Master
Index Fund- 32 32.44 1038.00 Avg.
Growth returns
Wilcoxon W 1038.000
Z -.027
Asymp. Sig. (2-
.979
tailed)

Avg.
Mean Sum of
returns
Name N Rank Ranks
Avg. BSE Sensex
32 34.47 1103.00 Wilcoxon W 977.000
returns Returns
UTI Z -.846
Mastershare- 32 30.53 977.00 Asymp. Sig. (2-
.398
Income tailed)
Total 64


Mean Sum of
Name N Rank Ranks
Avg. BSE Sensex
32 36.03 1153.00
returns Returns
UTI MNC
32 28.97 927.00
Fund-Income Avg.
Total 64 returns
Wilcoxon W 927.000
Z -1.517
Asymp. Sig. (2-
.129
tailed)

Mann-Whitney U- Test Results for Average Returns of 21 funds

Appendix 8

49

Mean Sum of
Name N Rank Ranks
Abs. Birla Sun Life
Returns Buy India 32 32.94 1054.00
Fund-Growth
BSE Sensex Abs.
32 32.06 1026.00
Returns Returns
1026.000
Z -.188
Asymp. Sig. (2-
.851
tailed)


Mean Sum of
Name N Rank Ranks
Abs. Birla Sun Life
Returns Equity Fund- 32 34.34 1099.00
Growth
BSE Sensex Abs.
32 30.66 981.00
Returns Returns
Wilcoxon W 981.000
Z -.792
Asymp. Sig. (2-
.428
tailed)


Mean Sum of
Name N Rank Ranks Abs.
Abs. Birla Sun Life Returns
Returns India Mann-Whitney U 454.000
32 30.69 982.00 Wilcoxon W 982.000
Opportunities
Fund-Growth Z -.779
BSE Sensex Asymp. Sig. (2-
32 34.31 1098.00 .436
Returns tailed)
Total 64


Mean Sum of Abs.
Name N Rank Ranks Returns
Wilcoxon W 988.000
50 Z -.698
Asymp. Sig. (2-
.485
tailed)

Abs. Birla Sun Life
Returns Midcap Fund- 32 34.13 1092.00
Growth
BSE Sensex
32 30.88 988.00
Returns
Total 64


Mean Sum of
Name N Rank Ranks
Abs. BSE Sensex
32 31.94 1022.00
Returns Returns
HDFC Equity
Fund-Growth 32 33.06 1058.00
Abs.
Total 64 Returns
Wilcoxon W 1022.000
Z -.242
Asymp. Sig. (2-
.809
tailed)


Mean Sum of Abs.
Name N Rank Ranks Returns
Abs. BSE Sensex Mann-Whitney U 495.000
32 31.97 1023.00 Wilcoxon W 1023.000
Returns Returns
HDFC Growth Z -.228
Fund-Growth 32 33.03 1057.00
Asymp. Sig. (2-
.819
Total 64 tailed)


Mean Sum of
Name N Rank Ranks
Abs.
Abs. BSE Sensex
32 32.56 1042.00 Returns
Returns Returns
HDFC Long
Wilcoxon W 1038.000
Term
32 32.44 1038.00 Z -.027
Advantage
Fund-Growth Asymp. Sig. (2-
.979
Total 64 tailed)


51

Mean Sum of
Name N Rank Ranks
Abs. BSE Sensex
32 33.25 1064.00
Returns Returns
HDFC Top
200 Fund- 32 31.75 1016.00
Abs.
Dividend
Returns
Wilcoxon W 1016.000
Z -.322
Asymp. Sig. (2-
.747
tailed)


Mean Sum of
Name N Rank Ranks
Abs. BSE Sensex
32 32.38 1036.00
Returns Returns
ICICI
Prudential
32 32.63 1044.00 Abs.
Growth Plan-
Returns
Growth
Total 64 Wilcoxon W 1036.000
Z -.054
Asymp. Sig. (2-
.957
tailed)


Mean Sum of
Abs. BSE Sensex Returns
32 32.00 1024.00 Mann-Whitney U 496.000
Returns Returns
ICICI Wilcoxon W 1024.000
Prudential 32 33.00 1056.00 Z -.215
Index Fund Asymp. Sig. (2-
.830
Total 64 tailed)


Mean Sum of
Returns
Wilcoxon W 1019.000
52 Z -.282
Asymp. Sig. (2-
.778
tailed)

Abs. BSE Sensex
32 31.84 1019.00
Returns Returns
ICICI
Prudential
32 33.16 1061.00
Power Plan-
Growth
Total 64


Mean Sum of
Name N Rank Ranks
Abs. BSE Sensex
32 31.88 1020.00
Returns Returns
ICICI
Prudential
32 33.13 1060.00
Tax Plan-
Growth Abs.
Total 64 Returns
Wilcoxon W 1020.000
Z -.269
Asymp. Sig. (2-
.788
tailed)


Mean Sum of
Name N Rank Ranks
Abs. BSE Sensex
32 30.56 978.00
Returns Returns
Reliance
Growth
32 34.44 1102.00 Abs.
Fund-Growth
Plan Returns
Wilcoxon W 978.000
Z -.832
Asymp. Sig. (2-
.405
tailed)


Mean Sum of
Name N Rank Ranks

53

Abs. BSE Sensex
32 31.75 1016.00
Returns Returns
Reliance
Vision Fund- 32 33.25 1064.00 Abs.
Growth Returns
Wilcoxon W 1016.000
Z -.322
Asymp. Sig. (2-
.747
tailed)

Abs.
Mean Sum of
Returns
Name N Rank Ranks
Abs. BSE Sensex
32 38.84 1243.00 Wilcoxon W 837.000
Returns Returns
UTI CCP Z -2.726
Advantage 32 26.16 837.00 Asymp. Sig. (2-
.006
Fund-Growth tailed)
Total 64


Mean Sum of
Name N Rank Ranks
Abs. BSE Sensex
32 35.56 1138.00
Return Returns
s UTI Energy
32 29.44 942.00
Fund-Income Abs.
Total 64 Returns
Wilcoxon W 942.000
Z -1.316
Asymp. Sig. (2-
.188
tailed)


Mean Sum of
Name N Rank Ranks

54

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