Profitability and Riskiness of Mutual Funds in India

FACULTY OF ECONOMICS AND ADMINISTRATION
Profitability and Riskiness

of Mutual Funds in India
Master’s thesis
SHARMA, DIVYANSH
Supervisor: Ing Tomáš Plíhal, Ph.D.
Department: Department of Finance
Programme Finance
Brno, 2022
Profitability and Riskiness of Mutual Funds in India
Bibliographic record
Author: SHARMA, DIVYANSH

Faculty of Economics and Administration
Masaryk University
Department of Finance
Title of Thesis: Profitability and Riskiness of Mutual Funds in India
Degree Programme: Masters in Finance
Field of Study: Finance
Supervisor: Ing Tomáš Plíhal, Ph.D
Year: 2020-2022
Number of Pages: 89
Keywords: Mutual Funds, Investment, Risk, Returns, Sharpe Ratio, Treynor

Ratio, Jensen Ratio in the thesis electronic archive.
Abstract
Mutual funds are one of the trendy and fast-expanding investment choices provided by the
financial market It is the faith of group investors who believe in a common financial goal and
get their money invested via mutual funds in the stock market, debentures, and other securities.
In the future, these investors get a share of the income generated by such kinds of investments
through unit holders in proportion to the number of units they own. Despite this tremendous
growth in mutual funds, some critical challenges still exist. Among these challenges, low levels
of customer awareness, meager retail sector participation, riskiness, and the assurity of mutual
funds' profitability are widespread. To investigate and examine two significant challenges in
mutual funds, profitability and riskiness, the author in the present work proposed to conduct a
comprehensive study of various mutual fund schemes already implemented in India in order to
evaluate their performance by using the most popular portfolio performance evaluation model,
namely Sharpe, Treynor, Jensen and rolling window approach. This study has focused on four
large-cap mutual funds. The large-cap mutual funds are Canara Robeco Blue Chip Equity,
Edelweiss Large Cap Fund, HDFC Top 100 Fund and Axis Bluechip Fund – Growth.This
work’s primary focus is on four large-cap mutual funds, explaining them in depth and their
critical analysis. The present study will assist research scholars and financial professionals in
analyzing the various mutual fund schemes to finalize their decision on picking the appropriate
investment option from a galaxy of investment options. Eventually, the present attempt has
been made to find the answers to questions like the growth rate of a selected mutual fund in
India and the maximum return.
Keyword: Mutual Fund, Profitability and riskiness, Investment, Sharpe Ratio, Treynor Ratio,
Jensen Ratio.
Declaration
“I certify that I have written the Master’s Thesis “Profitability and Riskiness of mutual funds
in India” by myself under the supervision of Ing. Tomáš Plíhal, Ph.D. and I have listed all the
literary and other specialist sources in accordance with legal regulations, Masaryk University
internal regulations, and the internal procedural deeds of Masaryk University and the Faculty
of Economics and Administration”
Brno, Divyansh Sharma

Acknowledgment
I would like to express my gratitude to my supervisor and professor

Ing. Tomáš Plíhal, Ph.D., for genuinely supporting, guiding, and encouraging me throughout
this entire thesis writing phase.
Lastly, I would like to express my gratitude to my parents, who have always supported, guided,
and motivated me during the years of my study.
TABLE OF CONTENT
LIST OF FIGURES ................................................................................................................. 9
LIST OF TABLES ................................................................................................................. 10
INTRODUCTION.................................................................................................................. 12
1: THEORETICAL BACKGROUND ................................................................................. 14
1.1 Mutual Funds .......................................................................................................... 14
1.2 Mutual Fund Development in India ...................................................................... 16
1.3 Structure of Mutual Fund ...................................................................................... 19
1.4 Types of Mutual Fund in India .............................................................................. 21
1.4.1 Open-End Funds ................................................................................................... 21
1.4.2 Closed-End Mutual Funds ................................................................................... 22
1.4.3 Exchange-Traded Funds ...................................................................................... 22
1.5 Mutual Funds based on Market Cap .................................................................... 23
1.5.1 Large Cap funds.................................................................................................... 25
1.5.2 Mid-Cap funds ...................................................................................................... 25
1.5.3 Small-Cap funds .................................................................................................... 25
1.6 Comparison between American and Indian Mutual fund industry ................... 27
1.7 Stock Market Indices .............................................................................................. 30
2: LITERATURE REVIEW ................................................................................................. 35
3 : DATA ................................................................................................................................. 45
3.1 Data selection ........................................................................................................... 45
3.2 Data collection ......................................................................................................... 45
3.3 Data processing ........................................................................................................ 46
3.4 Description of selected Mutual funds & Benchmark ........................................... 46
3.5 Asset and Sector allocation for all the four Mutual Funds. ................................ 49
4: METHODOLOGY ............................................................................................................ 59
4.1 Sharpe ratio ............................................................................................................. 59
4.2 Jensen Measure ....................................................................................................... 60
4.3 Treynor’s Performance Measure ........................................................................... 61
4.4 Beta ........................................................................................................................... 62
4.5 Standard Deviation ................................................................................................. 62
4.6 Rolling window approach ....................................................................................... 63
4.7 T- Test....................................................................................................................... 63
5: RESULTS ........................................................................................................................... 64
5.1 Performace assesment on a given period of time. ................................................ 64
5.2 Performance measurement on the basis of risk and return evaluation ............. 67
5.3 Performance measurement based on Rolling window approach........................ 71
CONCLUSION ...................................................................................................................... 80
REFERENCES....................................................................................................................... 83
LIST OF FIGURES
Figure 1: Structure of Mutual Funds ................................................................................... 20

Figure 2: Total net assets of USA‘s mutual funds worldwide from 1998 to 2020 ............ 27
Figure 3: Correlation between BSE S&P 100 and S&P 500 .............................................. 34
Figure 4: Sector Allocation Canara Robeco ........................................................................ 50
Figure 5: Sector Allocation Edelweiss .................................................................................. 52
Figure 6: Sector Allocation HDFC ....................................................................................... 55
Figure 7: Sector Allocation Axis ........................................................................................... 57
Figure 8: Returns on time span of 1 year, 3 year and 5 years ........................................... 65
Figure 9: Mutual Funds’ Sharpe Ratio ................................................................................ 68
Figure 10: Mutual Fund‘s Jensen Measures ....................................................................... 69
Figure 11: Mutual Funds’ Trenyor Measures..................................................................... 70
Figure 12: Rolling returns for all the four mutual funds ................................................... 71
Figure 13: Rolling Returns of all the schemes in comparison with index......................... 73
Figure 14: Rolling Sharpe for all the schemes..................................................................... 75
Figure 15: Rolling Beta for all four schemes ....................................................................... 77
Figure 16: Rolling Treynor ratio for all the four schemes ................................................. 78
Figure 17: Rolling Treynor for Canara Robeco & HDFC Top 100 .................................. 78
Figure 18: Rolling Jensen’s measure.................................................................................... 79
LIST OF TABLES
Table 1: Different phases of mutual fund in India.............................................................. 16

Table 2: Difference between large-cap, mid-cap and small-cap companies ..................... 24
Table 3: Differences between large, mid, and small-cap funds ......................................... 26
Table 4: Assest Under Management in India (2018 - 2021) ............................................... 28
Table 5: Monthly NAV of S&P BSE 100 and S&P 500 ..................................................... 32
Table 6: Top ten holdings ...................................................................................................... 50
Table 7: Description of plans ................................................................................................ 51
Table 8: Top holdings Edelweiss .......................................................................................... 53
Table 9: Description of plans ................................................................................................ 54
Table 10: Top holdings HDFC .............................................................................................. 56
Table 11: Top holdings Axis ................................................................................................. 58
Table 12: General comparison between mutual funds ....................................................... 64
Table 13: Comparison of return of Mutual Funds on given time-period ......................... 65
Table 14 : Sharpe, Jensen and Treynor evaluation ............................................................ 67
Table 15: Reason for Fall on Nifty Index............................................................................. 72
Table 16: Key Indicators ....................................................................................................... 74
Table 17: T-test on top two performing scheme ................................................................. 76
Abbreviations and Acronyms
UTI: Unit Trust of India

SBI: State Bank of India
PNB: Punjab National Bank
BOB: Bank of Baroda
LIC: Life Insurance Corporatio
INR: Indian Rupee
US: United States
SEBI: Security Exchange Board of India
SCHIL: Stock Holding Corporatio of India Limited
AMC: Assets Management Company
ETF: Exchange-Traded Fund
RVOL: Reward to volatility Ratio
RVAR: Reward to Variability Ratio
CML: Capital Market Line
CAPM: Capital Asset Pricing Model
NAV: Net Asset Value
SD: Standard Deviation
AMFI: Association of Mutual Funds in India
RBI: Reserve Bank of India
CRISIL: Credit Rating Information Services of India Limited
RoR: Rate of Return
Rs: Indian Rupee
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INTRODUCTION
Despite facing numerous issues such as political uncertainty, fraud, inadequate infrastructural
facilities, and bad management, India has emerged as the safest economy in the international
market. Despite these issues, India has grown to be a high-level financial market. Even though
the global economy is uncertain, Indian markets have been proven to maintain investor
confidence and attract foreign investors.
In general, capital markets serve as a means of governing economic growth and improving
industrial performance. The studies reveal that mutual funds emerge among the different
market investment options available to provide investors with the least amount of risk and high
return. They raise funds from the savings market and invest them in the capital market.
The term "mutual fund" was coined to channel small investors' savings and, most precisely, to
collect small or medium funds from such investors and invest them in capital market tools such
as stocks, debentures, and other securities. Mutual funds do invest in the most extravagant
instruments such as economic futures, forwards, swaps, etc. Numerous investors with small
amounts of money are usually unable to diversify their money or investments because doing
so would raise the risk. Hence, mutual funds assist those kinds of investors. The money from
these investors is collected by professionals and further decided to invest in numerous capital
market instruments. This result in the investor is lowering the risk borne by them.
In the future, when the income is generated from these investments and the capital growth, it
will be distributed by unit holders in proportion to the number of units owned by them.
Nowadays, mutual funds are cited as the safest investment tool that ensures active rates of
return. Mutual funds are also the best bet for retail investors.
Previous emprerical researches and studies have approached the LargeCap mutual fund
performace on their profitability and riskiness in India likewise this study focuses on maily top
four performing LargeCap mutual fund in India. It is really importatant to understand that even
though Indian stock market has faced ups and down, the market still has very good potential to
pay back the investors if the invetment decision is made right.
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India has a population of 1.3 billion (Census.,2012) and growing every day. The problem
identification comes to that people have money, but they either do not have the knowledge on
how to invest, or they are just afraid of share market becaus of the historic mishaps which took
place, which also makes majority of population in India a risk averse population. To confirm
this ET money a very reliable source of invesment platform’s study found out that in 2020 most
of the investors had their 30% of the holding in debt securities like fixed deposite however an
average person keeps 64% of his/her holding in equity funds also knows as Mutual funds so
we can see a trend here that even thought an investor is choosing to invest in equity they are
still going for the option which is best and has comparitively less risk.
This study focuses on providing risk averse investors, investing knowledge, and understanding
technical tools/metrics that they can use to identify the best possible investment for them and
to understand the profitablity and riskiness of Indian mutual funds. The portfolio performance
evaluation models used in this study are Sharpe measure, Treynor measure, Jensen alpha and
rolling window approach, to further understand the results statistical tools like T-test and
essential statistical tools like Average, Mean, Median and Mode are implemented as well.
The time frame of the research plays a vital role in understanding the market problem because
India has gone thorough a lot of Political changes, Budget Changes, Public sector undertaking
mergers, Oil price increasese and fall in Rupee and finally most important event that occured
during this time frame is the Pandemic all these factor affected the market on this series of
timeline. This research will play a crucial role for the investor to understand how different
event can affect the investment and market which is again crucial for the future perspective of
the investors, as in coming years India is said to become next manufacturing hub of the world
just in line with China which will leave investors with immese possibility of making profit
from the market and per say Mutual Funds.
Just like every other investment Mutual funds are not protected from economic setbacks.
Investors at all level can only use these historic events and clues to make better decision for
their investment success. I seek to recommend learning from these emperical results and
contrubuting my knowledge to the entire student body and investors at large.
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1: THEORETICAL BACKGROUND
1.1 Mutual Funds
1.1.1 Mutual funds

Mutual fund is a pool fund. Mutual fund is an investment instrument and it is a professionally
managed scheme which is usually run by an asset management company. The asset
management company brings together a group of people and invest their money in different
investments for example stock, bonds, debt instruments and other securities.
To invest in a mutual fund, you have to buy units which will basically represents your share of
holdings. Units can be purchased and redeemed as per investors wish however, there is always
a minimum amount from which you can start investing in the pool of funds. The minimum
investing amount totally depends on the type of scheme and on the company providing the
mutual fund scheme. Mutual funds are also regulated and in India Securities Board of Exchange
India (SEBI) regulates mutual funds. The best characteristics of a mutual fund is that it gives
small investors a change and access to invest in different kind of investment instruments and
diversify their portfolio with comparatively taking low risk.
1.1.2 Advantages and Disadvantages of Mutual funds
➢ Advantages
• Mutual funds are managed by professional fund manager which are hired by the
company providing the investment product, when investing in mutual fund there is
a management fee charge which is used to pay the fund manager which insure better
return for the investors.
• Mutual funds also have an option of dividend reinvestment which means the
dividends and other incomes sources are declared and can be use to purchase
additional shares in mutual funds to help in investment growth.
• Mutual funds are diverse investment option which automatically reduce the risk
involved in it. Due to this characteristic mutual fund is really famous among risk
averse investors.
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• Another advantage of mutual fund is that they are easy to invest in and easy to understand
and follow. The entry and exit load is very minimum in any mutual fund which can be close
to 1% or even less.
➢ Disadvantages
• There can be few disadvantages involved in mutual fund and one it is high expense ratio
and sales charges which means that if you ignore the expense ratio and sales charges then
you would remain with less profit in your hand.
• Sometimes there could be possibility of management abuse which can mean that churning,
turnover and window dressing may happen if the fund manager abuses his/her authority.
• Poor trade execution can also be a disadvantage here however this is a part of any mutual
fund because when we say poor trade execution, we compare the execution of mutual fund
with day trading or short trading which definitely give better return compared to mutual
fund but also is very risky.
1.1.3 Popularity of Mutual around the world

Mutual fund industry saw immense growth during the year 1990s. This explosive growth was
particular seen in United States, it was recorded that the total net asset of mutual fund grew
from USD 1.6 trillion in 1992 to 5.5 trillion in 1998 which makes the growth rate equivalent
to 22.4 percent.
The 15 countries back than member of the European Union also witnessed an increase in
mutual funds assets. During that period of most of the Asian countries saw a boom in mutual
fund assets including India (due to establishment of Unit Trust of India (UTI)). When the
whole world was witnessing the growth in mutual fund assets in United States even the
household ownership of mutual fund experienced rapid growth. Survey estimates reported by
the Investment Company Institute (the trade association of US mutual funds) show that the
proportion of US households owning mutual funds grew from 6 percent in 1980 to 27 percent
in 1992 and 44 percent in 1998 (ICI.,2002)
The cause of popularity in mutual funds around the world was fuelled by the globalization of
the multi nationals and finance and financial services. The other reason
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for the popularity is that the risk is less, which attracted so many investors around the world
and yet you can see this trend present in the world or specifically in India where most of the
investors hold their big chunk of investment in equity related funds. In the next section 1.2 you
will see how mutual fund industry developed in India.
1.2 Mutual Fund Development in India
In India, the existence of mutual funds is not too old. However, in 1964, the first ever mutual
fund was initiated by Unit Trust of India (UTI). UTI enjoyed this exclusivity until 2000. The
UT1 was established under a parliament act by the Indian Government. UTI began operatios
in July 1964, with the aim of "encouraging savings and investment, as well as participation in
the income, profits, and gains accruing to the corporatio from the acquisition, holding,
management, and disposition of securities." The various phases of the development of mutual
fund in India have been described below in table 1.
Table 1: Different phases of mutual fund in India
Phase Tenure Progression
1st 1964- 1987 Formation and

development of India's unit
trust
2nd 1987-1993 Arrival of funds from the

public sector
3rd 1993-1996 Arrival of funds from the

private sector
4th 1996-2004 SEBI regulation and

advancement
5th 2004 onward Future expansion and

convergence
Source: Shukla., 2013
In 1963, under an act of the Indian parliament, UTI was formed and ruled by the Reserve Bank
of India. It was the first phase of UTI in India. Later on, in 1978, UTI was separated from the
RBI and the regulatory and legal authority was transferred to
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the Industrial Development Bank of India. It has been reported that the total assets of UTI from
1963 to 1988 were around 6,700 crores.
In its first phase, various schemes were launched. The very first was started in 1963, and six
more schemes were discovered between 1981 and 1994. The most famous schemes in its initial
phase were the Children's Growth Fund and the India Fund, which were started in 1986.
Furthermore, in 1987, the master Share Schemes were launched by UTI (Shukla., 2013).
In the second phase of UTI, funds started to arrive from public sectors. In other words, in the
second phase of UTI, the permission for launching the new schemes was also given to insurance
carriers and commercial banks. The State Bank of India mutual fund and Canara Bank Mutual
Fund were the first among the commercial banks to enter UTI in 1987. Later, in 1989, the LIC
Mutual Fund, the Punjab National Bank Mutual Fund, and the Indian Bank Mutual Fund joined
the group. The Bank of India Mutual Fund, General Insurance Corporatio Mutual Fund, and
Bank of Baroda Mutual Fund arrived in 1990 on the same platform. The reported total assets
of UTI at the end of 1993 were 47,004 crores.
The third phase of UTI was in between 1993 to 1996, which was known for the emergence of
the private sector in it. With the emergence of funds from the private sector in 1993, a new
phase in the Indian mutual fund industry began, providing investors from India with a broader
selection of fund families. With that, in 1993, the very first mutual fund regulation was enacted.
According to this, all mutual funds, with the exception of UTI, have to be registered and
governed. Kothari Pioneer was UTI's first registered mutual fund.
In 1996, the SEBI (Security Exchange Board of India) Regulations of 1993 were replaced by
more extensive and modified Mutual Fund Regulations. That means the whole industry was
then governed under the SEBI (Mutual Fund) Regulations of 1996.
The mutual fund house’s count was growing continuously, and several foreign mutual funds
also established funds in the country, as well as several mergers and acquisitions in industry.
As of January 2003, there were a total of 33 mutual funds with a value of Rs. 1,21,805 crores
in India. With Rs.44,540 crores in wealth management, the Unit Trust of India was far ahead
of other mutual funds.
From 1996 to 2004, the fourth phase of UTI arrived. In the fourth phase of UTI, Security
Exchange Board of India’s (SEBI) regulation and advancement happened. At the beginning of
this phase, SEBI set some uniform standards for all mutual fund firms in India. The government
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was eager to protect the interests of its investors, and the Union Budget of 1999 provided an
exemption to income taxes on all investor’s dividend payments. In between, various awareness
schemes were also started by SEBI and Association of Mutual Funds in India (AMFI)
In Feb,2003, UTI was divided into two distinct units.
The first one is the specified undertaking of the Unit Trust of India, which had Rs. 29,835
crores in assets under administratio as of the end of January 2003, assets of the US 64 schemes,
assured return as well as specific schemes. It has also started to operate under an administrator
and rules set by the Indian Government and were not subject to the Mutual Fund Regulations.
The second fund is the UTI Mutual Fund. The UTI Mutual Fund is supported by various
financial institutions and banks like SBI (State Bank of India), PNB (Punjab National Bank),
BOB (Bank of Baroda), and LIC (Life Insurance Corporatio). It is also formally registered with
SEBI and governed in accordance with Mutual Fund Regulations. With the dissolution of the
former UTI, which had more than Rs. 76,000 crores in assets under management in March
2000, and the establishment of a UTI Mutual Fund in accordance with the SEBI Mutual Fund
Regulations, as well as recent mergers among various private sector funds, the mutual fund
industry is entering its new period of centralization and expansion.
From 2004 onward, the fifth phase of UTI started, which shows its growth as well as
consolidation. Several schemes were acquired in this phase, like Alliance Mutual Fund by Birla
Sunlife, Sun F & C MF, and PNBMF by Principal Mutual Fund, etc. Several international firms
like Fidility, Fanklin, and others have also entered the market during this time.
The SEBI also took more steps this time for investors’ protection. The stock market's growth
and the creative marketing of Indian mutual fund companies persuaded retail investors to invest
their excess funds in various mutual fund schemes. As a result of this, the capital assets value
of India's public and private sector companies has shown sustained growth, which was
approximately 5,39,316 crores for private sector companies and approximately 1,19,677 crores
for public sector companies by 2012 (Mohanan.,2006).
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1.3 Structure of Mutual Fund
From among the different investment options available in the market, mutual funds have
received a favorable response from investors. Mutual funds are seen in the market as baskets
of securities in which investors' funds are jointly invested in additional financial securities by
financial advisers and returns are paid to the investors. The asset management firms have been
charging investors fees for this work.
A mutual fund is a professionally managed product available in the market, and it gives small
investors the means to invest their money in a much more diverse way than they could if they
invested it themselves. Mutual funds are another name for a collective investment scheme. It
helps small investors diversify their risks in investments and also multiply their rate of return.
Since February 19, 1993, SEBI is India's regulatory body for mutual funds (Somashekar.,
2009). It continues to regulate, consolidate, and encourage as well as protect investors. Mutual
fund growth in India has coincided with the expansion of private and public sector players. In
the fiscal year 2000-01, the public sector raised Rs. 5,535 crores, the private sector raised Rs.
75,009 crores, and UTI raised Rs. 12,413 crores. There have been 38 SEBI-registered market
intermediaries in 2000-01(Singh and Jha., 2009).
Mutual funds are a tool for mobilizing funds in a much larger market. It is established by the
funder, who can be a financial services firm, a financial institution, or a major bank. An Asset
Management Company (AMC) is a corporate construct used by a funder to operate a business;
underneath this AMC, financial advisors or experts are hired to look after the funds of investors.
An unbiased board of trustees is formed to organizationally monitor, control, and protect the
interests of unit holders. At least half of the trustees must be independent, according to SEBI
regulations. Afterward, there are the custodians, who are entrusted with the charge of the
primary custody of a client's financial securities. For instance, the Stock Holding Corporatio of
India (SCHIL) serves as the custodian for the majority of India's mutual funds. The AMC
appoints a Registrar to assist unit holders with the buying, selling, or switching of units
The Asset Management Company receives capital from depositors and institutional investors,
evaluates market risk and return, and invests the funds to maximize profits for the investor.
Portfolios can be used to put money into a wide range of financial instruments. Portfolios are
various combinations of capital market financial instruments that aid in the trade-off of risk
19
and return. Asset management firms ask investors to invest through various schemes that they
offer, giving investors the liberty to choose where their money should be invested.
A general structure of mutual fund is shown in figure 1.
Figure 1: Structure of Mutual Funds
Source: Singh and Jha., 2009
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1.4 Types of Mutual Fund in India
Usually, most people think of mutual funds, they think of open-end funds. However, there are
in actual two other types of mutual funds: closed-end funds and exchange-traded funds.
The following is the list of all three types of mutual funds:
➢ open-end funds
➢ closed-end funds
➢ exchange-traded funds
A detailed description of these funds is given below in the succeeding sub sections.
1.4.1 Open-End Funds
Open-end mutual funds are by far the most significant type of mutual fund in relation to the
number of funds and assets under management. They differ from other types in that they can
be bought and sold at any time of a same day; however, the cost of the transaction is placed at
the net assets of a share at the end of a trading day, which is generally at 4 p.m. This kind of
fund, which has the right to buy as well as sell at a price, ascertained reasonably after the buy
or sell choice, as well as the reality that another aspect of a purchase or sale is the fund itself,
distinguishes this kind of fund from the others.
Open-end funds are also the mutual fund kinds with by far the most assets are under
management, and they have had incredible gains. The rapid expansion in assets under
management of open-end funds was driven by two factors: the high return of capital markets
and massive inflows of additional funds, owing largely to the expansion of the private pension
market. The impact of the pension scheme market in US on mutual funds can be seen from the
reality that, by the end of 2010, private pensions had spent 3.88 trillion dollars on mutual funds,
accounting for 33% of the assets owned by mutual funds. As of 1995, capital inflows as well
as the return on such net inflows have accounted for roughly 50% of the increase in open-end
mutual fund assets.
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1.4.2 Closed-End Mutual Funds
Closed-end mutual funds, such as open-end mutual funds, kept securities as assets and permit
investors to purchase or sell shares (Deli and Varma, 2002). The distinction seems to be that
share capital in a closed-end fund is decided to trade on an exchange and also has a price
determined by the supply that can and generally does differ from the net assets of the fund's
assets (in contrast to open-ended funds). In addition to that, in closed-end mutual funds, shares
can be bought as well as sold at the current price till the market is open, while the price of open-
end funds is decided once a day.
Furthermore, a closed-end fund can be thought of as a group or company that buys securities
instead of machines. It is also important to note that closed-end stock funds frequently sell at
rates much below their net asset value (Shleifer and DeLong, 1992).
The proportion of billions of dollars in closed-end funds differs from that of open-end funds.
Closed-end funds invest 58% of their assets in bond funds and 42% in stock funds. If we limit
the examination to funds that only hold domestic assets, the probabilities are 68 percent for
bonds and 32 percent for equity. This is in comparison to open-end funds, which are the
opposite. Equity funds control a more significant proportion of the assets.
1.4.3 Exchange-Traded Funds
Exchange-traded funds, or ETFs, are a relatively new concept, with the very first fund launched
in 1993(Engle and Sarkar., 2002). ETFs are very similar to closed-end funds with only one
exception. Just like closed-end funds, an ETF can be traded at a value that is determined by
demand and supply, and it can be bought as well as sold at that price throughout the day. ETFs
are created with a distinction as at trading day closing, investors can produce many more shares
of ETFs by exchanging a security basket that replicates the ETF's holdings, or alternatively,
ETF shares can be exchanged for a basket of the securities.
It thus eradicates one of the most significant drawbacks of closed-end funds: the possibility of
discounted rates. When an ETF's price deviates significantly from its net asset value,
arbitrageurs might very well create or destroy shares, bringing the price back down to the net
asset value. The cash flow provided to the market by this system,
22
as well as the eradication of the danger of significant price deviations from net asset value, has
contributed to the trend of ETFs.
The structure of exchange-traded funds differs significantly from that of other kinds of mutual
funds. The most significant distinction is the significance of index funds in this area of the
business. In 2010, silent funds held 89.5 percent of the assets in exchange-traded funds. That's
in contrast to the 13% held in open-end funds (Schlusche.,2009). Even as recently as 2007,
there were no actively managed exchange-traded funds.
Mutual funds can also be classified based on the market capitalization of the firms in which
investors invest their funds. The next section of this chapter will discuss the classification of
mutual funds based on the market capitalization of the firms.
1.5 Mutual Funds based on Market Cap
Mutual funds pool investor funds, invest them in securities, develop returns, and distribute
them to investors. The investment of mutual funds is decided according to the market
capitalization or market cap of the investee companies. In layman's terms, "market cap" is the
fair value or market value of the firm or company's share capital. It’s true that it's the share
value that is important, not the share price. As per the classification, market cap can be seen in
three way: large-cap, mid-cap, and small-cap and the companies can be classified as large-cap
companies, mid-cap companies and small-cap companies.
Large cap companies are from the first to the hundredth company in terms of market cap, mid-
cap companies are companies ranked 101st to 250th, and small-cap companies are from the
251st company onwards. (Gul et al., 2016). Table 2 given below differentiates between large-
cap companies, mid-cap companies, and small-cap companies.
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Table 2: Difference between large-cap, mid-cap and small-cap companies
Differencing Large cap companies Mid-cap companies Small-cap companies

parameter
Company Large-cap companies are Mid-cap companies Small-cap companies

size and substantial and well developed fall between both the are so considerably
status in the equity market. All these large-cap and small- much smaller but carry
companies have dependable cap categories. These the potential for
management, and they are also firms are versatile and growth quickly.
among the top 100 companies ranking in between top
in the country. 100–250 in the
country.
Level of Companies with a market Companies with a Companies with a

market cap capitalization of Rs 20,000 market capitalization market capitalization
crore or more are classified as of Rs 5,000 crore and of below Rs 5,000
large-cap companies. less than Rs 20,000 crore are classified as
crore are classified as mid-cap companies.
mid-cap companies.
Volatility Large-cap company stocks are Mid-cap stocks do Small-cap firms are
much less volatile. That also seem to be a little increasingly volatile,
implies their prices stay extra volatile and with hefty price a
reasonably constant even during risky than large-cap swing, that also raises
turbulence. As a result, they are stocks. the risk for investors.
low-risk investment choices.
Prospects for Large-cap stocks have a lesser If investor’s risk Small-cap stocks do
growth potential for growth than mid- tolerance is moderate, have most significant
and small-cap stocks. However, they could consider potential for growth,
large-cap stocks are a reliable mid-cap stocks, which but investor should
investment opportunity, have a marginally only invest in those
particularly if investors have a more tremendous companies if they have
long - term investment vision. growth potential. a high degree of
As a result, large-cap stocks are confidence.
well adapted to investors with
low risk tolerance.
Liquidity Large-cap stocks have greater Mid-cap companies Small-cap companies

liquidity because acquired have lesser liquidity have had the lowest
significant demand in the stock because their stock liquidity, making it
market. popularity is more difficult to square
marginally lower. off positions.
Source: Difference between Large Cap, Mid Cap & Small Cap", 2022
24
It really is worth noting that as a company's or firm's share price fluctuates, so does its market
capitalization. In addition, whenever a company announces more stock to the public, its market
cap rises. Another way is that the market cap falls in the particular instance of a buy-back. After
investors define the market cap, they look at large, mid, and small-cap funds (Groww.in.2021).
1.5.1 Large Cap funds
Large Cap funds are equity funds that invest at least 80% of their assets in large cap stocks.
Large-cap companies are reliable and robust, with a solid track record. They are well-known
for creating wealth for their investors.
1.5.2 Mid-Cap funds
Mid-cap funds are kind of open-ended equity funds that invest approximately 65 percent of
their assets in the equity securities of mid-cap companies. These businesses will be around for
a long time and also have a proven track record. Some of these might soon become large-cap
companies. As a result, the mid-cap segment offers appealing growth potential with
manageable risks.
1.5.3 Small-Cap funds
Small-cap funds are open-ended equity funds that invest at least 65 percent of their assets in
small-cap company stocks. Smaller businesses or newcomers to the industry could be examples
of this. Such funds might have strong growth potential but also an elevated level of risk. They
are typically recommended for investors who are willing to take a significant risk.
The table 3 given below demonstrated the possible differences between large, mid, and small-
cap funds.
25
Table 3: Differences between large, mid, and small-cap funds
Differencing Large cap funds Mid-cap funds Small-cap funds

parameter
Riskiness The large cap is regarded Riskiness in such funds comes in Such funds are the most
as the least risky of the between large-cap funds and unsafe of the three other
other three, as the small-cap funds. That means funds. Small-cap firms have a
investment is made in the these funds carry a higher risk small cash position.
top 100 companies’ than large-cap funds but a Regardless of the risk, such
stocks. The fund is lower risk than small-cap stocks also have high growth
usually invested in this funds. potential.
category in Nifty 50
companies.
Rate of These funds investment These funds investment schemes They are the most risky fund
Returns schemes provide outperform large-cap funds in investment schemes, but they
consistent returns with terms of returns. Since last 5- also provide the best
least volatility. Since last years, average return is 10.28 opportunity to make money.
five years, the average percent. The five-year average is 14.72
return has been 7 percent. percent.
Fund Because such funds Data regarding companies in the Investing in small-cap stocks
Manager's mainly invest in large- mid-cap space is tough to obtain. necessitates the use of a fund
Role cap stocks, the fund Therefore, before making manager who has expertise in
manager must select investments, the fund manager analysing the small-cap
stocks based on the must thoroughly investigate the sector. Such companies are
scheme's investment enterprises. In addition to that, highly volatile, with sharp
goals. Such companies' these companies are also on the rises and falls occurring
data is accessible, and verge of becoming large. Hence, within days. As a result, the
their returns are usually the fund manager must identify fund manager must always be
consistent. As a result, the potential of the mid-cap aligned with the sector.
the fund manager must companies and create
concentrate mainly on appropriate portfolio
stock selection. modifications.
Investor’s Such investment schemes These investment schemes are These investment schemes are
profile are typically the choice of preferred by investors with a intended for more daring
investors with a lower moderate profile for risk who investors with a higher risk
profile for risk and those want to gain exposure to the tolerance. Because the small-
looking to invest in equity markets. For this, cap space is highly volatile,
potential in the equity investors must have a long-term such schemes are only for
markets. A long-term investment horizon and be investors who can handle the
investment horizon is content with returns of around risk. Long-term rates of return
required for this. It is also 10%. are expected to be favorable.
appropriate for investors Before making an investment
who are not looking for in a small-cap fund, investors
high returns. need to thoroughly research
the fund manager.
Soruce : Difference between Large Cap, Mid Cap & Small Cap", 2022
26
As shown above, large-cap, mid-cap, and small-cap funds are developed to serve the needs of
various classes of investors. Before investing in any of the above funding schemes, it is
suggested that investors take the time to understand their investment needs and have a financial
plan in place.
1.6 Comparison between American and Indian Mutual fund industry
Mutual funds in India has always been in lime light and persistently growing and attracting
investors over the years. American mutual fund industry is the oldest one in the world. The
first ever modern mutual fund which was launched in the world was in America in 1924 and
the amazing fact is that it still exists as Massachusetts Investors Trusts (MITTX). So, it makes
sense to compare these two countries mutual fund industry.
There is a fascinating study available by Nikita Rao & Heeshma Chhatralia which was
published in the year 2010 “Comparison between the Indian and US mutual funds industry”.
The research found that there has been significant growth noted in the Indian Mutual fund
industry over the years since the first Mutual fund which was launched by UTI.
The Mutual fund industry in USA has also witnessed growth in the past year as the figure 2
below shows the total net assets of US registered fund was grown from 5 Trillion US dollars
in 1998 to approx. 24 trillion US dollars in 2020
Figure 2: Total net assets of USA‘s mutual funds worldwide from 1998 to 2020
Source: Statistica
27
Below in table Assest Under Management in India is displayed from 2018 to 2021 source:
Association of Mutual Fund in India (AMFI)
Table 4: Assest Under Management in India (2018 - 2021)
AMC Name Dec-18 Mar-21 Change Change %

Aditya Birla Sun Life AMC Ltd 242413.29 269700.47 27287.18 11.26
Axis Asset Management Company Limited 81670.14 196862.05 115191.91 141.05
Baroda Pioneer Asset Management Co. Ltd. 12228.81 9624.44 -2604.36 -21.3
BNP Paribas Asset Mgmt India Pvt. Ltd 17548.4 16661.95 -886.45 -5.05
BOI AXA Investment Mngrs Private Ltd 4217.45 2289.18 -1928.26 -45.72
Canara Robeco Asset Management Co. Ltd. 13528.35 28241.44 14713.08 108.76
DSP Investment Managers Private Limited 79030.17 97385.82 18355.65 23.23
Edelweiss Asset Management Limited 11857.57 52412.37 40554.8 342.02
Franklin Templeton Asst Mgmt(IND)Pvt Ltd 111130.27 83524.87 -27605.4 -24.84
HDFC Asset Management Company Limited 393858.15 416667.5 22809.35 5.79
HSBC Asset Management(India)Private Ltd 11239.74 10552.22 -687.52 -6.12
ICICI Prudential Asset Management Company
Limited 308115.12 416196.08 108080.96 35.08
IDBI Asset Management Limited 8630.82 4161.53 -4469.29 -51.78
IDFC Asset Management Company Limited 64793.12 122327.04 57533.92 88.8
IIFL Asset Management Limited 1400.17 2369.93 969.76 69.26
Indiabulls Asset Management Company Ltd. 3727.72 663.69 -3064.04 -82.2
Invesco Asset Management (India) Private Ltd 23879.9 36841.11 12961.21 54.28
ITI Asset Management Limited - 1178.53 - -
JM Financial Asset Management Limited 10961.02 2384.47 -8576.55 -78.25
Kotak Mahindra Asset Management Co Ltd 139346.91 234742.65 95395.75 68.46
L&T Investment Management Ltd 69079.95 72727.95 3648 5.28
LIC Mutual Fund Asset Mgmt Co Ltd 13378.15 16927.15 3549 26.53
Mahindra Manulife Investment Management Pvt. Ltd. 3757.14 5271.08 1513.93 40.29
Mirae Asset Global Inv (India) Pvt. Ltd 21034.68 - - -
Mirae Asset Investment Managers (India) Private
Limited 21034.68 69772.89 48738.2 231.7
Motilal Oswal Asset Management Co. Ltd 18605.91 27436.57 8830.66 47.46
Navi AMC Limited 1758.67 697.75 -1060.92 -60.33
Nippon Life India Asset Management Ltd 236884.8 230221.31 -6663.49 -2.81
PGIM India Asset Management Private Limited 10751.96 6526.72 -4225.24 -39.3
PPFAS Asset Management Pvt. Ltd 1575.56 9388.73 7813.18 495.9
Principal Asset Management Private Limited 2408.4 3847.72 1439.32 59.76
Quant Money Managers Limited 207.53 722.05 514.52 247.92
Quantum Asset Management Co Pvt. Ltd. 1344.22 1942.02 597.8 44.47
Sahara Asset Management Co Pvt. Ltd. 43.05 - - -
SBI Funds Management Ltd 238589.29 490825.85 252236.56 105.72
SBI Funds Management Private Limited 264499.92 505373.46 240873.55 91.07
Shriram Assets Management Ltd 100.53 202.72 102.19 101.65
Sundaram Asset Management Company Ltd 35122.35 35972.37 850.02 2.42
28
Tata Asset Management Limited 49184.2 62021.8 12837.6 26.1

Taurus Asset Management Company Limited 421.26 475.34 54.09 12.84
Trust Asset Management Private Limited - 625.25 - -
Union Asset Management Co. Pvt. Ltd. 3842.4 5240.41 1398.01 36.38
UTI Asset Management Company Ltd 157603.7 182852.73 25249.03 16.02
UTI Mutual Fund 65.4 - - -
WhiteOak Capital Asset Management Limited - 109.68 - -
Total 2690871 3733969 1043098 38.76
Source: Made by author based on data from AMFI
Table 4 has all the assest under management till 2021 in India. The percentage change in the
total assets have been 38.76 % in just 4 years which indeed shows how much the growth in
Indian mutual fund indutry has been tremendious beside that the latest figure of Total assest of
indian registered mutual fund is INR 37.5 Trillion or approx USD 45 Billion (AMFI, 2022).
The American industry however was a very rapidly changing industry when it came to pooled
funds and the innovation in this partucular industry was the ETFs also known as Exchange
Traded Funds which has emmerged in 21st century and it is quiet atttractive because of having
low expense ratio and ease of trading which have made a massive impact on the investment
industry. Not only US but ETFs are a promising investment tool in Europe as well. In USA the
ETF has around USD 5.5 Trillion ( Statistica., 2020) in investment.
On the other hand India has not seen enough growth in ETFs and this mainly because lot of
people are not well educated or knowledgeable about this invesment product but the new
generation are considering low cost, easy trade and risk free investmenmt due to which the
ETFs in future will be in demand. But it is intersting to know that already the population of
India is considering investing in ETFs as well. Between March 2021 and December 2021 the
total assest under management of ETFs in India rose about 40% (Outlook India., 2022).
So, it can be clearly be interpreted that over the years pooled funds or per say mutual funds in
India have seen remarkable growth however this needs to grow more in india so that households
holdings can be invested in the market in order to achieve ther economic interests of India as
well as the economic interests of invetors as well.
29
1.7 Stock Market Indices
1.7.1 What is Stock Market Index?
A stock market index is a powerful indicator and a statistical measure that reflects the changes
in the market. Stock market index also known as market index tracks the movement of a set of
or a group of stocks or other assets. Studying the market index helps investors to analyze the
market and provides an easy way to determine the health of the stock market.
There are few stock market indices which are famous around the world and movement on those
affects the movement in the world. Some indices are S&P 500 and Nasdaq. There is no limit
to the size of an index there could 30, 40, 100 or N number of group of stocks for that matter
Nasdaq has 30 stocks on the other hand CRSP index has more than 3700 stock underlying.
1.7.2 Top Indices around the world
➢ S&P 500
The S&P 500 Index, or standard & Poor's 500 Index, is a market-capitalization-weighted index
of five hundred leading publically listed firms within the U.S. it's not a detailed list of the
highest five hundred U.S. firms by market cap as a result of there area unit alternative criteria
that the index includes (S&P., 2022). Still, the S&P five hundred index is considered one in all
the most straightforward gauges of outstanding american equities' performance, and by
extension, that of the stock exchange overall.
➢ Dow Jones Industrial Average Index

The Dow-Jones Industrial Average Industrial Average is an index that tracks thirty of the
biggest U.S. companies. Created in 1896, it's one amongst the oldest stock indexes, and its
performance is widely known to be a helpful indicator of the health of the entire U.S. securities
market (What the Dow Means and How It Is Calculated., 2022). The Dow-Jones Industrial
Average Industrial Average index is managed by S&P Dow-Jones Industrial Average Indices,
a joint venture majority-controlled by the money info and analytics company S&P world
The Dow-Jones Industrial Average Industrial Average doesn't embrace simply industrial
Stocks, however, conjointly stocks from most sectors and industries, aside from utilities and
transportation, that area unit measured by alternative indexes like the Dow-Jones Industrial
30
Average Transportation Average.
1.7.3 Top Indices in India
➢ Nifty 50
The nifty 50 is Associate in Nursing index of the country’s prime fifty corporations by
capitalization that ar listed on the National stock exchange (NSE). it's one amongst the 2 most
documented barometers utilized by investors to trace how the “stock market is doing”. the
opposite is that the Sensex – an identical index of thirty stocks managed by the Bombay Stock
exchange (BSE) (Agarrwal., 2022).
➢ Sensex
The term Sensex, otherwise called BSE SENSEX, comprises of two words - Sensitivty and
Index , which show what Sensex reflects and ascertains, for example the developments in BSE.
Sensex is the securities exchange file for BSE (Bombay Stock Trade), which was established
in the year 1875, making it the principal stock trade of India and the most seasoned one in Asia,
other than being the Quickest Stock Trade on the planet. Otherwise called BSE SENSEX
(Established in 1986), it is a free-float market-weighted securities exchange list that totals the
developments of 30 deep rooted and monetarily sound Indian organizations. These 30
organizations are the absolute biggest and most effectively exchanged stocks, and are
illustrative of different modern areas of the Indian economy. In less complicated words - the
Sensex tracks the value developments of the 30 most excellent openly recorded organizations
in India. (Worth Explains-What is Sensex? Why should you care about it?., 2022)
1.7.4 How Indices are calculated
Understanding how the indices are calculated could be exciting. To explain the calculation of
indices in layman term would to be to jot down in steps which are as follows.
➢ In the first step every company’s market capitalization in the index is calculated by
multiplying the stock prices of the company with the number of shares issued by the
company
Market Cap = Total No. of shares X per share price
➢ The second step consist of a free floater factor which means market value of all the available
holdings.
Free Float Market Cap = Total No. of shares X Free float factor X per share price
31
➢ In the third step we will take the sum of the free-float market capitalization of all the stock
comprising in the index then it is divided by same sum calculated during the base year. The
achieved result/ratio is then multiplied by the index’s base value which is usually 100 or
1000. For instance, the base year for BSE Sensex is 1978-79 and the base value is 1000.
1.7.4 Relation between S&P BSE 100 and S&P 500
S&P BSE 100 is chosen as an index, to explain S&P BSE 100 is an index comprising top 100
securities in India by market capitalization. The index is a part of S&P family which makes
perfect sense to use in this research as all the large cap mutual funds in India have holding from
this index. Understanding the relation between S&P BSE 100 and S&P 500 will also help us
to understand that how our 4 mutual funds will react when
Some economic event takes place globally.
Table 5: Monthly NAV of S&P BSE 100 and S&P 500
S&P
Date BSE 100 500
01.02.2017 9190,73 2278,87
01.03.2017 9494,36 2363,64
01.04.2017 9669,96 2362,72
01.05.2017 9928,65 2384,2
01.06.2017 9852,86 2411,8
01.07.2017 10432,76 2423,41
01.08.2017 10315,16 2470,3
01.09.2017 10172,64 2471,65
01.10.2017 10776,46 2519,36
01.11.2017 10705,43 2575,26
01.12.2017 11029,78 2647,58
01.01.2018 11419,07 2673,61
01.02.2018 10864,95 2823,81
01.03.2018 10502,61 2713,83
01.04.2018 11152,97 2640,87
01.05.2018 11040,77 2648,05
01.06.2018 10987,71 2705,27
01.07.2018 11625,85 2718,37
01.08.2018 12016,97 2816,29
01.09.2018 11140,99 2901,52
01.10.2018 10661,72 2913,98
01.11.2018 11119,17 2711,74
01.12.2018 11161,02 2760,17
32
01.01.2019 11054,82 2506,85

01.02.2019 10988,69 2704,1
01.03.2019 11809,19 2784,49
01.04.2019 11868,07 2834,4
01.05.2019 12044,07 2945,83
01.06.2019 11909,67 2752,06
01.07.2019 11210,78 2941,76
01.08.2019 11139,78 2980,38
01.09.2019 11580,94 2926,46
01.10.2019 11999,14 2976,74
01.11.2019 12142,8 3037,56
01.12.2019 12236,19 3140,98
01.01.2020 12082,99 3230,78
01.02.2020 11292,68 3225,52
01.03.2020 8668,98 2954,22
01.04.2020 9951,25 2584,59
01.05.2020 9697,9 2912,43
01.06.2020 10410,76 3044,31
01.07.2020 11158,96 3100,29
01.08.2020 11480,92 3271,12
01.09.2020 11391,75 3500,31
01.10.2020 11720,76 3363
01.11.2020 13050,61 3269,96
01.12.2020 14100,47 3621,63
01.01.2021 13797,78 3756,07
Source: Made by Author based on monthly NAV
To understand the relation between both the indices author took monthly NAV for one year for
both the indices refer to table 5 and conducted the correlation test on both the data. in figure 3
on next page you can see the correlation test resuts.
33
Figure 3: Correlation between BSE S&P 100 and S&P 500
BSE 100 S&P 500
BSE 100 1 0,71
S&P 500 0,71 1
Source: Calculated by Author based on monthly NAV
The figure 3 above displays strong correlation between both the indices and this could be
explained because both the indices are from S&P however both are for different country S&P
BSE 100 for top 100 Indian securites and S&P 500 for 500 American securities. The Pearson’s
r is 0.71 which is not 1 but still means that the correlation is strong between both the indices
and movement in one index would affect the other one.
34
2: LITERATURE REVIEW
(Zargad and Khaladkar., 2021) explored blue chip systematic investment plans in India in
order to assist investors in making decisions about which scheme to select for investment. For
this study, the author has chosen five different blue-chip systematic investment plans. For
research work, the author has performed experimentation on secondary data and concluded that
there is no need for investors to be concerned about the previous performance of a mutual fund
because historical results do not determine future performance of mutual funds. From analysis
of the proposed work, the author has found that schemes' Canara Robeco Bluechip Equity
Fund and Axis Bluechip Fund performed similarly.
(Sharma and Joshi.,2021) has performed a comparative analysis based on the performance
assessment among the various debt mutual fund, equity mutual fund, and hybrid mutual fund
schemes across India. Author has evaluate the risk-return association and market volatility of
the chosen mutual fund schemes using various statistical techniques and conclude that Canara
Robeco Emerging Equities, Principal Emerging Bluechip Fund, Kotak Equity Opportunities
Fund, Principal Hybrid Equity Fund, BNP Paribas Substantial Equity Hybrid Fund, DSP
Equity and Bond Fund, Canara Robeco Equity Hybrid Fund are among the funds with below-
average performance, while the remaining five are among the funds with above-average
performance.
(Mathur, 2021) has performed a comparative study between prominent multi-cap and large-
cap fund schemes based on the profits they generate. For this purpose, the author has examined
the effectiveness of ten prominent funds in both multi-cap and large-cap fund categories over
a five-year period. From the finding, it has been observed that the Edelweiss Large Cap Fund's
total return rate and risk are 0.95 percent and 3.89%, respectively, when compared with other
schemes. The obtained results have been tested against the BSE 200 and the Nifty 500.
(Ojha., 2021) proposed an analysis of the performance of various selected HDFC mutual funds
in India. The author believes that, as all fund managers are not successful in the formation of
the portfolio, the current study should be focused on empirically testing of the performance of
the fund manager and also to analyzing the data at the level of fund-manager and fund-
investors. The work presented here is on the analysis of equity mutual funds across India and
their performance. From the analysis of equity mutual funds, the author tried to examine the
pattern of HDFC Mutual Fund Scheme’s performance against stock market benchmarks so that
35
it should be understood which set of equity outperforms others. The outcome of this study is
that HDFC Top 100 Fund outperformed the benchmark CNX Nifty 50 among five selected
HDFC mutual fund schemes.
(Pandey., 2021) performed a comparative analysis between government benchmark returns

and equity mutual funds in India. The researcher has selected five publicly listed companies at
random for this analysis and has chosen secondary data sources that include the Association of
Mutual Fund in India (AMFI), SEBI, and Reserve Bank of India (RBI) for research purposes.
After analyzing the various data, the study concluded that the rates of return on equity funds
are more significant than the standard rates of return on government securities. The most
promising results were found with the Axis Blue-chip Fund in large cap, which produced a
9.54% return rate, which is greater than the benchmark.
(Zargad and Khaladkar., 2021) explored blue-chip systematic investment plans in India in
order to assist investors in making decisions about which scheme to select for investment. For
this study, the author has chosen five different blue-chip systematic investment plans. The
names of the plans are: Canara Robeco Bluechip Equity Fund, Axis Bluechip Fund, Franklin
India Bluechip Fund—Direct Growth, ICICI Prudential Bluechip Fund, and SBI Blue Chip
Fund. For research work, the author has performed experimentation on secondary data and
concluded that there is no need for investors to be concerned about the previous performance
of a mutual fund because historical results do not determine future performance of mutual
funds. From analysis of the proposed work, the author has found that the schemes' Canara
Robeco Bluechip Equity Fund and Axis Bluechip Fund performed similarly. The Axis
Bluechip Fund’s reported total return for the years 2020, 2019 and 2018 was 21.06 percent,
20.47 percent, and 8.98 percent, respectively.
(Derbali et al., 2020) performed a comparative analysis among the most prominent multi-cap
and large-cap funds. The author has chosen a tenure of 2013 to 2018 for the analysis of selected
categories of funds. In this article, performance parameters for funds are compared with the
BSE 200 and Nifty 500. This study found that Mirae Asset India Equity Fund had the highest
average annual return in the Multi-Cap category (15.12 percent), while Canara Robeco Equity
Fund had the lowest (10.44 percent).
(Avinash and Manoj.,2020) has performed the assessment of mutual fund performance prior
to and through the covid-19 pandemic in India. The performance assessment of mutual funds
has been on basis of return and risk evaluation. According to the result depicted in the article,
36
Large Cap Fund-Growth is the top performer and is ranked first. Axis Bluechip fund- Growth
and Canara RobecoBluechip funds were ranked second and third, respectively.
(Halarnkar and US&Pkar.,2020) performed a comparative analysis in between small,

medium and large market capitals. The result of the work shows that, Canara Robeco Bluechip
funds has achieved good return of around 8.67, which is 4th best among the seven different
schemes.
(Derbali et al., 2020) performed a comparative analysis among the most prominent multi-cap
and large-cap funds. The author has chosen a tenure of 2013 to 2018 for the analysis of selected
categories of funds. In this article, performance parameters for funds are compared with the
BSE 200 and Nifty 500. This study found that Edelweiss Large Cap Fund Fund had the average
annual return in the Multi-Cap category (0.95 percent).
(Gami.,2020) in their work, examine various factors, focusing on the impact of equity mutual
funds on the COVID-19 threat. For this analysis, the author has chosen six selected equity
funds. HDFC TOP 100 is one of the chosen equity funds, whose return rate fell to 9.28% during
the COVID-19 threat and its rank fell to four out of six. The study revel that, the return rate is
highly affected during the COVID-19 threat, hence need to be addressed and examine.
(Choksi and Bhatt.,2020) has examined and analyzed the selected mutual fund schemes using
various economic and statistical methods. The name of these selected mutual fund schemes are
HDFC Top 200 Fund (G), DSP-BR Top 100 Equity - RP (G) ICICI Pru Top 100 Fund -Inst –
I, Franklin India Bluechip (G) , Birla SL Frontline Equity -A (G). The result of the study reveals
that HDFC Top 200 Fund (G) has outperformed the other schemes over a five-year period.
(Vasani and Rachchh.,2020) has worked on conducting a study of comparative analysis

among top-rated equity, debt and hybrid mutual fund schemes in India. The finding of the
research shows that, in comparison to other schemes, during a tenure of last five years, Axis
blue chip Fund outperformed all the other plans. It also had the greatest return in the previous
month.
(Indhumathi and Gayathri, 2019) have studied the performance of various mutual funds in
India. The research shows that institutional investors' ability to time the market drives mutual
fund scheme effectiveness. This evaluation of the aforementioned factors will aid investors in
their selection of mutual funds. The author has conducted a survey from January to June 2019
for thirty-six Indian mutual fund schemes using a statistical tool. The results showed that the L
37
& T Liquid Fund – Direct (Growth), the L & T Low Duratio Fund – Growth, and the Edelweiss
Large Cap Fund – Direct (Growth) all performed well.
(Maheswari and Dineshkumar., 2019) has conducted a research study of the performance
assessment of Axis mutual funds. For this, the author has attempted to measure the performance
of growth-oriented equity-diversified schemes in terms of return and risk. The information or
data was taken from different mutual fund scheme internet sites. As per the assessment, most
of the funds chosen for the study outperformed using the Sharpe and Treynor ratios. Mutual
funds use indexes and statistical methods as tools.
(GS.,2019) has performed performance analysis of equity large cap mutual funds. The names
of the chosen equity large cap mutual funds are Axis Blue Chip Fund, Kotak Blue Chip Fund,
ICICI Prudential Blue-Chip Fund, SBI Blue Chip Fund, and IDFC Blue Chip Fund. As per the
data received for the last three years, the average return rate of the Axis Blue Chip fund is
higher than other mutual fund schemes. The reported return rate is 9.17 for the Axis Blue Chip
Fund.
Further, when comparing the performance of the various schemes to the benchmark index, the
findings as per the Sharpe method demonstrated that SBI Blue Chip Fund is currently ranked
first, AXIS Blue Chip Fund is placed second, and ICICI Blue Chip Fund is ranked third.
(Alam.,2019) has examined the behavior of total 183 actively managed equity-oriented funds
across India since April 2000 to March 2018 in order to examine fund managers' stock selection
and market timing ability. For the assessment of performance of the India mutual fund schemes,
numerous risk-adjusted measures such as CAPM and multifactor models of Fama-French
(1993) and Carhart (1997) has been deployed in this work. The results of the study revealed
that for Indian investors, active portfolio management cannot perform better than passive
investment strategy, and fund managers lack stock selection skills and lack evidence of market
timing ability among Indian fund managers. The research illustrates that the findings are robust
while compared to other existing measures, time periods, and even funds.
(Leelavathi and Shivaraj., 2018) has tried to make a comparison between the previous returns
of selected five large-cap equity mutual funds and their standard using various statistical tools
like average or mean returns, standard deviation (SD), beta, Sharpe ratio, and Treynor ratio,
etc. As per this study’s results, the average annual return of the HDFC Capital Builder Value
Fund is much higher than that of the other mutual funds under experimentation. The result also
reveals that Franklin India Blue-chip Fund is the least volatile of all mutual funds, having a
38
minimum standard deviation. The author concludes that all considered mutual funds in the
study have a co-integrating relationship.
(Dhandayuthapani and Arunpratheep., 2018) have proven the investigation of 20 open-

ended diversified equity schemes through their daily closing net assets. The tenure that has
been chosen by the author for this investigation is five years from April 2013 to March 2017
and the same schemes were used to find the scheme’s returns. The performance evaluation
tools that have been chosen by the author are Sharpe, Treynor, and Jensen, which show the
promising results that, as characterized by the author, will help investors invest their money.
(Kalyan and Gautami.,2018) performed the assessment test for concluding the riskiness and
profitability among the chosen mutual funds using variables such as Mean, Standard Deviation
(SD), Beta (β), Sharpe Ratio, and Treynor Ratio. Author claimed after the test that mutual funds
are safest and diversified investments. One of the significant finding of author test is that the
risk and return in Tata Contra Fund are higher than in L & T Contra Fund.
(Shruthi and Manjunatha.,2018) has implemented famous metrics like Sharpe, Treynor, and
Jensen measures for data from 2014 to 2018. The research reveals that the sample selection
scheme has good returns and lower risk, and it is recommended that investors conduct a self-
analysis of their necessities, risk, and future value, as well as enhance the level of consciousness
and economic understanding of individual investors in terms of improving their investing
strategy.
(Ojha.,2017) exceptionally performed the comparison among 10 diversified equity schemes to

the BSE Sensex in terms of profitability and risk assessment, as well as risk-adjusted
performance measures that include the Sharpe ratio and Treynor ratio. In a nutshell, around
30% of the
various fund schemes exhibited high and superior average rates of return, whereas the
remainder produced lower returns. Based on SD, it has been assumed that 90% of the chosen
plans are less unsafe than those of the market. A total of 10 funds had β values of less than one
and positive, implying that they would be less risky than the portfolio risk, while the
determination coefficient (r2) of all 10 funds was close to one, indicating more incredible
diversification benefits. Only one out of ten schemes outperformed the others in terms of
Sharpe ratio, while 4 out of 10 outperformed in terms of Treynor ratio.
39
(Rani and Hooda.,2017) has performed a thorough performance assessment on five different
schemes. For this comparison, the author has chosen various variables like risk and returns,
mean return, standard deviation (SD), and beta (β). The findings of this study showed that the
Tata Equity P/E Fund outperformed other funds in terms of its mean return value and riskiness.
However, during demonetization, which occurred in November 2016, all schemes, regardless
of type, produced negative returns. In growth-direct plans, the returns rate in the months of
January and February 2017 were higher than those in March 2017, and the same pattern has
been observed in the analysis of growth-regular plans as well.
(Ravichandran and Jayraj.,2017) has examined the riskiness and return analysis of the top
twenty open-ended, broadly diversified schemes that have been chosen for the tenure from
April 2013 to March 2017, almost five years. The author in this work used the Sharpe, Treynor,
and Jensen measures to help investors make the best investment decisions.
(Dhabolkar et al., 2017) has investigated the effectiveness of proposed Indian mutual fund
schemes in using tracking error. The author has used Jensen's alpha in order to rank all these
funds. The results of the study reveal that the Franklin India index fund is proven to have the
lowest tracking error while the Birla Sun Life index fund is the following fund. The results
obtained from Sharpe and Treynor's also proved that the Franklin India index fund is the best
performing fund among the selected index funds.
(Mishra and Peerapur.,2016) has demonstrated the comparison between Birla Sun Life
Mutual Fund Schemes and the other asset management companies' schemes. The findings of
this study reveal that only Birla Sun Life 95 Fund, HDFC Top 200 Fund, and HDFC Tax Saver
are found to have a beta value greater than 1.0, which indicates these funds are more volatile
than the benchmark stock index. The rest of the funds under study have a beta value under 1.0,
which indicates the fund is less volatile than the benchmark index.
(Gandhi, 2016) investigated the decisions of investors' investments in mutual funds using
various statistical tools like standard deviation, beta, and alpha. The author also performed and
ratio measures of mutual fund schemes. According to the research, the Canara Robeco Equity
Tax Saver schemes outperform various schemes in the banking industry, and the HDFC Tax
Saver-Growth scheme has a lower variance and standard deviation, which makes it less risky
than other banking tax saving schemes.
(Ayaluru.,2016) studied the risk and rate of return effectiveness of ten selected Reliance
Mutual Fund’s open-ended equity schemes across both short-term and long-term investment.
40
As per study’s findings, all of ten reliance funds has outperformed the selected standard return,
and these funds are very well managed by the AMC. Author also claim that, there really are
schemes adequate for each category of investor, which can be chosen based on factors such as
risk profile expected returns, and so on and that schemes can be any of type low, moderate and
on high risk.
(Seddeke and Rahman.,2016) investigation was conducted into the Investment Corporatio of
Bangladesh, which is a pioneer in the Bangladesh mutual funds industry and an effectively
performing bank among many. It was studied for its performance analysis of the mutual funds
associated with it. Various methods, like Treynor's Index, Sharpe Ratio, Jensen Alpha, and
Fama's Decomposition analysis, were used to test portfolio performance. A composition
analysis portfolio was explored. As per the study, ICB Portfolio Managers had some
deficiencies in asset management.
(Solanki., 2016) From April 1, 2007 to March 31, 2016, author has attempted to assess the
effectiveness of ten Reliance open-ended equity schemes with such a growth option. Excluding
the Reliance Focused Large Cap Fund, all of the plans researched have produced average rates
that are greater than the standard BSE National 100 and SENSEX returns. In terms of return
on equity, the Reliance Pharma Fund, Reliance NRI Equity Fund, Reliance Focused Large Cap
Fund, Reliance Equity Opportunities Fund, and Reliance Focused Large Cap Fund have
outperformed the BSE Sensex. As a result, investors investing in such schemes may receive
greater yields per unit of total and systematic risk.
(Bajracharya.,2016) has obtained the effectiveness of various Nepal stock exchange trade
(NEPSE) mutual funds in aspects of risk-adjusted outcome measures measured by Jenson,
Treynor, Sharpe, and statistical algorithm. The research reveals that most funds were
diversifying; others were not, and as a result, their risk level differed.
(Rangasamy et al.,2016) examined 18 mutual funds from various categories such as equity,
index, income, balanced, liquid, and gilt etc. using tools such as Ranking, Average Return,
Standard Deviation (SD), and Sharpe Ratio, and the results seems to assist investors in selecting
the appropriate category of mutual fund.
(Gandhi and Perumal.,2016) explored various tools, such as Standard Deviation (SD), Beta
(β), and Alpha (α) of mutual fund plans that are used to investigate investors' investment
choices toward mutual funds. From the results, it has been observed that the Canara Robeco
Equity Tax Saver plan has performed well in a specific scheme of the banking sector. Further,
41
findings also reveal that the HDFC Tax Saver-Growth scheme has a lower variance and
standard deviation, which makes it suitable for less risky plans than other banking tax saving
schemes.
During my tenure from April 2011 to March 2015, (Bhagyasree and Kishori.,2016) has
investigated the effectiveness of various open-ended, growth-oriented equity schemes. The
previous effectiveness of all such chosen schemes was evaluated in this work, using Sharpe,
Treynor, and Jensen's techniques. From the analysis of the effectiveness of these schemes, the
author claims that this study will surely help investors invest money. From the findings of this
study, it has also been discovered that 14 of the 30 mutual fund schemes lead the benchmark
rate of returns. As per the experimentation, Reliance Regular Savings Fund Equity, SBI Contra
Fund, and HDFC Equity Fund are not able to perform well due to a lack of portfolio
diversification. Further, it has also been mentioned that all plans had a positive Sharpe ratio,
implying that the funds offered returns more remarkable than that of the risk-free rate.
According to Jensen measure results, 19 out of 30 schemes were demonstrated.
(Sharma., 2015) has performed an analysis of the ten best performing sector funds over a five-
year time frame from 2009 to 2014. The author implies various mathematical and statistical
approaches such as growth rate of return based on compound annualized, mean, standard
deviation (SD), beta (β), alpha (α), Sharpe ratio, and R-squared for this analysis. The result of
this article reveals that a few schemes performed strongly by reducing sector-specific equity
price risk by diversifying within the specific sector. The chosen schemes have really been
consistently rated in terms of return on equity using detailed analysis.
(Chauhan and Adhav.,2015) has worked on 390 mutual fund schemes, of which 178 are
equity funds, 138 are debt funds and 74 are hybrid schemes. The study tenure is a 5-year period.
The study has been executed in terms of the fund’s annual return, standard deviation (SD), and
Sharpe Ratio. As per the study, the average annual return engendered by mutual funds of
chosen Indian firms is higher than the risk-free return of the 91-day T-Bill and the reference
return. Chosen Equity schemes have significantly outperformed the standard BSE indices with
a more significant margin. Likewise, the performance of Indian businesses' debt strategies has
been found to outperform. In addition, the hybrid schemes outperformed the benchmark Credit
Rating Information Services of India Limited (CRISIL) balanced fund index in mean returns.
Hence, the author has concluded that the performance of mutual funds of selected Indian
companies has been superior over the last five years. In their study,
42
(Goyal.,2015) looked at the achievements of the 10 leading mutual funds in India, as ranked
by CRISIL in September 2014, and especially in comparison with the benchmark, the S&P
CNX Nifty. To compare performance, various relative and absolute performance measures
such as Sharpe, Treynor, and Jensen's Alpha were used. According to the study, each and every
scheme provided loftier average returns than the market. Franklin India Opportunities Fund
has been identified as a market leader in terms of performance, with higher average returns and
lower risk, and it has become an ideal choice for investors seeking higher returns while taking
on less risk.
(Nimalathasan and Gandhi.,2012) performed a research in charge of conducting a

profitability analysis. A comparison analysis on equity diversified schemes and equity mid-cap
revealed that of all the Open ended – Mutual Fund schemes, the Canara Robeco Equity
Diversified fund has been favored and currently ranks first, while amongst some of the open-
ended mid-cap schemes, HDFC Asset Management Company was favored and ranked first.
(Garg, 2011) analyzed the performance of the 10 leading mutual fund schemes that had been
chosen based on the past year's returns. The current efforts are aimed at examining the
performance based on repayment, standard moving average, beta, and Sharpe, Treynor, and
Jensen indexes. The author in this study also utilized Carhart's four-factor model to thoroughly
examine the performance of the mutual funds. As per the result depicted, over the one-year
category, the Reliance Regular Saving Big Plan had
achieved the highest final score and Canara Robeco Infra had fallen to the lowest final score.
(Patil and KS., 2011) conducted an empirical study on the performance of Indian mutual funds
for this study, the author has chosen the data for empirical study from the years 2007 to 2010.
Further, the author has chosen the top five mutual funds and the top 10 indexes for the purpose
of sampling. Using some statistical techniques on the selected dataset, the author comes to the
conclusion that the Reliance Vision Fund and the HDFC Top-200 Fund have provided excellent
returns to investors.
From the literature review, it has been found that lots of work has been reported on using
statistical evaluation models for the performance assessment of various mutual fund schemes,
and a few of them have also been using proposed performance evaluation models named the
Sharpe, Treynor, and Jensen models. But the thrust of finding the best performer among the
various mutual fund schemes is still an on-going research work, because year-wise changes in
data as well as an unpredictable market have the most significant impact on the funding
43
schemes. Hence, the mutual fund scheme’s assessment is of great interest to economists and
researchers.
Moreover the investment decision will be affected by a lot external and internal factor also the
chartacterstic of an individual investor but this study will atleast provide some insight to the
investor in making decision. In 2012 Nimalathasan and Gandhi also performed the
profitability analysis on quity diversified mutual fund where the Canara Robeco Equity
Diversified fund has been favored and currently ranks first, again in 2016 in study by Gandhi
and Perumal Canara Robecco outperfomed every other mutual fund and last but not the least
in this research as well Canara Robecco out performed other three mutual funds.
We can see a trend here where ever any mutual fund scheme from Canara Robecco was present
it has consistently out performed other schemes, which clearly shows that this fund is managed
correctly and has given better performance always when compared to any other schemes.
44
3 : DATA
3.1 Data selection
For the proposed research work four major large cap mutual funds has been chosen. The name
of the schemes is:
1. Canara Robeco Blue Chip Fund

2. Edelweiss Large Cap Fund
3. HDFC Top 100 Fund
4. Axis Blue chip Fund
These four large cap mutual funds have been chosen on the basis of their Credit Rating
Information Services of India Limited (CRISIL) rating. All four mutual funds are in top five
CRISIL rating. These four mutual funds are top-rated in the Indian mutual fund industry these
funds started approx. 15 years ago and large cap mutual funds are good choice for investors
who are looking for long term investments.
3.2 Data collection
This research is entirely based on secondary data. The data is collected mailny from two
websites Yahoo Finance and Money Control. Past four years of daily NAV is collected from
Yahoo Finance for all the four mutual funds. The Data is collected from 2017 to 2021, closing
NAVs have been taken into account while calculating the different metrics. Other than this,
data from Securities Exchange Board of India (SEBI) and Association of Mutual Fund in India
(AMFI) has been taken.
For this study author has selected a Benchmark to compare the mutual funds from and for this
the best benchmark was BSE 100. BSE 100 is an index designed to meausre the performance
of the 100 most prominent and most liquid indian companies within the S&P BSE
LargeMidCap. BSE 100 seems to be the most relevent index to be taken as benchmark for this
study.
45
3.3 Data processing
The data collected from the websited needed some cleaning & transformation. Daily NAV data
was downloaded in CSV format from Yahoo Finance and then was converted into excel format,
for the rolling window approach author took first year,252 days and calculated the metrics,
then moved the window by one day and repeated. The trading hours in India is between
09:15am to 03:30pm from Monday to Friday. The NSE & BSE is closed on weekends and no
trading takes place except if there is any trading sessions are announced.
3.4 Description of selected Mutual funds & Benchmark
3.4.1 Canara Robeco Blue Chip Fund
Large corporatios are regarded as "leaders" in their own relevant industries in terms of scale of
operatios. That also helps to explain how their stocks are much less volatile. Canara Robeco
Blue Chip Equity Fund owns shares in large cap* companies with the goal of capital growth.
The fund primarily decided to invest in large-cap stocks. Indian large caps were indeed
evergreen stocks that had the ability to increase in tandem with the Indian market.
The investors invest in Canara Robeco Blue Chip Equity Fund because,
➢ A concentrated portfolio of large cap companies with the goal of providing consistency
and adequate asset allocation.
➢ Dedicated to making an investment in India's growth story. Investment is only subjected
to large caps, that are among the safest investments and thus has access to leaders across
industries.
➢ The fund selects organizations with solid foundations.
➢ Could be core component of an investor's 'CORE' investment of capital allotment.
Hence, Canara Robeco Blue Chip Equity Fund is the most popular mutual funds among
investors and is also the subject of an evaluation of performance assessment in terms of profit
and riskiness by various research scholars and fund professionals.
It has been noticed that, Canara Robeco Blue Chip Equity has been chosen by the various
researchers in their studies for comparative analysis with other mutual funds in order to
examine its profitability and riskiness over different tenures. In most of the studies, the
comparative analysis for the potential assessment has been done on the basis of statistical
46
tool analysis. Among the most recent research, Canara Robeco Blue Chip Equity has been
outperformed as compared to other mutual fund strategies in terms of rate of return, while
among the other studies; it has had both poor and moderate performance.
3.4.2 Edelweiss Large Cap Fund
The purpose of the asset is to develop long-term capital growth from an investment primarily
comprised of equity and equity-related shares of India's 100 largest corporatios by market
capitalization listed on the stock exchange. However, there really is no assurance that the
scheme's expenditure on economic growth will be realized, and the scheme does not absolutely
guarantee or assure any yields.
According to the 2021 report, Edelweiss Large Cap Fund accounts for 85.54 percent of
significant capital investments, 13.11 percent of mid-capital investments, and 1.35 percent of
small capital investments. The reported return rate from this scheme for the last 1 year, 3 year,
and 5-year periods was 29.92%, 16.44%, and 15.89%, respectively.
The Edelweiss Large Cap Fund has been preferred by numerous researchers’ studies for
comparative studies with other mutual funds in order to examine its profitability and the
riskiness associated with it. The analysis presented in these studies reveals that the return rate
in Edelweiss Large Cap Fund is reaching up to 95% overall, which is an acceptable return to
investors.
As a result, of this good return Edelweiss Large Cap Fund is by far the most general mutual
fund among investors, and it is also the subject of a performance evaluation in terms of profit
and riskiness by various research scholars and fund professionals.
3.4.4 HDFC Top 100 Fund

HDFC Top 100 Fund has primarily decided to invest in large-cap stocks. The fund invests
94.84 percent of its assets in Indian stocks, with 79.32 percent in large-cap stocks and 5.38
percent in mid-cap stocks. The asset allocation of the HDFC Top 100 Fund as reported is
94.87% in equity, 4.88% in debt, and 0.260% in other.
HDFC Top 100 Fund is suitable for the following:
➢ For Investors seeking high returns over a period of at least three to four years.
➢ At about the same period, such investors must be prepared for modest losses in their
investment portfolios.
➢ Long-term capital appreciation / income generation
47
The HDFC Top 100 Fund is the most popular mutual fund scheme among investors, and it has
also been the subject of a performance evaluation in terms of profit and riskiness by a number
of research scholars and fund professionals. For example:
HDFC Top mutual funds shows that the HDFC Top mutual funds are the hottest schemes
among the other popular mutual fund schemes in India. As a result, it is in the best interests of
economists to investigate. The literature review demonstrated that HDFC Top mutual funds
have a good return for a period of five or more years of investment, and they are more volatile
than other funds.
3.4.3 Axis Blue chip Fund

The Axis Blue Chip Fund is working with the objective of gaining long-term overall growth
through investing in a variety of portfolios primarily comprised of large-cap equity and related
securities. It also has derivatives. Nonetheless, there is no guarantee that the scheme's
investment goal will be met.
There are the following benefits to customers when investing in Axis Blue Chip Funds:
➢ Blue chip mutual funds primarily invest in significant businesses.

➢ Of that kind companies are decided to trade regularly and thus liquid, as well as less
volatile, because they have a strong track record, business models, and are capable of
delivering long-term good returns.
➢ The Axis Blue-chip Fund seeks to over-perform the standard while carrying a lower
risk.
➢ Equity as an asset has the ability to revolutionize inflation and consistently achieved
wealth.
• Long-term objectives including such child's education and career, pension, or any other
protracted growth that necessitates a wealth generation plan are examples of set targets.
With numerous benefits of Axis Blue-chip Fund, it became the most good mutual fund scheme
and the subject of performance evaluation in terms of profit and riskiness by a number of
research scholars and fund professionals. For example,
The return rate of AXIS Blue Chip Fund is exceptional good for long term investment. Hence
the scheme is favorable among the investors.
48
Further, all four investment schemes chosen for the present research work have shown the great
interest of investors as well as researchers. Hence, these investment schemes have been chosen
for examination in depth for critical analysis of their profitability and riskiness in the present
research work.
3.4.5 S&P BSE 100

S&P BSE 100 is an index listed on Bombay Stock Excahnge and it is designed to measure
India’s top 100 performing stocks. The index consist of most liquid and most prominent
companies in India with in the S&P BSE LargeMidCap.
➢ S&P BSE 100 has been float adjusted and is an investable index that reflects the Indian
economy.
➢ The market capitalization of S&P BSE 100 covers approx. two-third of the listed
universe at BSE Ltd.
➢ Base year for this index is taken as financial year 1993-94.
➢ Base value for this index has been set at 100 points.
➢ The index is calculated in Indian rupee, and which makes this index perfect to be
included in this research as a benchmark.
3.5 Asset and Sector allocation for all the four Mutual Funds.
3.5.1 Canara Robeco Blue chip
This product is appropriate for investors looking for a high-yielding investment.
• Long-term capital appreciation

• Investing primarily in large-cap equities and equity-related tools.
The fund invests 96.5 percent of its assets in Indian stocks, with 73.95 percent in large caps
and 9.76 percent in mid-cap stocks.
➢ Sector Allocation for Investment
The sector allocation of Canara Robeco Bluechip is presented in the following figure 2.
It will demonstrate how much asset weight is assigned to which industry sectors.
This is as per the latest data of 2021.
49
Figure 4: Sector Allocation Canara Robeco
Banks Software Finance Petroleum Products

Pharmaceuticals Other Equity MMI & Others
5%
23%
35%
15%
6% 10%
6%
Source: Made by author based on data from Money Control
➢ The portfolio is divided into 49 stocks, with the top ten stocks accounting for 50.85%
of the total net assets. The top ten holding as per latest data of 2021 are presented by table 6.
Table 6: Top ten holdings
Type of Industry Holding By
HDFC Bank Ltd

Bank
ICICI Bank Ltd
State Bank of India
Axis Bank Ltd
Software Infosys Ltd
Tata Consultancy Services Ltd
Housing Development Finance

Finance
Corporation Ltd
Bajaj Finance Ltd
Petroleum Products Reliance Industries Ltd
Construction Project Larsen & Toubro Ltd
50
➢ Plans: Canara Robeco Bluechip is associated with both direct plan and Regular Plan.
Table 5 describes the various direct plans or regular plan covered by it.
Table 7: Description of plans
Type of plans Description
Choice for Reinvestment of Distribution Of income and Capital Withdrawal
Income Distribution Cumulative Capital Withdrawal

Regular Plan
Option for Growth
Choice for Reinvestment of Distribution Of income and Capital Withdrawal

Direct Plan
Income Distribution Cumulative Capital Withdrawal
Option for Growth
3.5.2 Edelweiss Large Cap Fund
The purpose of the asset is to develop long-term capital growth from an investment primarily
comprised of equity and equity-related shares of India's 100 largest corporatios by market
capitalization listed on the stock exchange. However, there really is no assurance that the
scheme's expenditure on economic growth will be realized, and the scheme does not absolutely
guarantee or assure any yields.
This product is appropriate for investors.
• Seeking high returns on their investments for at least three to four years.
• At about the exact moment, such investors must be prepared for reasonable losses in
one‘s investment.
and 10.02 percent in mid-cap and 1.86 percent in small cap stocks.
The sector allocation of Edelweiss Large Cap Fund is presented in the following figure 5. It
will demonstrate how much asset weight is assigned to which industry sectors.
51
Figure 5: Sector Allocation Edelweiss
Financial Service IT Consumer Goods
Oil & Gas Telecom Pharma
Automobile Metal Construction
Cement & Cement Products 4%

4%
4%
4%
4% 33%
5%
10%
12%
20%
52
➢ The portfolio is divided into various stocks. The top holding as per latest data of 2021
are presented by table 6.
Table 8: Top holdings Edelweiss
HDFC Bank Ltd
ICICI Bank Ltd
State Bank of India

Bank or Financial Services
Axis Bank Ltd
Kotak Mahindra Bank Ltd.
Bajaj Finance Ltd.
Housing Development Finance Corp Ltd.
SBI Life Insurance Company Ltd.
PB Fintech Ltd.
Infosys Ltd

Software or IT
HCL Technologies Ltd.
Tech Mahindra Ltd.
Wipro Ltd.
ITC Ltd.
Hindustan Unilever Ltd.

Consumer Goods
Asian Paints Ltd.
Titan Company Ltd.
➢ Plans: Edelweiss Large Cap Fund is associated with both direct plan and Regular
Plan. Table 9 describes the various direct plans or regular plan covered by it.
53
Table 9: Description of plans
Type of plans Description
IDCW Option
Regular Plan
Option for Growth
IDCW Option
Direct Plan
Option for Growth
3.5.3 HDFC Top 100 Fund
This is a mutual fund that invests in large corporatios. Even before stock prices come down,
the value of these kinds of funds usually falls less than those that invest in smaller businesses.
As a result, they are probably more suited to investors who have a conservative equity nature.
one‘s investment.
The sector allocation of HDFC Top 100 Fund is presented in the following figure 6. It will
demonstrate how much asset weight is assigned to which industry sectors. This is as per the
latest data of 2021.
54
Figure 6: Sector Allocation HDFC
Financial Service Energy Technology Health

Construction Automobile FMCG Communication
Insurance Engineering Other
1%
3% 8%
3%
3%
34%
4%
5%
3%
13%
23%
55
Table 10: Top holdings HDFC
HDFC Bank Ltd
ICICI Bank Ltd
State Bank of India

Axis Bank Ltd
Power Finance Corporation
REC
Infosys Ltd
Software or IT
HCL Technologies Ltd.
Reliance Industries
NTPC
Energy Coal India
Hindustan Petroleum Corporation
Bharat Petroleum Corporation
Reliance Industries Ltd - Partly Paid Equity
Power Grid Corporation
56
3.5.4 Axis Blue chip Fund
The Axis Blue Chip Fund is working with the objective of gaining long-term overall growth
through investing in a variety of portfolios primarily comprised of large-cap equity and related
securities. It also has derivatives. Nonetheless, there is no guarantee that the scheme's
investment goal will be met.
one‘s investment.
The sector allocation of Axis Blue Chip Fund is presented in the following figure 7. It will
demonstrate how much asset weight is assigned to which industry sectors.
Figure 7: Sector Allocation Axis
Basic Materials Consumer Cyclical Financial Services

Consumer Defensive Healthcare Communication Services
Energy Industrials Technology
5%
2% 11% 7%
9%
1%
1%
13%
51%
57
Table 11: Top holdings Axis
Cholamandalam Investment and Finance Company Limited
ICICI Bank Ltd

Bajaj Finance Limited
HDFC Bank Limited
Coforge Limited
MindTree Limited
Technology
Astral Limited
Avenue Supermarts Limited
Health Apollo Hospitals Enterprise Limited
Energy Crompton Greaves Consumer Electricals Limited
58
4: METHODOLOGY
4.1 Sharpe ratio
In 1966, William F. Sharpe has invented what became known as now the Sharpe ratio.
Previously, researchers and economists referred to it as the Sharpe ratio.
The Sharpe ratio is also known as the Sharpe index, the Sharpe measure, and the reward-to-
variability ratio etc. Basically, it is a method of analyzing the success rate of the investments
while controlling for risk.
The Sharpe ratio, named after William F. Sharpe, measures the higher returns (or risk premium)
for every unit of deviation in a financial asset or stock portfolio, which is usually referred to as
risk.
The Sharpe ratio measures whether an asset's profit makes up for the investor's risk taken. Once
two assets are compared to a common reference point, the one with a higher index offers a
higher profit for the same risk (or, equivalently, the same return for lower risk). Nevertheless,
it, like every statistical model, is dependent on accurate data. A system that provides a long
duration of activity will usually provide such a high Sharpe ratio, as deduced from notified
returns, but the input data is false.
While analyzing the portfolio returns of assets with smoothed returns (such as with-profits
funds), the Sharpe ratio should be calculated using the underlying asset performance rather
than the fund returns.
𝑆𝑡 = 𝑅𝑝 − R f /6p (3.1)
Sharpe's index = portfolio average return – risk-free rate of return / portfolio standard
deviation
59
4.2 Jensen Measure
Michael Jensen introduced Jensen's alpha as a metric for evaluating mutual financial advisers
in 1968. The capital asset pricing model's return is assumed to be "risk adjusted." That also
implies it needs to take into account the asset's relative riskiness.
Every asset, including stocks, securities, or derivative products, could be used as a security. An
economic model, most frequently capital asset pricing, predicts the hypothetical return. The
economic model incorporates statistical techniques to forecast an asset's right measure return.
The CAPM, for example, employs beta as a multiplier.
It is premised on the idea that higher-risk investments ought to have higher returns than lower-
risk investments. If such an asset receives a special risk-adjusted return, all of that has "positive
alpha" or "mispricing." Investors are actively searching for investments with greater alpha.
Numerous scholars believe that the economic markets are too effective at ensuring excellence
and alpha on a consistent basis, unless Jensen's alpha (or Jensen's Performance Index, ex-post
alpha) is being used to ascertain the abnormal profits of an asset or portfolio of securities over
the conceptual expected profit.
It is a variant of the standard alpha that is based on a conceptual performance metric rather than
a market index.
𝑅𝑝 = 𝑎 + 𝐵(𝑅𝑚 − 𝑅𝑓 ) (3.2)
Rp = denotes the portfolio's average return.
Rf = Risk-adjusted rate of return
a=represents the intercept.
B = A metric for assessing systematic risk
60
Rm= denotes the average market return.
In case Jensen's alpha is positive and significant, the approach under consideratio has a track
history of outperforming what might be predicted based on other factors alone.
Jensen Measures has been commonly used to assess mutual fund and portfolio manager
effectiveness, frequently in combination with the Sharpe and Treynor ratios.
4.3 Treynor’s Performance Measure
The Treynor ratio is also known as the reward-to-volatility ratio or Treynor measure. It has
been named after Jack L. Treynor. It is a quantification of the significant rate of return earned
above those that could've been earned on an investment with no diversifiable risk per unit of
market risk taken.
The Treynor ratio compares the higher returns out over risk-free rate towards the added risk
chosen to take; even so, risk is being used rather than overall risk.
The greater the Treynor ratio, the stronger the results of the analyzed investment.
Treynor = Average or mean Return of Portfolio – Risk-Free Rate of Return / Beta (β)
The Treynor ratio (T), such as the Sharpe ratio, doesn't really measure the additional value
created by portfolio management. It's just a raking system. A Treynor Ratio-based asset
allocation ranking is really only helpful if the portfolios under account are sub-portfolios of a
more extensive, completely diversified portfolio. If that isn't the case, investments with the
same systematic risk but just a different overall risk will be regarded similarly. The asset
allocation with a higher overall risk, on the other hand, is less diverse and thus has a greater
unsystematic risk that is not valued in the market.
61
4.4 Beta
Beta of an stock for investors is a crucial metrics to be taken into consideratio while making
investment decision in any kind of mututla fund. Beta of an investment security or mutual fund
is a measurement of its volatitly of returnes relative to the entire market. In a layman term beta
is basically the measuremnt of risk for the given stock, security or mututla fund. Beta is a
integral pasrt of Capital Asset Pricing Model (CAPM). Beta is denoted by symbol (β). Fund
with higher beta means that it has greater risk but also greater expected returns.
The interpretation of Beta coefficient are as follows :-
• β =1 exactly as volatile as the market

• β >1 more volatile than the market
• β <1>0 less volatile than the marke
• β =0 uncorrelated to the market
• β <0 negatively correlated to the market
𝛽𝑖 = 𝐶𝑜𝑣 (𝑟𝑖, 𝑟𝑚)/ 𝑉𝑎𝑟(𝑟𝑚) (3.3)
βi = Beta of asset i
Cov = Covariance
Var = Variance
Rm = Market return
Ri = Expected return on an assest
4.5 Standard Deviation
Standard deviation is a financial measure and yet another critical metric which comes very
handy while making investment decisions. Standard deviation measures risk and consistency
in investment earnings. In general it measures the income variations in investments and the
consistency of their returns.
𝜎𝑃 = √(𝑤𝐴2 ∗ 𝜎𝐴2 + 𝑤𝐵2 ∗ 𝜎𝐵2 + 2 ∗ 𝑤𝐴 ∗ 𝑤𝐵 ∗ 𝜎𝐴 ∗ 𝜎𝐵 ∗ 𝜌𝐴𝐵) (3.4)
• σP = portfolio standard deviation
62
• wA = weight of asset A in the portfolio
• wB = weight of asset B in the portfolio
• σA = standard deviation of asset A
• σB = standard deviation of asset B; and
• ρAB = correlation of asset A and asset B
4.6 Rolling window approach
The method takes NAV on multiple dates for a specific period of time to calculate the rolling
metrics. The approach divides the time horizon into equal non-overlapping windows and use
the observation in each window to construct an aggregated observation. The goal of this
approach is highlighting the frequency and magnitude of an investment. This helps us to
understand which period did the scheme performed stronger or poorer. This method adds more
insight into fund’s comprehensive return history which can be used to understand the trend.
Rolling window approach is a very credible approach to give close to accurate analysis in long
run. For this study all the metrics (Sharpe, Jensen measure, Treynor etc..) have also been
calculated on the basis of rolling window approach so that researcher can compare the results
from rolling window approach and metrics calculated at a given period of time as well.
4.7 T- Test
A t-test is an inferential statistic that is used to see if there is a significant difference in the
means of two groups that are related in some way. A t-test is a hypothesis testing technique
that can be used to assess an assumption that is applicable to a population. To evaluate
statistical significance, a t-test examines the t-statistic, t-distribution values, and degrees of
freedom. An analysis of variance must be used to execute a test with three or more means.
m−μ
t = s∕ (3.5)
√n
t = Student’s t-test
m = Mean
µ = Theoretical value
s = Standard deviation
n = Variable set size
63
5: RESULTS
5.1 Performace assesment on a given period of time.
The performance assessment of mutual funds based on return for a given time period is given
in this section.
Returns of Last
1. One Year
2. Three Years
3. Five Years
Table 12 presented the general comparison between four significant large-cap mutual funds.
A general comparison between mutual funds provides the present market level of the schemes
to investors before investing in any of them.
Table 12: General comparison between mutual funds
Fund
Canara
Edelweiss Axis
Robeco HDFC
Large Blue
Basis Blue Top 100 S&P BSE 100
Cap chip
Chip Fund
Fund Fund
Fund
Large Large Large

Class of Fund Large Cap Index
Cap Cap Cap
Rank 1 7 4 3 NA
5,208.28 21595.61 33,519 2,66,97,882.22

Asset Value 298 Cr
Cr Cr Cr Cr
Minimum Investment 5000 5000 5000 5000 NA
Source: Made by Author using data from Money Control and S&P
Table 13 presents the performance assessment of Mutual Funds based on a given time period.
The rate of return is provided for one year, three year and five year in the table.
64
Table 13: Comparison of return of Mutual Funds on given time-period
Funds
Edelweiss HDFC Axis

Time S&P
Large Top Blue
Canara Robeco Blue Chip BSE
Cap 100 chip
100
Fund Fund Fund
1 year 50,66% 29,92% 27,75% 28,58% 18,48%
3 year 17,91% 16,44% 16,06% 19,32% 13,98%
5 year 16,70% 15,89% 13,97% 19,34% 12,69%
Source: Made by Author using data from Money Control and S&P
Figure 8, given below, presents a comparison between the rates of return of four large-cap
mutual funds for the time spans of 1, 3, and 5 years.
Figure 8: Returns on time span of 1 year, 3 year and 5 years
60,00%
50,00%
40,00%
Return (%)
30,00%
20,00%
10,00%
0,00%
1 year 3 year 5 year
Canara Robeco Blue Chip 50,66% 17,91% 16,70%
Edelweiss Large Cap Fund 29,92% 16,44% 15,89%
HDFC Top 100 Fund 27,75% 16,06% 13,97%
Axis Blue chip Fund 28,58% 19,32% 19,34%
S&P BSE 100 18,48% 13,98% 12,69%
Canara Robeco Blue Chip Edelweiss Large Cap Fund HDFC Top 100 Fund
Axis Blue chip Fund S&P BSE 100
Source: Made by Author using data from Money Control
65
As per the analysis from figure 8, over a time span of one year, Canara Robeco Blue Chip
outperformed the other mutual funds. The overall return of Canara Robeco Blue Chip is
around 50.66% for a time span of one year. On the other hand, for a 1-year time span, HDFC
Top 100 Fund seems to have the most minor performance when compared with other mutual
funds, as the overall return for this is only 27.75%.
With that, it is also important to note that the difference in rate of return between the Edelweiss
Large Cap Fund, Axis Blue Chip Fund, and HDFC Top 100 Fund is minimal, at about 1% over
a time span of one year. But the Canara Robeco Blue Chip has created a big difference in rate
of return, of around 20 to 22%, which is the significant difference between it and the other
three mutual funds.
Further, over a time span of three years, the Axis Blue Chip Fund has outperformed the other
mutual funds with a rate of return of 19.32%, while the HDFC Top 100 Fund shows the least
performance with an overall rate of return of around 16.06%.
It has also been noted that there is a marginal rate of return difference between HDFC Top 100
Fund and Edelweiss Large Cap Fund for a three-year time span.
Finally, over a time span of five years, the Axis Blue Chip Fund has seemed to outperform
the other mutual funds with a rate of return of 19.34%, while the HDFC Top 100 Fund shows
the least performance with an overall rate of return of around 13.97%.
Other than this, over a time span of five years, there is a marginal rate of return difference
between Edelweiss Large Cap Fund and Canara Robeco Blue Chip fund.
The previous data for all of the four large cap mutual fund schemes has been analyzed. The
comparative analysis provided above can help investors to gather information before investing
in any of the above-mentioned schemes.
66
5.2 Performance measurement on the basis of risk and return evaluation
Table 14 : Sharpe, Jensen and Treynor evaluation
Jensen Standard
Funds Sharpe Ratio Treynor Ratio Beta
Measures Deviation
Canara Robeco
1,06 4,8 0,19 15,9 0,89
Blue Chip Fund
Edelweiss Large
0,84 1,51 0,15 16,22 0,89
Cap Fund
HDFC Top 100
0,63 -1,83 0,12 18,2 0,97
Fund
Axis Blue chip
1,04 3,7 0,19 15,25 0,82
Fund
S&P BSE 100 0,47 0 0,08 18,56 1
Source: Calculated by Author using data from Money Control
5.2.1 Sharpe Ratio
Table 14 presented above displays Sharpe index of the proposed large cap mutual funds. The
table also contains Standard Deviation and Beta.
The Standard Deviation value indicates how volatile fund rates of return have been over the
last three years. A lesser value of Standard Deviation shows more consistent results. For
example, let's assume a customer attempting to compare two funds Fund A and Fund B from
the same group. If Fund A and Fund B both returned 9% over the last three years, but Fund A's
standard deviation value is lower than Fund B's. As a result, there is a greater likelihood that
Fund A will proceed to provide related returns in future, whereas Fund B returns may vary.
On the other hand, the beta value indicates how volatile the fund's success has been when
compared with similar funds. A lower beta indicates that the fund's success is easier to predict
as compared to other similar funds. For example, if an investor attempts to compare two funds,
Fund A and Fund B, from the same group, in this case, Fund A and Fund B both returned 9%
over the last three years, but Fund A's beta value was lower than Fund B's. As a result, there is
a greater likelihood that Fund A will continue to provide similar returns in the future, whereas
Fund B's returns may vary.
67
Figure 8 given below, gives the detailed analysis of the sharp index of proposed large cap
mutual fund schemes.
Figure 9: Mutual Funds’ Sharpe Ratio
Sharpe Ratio
1,06 1,04
1,2
0,84
1
0,63
0,8
0,6
0,47
0,4
0,2
0
Canara Robeco Blue Edelweiss Large Cap HDFC Top 100 Fund Axis Blue chip Fund S&P BSE 100
Chip Fund Fund
Sharpe Ratio
The Sharpe index has been used to calculate the higher returns of an investment over market
return, in which risk is calculated by calculating the standard deviation of the return on capital.
Sharpe ratio helps investor to identity the risk level and adjusted rate of return associated with
the mutual fund. Sharpe ratio clear picture to the investors about the fund performance. Higher
value of Sharpe is consider to be good.
According to the above figure, Canara Robeco Blue Chip Fund outperforms all equity funds
with the highest Sharpe ratio of 1.06, while HDFC Top 100 Fund outperforms the group with
the lowest Sharpe ratio of 0.63.
68
5.2.2 Jensen Measure

Figure 10 presented below displays Jensen Measure of all the proposed large cap mutual
funds..
Figure 10: Mutual Fund‘s Jensen Measures
Jensen Measures
6
5 4,8
4
3,7
3
2
1,51
1
0 0
-1
-2 -1,83
-3
Canara Robeco Blue Edelweiss Large Cap HDFC Top 100 Fund Axis Blue chip Fund SAP BSE 100
Chip Fund Fund
Jensen Measures
In case the Jensen's alpha is positively significant, the approach under consideratio has a track
record of outperforming what might be predicted depending on factors alone. Jensen Measures
has been commonly used to assess mutual fund and fund manager quality, frequently in
combination with the Sharpe and Treynor ratios.
As per the figure 9, it is evident that Canara Robeco Blue Chip Fund outperforms all funds
with the greatest Jensen's alpha of 4.8, while Edelweiss Large Cap Fund outperforms the group
with the lowest Jensen's alpha of 1.51 and the Jensen's alpha Index of HDFC Top 100 Fund is
-1.83.
The Jensen measure for S&P BSE 100 is 0 because when we are calculating Jensen measure
we will be taking Annual return of the S&P BSE 100 and divide it with annual return of the
martket (which will be again the annual return of S&P BSE 100) so, due to this the end result
in our case is zero.
69
5.2.3 Treynor ratio
Figure 11 presented below displays Treynor Ratio-of the proposed large cap mutual funds.
Figure 11: Mutual Funds’ Trenyor Measures
Treynor Ratio
0,2
0,18
0,16
0,14
0,12
0,1
0,08
0,06
0,04 Treynor Ratio
0,02
0
Canara
Edelweiss
Robeco HDFC Top Axis Blue S&P BSE
Large Cap
Blue Chip 100 Fund chip Fund 100
Fund
Fund
Treynor Ratio 0,19 0,15 0,12 0,19 0,08
Treynor ratio is a performance metrics which actually helps to measure the capability of
manager. It helps to determine how much excess return was generated for each unit of risk
taken in a portfolio.
The positive Treynor of three funds out of four indicates that the funds performed better than
expected. The contrast between Beta and the positive Treynor Index demonstrates that the
funds are well differentiated.
As per the figure 10, it is evident that Canara Robeco Blue Chip Fund and Axis Blue chip
Fund outperforms all funds with the greatest Treynor Index of 0.19, while HDFC Top 100
Fund outperforms the group with the lowest Treynor Index of 0.12.
70
5.3 Performance measurement based on Rolling window approach.
Rolling window approach is a very useful approach for evaluating the fund’s performance.
This approach is followed by rolling or trailing the returns, beta, Sharpe ratio, Treynor ratio
and Jensen’s alpha of particular funds over a period of time. For this evaluation we have taken
daily NAVs of all the four mutual fund over 5 years period. This form of time series evaluation
on the metrics provide investor the information, How the scheme performed at throughout the
time frame.
The approach is highly recommended to use for Mutual funds schemes as it gives very
promising results in the long run since it takes into consideratio metrics over a period of time
hence it is able to capture trends in performance and average out the swings in data.
5.3.1 Rolling Returns for all the four Mutual Funds
Figure 12: Rolling returns for all the four mutual funds
Rolling Returns
100,00%
80,00%
60,00%
40,00%
20,00%
0,00%
-20,00%
-40,00%
-60,00%
Canara Robeco Edelweiss LargeCap HDFC Top 100 Axis BlueChip
Source: Calculated by Author based on daily NAVs
Figure 12 shows the rolling return for all the four mutual funds scheme and the development
over the time in returns. The trend in the rolling returns for all the four scheme is similar. We
can see that all the schemes show a major downfall in 2019 where HDFC Top 100 performed
worst out of all four schemes and in April 2020 we see the
71
market being in the bullish phase which led the trend to rise for all the scheme and HDFC Top
100 outperformed all the schemes.
As we can see from the above figure 7 that from Mid 2018 till April 2020 the market went
down due to various reasons (refer to table 15) So, we can say that the market conditions were
not in favor for any scheme between that period.
The most fall in returns for all the four mutual funds were recorded in April 2019 and 2019
was a very eventful financial year for India 1st fall was noted because of global recession fear
and geopolitical concers which kept investors on back foot other events were Election where
priminister Narendra Modi retained the posion after election market went up however again in
July the union budget came out due to which Foreign Indirect Investment were pulled and made
market fall again.
These are some key events due which market seemed to very volatile but during pandemic
Indian IT sector and Pharma saw a big boost which made market to correct itself and the trend
to go upwards.
Table 15: Reason for Fall on Nifty Index
Date Reason for Fall

04-10-2018 Panic Fall, due to Oil price Increase and rupee fall against US Dollar.
05-10-2018 Panic Fall, due to Oil price Increase and rupee fall against US Dollar.
05-07-2019 Due to Union Budget FY 2019 and Global Equity sell-off.
08-07-2019 Due to Union Budget FY 2019.
22-08-2019 Due to concerns about slowing Indian economy.
03-09-2019 Due to Multiple PSU Bank Merger Announcements.
17-09-2019 Driven by rising crude oil prices and the drone attack on Saudi Arabia's oil fields.
Driven by the Union Budget FY 2020 and coronavirus pandemic which saw global
01-02-2020
breakdown a day before Budget.
09-03-2020 Driven by the COVID-19 pandemic.
12-03-2020 Driven by the COVID-19 pandemic after WHO declared it a pandemic.
Source: Nifty India
72
Table 15 states the reasons of downfall in Indian Share market from changing governments to
pandemic the schemes went in a downwards trend however a gradual and consistent rise were
to be seen in all the schemes after April 2020.
5.3.2 Rolling Returns comparison with index’s rolling returns

Further in this section we are going to compare the rolling returns of all the four mutual fund
schemes to the rolling return of the BSE 100 index to give us more insight on how our schemes
performed in relation with index.
Figure 13: Rolling Returns of all the schemes in comparison with index
Rolling Returns
120,00%
100,00%
80,00%
60,00%
40,00%
20,00%
0,00%
-20,00%
-40,00%
-60,00%
Canara Robeco Edelweiss LargeCap HDFC Top 100 Axis BlueChip BSE 100
S&P BSE 100 Index is designed to measure the performance of the 100 largest and most liquid
Indian companies within the S&P BSE LargeMidCap. The index is calculated in Indian Rupees
(S&P BSE 100 | S&P Dow Jones Indices., 2022).
In Figure 13 we can see that the development of rolling return of our four schemes are in
synchronization with the index which means that all the four mutual fund schemes perform in
line with the benchmark. HDFC Top 100 outperformed all the other schemes and was the
closest to BSE 100 while other three schemes were really close to each other in terms of return.
However, during September 2020 to December 2020 HDFC Top 100 & Axis BlueChip
outperformed the index immensely.
73
Table 16: Key Indicators
Scheme
Name Average Median Maximum Minimum
Canara
Robeco 21.66% 17.09% 85.13% -19.90%
Edelweiss
Large
Cap 16.22% 10.32% 83.54% -27.67%
HDFC
Top 100 15.71% 9.35% 90.63% -36.87%
Axis Blue
Chip 20.18% 17.98% 68.25% -14.81%
BSE 100 16.30% 9.40% 95.34% -33.94%
In Table 16 we can see the key indicators for all the schemes including the index. Despite of
HDFC Top 100 & Axis Bluechip Out performing index for a given period of time does no tell
us that these two funds are the only one in which a investor should invest.
Further analysis of key indicators indicates that Canara Robeco has the highest average rolling
return and second lowest minimum rolling return while Axis BlueChip has second highest
average return and lowest minimum return. Considering both the schemes has exceptionally
higher average than index, both the schemes seem very promising. So, as an investor should
more likely would prefer either of the two schemes.
5.3.3 Rolling Sharpe ratio.

Rolling Sharpe can give us more insight on risk return analysis of all the four mutual funds. In
the section 5.2 we did the analysis of the Sharpe ratio over the whole period of time, however
in this section we will see the development of Sharpe ratio on the rolling basis.
74
Figure 14: Rolling Sharpe for all the schemes
Rolling Sharpe
4,000
3,500
3,000
2,500
2,000
1,500
1,000
0,500
0,000
Canara Robeco Edelweiss LargeCap HDFC Top 100

Axis BlueChip BSE 100
In figure 14 we can see the graphical presentation of the rolling Sharpe ratio. Light Blue area
represents the index’s Sharpe ratio. As seen above we can comprehend that the Sharpe ratio
was stable till 2019 which is very common for large cap mutual funds as we expect them to
perform better in the long run. The trend of rolling or trailing approach towards the end of the
period mainly during 2020 to end 2021 rises for all the schemes.
As the above figure 14 shows the rolling Sharpe ratio for the S&P BSE 100 gained a lot during
December 2020 maily beacuse the Indian economy saw massive growth in Pharmaceutical and
IT industries. To be exact Healthcare and Information Technology gained 63% and 60%
respectively (BSE INDIA). S&P BSE 100 has top companies as underlying assets like Infosys
(IT) and Sun Pharma (Healthcare). Pharma companies enjoyed the growth as in the wake of
covid vaccination made in india and exported to other countiers.
However in January 2021 the market started to be on the side of deciline mainly because of
energy and metal and big players like TATA industries and Jindal Group being part of the
underlying of S&P BSE 100 inedex led the index to a declining phase in the month January
2021 to as low as 2.3 rolling Sharpe ratio. On the other hand mid cap securities gave investors
some relief as they saw a bit increase due to which all the 4 mutual funds did not see major
deline in rolling Sharpe.
75
While we saw in the section 5.2 that Canara Robeco large cap out performed all the other in
terms of Sharpe ratio and higher the Sharpe ratio means better the scheme, however here we
can see that Axis BlueChip out performs Canara Robeco although Canara Robeco still
shows promising results. Thus, the analysis displays that both funds performed really close and
better compared to other two in the long run.
Table 17: T-test on top two performing scheme
Table 17 displays the T-test between top two performing scheme namely Canara Robeco and
Axis BlueChip to test the hypothesis that which two scheme did not differ with the benchmark.
For both the test P value was below 5 where Canara Robeco had the least P value which states
that Axis BlueChip differs from benchmark more than the Canara Robeco hence an investor
would choose Canara Robeco in this scenario.
5.3.4 Rolling Beta
Figure 15 below displays the rolling beta for all the four schemes. Rolling beta gives us more
understanding, this will measure the scheme’s volatility in relation with market on a rolling
window basis.
76
Figure 15: Rolling Beta for all four schemes
Rolling Beta
2,50
2,00
1,50
1,00
0,50
0,00
Canara Robeco Edelweiss LargeCap HDFC Top 100 Axis BlueChip
The graph does not include beta for S&P BSE 100 because beta for index will always
be 1. We can see that HDFC Top 100 had the highest rolling beta of all the two which
clearly states that this mutual fund is riskier that the other three, point to highlight is
that this scheme reached the highest peak in beta around September 2020. While
Canara Robeco and Axis BlueChip maintaining consistently low beta in the long run.
Canara Robeco having the higher rolling Sharpe and relatively low beta than Axis
BlueChip fund makes Canara Robeco again a very good choice for investors however,
it is clear from analyzing the trend of all the four mutual funds that the investor will
have less risk in long run.
5.3.5 Rolling Treynor ratio
Rolling Treynor ratio over the period of 4 years will tell us more about the reward to
volatility for all the schemes. We can see that in figure 16 how the metric developed in
time. Higher Treynor ratio over the period of time will tell us which mutual fund is
suitable for investment.
77
Figure 16: Rolling Treynor ratio for all the four schemes
Rolling treynor
120,00%
100,00%
80,00%
60,00%
40,00%
20,00%
0,00%
-20,00%
-40,00%
-60,00%
Canara Robeco Edelweiss LargeCap HDFC Top 100

Axis BlueChip BSE 100

(The risk-free rate is taken as rate of 91 days T-bills which is 4% for this calculation)
The trend is very similar for all the mutual funds scheme however in the long run HDFC Top
100 & Canara Robeco outperformed the other two schemes also these two fund has higher
Treynor‘s measure from the index (light blue line represents index S&P BSE100) so, it very
much clear that these two funds defiently better than others.
Figure 17: Rolling Treynor for Canara Robeco & HDFC Top 100
Rolling treynor
120,00%
100,00%
80,00%
60,00%
40,00%
20,00%
0,00%
-20,00%
-40,00%
-60,00%
Canara Robeco Axis BlueChip BSE 100
78
While HDFC Top 100 had the worst Treynor ratio when analyzing at given period of time
however with the rolling approach we can see the results differs a lot. Considering the higher
rolling beta means higher risk for this scheme so, it is no surprise that HDFC Top 100 scheme
yields the best reward to volatility ratio. However Canara Robeco fund proves to be very close
to the HDFC Top 100 while having higher rolling Sharpe & low rolling beta which make
Canara Robeco an ideal choice again for an investor.
5.3.6 Rolling Jensen’s measure
Figure 18: Rolling Jensen’s measure
Rolling Jensen's measure

200,00%
150,00%
100,00%
50,00%
0,00%
-50,00%
-100,00%
Canara Robeco Edelweiss LargeCap HDFC Top 100 Axis BlueChip BSE 100
In section 5.2.2 we saw Canara Robeco & Axis BlueChip had the highest Jensen’s measure
which means both the funds had beaten the market however Canara Robeco had the highest
Jensen’s measure. As seen the figure 18 both the fund had really close rolling Jensen’s measure
but Canara Robeco outperformed Axis BlueChip fund with a slightly higher Jensen measure
in the long run as well in the given period of time as well.
It is also evidently visible in figure 18 that towards the end of Jan 2021 the Jensen measure for
Canara Robecco has bested the index/benchmark (green line represents index S&P BSE100).
Hence, the results is clear that the Canara Robecco has outperformed all the four mutual fund
as we as the index.
79
CONCLUSION
The results of several analyses indicate that, of the four selected large cap mutual fund
schemes,Canara Robeco Blue Chip Equity has managed to maintain its number one
position in terms of overall rate of returns over the last one year, as well as ranking first
in terms of returns over the last one year and second in terms of returns over the last
three and five years. The least performance is observed for HDFC Top 100 Fund for
one, three and five years in term of overall rate of return as well as ranking.
The work is also done on the Sharpe Index, Jensen Measures, and Treynor Ratio
performancetests of the four large-cap mutual funds. The Sharpe index has been used
to determine an investment's better returns over market returns, with risk determined
by calculating the standard deviation of the return on capital. According to the test
measure, Canara Robeco Blue Chip Fund outperforms all equity funds with the
highest Sharpe ratio of 1.06, while HDFC Top100 Fund outperforms the group with the
lowest Sharpe ratio of 0.63.
Other than this, Jensen Measures have been commonly used to assess mutual fund and
fund manager quality, frequently in combination with the Sharpe and Treynor ratios.
The finding of this test shows that Canara Robeco Blue Chip Fund outperforms all
funds with the greatest Jensen's alpha of 4.8, while Edelweiss Large Cap Fund
outperforms the group with the lowest Jensen's alpha of 1.51 and the Jensen's alpha
Index of HDFC Top 100 Fund is -1.83. Finally, it has been evident from the Treynor
Index that Canara Robeco Blue Chip Fund and Axis Blue Chip Fund outperform all
funds with the greatest Treynor Index of 0.19, while HDFC Top 100 Fund
outperforms the group with the lowest Treynor Index of 0.12.
Researcher also conducted the rolling window test on all the metrics namely Return,
Sharper ratio, Beta, Treynor ratio and Jensen’s measures. All the metrics were run
on the rolling method to do more in depth analysis on those metrics. Canara Robeco
& Axis BlueChip Fund outperformed other two schemes in all the tests. Canara
Robeco & Axis BlueChip fund had a neck-to-neck results in all the tests however
Canara Robeco has beaten Axis BlueChip with a slight margin of better performance
which clearly makes Canara Robeco an ideal choice for an investor.
80
To conclude the findings for this research we can take into consideration all the three-
performance measure and draw a conclusion that, it has been observed after conducting
various test & analysis on all the four mutual funds that Canara Robeco Blue Chip
fund is the best that an investor can refer for investing his or her money despite the
market volatility and pandemic Canara Robeco was able to perform and give good
results in the long term.
The research also points out the fact that it is a wise decision to retain investment for
long term when it comes to LargeCap Mutual fund. While measuring performance at
given period of time Canara Robeco also delivers promising result in one year time
frame however short term can be more volatile and unpredictable so it is a much better
choice to hold the investment for long term when it comes to LargeCap Mutual funds.
The primary goal of the investment is to generate profit from mutual fund investments.
To obtain high returns, an investor must have to take care of the following factors
hence, author has made some suggestions which can to some extent help the investor
to make optimum decision while making or understanding an investment. Prior to
making an investment in just about any fund, an investor should evaluate his or her
risk tolerance.
• An investor should also be following major index in their countries to

understand the market movement more.
• Prospective investors could take some crash courses to gain the basic technical
knowledge. Some of these courses are available on Bombay Stock Exchange’s
website.
• To choose a fund with such a great track record of rates of return in the past.
Typically,an investor should choose a less volatile fund.
• A portfolio of 3 to 5 funds that are comparatively less volatile and have a great
track record of constant rates of return should be chosen by an investor.
Investors can choose a decent fund by comparing its profit to the average
industry andreference point indices. The fund whose performance is better can
be chosen for investment.
• Investors must evaluate their own mutual fund portfolio on a regular basis and to do
that investor can use the metrics/method available in this research paper.
81
• Investors must try and hold their investments for a relatively long period of
time to beat market volatility.
• New investors can also follow some investing apps or websites which analysis
and interpret the results of different metrics.
• After reading this study and investor can understand how different metrics
work and what purpose it serves.
• From this study an investor can understand that the funds having favourable
Beta, Sharpe Ratio, Jensen measure and Treynor measure can be trusted for
investment.
• Mutual fund is managed by a fund manager and an investor can track the
history of how competent the fund manager had been in past which can also
help an investor to make decision for investing in a fund.
82
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FACULTY OF ECONOMICS AND ADMINISTRATION

Profitability and Riskiness

Supervisor: Ing Tomáš Plíhal, Ph.D.

Department: Department of Finance

Author: SHARMA, DIVYANSH

Title of Thesis: Profitability and Riskiness of Mutual Funds in India

Degree Programme: Masters in Finance

Field of Study: Finance

Supervisor: Ing Tomáš Plíhal, Ph.D

Keywords: Mutual Funds, Investment, Risk, Returns, Sharpe Ratio, Treynor

Brno, Divyansh Sharma

I would like to express my gratitude to my supervisor and professor

LIST OF FIGURES ................................................................................................................. 9

LIST OF TABLES ................................................................................................................. 10

1: THEORETICAL BACKGROUND ................................................................................. 14

1.1 Mutual Funds .......................................................................................................... 14

1.2 Mutual Fund Development in India ...................................................................... 16

1.3 Structure of Mutual Fund ...................................................................................... 19

1.4 Types of Mutual Fund in India .............................................................................. 21

1.4.1 Open-End Funds ................................................................................................... 21

1.4.2 Closed-End Mutual Funds ................................................................................... 22

1.4.3 Exchange-Traded Funds ...................................................................................... 22

1.5 Mutual Funds based on Market Cap .................................................................... 23

1.5.1 Large Cap funds.................................................................................................... 25

1.5.2 Mid-Cap funds ...................................................................................................... 25

1.5.3 Small-Cap funds .................................................................................................... 25

1.7 Stock Market Indices .............................................................................................. 30

2: LITERATURE REVIEW ................................................................................................. 35

3.1 Data selection ........................................................................................................... 45

3.2 Data collection ......................................................................................................... 45

3.3 Data processing ........................................................................................................ 46

3.4 Description of selected Mutual funds & Benchmark ........................................... 46

4.1 Sharpe ratio ............................................................................................................. 59

4.2 Jensen Measure ....................................................................................................... 60

4.3 Treynor’s Performance Measure ........................................................................... 61

4.4 Beta ........................................................................................................................... 62

4.5 Standard Deviation ................................................................................................. 62

4.6 Rolling window approach ....................................................................................... 63

5.1 Performace assesment on a given period of time. ................................................ 64

5.3 Performance measurement based on Rolling window approach........................ 71

Figure 1: Structure of Mutual Funds ................................................................................... 20

Table 1: Different phases of mutual fund in India.............................................................. 16

Abbreviations and Acronyms

UTI: Unit Trust of India

1.1 Mutual Funds

1.1.1 Mutual funds

1.1.2 Advantages and Disadvantages of Mutual funds

1.1.3 Popularity of Mutual around the world

1.2 Mutual Fund Development in India

Table 1: Different phases of mutual fund in India

Phase Tenure Progression

1st 1964- 1987 Formation and

2nd 1987-1993 Arrival of funds from the

3rd 1993-1996 Arrival of funds from the

4th 1996-2004 SEBI regulation and

5th 2004 onward Future expansion and

Source: Shukla., 2013

In Feb,2003, UTI was divided into two distinct units.

1.3 Structure of Mutual Fund