ravi dissertation

8/7/2019 ravi dissertation

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A PROJECT REPORT

ON

PERFORMANCE OF GROWTH

MUTUAL FUNDS

Submitted in partial fulfillment for

MASTER OF BUSINESS ECONOMICS

Programme of

DEPARTMENT OF BUSINESS

ECONOMICS

DELHI UNIVERSITY

Batch2009-11

Submitted by :- Under Guidance of :-

PARUL YADAV Prof. S.C. Aggarwal

MBE Final Year Dr. Yogieta.S.Mehra


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Batch (2009- 2011)

Roll No - 638

ACKNOWLEDGEMENT

I would like to express my profound gratitude to all those who have been instrumental in

the preparation of this report which has been prepared in partial fulfillment of Masters of

Business Economics (MBE). I wish to thank our Head of Department, Prof. Rashmi

Agarwal, and Faculty members of Department of Business Economics for their support andvision.

I would like to thank and sincerely appreciate my mentor, Prof. S.C. Aggarwal and Dr.

Yogieta.S. Mehra for their valuable direction, suggestions and inputs. Finally I would like

to thank my Parents, Family, Friends and God almighty for their unending inspiration and

encouragement.

Place : New Delhi

Date : 17 February,2009

Performance Evaluation of Growth Funds


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CERTIFICATE

This is to certify that this Project Report is based on research work done by me and it has

not been submitted anywhere else for any other purpose.

All secondary sources used have been duly acknowledged.

Sign:

Parul Yadav

(Master of Business Economics: 2009-11)

Roll no- 638



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INDEX

Serial No. Topic Page Numbers

1 Executive summary 5

2 Introduction 6-7

3 Literature review 8-10

4 Objectives & Scope 11

5 Research methodology 12-19

6 Products 20-25

7 Data Analysis and interpretation 26- 35

8 Conclusion 36

9 Challenges for the Mutual Fund Industry 43-46

10 References 47-48

11 Appendix 49-58



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Executive Summary

This study has been undertaken to evaluate the performance of the Indian Growth Mutual Funds vis--vis the Indian stock market. For the purpose of this study, 12 open ended equity based growth

mutual funds are selected as the sample. The data, which is the daily NAVs of the funds and the

closing of the BSE Sensex, were collected for a period of 1 years starting 01/02/2010 to 01/02/2011.

Different statistical tools were used on the data obtained to get the average returns, absolute returns,

standard deviation, Fund Beta, Treynors Ratio, Sharpes Ratio, Jensens Alpha, Famas Ratio, M2

were calculated. These variables of the funds were compared with the market performance to assesstheir performance vis--vis the market.

All the funds were classified into a hierarchical cluster on the basis of their average returns, absolute

returns, standard deviation, fund beta, and relative performance index. This classification was done

to see whether the funds are homogeneous

All the mutual funds gave similar returns with respect to the market. The study showed that one

particular mutual fund outperformed the others and also the market. The fund betas also show that

there is significant correlation between the fund returns and the market returns.



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INTRODUCTION

The mutual fund industry in India started in 1963 with the formation of Unit Trust of India,

at the initiative of the Government of India and Reserve Bank of India. A mutual fund is aprofessionally managed type of collective investment scheme that pools money from many

investors and invests it in stocks, bonds, short-term money market instruments and other

securities. Mutual funds have a fund manager who invests the money on behalf of the

investors by buying / selling stocks, bonds etc. In India, the mutual fund industry started

with the setting up of the erstwhile Unit Trust of India in 1963. Public sector banks and

financial institutions were allowed to establish mutual funds in 1987. Since 1993, private

sector and foreign institutions were permitted to set up mutual funds In February 2003,

following the repeal of the Unit Trust of India Act 1963 the erstwhile UTI was bifurcated

into two separate entities viz. The Specified Undertaking of the Unit Trust of India,

representing broadly, the assets of US 64 scheme, schemes with assured returns and certain

other schemes and UTI Mutual Fund conforming to SEBI Mutual Fund Regulations. India

has over 1000 mutual fund schemes, but this number has grown exponentially in the last

few years only. As on March 2002, there were 35 mutual fund companies with 433

schemes and assets under management were Rs.100594 crores. And as on November 2010

these figures have had a leap managing Rs.823004 crores of assets.

Mutual fund industry has seen a lot of changes in past few years with multinational

companies coming into the country, bringing in their professional expertise in managing

funds worldwide. In the past few months there has been a consolidation phase going on in

the mutual fund industry in India. Now investors have a wide range of schemes to choose

from depending on their individual profiles. The performance of mutual funds receives a

great deal of attention from both practitioners and academics. With an aggregate

investment of trillion dollars in India, the investing publics interest in identifying

successful fund managers is understandable. The idea behind performance evaluation is

to find the returns provided by the individual schemes especially growth funds and the

risk levels at which they are delivered in comparison with the market and the risk free



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rates. It is also our aim to identify the out-performers for healthy investments. I

have restricted my study to growth funds analysis.

Growth schemes invest in those stocks of those companies whose profits are expected to

grow at a higher than average rate. For example, telecom sector is a growth sector because

of the high population factor of our country so as they buy more and more cell phones, the

profits of telecom companies will increase. Similarly, infrastructure; we do not have well

connected roads all over the country; neither do we have best of ports or airports. For our

country to move forward, this infrastructure has to be of world class. Hence companies in

these sectors may potentially grow at a relatively faster pace. The rapid growth of Indian

industry attracted investors money to sectors of high growth and as a result growth funds

came into being. Growth managers are willing to take more risk and pay a premium for

their stocks in an effort to build a portfolio of companies with above-average earnings

momentum or price appreciation.



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LITERATURE REVIEW

Performance evaluation of mutual funds is one of the preferred areas of research where a

good amount of study has been carried out. The area of research provides diverse views of

the same.

The aim of the study is to describe and analyze whether the Growth Mutual Funds perform

better during the Bull Run period and Bear Run period. In line with this aim, the literature

review is done to clarify the underlying concepts in Mutual Funds. Many studies have been

done in case of mutual funds and stock market operations in India. But this study has drawn

insights from the following studies;

Allen and Carolinian (2003) in their article Positioning in Indias asset management

industry , have concluded that for the last five years, there has been proliferation of

International and Domestic providers of Mutual Funds. He says that this increased growth is

due to the increasing cash flow among innovative young companies throughout India.. He

also says that mutual funds products are growing in complexity, which is an indicator of

investor sophistication in India. Diekmeyer and Peter (2003) in the article Thee Other Red

Hot Emerging market analyzed the changing scenario of Indian Stock Markets. He says

that India is becoming important in the international stage and more and more foreign asset

companies are starting their businesses in India. The Indian markets, which were perceived

as corrupt and backward with few prospects, are now being targeted by the whole world for

safe and profitable investments. He says that this growth in Indian economy is due to the

growing strength of the IT industry and growing military and trade ties with the United

States. Diekmeyer and Peter (2003) in their study Private Progress say that private mutual



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funds have been consolidating and gaining ground. They now manage three quarters of the

1 trillion rupees ($22 billion) that Indians have entrusted to the industry, up from 47% a

year ago. He says that in a country where the government remains the chief manager of

money-running the biggest banks, insurance companies and pension funds, this is a

remarkable change. So far, the industry has focused on bond or cash funds, which account

for 80% assets. Largely, this is because most investors are risk-averse, and want something

like a bank deposit, with safe principal and a regular income. The increasing growth of

Private Mutual Funds is resulting in cut-throat competition and shoddy products in Indian

Market. Varsha Kulkarni and Nivedita Deo(2003) have done a study of Mutual Funds under

the title Correlation and Volatility In An Indian Stock Market have examined the

volatility of Indian stock market in terms of correlation of stocks and have quantified the

volatility using the random matrix approach. They have first discussed the tends observed in

the pattern os stock prices in Bombay Stock Exchange for the three-year period 2000-2002.

Random matrix analysis is then applied to study the relationship between the coupling of

stocks and volatility. The study uses daily returns of 70 stocks for successive time windows

of a length of 85 days for the year 2001. They compared the properties of matrix C of

correlation between price fluctuations in time regimes characterized by different volatilities.

Jaydev (1996) evaluated performance of two schemes during the period, June 1992 to

March 1994 in terms of return/benchmark comparison, diversification, selectivity and

market timing skills. He concluded that the schemes failed to perform better than the market

portfolios. Diversification was unsatisfactory. The performance did not show any signs of

selectivity and timing skills of the fund managers. Gupta and Sehgal (1997) evaluated

mutual fund performance over a four year period 1992 1996. The sample consists of 80

mutual fund schemes. They concluded that the mutual fund industry performed well during

the next and their risk return characteristics. Narayan and Ravindran (2003) studied the

performance of Indian Mutual Funds in a bear market using relative performance, risk

return analysis, Treynors Ratio, and measure of Sharpes, Jensens and Fama. Sondhi

(2004) studied the financial performance evaluation of equity oriented mutual funds on the

basis of type, size ND ownership of mutual funds using the measure of absolute rate of

return, comparison with benchmark(BSE 100 )and the return of 91 day T-bills and risk



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adjusted performance measures ( Sharpes Treynor, Alpha and Fama ). Dr.D.N. Rao (2008)

has analyzed the performance of balanced and income mutual funds in comparison to the

stock market with the help of benchmark index and Sharpe ratio.

The literature review has revealed the performance measures of Mutual Fund include rate of

return, benchmark comparison, risk-adjusted returns ( Treynors and Sharpes indices )

stock selectivity abilities and market timing skills of the fund managers.



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OBJECTIVES & SCOPE

1. The main purpose of doing this study is to ascertain the performance of growth mutual

funds over the two different Bull Run and Bear Run periods. Ultimately this will help in

understanding the benefits of mutual funds to investors.

2. To evaluate the risk adjusted returns of 12 growth funds with the help of the

performance ratios and the Sensex as the benchmark index -

Treynors ratio

Sharpes ratio

Modified Treynors Ratio

Jensens Ratio

Modified Jensens Ratio

Famas measure

M2 for Beta

M2

3. To compare the performance of the Growth funds with the Stock Markets



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4. To rank them appropriately and to perform an aggregate analysis

5. To find out the most preferred growth mutual fund.

6. To study the reasons for the outperformance of the best growth mutual fund

7. To analyze the challenges facing the mutual funds industry

RESEARCH METHODOLOGY

Data Sources

All the data is secondary and was obtained from AMFI (Association of Mutual Funds of

India) website, respective homepages of Asset management Companies, Bombay stock

exchange and National Stock Exchange. The data for research is obtained from AMFI

website. The daily NAVs of the selected 12 growth funds are obtained from the website

and also some from the fact sheets available with the AMCs. The data thus obtained is

used for the calculation of various risk adjusted ratios as described below.

The risk free rate of return is taken as the average of last one year i.e Feb 01 2010 to

Feb 01 2011, 91 day Treasury bill rates collected from Reserve Bank of Indias website.

The risk free rate is taken as 0.062871

Duration of Study

The time frame chosen for the study is divided into Bear Run period from Feb1 2008 to



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Feb1 2009 and the Bull Run period taken from Feb1 2010 to Feb1 2011. The daily NAVs of

the funds are taken for the two different periods of one year.

Sampling

Sampling procedure:

The sample was selected by observing the top 12 growth funds in the

industry over the years. It was also collected through formal and informal

talks with different industry experts. The data has been analyzed by using

mathematical/Statistical tool.

Sample size:

The sample size of my project is limited to 12 growth mutual funds only.

Sample design:

Data has been presented with the help of bar graph, pie charts, line graphs

etc.

Limitations

Since the funds selected for this study were open ended equity based growth mutual

funds the fund composition kept on changing over the time period, so it became

difficult to understand the fund properties as historical data pertaining to the fund

composition was not available.

Because of unavailability of historical data and fund composition it was difficult to

ascertain the performance to the fund properties and a simple evaluation was done

against the market performance.



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Sample size is limited to 12 mutual funds only. The sample size may not adequately

represent the whole market.

Basis for AnalysisNet Asset Value (NAV) is the best parameter on which the performance of a mutual fund

can be studied. I have compared the Annual returns of various schemes to get an idea

about their relative standings. Each and every ratio is calculated based on its specific risk

adjusted return methods. The performance measures used are described below:

Standard Deviation

The most basic of all measures- Standard Deviation allows you to evaluate the volatility of

the fund. Put differently it allows you to measure the consistency of the returns. Volatility

is often a direct indicator of the risks taken by the fund. The standard deviation of a fund

measures this risk by measuring the degree to which the fund fluctuates in relation to its

mean return, the average return of a fund over a period of time. A security that is volatile is

also considered higher risk because its performance may change quickly in either direction

at any moment. A fund that has a consistent four-year return of 3%, for example, would

have a mean, or average, of 3%. The standard deviation for this fund would then be zero

because the fund's return in any given year does not differ from its four-year mean of 3%.

On the other hand, a fund that in each of the last four years returned -5%, 17%, 2% and

30% will have a mean return of 11%. The fund will also exhibit a high standard deviation

because each year the return of the fund differs from the mean return. This fund is therefore

more risky because it fluctuates widely between negative and positive returns within a short

period.

Beta indicates the level of volatility associated with the fund as compared to the

benchmark. So quite naturally the success of Beta is heavily dependent on the correlation



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between a fund and its benchmark. Thus if the fund's portfolio doesn't have a relevant

benchmark index then a beta would be grossly inadequate. A beta that is greater than one

means that the fund is more volatile than the benchmark, while a beta of less than one

means that the fund is less volatile than the index. A fund with a beta very close to 1 means

the fund's performance closely matches the index or benchmark.

If, for example, a fund has a beta of 1.03 in relation to the BSE Sensex, the fund has been

moving 3% more than the index. Therefore, if the BSE Sensex increased 10%, the fund

would be expected to increase 10.30%.

Investors expecting the market to be bullish may choose funds exhibiting high betas, which

increase investors' chances of beating the market. If an investor expects the market to be

bearish in the near future, the funds that have betas less than 1 are a good choice because

they would be expected to decline less in value than the index.

The Treynor Measure

Developed by Jack Treynor, this performance measure evaluates funds on the basis of

Treynor's Index. This Index is a ratio of return generated by the fund over and above risk

free rate of return (generally taken to be the return on securities backed by the government,

as there is no credit risk associated), during a given period and systematic risk associated

with it (beta). Symbolically, it can be represented as:

Treynor's Index (Ti) = (Ri - Rf)/Bi.

Where, Ri represents return on fund, Rfis risk free rate of return and Biis beta of the fund.

All risk-averse investors would like to maximize this value. While a high and positive

Treynor's Index shows a superior risk-adjusted performance of a fund, a low and negative

Treynor's Index is an indication of unfavorable performance.



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The Sharpe Measure

In this model, performance of a fund is evaluated on the basis of Sharpe Ratio, which is a

ratio of returns generated by the fund over and above risk free rate of return and the total

risk associated with it. According to Sharpe, it is the total risk of the fund that the investors

are concerned about. So, the model evaluates funds on the basis of reward per unit of total

risk. Symbolically, it can be written as:

Sharpe Index (Si) = (Ri - Rf)/Si

Where, Si is standard deviation of the fund, Ri is the return on the fund, and Rfis the rrisk

free rate.

While a high and positive Sharpe Ratio shows a superior risk-adjusted performance of a

fund, a low and negative Sharpe Ratio is an indication of unfavorable performance.

Comparison of Sharpe and Treynor

Sharpe and Treynor measures are similar in a way, since they both divide the risk premiumby a numerical risk measure. The total risk is appropriate when we are evaluating the risk

return relationship for well-diversified portfolios. On the other hand, the systematic risk is

the relevant measure of risk when we are evaluating less than fully diversified portfolios or

individual stocks. For a well-diversified portfolio the total risk is equal to systematic risk.

Rankings based on total risk (Sharpe measure) and systematic risk (Treynor measure)

should be identical for a well-diversified portfolio, as the total risk is reduced to systematic

risk. Therefore, a poorly diversified fund that ranks higher on Treynor measure, compared

with another fund that is highly diversified, will rank lower on Sharpe Measure.



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Modified Treynor Ratio

A logical alternative form of the Treynor ratio might use systematic riskm

in the denominator, which is more consistent with the Sharpe ratio, also

called the modified Treynor ratio:

MTR = (Ri Rf)/ m

Where Ri is the return on portfolio, and Rfis the risk free rate.

Jenson Model

Jenson's model proposes another risk adjusted performance measure. This measure was

developed by Michael Jenson and is sometimes referred to as the Differential Return

Method. This measure involves evaluation of the returns that the fund has generated vs. the

returns actually expected out of the fund given the level of its systematic risk. The surplus

between the two returns is called Alpha, which measures the performance of a fund

compared with the actual returns over the period. Required return of a fund at a given level

of risk (Bi) can be calculated as:

Ri = Rf + Bi (Rm - Rf)

Where, Rm is average market return during the given period, Rfis the risk free rate, Ri is

the return on the fund and Bi is the beta of the fund. After calculating it, alpha can be

obtained by subtracting required return from the actual return of the fund.

Higher alpha represents superior performance of the fund and vice versa. Limitation of this

model is that it considers only systematic risk not the entire risk associated with the fund

and an ordinary investor cannot mitigate unsystematic risk, as his knowledge of market is

primitive.

Modified Jensen



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Smith and Tito (1969) suggested the use of modified Jensen to rank portfolio performance.

Similar to the appraisal ratio, Jensens alpha is divided by systematic risk rather than

specific risk:

Modified Jensen =

This measures the systematic risk-adjusted return per unit of systematic

risk.

Fama Model

The Eugene Fama model is an extension of Jenson model. This model compares the

performance, measured in terms of returns, of a fund with the required return commensurate

with the total risk associated with it. The difference between these two is taken as a measure

of the performance of the fund and is called net selectivity.

The net selectivity represents the stock selection skill of the fund manager, as it is the

excess return over and above the return required to compensate for the total risk taken by

the fund manager. Higher value of which indicates that fund manager has earned returns

well above the return commensurate with the level of risk taken by him.

Required return can be calculated as:

Ri = Rf + Si/Sm*(Rm - Rf)

Where, Sm is standard deviation of market returns, Si is the standard deviation of the fund,

Rm is the return on market, Rfis the risk free rate. The net selectivity is then calculated by

subtracting this required return from the actual return of the fund.

Among the above performance measures, two models namely, Treynor measure and Jenson

model use systematic risk based on the premise that the unsystematic risk is diversifiable.



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These models are suitable for large investors like institutional investors with high risk

taking capacities as they do not face paucity of funds and can invest in a number of options

to dilute some risks. For them, a portfolio can be spread across a number of stocks and

sectors. However, Sharpe measure and Fama model that consider the entire risk associated

with fund are suitable for small investors, as the ordinary investor lacks the necessary skill

and resources to diversify. Moreover, the selection of the fund on the basis of superior stock

selection ability of the fund manager will also help in safeguarding the money invested to a

great extent. The investment in funds that have generated big returns at higher levels of

risks leaves the money all the more prone to risks of all kinds that may exceed the

individual investors' risk appetite.

M2 for Beta

M2 can be calculated for systematic risk in the same way as it is calculated for total risk. If

a straight line is drawn vertically through the risk of the benchmark =1. The intercept with

the Treynor ratio line of portfolio A would give the return of the portfolio with the same

Treynorratio of portfolio A but at the systematic risk of the benchmark

M2 = Rp + TR (1 p)

Where, Rp is the return on the fund, TRis the Treynor Ratio of the fund and Bp is the beta

of the fund.

M2

The statistic is called M2 not because any element of the calculation is squared but because

it was first proposed by the partnership of Leah Modigliani (1997) and her grandfatherProfessor Franco Modigliani. We can rank portfolios in order of preference with the Sharpe

ratio but it is difficult to judge the size of relative performance. We need a risk-adjusted

return measure to gain a better feel of risk-adjusted outperformance



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M2 = Rp + SR (m p)

Where, m is the standard deviation of the market returns and p is the standard deviationof the portfolio.

PRODUCTS

The different mutual fund schemes that we have taken in our sample for the analysis are



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mentioned below along with their respective scheme features. All schemes are growth

schemes of 12 different asset management companies.

1. Baroda Pioneer Balanced Fund - Growth plan

Baroda Pioneer Balance Fund is an open ended balance scheme of Baroda

Pioneer Mutual fund.

The scheme is targeted for long term capital appreciation along with stability

through a well balanced portfolio comprising of equity, equity related

instruments, highly rated debt portfolio and money market instruments.

Baroda Pioneer Mutual Fund is sponsored by Bank of Baroda, one of the

largest public sector banks of the country. Baroda Pioneer Asset

Management Company Limited is the Investment Manager to the Scheme.

Facility of Systematic investment and withdrawal available.

Assured allotment to all applicants

2. Bharti Axa Equity Fund Regular plan Growth



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Bharti AXA Equity Fund is a diversified equity fund investing in stocks across the entire

market capitalization spectrum.

Top down approach for development of themes: Look at global and domestic economy and

the policy environment to develop themes.

Bottom-up approach for stock selection: Once themes are identified, valuation matrices and

fund positioning would guide stock and sector selection.

Well diversified portfolio with greater risk control

Disciplined investment style ensuring profit bookings at regular intervals

45 stocks maintained in a portfolio to achieve a level that will optimize returns and

diversification needs

Exit Load - 1% if redeemed within 1 year from the date of allotment

3. Deutsche DWS Alpha Equity Fund regular Plan - Growth

DWS Alpha Equity Fund Regular plan- growth is a fund to generate long -term

capital growth from investment in a diversified portfolio of equity and equity related

securities.

Focuses on mostly large cap blue chip companies and growth oriented stocks with

longer term investment horizon with focus on intrinsic value v/s market value to

identify growth and value unlocking opportunities.

Combination of top-down and bottom up approach with adequate risk controls

Top Down approach to choose weightings for sectors

Within sector, bottom-up approach to identify investment opportunities

It is an open Ended Diversified Equity Scheme.



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Asset allocation is 80-100% in Equities and Equity related securities and 0-20% in

Debt Securities and Money Market Instruments including cash and money at call

Minimum Investment : Rs. 5,000

Exit Load : 2.25% if redeemed / shifted within 6 months from the date of investment

for Rs. 10 Crore and above

4. DSP BlackRock Balanced Fund

An Open Ended balanced Scheme, seeking to generate long term capital

appreciation and current income from a portfolio constituted of equity and

equity related securities as well as fixed income securities (debt and money

market securities).

Minimum Investment is for a Regular Purchase - Rs 5,000 and multiples of

Re. 1/- thereafter, and for SIP Plan it is Rs. 500 with minimum of 12

installments

5. Edelweiss Mutual Fund ELSS Fund - Growth Plan

It is an open ended equity linked savings scheme.

The primary objective of the scheme is to generate long-term capital appreciation

with an option of periodic payouts at the end of lock in periods from a portfolio that

invests predominantly in equity and equity related instruments. The benchmark

index is S & P CNX Nifty

http://www.edelweissmf.com/catalogue/index.htmhttp://www.dspblackrock.com/index.asp


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The scheme is ideal for investors looking for Tax Benefits under Sec. 80C of the

Income Tax Act. The fund is suitable for investors looking at investing in Equity

with a three-year horizon

The asset allocation is 80% - 100% in equity and 0% - 20% inshort term debt and

money market instruments

6. Reliance Growth Fund Growth Plan

Reliance Growth Fund aims to achieve long-term growth of capital by investment in

equity and equity related securities through a research based investment approach.

It is an Open-ended Equity Growth Scheme

The minimum investment in the scheme is Rs. 5000 with a face value of Rs.10

7. Morgan Stanley Growth Fund

The investment objective of the scheme is to achieve long-term capital appreciation

by investing primarily in equity and equity related securities of companies having

large market capitalization

The indicative asset allocation is :



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Equity and Equity related instruments of companies having large capitalization# 65-

100% Equity and Equity related instruments of companies having large

capitalization# 65-100%

Equity and Equity related instruments other than mentioned in above 0 35%

Debt and Money Market Instruments (including Securitised Debt): 0 35%

8. SBI Magnum Equity Mutual fund

To provide the investor Long-term capital appreciation by investing

in high growth companies along with the liquidity of an open-ended scheme

through investments primarily in equities and the balance in debt and money

market instruments.

It is an open-ended Diversified Equity Fund

If redeemed before 6 Months; and Amount less than 5 crores, Exit

load is 1%. For Amount greater than 5 crores, Exit load is Nil

9.UTI Contra Fund Growth Option



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To provide long-term capital appreciation/dividend distribution through

investments in listed equities and equity-related instruments. The Fund's

investment policies are based on insights from behavioral finance.

It is an Open Ended Equity Fund

The exit load is nil for < Rs.2 crores; for >= Rs.2 crores it is 0.50% if exited

within 6 months from the date of allotment

10. Sundaram Bond saver Growth Fund

Sundaram BNP Paribas Bond Saver seeks to earn regular income by

investing primarily in fixed income securities, which may be paid as

dividend or reinvested at the option of the investor.

It is an Open Ended Income Scheme

The exit load is for applications < or = Rs.10 lakhs: 0.50% if redeemed

within 6 months and for applications > 10 Lakhs: Nil.

11.JM Financial Basic Fund Plan Growth

The primary objective of the Scheme is to provide capital appreciation to its Unit

holders through judicious deployment of the corpus of the Scheme in sectors

categorized under basic industry in the normal parlance and in context of the



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Indian economy, including but not limited to, energy, petrochemicals, oil & gas,

power generation & distribution and electrical equipment suppliers, metals and

building material. The fund will continue to remain open-ended with a sector focus.

It is an open-ended sector scheme

It aims to have a mix of stocks which provide higher profit growth with cheaper

valuations, thereby increasing outperformance prospects.

The SIP/STP/SWP options are all available

12.HDFC Basic Growth Plan

The primary investment objective of the Scheme is to generate long term

capital appreciation from a portfolio that is invested predominantly in equity

and equity related instruments.

It is an open ended growth scheme

The minimum investment amount is for new investors :Rs.5000 and any

amount thereafter, and for existing investors : Rs. 1000 and any amount

thereafter.



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DATA ANALYSIS

Analysis is done by calculating the returns of Growth funds with the help of respective

NAVs. The stock market return is calculated from the closing values of the Sensex.

Using the above described framework we get the values of all the ratios for the funds in

two different time periods.

The Growth Mutual Funds are ranked with respect to each ratio. The Mutual Funds with

higher values are ranked higher for all the ratios. A higher rank indicates better

risk adjusted returns.

1. For the Bull Run period, we have shown the performance of the growth funds with

the help of the ratios. The following chart shows the value of the ratios for the

different funds:

Table 1: Ratio Values for the different Growth funds for Bull Run Period ( Feb 01 2010 to Feb 01 2011)

Fund Name Beta Standa

rd

Deviati

on

Treynors

Ratio

Sharpes

ratio

Jensesns

Alpha

Modified

Jensens

Fama M2 for

Beta

M2

Baroda

Pioneer

BalancedFund -

Growth

plan

0.9755 0.00714 -0.063810 -8.713407 -0.001560 -0.001599 -0.018837 -0.000938 0.06287

Bharti Axa Equity Fund Regular plan

Growth

0.9837 0.01093 -0.063749 -5.73463 -0.00151 -0.001538 0.003739 -0.000877 0.00416



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DWS Alpha

Equity

Fund

regular

Plan

0.9974 0.00965 -0.062411 -6.444651 -0.000200 -0.000201 -0.003555 0.000459 -0.00310

DSP

BlackRock

Balanced

Fund -

Growth

0.9771 0.00629 -0.063785 -9.905439 -0.001539 -0.00157 -0.024093 -0.000914 -0.03853

Edelweiss

Mutual

Fund ELSS

Fund -

Growth

Plan

0.9756 0.00886 -0.063699 -7.012061 -0.001452 -0.0014893 -0.008290 -0.000828 -0.00891

Reliance

Growth

Fund

Growth

Plan

0.9790 0.00924 -0.063691 -6.742577 -0.001450 -0.001481 -0.0061594 -0.00082 -0.00615

Magnum

Equity

Mutual

fund

0.9761 0.00849 -0.063882 -7.340310 -0.0016 -0.001672 -0.010735 -0.001011 -0.01227

Morgan

Stanley

Growth

Fund

0.9765 0.00974 -0.063681 -6.378920 -0.001436 -0.001471 -0.0029475 -0.002947 -0.00243

UTI Contra

Fund

Growth

0.9819 0.01006 -0.063699 -6.216066 -0.001461 -0.0014886 -0.00140 -0.000827 -0.00076

Sundaram

Bond Saver

Growth

Fund

0.98183 0.00087

7

-0.0638 -71.50271 -0.00165 -0.001681 -0.0573998 -0.001020 -0.669155

JM

Financial

1.00133 0.01139

1

-0.063607 -5.591114 -0.001398 -0.001396 0.005530 -0.000735 0.00563



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basic Fund-

Growth

HDFC

Basic Plan-

Growth

0.97445 0.00525

8

-0.0638 -11.8237889 -0.001548 -0.001589 -0.0302191 -0.000928 -0.058177

RANKING OF MUTUAL FUNDS FOR THE BULL RUN PERIOD (Feb

01 2010 to Feb 01 2011)

Table 2:

PERFORMANCE RATIO TOP PERFORMER WORST PERFORMER

Treynors Ratio Deutsche Mutual Fund Sundaram Fund

Sharpes Ratio JM Financial Sundaram Fund

Modified Treynors Ratio Edelweiss JM Financial

Jensens Alpha Deutsche Mutual Fund Sundaram Fund

Modified Jensens Deutsche Mutual Fund Sundaram Fund

Fama Model JM Financial Sundaram Fund

M2 for Beta Deutsche Mutual Fund Sundaram Fund

Key Findings:

We can observe that the ratios are taking on negative values for the funds. There are

two ways the ratios may take negative values :

If the portfolio return is less than the risk-free rate, and the beta is positive.

If the portfolio return exceeds the risk-free rate, but the beta is negative.



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Since we have the betas of all the funds to be positive, the negative values of the ratios can

be attributed to the poor performance of the portfolio manager, where his returns are not

even matching the risk-free rate.

We can observe that Deutsche DWS Alpha Equity Fund regular Plan Growth

shows better performance when it comes to evaluation with Treynors and Jensens

alpha.

Deutsche DWS Alpha Equity Fund regular Plan Growth mutual fund is placed

number one in all except Sharpes ratio, Modified Treynors ratio and Famas ratio.

JM Financial is the second best performer next to Deutsche Fund. It has performed

poorly only in Modified Treynors ratio.

Sundaram Bond Saver Growth Fund has performed the worst in all ratios securing

the last position in 7 out of 8 performance ratios.



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The market movements in the Bull Run period from Feb01 2008 to Feb01 2009 are shown

in the graph below:

Exhibit 1:

Hence, from Exhibit 1, we can find that the stock market was bullish during February 2010to February 2011.

2. For the Bear Run period also, we have shown the performance of the growth funds

with the help of the ratios;

Table 3: Ratio Values for the different Growth funds for Bear Run Period ( Feb 01 2008 to Feb 01 2010)

Fund Name Beta Standard

Deviati

on

TreynorsRatio

Sharpesratio

JensesnsAlpha

ModifiedJensens

Fama M2 forBeta

M2

Baroda

Pioneer

0.1186 0.01848 -0.54889 -3.52204 -0.06 -0.48359 -0.02 -0.49 -0.03766



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Balanced

Fund -

Growth plan

447 9986

DWS Alpha

Equity Fund

regular Plan

0.5566

014

0.02316

6927

-0.11657 -2.80075 -2.80075 -5.03188 -0.01 -0.01 -0.01708

DSP

BlackRock

Balanced

Fund -

Growth

0.3162

56

0.01357

6

-0.20332 -4.73636 -0.04 -0.13802 -0.03 -0.14 -0.07233

Reliance

Growth Fund

Growth Plan

0.4528

91

0.02039

394

-0.14463 -3.21175 -0.04 -0.07933 -0.02 -0.08 -0.02881

Magnum

Equity

Mutual fund

0.5630

9

0.02398

6

-0.11618 -2.7274 -0.03 -0.05088 -0.01 -0.05 -0.01498

Morgan

Stanley

Growth Fund

0.5850

88

0.02465

5

-0.11208 -2.65983 -0.03 -0.04679 -0.01 -0.05 -0.01305

UTI Contra

Fund Growth

0.4665 0.02009 -0.13844 -3.21414 -0.03 -0.07314 -0.02 -0.08 -0.02888

Sundaram

Bond Saver

Growth Fund

0.0086

84

0.00262

5

-7.20346 -23.8324 -0.06 -7.13816 -0.06 -7.14 -0.61741

JM Financial

basic Fund-

Growth

0.2796

51

0.02951

1

-0.24378 -2.31011 -0.05 -0.17848 0.00 -0.18 -0.00307

HDFC Basic

Plan- Growth

0.1649

439

0.01516

399

-0.39116 -4.25475 -0.05 -0.32586 -0.03 -0.33 -0.05858



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RANKING OF MUTUAL FUNDS FOR THE BEAR RUN PERIOD (Feb

01 2008 to Feb 01 2009)

Table 4:

PERFORMANCE RATIO TOP PERFORMER WORST PERFORMER

Treynors Ratio Morgan Stanley Sundaram Fund

Sharpes Ratio JM Financial Sundaram Fund

Modified Treynors Ratio Sundaram Fund JM Financial

Jensens Alpha Morgan Stanley Sundaram Fund

Modified Jensens SBI Mutual Fund Sundaram Fund

Fama Model JM Financial Sundaram Fund

M2 for Beta Morgan Stanley Sundaram Fund

Key Findings:

We can observe that Morgan Stanley Growth Fund shows better performance

when it comes to evaluation with Treynors and Jensens alpha and M2 for Beta.

JM Financial is the second best performer next to Morgan Stanley. It has performed

poorly only in Modified Treynors ratio.

Sundaram Bond Saver Growth Fund has performed the worst in all ratios securing

the last position in 7 out of 8 performance ratios.

The market movements in the Bear Run period from Feb01 2008 to Feb01 2009 are shown

in the graph below:



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Exhibit 2:

From the above exhibit, it can be seen that the value of the Sensex has dropped from

18242.58 to 9257.47. Thus, it shows that the market was bearish for the period during

February 2008 to February 2009.

3. COMPARISON OF RETURNS OF GROWTH FUNDS FOR BULL RUN &

BEAR RUN PERIOD

Table 5: Returns of Growth Funds in Bull & Bear Period

Name of Fund Average Return for Bear Period Average Return for Bull Period

Baroda Pioneer Fund -13.13% 3.85%

Deutsche -10.87% 3.50%

DSP Blackrock -7.939% 3.239%

Reliance -14.316% 3.017%



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Morgan Stanley -14.618% 4.176%

Sbi -13.700% 3.535%

UTI -9.74% 1.885%

Sundaram 1.929% 0.856%

JM Financial -26.51% 5.195%

HDFC -9.413% 4.569%

From the above Table 5, we can find that all the Mutual Fund Schemes were

offering a reasonable rate of return during the Bull Run Period. JM Financial Mutual

Fund has the highest rate of return among the Growth Funds. On an average, we can

find that all the Growth Funds were providing a return of 3.23% in the Bull Period.From the above table-5, it is also clear that all the Growth Funds were providing a

negative rate of return during the Bear Run Period. This shows how the market

affects the rate of return of investments.

4. COMPARING PERFORMANCE OF GROWTH FUNDS AND STOCK

MARKET

The following table indicates the performance of Growth Funds:

Table 6: Performance of Growth Funds

Period Return Risk Return/Risk

BULL PERIOD 3.3822 2.596 5.674

BEAR PERIOD -10.36 1.916 -5.407

The following table indicates the performance of stock market.



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Table7: Performance of Sensex.

PERIOD STOCK MARKET

INDEX

RETURN RISK RETURN/RISK

BULL PERIOD SENSEX 0.06608 1.023 0.06459

BEAR PERIOD SENSEX -0.2425 2.854 -0.0849

A Bull Run Period

A1) The average returns of the Growth Funds is higher than that of the Market. The Market

has underperformed the Growth Funds in terms of return during the Bull Run Period.

A2) The Growth Funds have Risk (Standard Deviation of Returns) higher than that of theMarket. The Market has outperformed the Growth Funds in terms of Risk during the Bull

Run Period.

A3) Growth Funds have Return per unit Risk higher than that of the Market.

B Bear Run Period

B1) Growth Funds have return higher than that of the Market in the Bull Run Period. The

Market has outperformed the Growth Funds in this phase.

B2) Growth Funds have Risk (Standard Deviation of Returns) lower than that of the

Market. The Market has underperformed the Growth Funds in terms of Risk during the

Bear Run Period.

B3) Growth Funds have Return per unit Risk lower than that of the Market.



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CONCLUSION

Investments during the Bull Run period can give maximum returns but at the same

time, they also have high rate of risk

Market has outperformed Growth Funds in terms of Return during the Bear Run

Period

Growth Funds have lower risk than Stock Markets during the Bear Run Period.

From the ranking of Mutual Funds based on the ratios it can be concluded that

Deutsche DWS Alpha Equity Fund is the best performer of all. It is giving best returns on

various risk parameters.

JM Financial is also a good performer, ranking 2nd on most of the ratios.

On the other hand Sundaram Bond saver Growth Fund is the lowest performer

on most of the ratios indicating poor combined performance of risk and returns.



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We will now study the Deutsche DWS Alpha Equity Fund regular Plan Growth and

analyze its special features that contribute to its superior performance as compared to the

other mutual fund schemes

DWS Alpha Equity Fund Regular Growth Plan

The DWS Alpha Equity Fund scheme is an open diversifiable equity scheme. The DWS

Alpha Equity Fund Regular plan- growth is a fund to generate long -term capital growth

from investment in a diversified portfolio of equity and equity related securities. It focuses

on mostly large cap blue chip companies and growth oriented stocks with longer term

investment horizon with focus on intrinsic value v/s market value to identify growth and

value unlocking opportunities. The scheme has a combination of top-down and bottom up

approach with adequate risk controls. The top-down approach is used to choose the optimal

weightings for the sectors, and the bottom-up approach is used for identifying the

investment opportunities. The asset allocation is around 80-100% in Equities and Equity

related securities and near about 0-20% in Debt Securities and Money Market Instruments

including cash and money at call. The minimum investment required in the scheme is Rs.

5000. Also, the exit load is 2.25% if the scheme is redeemed / shifted within 6 months from

the date of investment for Rs. 10 Crore and above. Currently, the scheme has a corpus of

around rs 150.65 crores

Inception Date Regular Plan: 21st January, 2003;

Wealth Plan: 27th April, 2009

Nature and InvestmentObjective An open-ended equity scheme with the

objective to generate long-term capital growth

from investment in a diversified portfolio of

equity and equity related securities.



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Options Dividend (payout/reinvestment) and Growth.

Benchmark NSE Nifty.

Asset Allocation 80-100% in Equities and Equity related

securities;0-20% in Debt Securities and Money Market

Instruments including cash and money at call.

Application Amount Regular Plan: Minimum Rs. 5000/- and in

multiples of Re. 1/- thereafter.

Wealth Plan: Rs. 25000/- and in multiples of

Re. 1/- thereafter

Additional Investment Amount Regular and Wealth Plan: Rs. 1000/- and inAmount multiples of Re. 1/- thereafter.

Minimum Repurchase Amount Regular and Wealth Plan: Rs. 1000/- and in

multiples of Re. 1/- thereafter.

Minimum Investment for SIP, STP and

SWP

Minimum amount of Rs. 12000/- divided into

12 installments of Rs. 1000/- each for 12

months or

6 installments of Rs. 2000/- each for 6 months

or

4 installments of Rs. 3000/- each for 3 months.

Exit Load (including

SIP, STP & SWP)

1% if redeemed/switched out within 12 months

of allotment.

The Top Ten Holdings of the scheme as on 30 th November 2010

Infosys Technologies 8.06%



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Bharat Heavy Electricals 6.90%

I T C 6.81%

Reliance Industries 6.51%

ICICI Bank 5.96%

Cairn India 5.26%

HDFC Bank 4.98%

IRB Infrastructure Developers 4.79%

Power Finance Corporation 3.83%



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0

5

10

15

20

25

30

35

last 1 month last 6

months

lats 1 year last 3 years last 5 years since

inception

Scheme

Benchmark

Funds Performance (%) as on 30th November 2010

Key Factors for the outstanding performance of DWS Alpha Equity

Fund:

The fund has soundly beaten both its categrory average and its benchmark

over the one, two-, three- and five year horizon,. Over the years that it has

been in existence, the fund has given a compounded annual return of 38.63

per cent, outperforming its benchmark by a huge margin.

The fund showed a big leap in performance from 2005 to 2006 due to the

fund manager making the right call on the non-ferrous sector. The fund



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manager concentrates on quality stocks rather than quantity, concentrating

more on defensive stocks.

The fund manager, Aniket Inamdar, knows well the art of entering and

exiting a sector at the right time in the market cycle . The fund exited the

auto and auto ancillaries sector well in time, sensing the impending slump in

the auto market. Thereafter, it increased its exposure to the steel sector due

to robust domestic demand and global consolidation (the sector currently

accounts for 7.45 per cent of the portfolio). Lately, the fund has reduced its

exposure to interest-rate sensitive sectors like banking, and increased

exposure to telecom and FMCG. The top three sectors constitute 34.84 per

cent of the portfolio while the top 10 holdings constitute nearly half the total

portfolio.

The DWS Alpha Equity Fund has the ability to contain downside risks

better than most peer funds. With the markets poised at a crucial point, the

fund's ability to veer through volatile markets also stands investors in good

stead.

In the last year, the fund has outperformed its benchmark CNX Nifty and

kept pace with similar large-cap-focused peers such as DSPBR Top 100 and

Kotak-30, while outperforming Sundaram BNP Paribas Select Focus by a

five percentage points.

The returns, however, pale when compared with the diversified equity funds'

category average returns of over 34 per cent. Besides a predominantly large-

cap focus, late participation in the rally from March 2009 lows may explain

the lower returns.

Alpha Equity has been deft in wading through corrective phases of the

market. Its large-cap focus makes it suitable for conservative-to-moderate

investors. While its focused exposure to stocks pegs up its risk profile

slightly, a small asset base reverses it a bit in terms of affording it greater

flexibility in portfolio makeovers



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Over the last one-, three- and five-year periods the fund recorded a

compounded return of over 29 per cent, 11 per cent and 23 per cent and

outperformed its benchmark too. The fund's ability to arrest slides during

market corrections seems to have largely helped pep up its three- and five-

year returns.

Be it the corrective phases in 2004, early 2007 or the protracted fall in 2008,

the fund has displayed consistency in containing downside. For instance, it

shed about 48 per cent in 2008, lower than Nifty (52 per cent down) and

most peer funds. Though its performance has only been middle of the order

in its category, that it has been fairly consistent, what with a yearly rolling

return track record of beating its benchmark 65 per cent of the times in the

last five years, holds appeal.

Challenges for Mutual Fund Industry in India

The Indian mutual fund industry needs to widen its range of products with affordable and

competitive schemes to tap the semi-urban and rural markets in order to attract more

investors. Some of the major challenges that the industry faces today are mentioned below:

Growth versus Governance- A right mix

The Indian Mutual Fund industry has held its ground in the midst of adversities in the

capital markets thanks to the strong regulatory framework in place. As the number of

players in the market increases, competition may force fund houses to comply not only with

the laid down regulations and concentrate more on growth but endeavor in creating

excellence in governance as well. In this challenging environment, the debate of growth

versus governance is surely set to assume greater significance.



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Regulations- What more is needed?

As the industry moves on from its nascence to adolescence, it is joint responsibility of the

industry players, the regulators and also the investors to ensure that it further transits to

maturity as smoothly as possible. A strong regulatory platform is a key challenge in any

business environment, more so in the Indian context at this point on the growth curve of the

industry. While we do have a strong regulatory platform in place, more can be done based

on the experience of mature markets like the US and UK, where investor protection has

assumed top priority. The industry is well governed with a spate of reactive regulations and

its now time to introduce more proactive, growth enhancing regulation

Administration and Distribution

No discussion on mutual funds can be complete without touching upon the aspect of

distribution. A lot has been spoken about the need to increase penetration of mutual funds in

Tier II and Tier III cities. Rural participation in mutual funds continues to be poor. Such

poor penetration has much to do with lack of investor awareness, inefficiencies in fund

transfer mechanisms, presence of safer substitutes and cost of establishing presence insmaller areas. Fund houses cannot fight this battle single handedly. They need adequate

support in terms of banking infrastructure, distribution services and technological solutions

to ensure a sustainable cost-benefit model of growth. Even in terms of the transfer agency

function, the choice of players was very limited which too sometimes places a constraint in

terms of ensuring administered growth. However, with more players entering the business,

watch out this space for more action.

Investor Education- A thrust on financial planning

The efforts taken by the industry and AMFI towards investor education are definitely

showing results. The media is also making a fair share of its contribution. Today, we have



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news channels, running dedicated shows for mutual funds, wherein fundamentals of

investing in mutual funds are explained and queries of investors are answered by experts.

However, the fact remains that in our country mutual funds are sold rather than bought. And

this trend has been observed uniformly across all classes of investors and for all kinds of

products. This is where professional help is required. The economic boom in our country

has led to the emergence of a very strong Small and Medium Enterprise (SME) sector.

Banks and financial institutions are also vying for a stake in wooing this niche business

segment. However, the focus of SMEs has primarily been in the manufacturing sector. The

services sector could also be accredited with this status. This would help professionalize

financial planning in our country as is the trend in mature markets like the USA. The

Certified Financial Planner accreditation can now be acquired in India. With the right kind

of assistance from the banking sector, we could have an army of entrepreneurs willing to

take up financial planning as a very profitable business option and this could go a long way

not only in ensuring professional education and guidance to the investors but also in

improving the long term financial health of investors.

The technological backbone

Fund houses have introduced interesting technological innovations such as transacting

through the internet, net asset value updates on mobile phones, unit balance alerts via SMS

messages, transacting through ATM cards etc. However, these innovations currently cater

to the already pampered urban class of investors. The internet revolution in our country is

yet to penetrate to the grass root levels. The per capita usage of internet in our country is

still very low compared not only to the developed countries but also as compared to our

developing peers. Mobile telephony comparatively has grown exponentially. Herein lays

another important challenge for the industry. It is very important to strike the right balance

while choosing to invest in technological advancements. As mentioned earlier, the industry

is now at a stage where to progress to the next level of growth, it needs more support from

other sectors in the economy. A few fund houses with deep pockets may be able to make

necessary investments in the required technology. But for the long term benefit of all the



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players in the industry, it is indeed necessary to join hands with other sectors of the

economy such as banking and telecommunications.

Diminishing talent pool

Print media these days has dedicated space to capture resource movements between

companies, especially in the financial services sector. The acute shortage of talented

resources is slowly but surely showing its impact. The pool of talented people is

diminishing and staff costs are soaring. The key challenge is to find a permanent solution to

tide over this acute shortage. One possible solution could be for the industry through AMFI

to tie up with universities and colleges to offer programmes dedicated to the financial

services industry in general and the mutual fund industry in particular, which would cover

various critical aspects of the financial services industry ranging from fund management,

research, analysis, treasury, operations and accounting. Aspirants acquiring accreditation in

these courses could then be directly channelized into the various subsets of the financial

services industry. This could ensure a continuous steady supply of talented resources to the

industry.

Bibliography

Books and Papers

Business Statistics: Contemporary Decision Making, 6th Edition, Ken Black (University of

Houston, Clear Lake, TX) December 2009, 2010

Indian Journal Of Finance, Volume 4, Number 12, December 2010



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Brealey, R A & Myers, S C, 2008, Principles of Corporate Finance, McGraw-Hill Co.,

New Delhi, 8th

edition.

Lynch, Anthony W et Al (2002). Does Mutual Fund Performance Vary over the

Business Cycle? , www.ssrn.com, paper no.470783 and PP.1-21

Websites

Association of Mutual in India, www.amfiindia.com

Business Maps of India, Mutual Fund, Performance, http://business.mapsofindia.com

Deccan herald, National, Detailed Story, www.deccanherald.com

Domain-b, Markets, Mutual Fund, www.domain-b.com

Economic Times, Personal Finance, Mutual fund

news,http://economictimes.indiatimes.com/Personal_Finance/Mutual_Funds/MF_News/Mutual_fun

ds_assets_jump_4_pc_in_Dec_add_Rs_16300_cr/articleshow/3926747.cms

Finance Research, www.financeresearch.net

Financial chronicle, My Money, Mutual Funds, www.mydigitalfc.com

Find articles, business service

industry,http://findarticles.com/p/articles/mi_m1TSD/is_1_6/ai_n25012619/pg_1?tag=artBody;col1

I Trust, Mutual Funds, www.itrust.in

India Funds Research, Mutual Funds, www.indiafund.net

Karvy, Mutual Funds, Articles, www.karvy.com

Live mint, money matters, www.livemint.com



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Money control, mutual funds, www.moneycontrol.com

Mutual funds India, www.mutualfundsindia.com

Presentation on Evolution of Indias mutual fund industry, A P Kurien, www.amfiindia.com

ANNEXURE

Appendix 1

The following graphs show the performance of all the mutual fund inthe Bull Run period Feb1 2010 to Feb1 2011 with respect to each

ratio:



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-0.0645

-0.064

-0.0635

-0.063

-0.0625

-0.062

-0.0615

Treynor's Ratio

Treynor's Ratio

-80

-70

-60

-50

-40

-30

-20

-10

0

Sharpe's Ratio

Sharpe's Ratio



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51

-6.25

-6.2

-6.15

-6.1

-6.05

-6

-5.95

Modified Treynor's Ratio

Modified Treynor's Ratio

-0.0018

-0.0016

-0.0014

-0.0012

-0.001

-0.0008

-0.0006

-0.0004

-0.0002

0

Jensen's Alpha

Jensen's Alpha



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-0.0018

-0.0016

-0.0014

-0.0012

-0.001

-0.0008

-0.0006

-0.0004

-0.0002

0

Modified Jensen's

Modified Jensen's

-0.07

-0.06

-0.05

-0.04

-0.03

-0.02

-0.01

0

0.01

Fama

Fama



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53

-0.0012

-0.001

-0.0008

-0.0006

-0.0004

-0.0002

0

0.0002

0.0004

0.0006

M2 for Beta

M2 for Beta

-0.8

-0.7

-0.6

-0.5

-0.4

-0.3

-0.2

-0.1

0

0.1

M2

M2



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Appendix 2

The following graphs show the performance of all the mutual fund in

the Bear Run period Feb1 2008 to Feb1 2009 with respect to each

ratio:



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