Analysis Of The Risk And Return Relationship Of Equity -Books Pdf

ANALYSIS OF THE RISK AND RETURN RELATIONSHIP OF EQUITY
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International Journal of Advancements in Research Technology Volume 2 Issue 8 August 2013 290. ISSN 2278 7763,Amporn soongswang 2009 studied 138, The history of mutual funds in India can be dated open ended equity mutual funds managed by. back to 1963 when UTI was established by an act 17 asset management companies in Thailand. of parliament As on 30th April 2013 the total during the period 2002 2007 When the. number of mutual fund schemes in India are 1309 mutual funds were measured using Trey nor. which is worth Rs 8 13 531 crores AUM In this ratio sharp ration and Jensen s alpha. context it becomes pertinent to study the pattern and showed that performance of Thai open. behavior of the Mutual fund schemes to which the ended mutual funds significantly outperform. common man is still unaware of it The risk return the market However by using the Data. relationship is perhaps one of the best ways to Envelopment analysis DEA technique the. analyze the performance of a mutual fund results suggested that for 3 month time. period of investment only the open ended, Objectives of the Study equity mutual fund significantly outperform. The last decade has seen a tremendous growth in the market. the mutual fund industry As per the latest data the Sathya Swaroop Debashish 2009 measured. asset under management AUM in this industry is the performance of the equity based mutual. more than Rs 5 8 thousand billion Today the Indian funds in India 23 schemes were studied. market is flooded with more than a thousand mutual over a period of April 1996 to March 2009. fund schemes promising better returns than others 13 years The analysis was done on the. However for a common man it becomes a basis of mean return beta risk co efficient. challenge to select the best portfolio to invest With of determination sharp ratio and Jensen. this it becomes pertinent to analyze the alpha The first analysis has been done on. performance of these AUM An attempt has been the basis of returns followed by a. made to study the performance of Equity based comparison between market returns and the. mutual funds in India return on schemes it was concluded that. The objective of the study is to bring out a UTI mutual fund schemes and Franklin. comparison between the performance of equity Templeton schemes have performed. based mutual funds of public and private sectors in excellently in public sectors respectively. India The basic tool would be the Capital Asset, Pricing Model CAPM Using CAPM one can Data and Methodology. calculate the expected rate of return for a portfolio The period of study is 1999 2013 A total of 15. given its risk So in this paper the first task is to Equity based mutual fund schemes have been. calculate the risk associated with a mutual fund considered Out of 8 belong to the private sector. This is denoted by beta in CAPM A collective data companies namely Reliance Mutual Fund and. for period of 15 years has been considered to Kotak Mutual Fund while the rest belong to the. calculate beta Once we calculate beta we can public sector companies namely UTI and SBI For. easily calculate the expected rate of return from a calculation of the risk the study has used the daily. mutual fund The analysis finds that the private and closing Net Asset Value NAV of the mutual funds. public sector mutual funds both perform well when along with daily closing price of the benchmark. it takes risks or not stock index SENSEX The main idea of the study. is to calculate the expected return from a scheme, Review of Literature and then comparing it with its actual rate of return. Copyright 2013 SciResPub IJOART, International Journal of Advancements in Research Technology Volume 2 Issue 8 August 2013 291.
ISSN 2278 7763,over the given time period To find how risky a. scheme is we calculate its risk co efficient beta as. defined in the CAPM,We define the following terms for this. Daily growth rate of Mutual Fund,Copyright 2013 SciResPub IJOART. International Journal of Advancements in Research Technology Volume 2 Issue 8 August 2013 292. ISSN 2278 7763,Copyright 2013 SciResPub IJOART, International Journal of Advancements in Research Technology Volume 2 Issue 8 August 2013 293. ISSN 2278 7763,Where NAVi denotes the net asset value of a.
scheme at time i,Empirical Findings, Mean daily growth rate of a scheme Table 1 performance of schemes of the basis of. their Risk and Return Parameters,E A ERR AR, Similarly for market index which is either NIFTY SL M R R Di Perf. M N F ffe orma,or SENSEX we define,F O sc re nce,Daily Growth rate of the Market index he nc. 1 L 0 4 4 2,1 84 30 5 48 9 75 7 AA,Mean daily growth rate the market index M. U TA 0 4 0,1 4 T 2 X 84 30 4 66 3 81 85 A, Where the Growth rate of market index and n B 1 8 1.
is the number of days for which it has been studied M 3 A 03 86 7 98 9 73 75 A. Risk free Rate of Return LA 0 4 1,4 R 83 30 4 98 6 15 17 A. 5 UL 89 30 6 16 3 10 06 BA,Expected Rate of Return E. After calculating the risk parameter beta of an B TE 0 8 0. I 6 C 87 65 9 94 9 80 14 A,asset and the annual growth rate of the market. index we calculate the expected rate of return of the M 7 H 0 5 0. mutual fund scheme The formula is derived from F Y 89 20 6 63 7 17 54 A. the CAPM L 1 4 2,R 8 05 30 5 48 2 53 95 BA,L B 0 8 11 1 3. In this study is taken as the fixed deposit rate in I 9 A 94 86 7 98 3 15 AA. the nationalized banks A N, From the Capital Asset Pricing Model the beta of C 10 U 96 30 6 16 3 78 38 BA.
an asset which measures the risk of assets is E L,calculated by formula T 0 4 2. M 11 A 98 30 4 66 7 56 90 AA,12 R 79 30 4 98 4 23 75 A. Copyright 2013 SciResPub IJOART, International Journal of Advancements in Research Technology Volume 2 Issue 8 August 2013 294. ISSN 2278 7763, K G However if the aforesaid difference is within the. O H 0 4 0 range of 2 it implies that the scheme is very close. T 13 Y 81 76 6 63 6 54 09 A to the security market line and classified as. A averagely performed,14 84 30 5 48 6 77 29 A,M M Table 2 Comparison between Public and Private.
F B 1 4 5 sector companies, 15 A 06 05 7 98 2 53 45 BA Type Company NO of OP UP AP. N Name Schemes,Private Reliance 04 02 02 00,Abbreviations Company Kotak 04 00 01 03. EMF Equity mutual fund Risk AR Annual MF, return ERR Expected rate of return ARR Public SBI 03 00 01 02. Actual rate of return L M Large and Medium MF MF,company UTI 04 01 00 03. TAX Tax saving plan BAN Banking MUL,Multi cap TECN Technology HY Hybrid AA.
Above Average A Average BA Below,OP Over Performance UP Under Performance. Average AP Average Performance, Using equation 5 we calculate the beta value of a Out of 15 mutual fund schemes analyzed 8 belong. scheme which is listed in the third column of the to the private sector companies while 7 belong to. table A beta value of greater than 1 implies that the the public sector companies The percentage of. asset is more risky than market and vice versa The schemes which have over performed is 50 0. period of study need not be same for all the mutual 25 and 0 for Reliance Kotak UTI and SBI. fund schemes because the data of inception for all respectively In other words 25 of the private. of them is different So the fourth column depicts,sector schemes and 14 28 of the public sector. the annual rate of growth of market index which is. schemes have over preformed From a different, either SENSEX or NIFTY for the aforesaid period perspective 37 5 of the private schemes and. Now using the formula in equation 6 we 14 28 of the public sector schemes have. calculate the expected rate of return for the underperformed. particular mutual fund scheme which is, commensurate with its risk The next column Systematic Risk Beta.
indicates the actual rate of return for the asset Now. the difference between the expected and actual rate In the Capital Asset Pricing Model the risk of any. of returns would lead us to the conclusion If the asset is measured by calculating its beta It. difference is positive i e if the actual rate of return measures how risky an asset is with respect to the. is greater than the expected return the asset lies market If beta of a scheme is greater than unity it. above the security market line and vice versa implies that it s riskier than the market index and. Consequently we say that the mutual fund scheme vice versa In this analysis of 15 schemes there is a. has over performed and vice versa just 3 schemes whose beta is greater one which is. Banking Sector fund and large cap fund of private,Copyright 2013 SciResPub IJOART. International Journal of Advancements in Research Technology Volume 2 Issue 8 August 2013 295. ISSN 2278 7763, and public sectors Despite its high risk factor it has 4 www amfiindia com. 2 of them performed below average and 1 fund 5 www valuereserachonline com. performed average margin of 1 75 In the range of 6 www mutualfundindia com. beta 9 1 0 there are total 6 mutual fund schemes 7 www reliancemf com. out of 15 8 www kotakmf com, This shows that nearly 6 of them are almost as risky. as the Stock market Among these 6 funds 80 of 1 Soongswang Ampoorn Open ended Equity. funds perform below average The other funds Mutual Funds International Journal of. which are below the range of beta 0 90 there are Business and Social Science Vol 2 No 17. total 9 mutual fund schemes out of 15 which,2 Vaidyanathan R Capital Asset Pricing. performs average and above average The,Model The Indian Context the ICFAI.
contribution of Reliance Kotak SBI and UTI are 4, 3 4 and 4 respectively In terms of individual Journal of APPLIED FINANCE Vol 1 No. percentage these are 100 75 100 and 100,respectively 3 Debasish Satya Swaroop 2009. Conclusions Investigating Performance of Equity based. Mutual Fund Scheme in Indian Scenario, The study has investigated the performance of KCA Journal of Business Management. Equity based mutual fund schemes in India using Vol 2 ISSUE 2. CAPM In the long run the private and public,companies have performed well While Reliance. and Kotak mutual fund industries have been the best. performers than the UTI and SBI mutual fund,industries In this all four SBI has a worst.
performer The result clearly indicate that over the. period of last 15 years the private sector mutual,fund companies have outperformed then the public. sectors and by observing 1st Table the performance. of each and every mutual fund mainly not depend,on the risk and return relationship some of the. specified schemes only mainly depend upon the risk. and return relationship The overall analysis finds. the Private sector mutual fund schemes better than. the public sector schemes and less risky as well,References. 1 www sebi org,2 www sbimf com,3 www utimf com,Copyright 2013 SciResPub IJOART.


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