The Validity of Composite Risk-Return Measures Within Mutual Fund Subgroups

Alice Monroe, a 30-year-old married mother of two, was an admissions officer at the Kellogg School of Management at Northwestern University. She was just completing her first year of service at Northwestern and qualified for the university's 403(b) retirement plan. It was early October 2017, and she had until the end of the month to decide if and to what extent she would participate in Northwestern's retirement plan–that is, how much of her salary should she put into the retirement plan, and into which mutual fund or funds should she allocate her savings? The case includes background on defined contribution and benefit plans as well as mutual funds. It goes into detail about Northwestern's retirement plan, including data on the performance of 15 of the plan's core mutual funds. The case also provides each fund's strategy, Morningstar Rating and Morningstar Category, expense ratio, assets under management, turnover rate, and historical performance for the last 10 years. Using modern portfolio theory (diversification and risk-return trade-off) and with an understanding of mutual fund fees and the tax advantages of retirement savings, students will decide how much Alice should invest and in which mutual funds.

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An Empirical Study on the Performance of Select Large Cap Equity Mutual Funds in India

MUDRA Journal of Finance and Accounting ◽

10.17492/mudra.v2i1.6442 ◽

2015 ◽

Vol 2 (1) ◽

Author(s):

Samyabrata Das

Keyword(s):

Mutual Funds ◽

Asset Management ◽

Mutual Fund ◽

Human Element ◽

Risk Return ◽

Equity Mutual Funds ◽

Equity Funds ◽

Managed Funds ◽

Opening Up ◽

Fund Return

Since the opening up of the economy in the early 1990s, Indian mutual fund industry has witnessed fabulous quantitative growth. Funds which invest a larger proportion of their corpus in companies with large market capitalization are called large cap funds. Actively managed funds make use of a human element, such as a single manager, comanagers or a team of managers, to actively manage a fund's portfolio. The main objective of the study is to analyse the performance of select actively managed large cap equity funds in the line of risk-return parameters. This study is based on fourteen funds from twelve Asset Management Companies. All the funds are ranked under seven performance measures, namely, fund return, fund standard deviation, Sharpe Ratio, Treynor Ratio, return from systematic investment plan (SIP), Jensen Alpha, and RSQ, for five different time periods of 1-year, 3-year, 5-year, 7-year, and 10-year.

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A STUDY ON RISK & RETURN ANALYSIS OF SELECTED SECURITIES IN INDIA

International Journal of Engineering Technologies and Management Research ◽

10.29121/ijetmr.v5.i4.2018.211 ◽

2020 ◽

Vol 5 (4) ◽

pp. 79-86

Author(s):

P. Subramanyam ◽

Nalla Kalyan

Keyword(s):

Mutual Funds ◽

Risk Taking ◽

Capital Market ◽

Mutual Fund ◽

Policy Reforms ◽

Important Place ◽

Risk Return ◽

Interesting Insight ◽

Small Investors ◽

Insight Into

The main objective of the study is to give investors a basic idea of investing into the mutual funds and encourage them to invest in those areas where they can maximize the return on their capital. The research provided an interesting insight into awareness about the mutual funds, risk taking abilities of investors and investment options preferred etc. The Indian Capital has been increasing tremendously during the last few years. With reforms of economy, reforms of investing policy, reforms of public sector and reforms of financial sector, the economy has been opened up and many developments have been taking place in the Indian money market and Capital market. In order to help the small investors, mutual fund industry has come to occupy an important place. This study helps us to understand how the companies diversify themselves in different sectors and in different companies to maximize the returns and to minimize the risks involved in it.

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A Research on Risk Return Analysis of Selected Growth Option Mutual Fund Schemes in India

International Journal of Innovative Technology and Exploring Engineering - Special Issue ◽

10.35940/ijitee.l1136.10812s19 ◽

2019 ◽

Vol 8 (12S) ◽

pp. 545-551

Keyword(s):

Mutual Funds ◽

Asset Management ◽

Mutual Fund ◽

Research Study ◽

Secondary Data ◽

Risk Return ◽

Growth Option ◽

Equity Mutual Funds ◽

Public Risk ◽

Basic Features

Mutual funds are one of the best intermediaries in capital markets to mobilize funds from general public. Risk and return are the basic features of mutual fund. The present study evaluates and compares the performance of 26 large-cap equity schemes of five Asset Management Companies (Franklin Mutual Fund, India bulls Mutual Fund, UTI Mutual Fund, SBI Mutual fund, Axis Mutual fund). The period of the study is 5 years from 2013 to 2018. Benchmark index is BSE 100 index has been collected from www.bseindia.com. The research study has analyzed the performance of Large-Cap Equity Mutual Funds of Select Asset Management Companies and to compare the performance of Large-Cap Equity Mutual Funds of Select Asset management Companies. The methodology of the present study includes sampling, data collection and data analysis tools used for the study. The present research study is based on purely secondary data. The NAV data has been obtained from Association of Mutual funds of India (AMFI) website and other secondary data obtained from books, journals and respective mutual fund websites. In this research study, financial tools Sharpe Index, Treynor’s Index and Jensen Alpha etc., are applied for processing the data to give reliable conclusion.

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Risk, return & performance evaluation of selected mutual fund schemes – a study on large & mid cap funds

Journal of Management and Science ◽

10.26524/jms.2012.44 ◽

2012 ◽

Vol 1 (4) ◽

pp. 348-362

Author(s):

Krunal K Bhuva ◽

Ashok R. Bantwa

Keyword(s):

Mutual Funds ◽

Mutual Fund ◽

Academic Research ◽

Fund Performance ◽

Stock Selection ◽

Market Returns ◽

Fund Managers ◽

Risk Return ◽

Long Run ◽

Better Than

This paper studies the persistence of mutual fund performance. Academic research oftenfocuses on fund returns. This study intends to examine the performance of selected Large cap and Mid capmutual fund schemes of Indian Mutual fund industry during the study period 2007 to 2011. The performanceof selected schemes is evaluated in terms of average returns, systematic risk, and unsystematic risk and byusing different measures like: Sharpe, Jenson, Treynor and FAMA. After detailed analysis it is found thatexcept two all the sampled schemes have performed better than market. Supporting the establishedrelationship of high risk - high return, better performing schemes are exposed to higher risk. The findings alsorevealed that majority of the schemes were adequately diversified and about 60% of the schemes were able tobeat the market with help of better stock selection skill of fund managers. Finding from the t-test calculationsshows that there is no difference between returns from large cap mid cap mutual funds in long run. From thereturn comparison of mutual funds and market, in 2008 & 2011 large cap are underperforming than marketand in 2011 only mid cap mutual funds are showing less return than market returns.

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Reexamining fund manager skill from a new angle

Managerial Finance ◽

10.1108/mf-12-2015-0337 ◽

2016 ◽

Vol 42 (8) ◽

pp. 746-762

Author(s):

Qiang Bu ◽

Nelson Lacey

Keyword(s):

Mutual Fund ◽

Cumulative Distribution ◽

Control Group ◽

Content Type ◽

Risk Return ◽

Equity Mutual Funds ◽

Equity Funds ◽

Manager Skill ◽

Robustness Check

Purpose – The purpose of this paper is to examine managerial skill of US equity mutual funds in the context of both abnormal return and risk. Design/methodology/approach – The authors evaluate manager skill based on the outperforming probability and cumulative distribution function of the actual funds and the bootstrapped funds. And the authors recognize the role of fund life cycle and use different evaluation horizons to control for fund age and the overall state of the market. Findings – The authors find that a small percentage of equity funds can beat the market, and the percentage is overall higher than what the control group would predict. The authors find no evidence of persistence. The authors also document that the chance of underperformance is much higher than what the authors had expect from the control group. Taking the risk-return tradeoff into account, any performance advantage of actual funds over bootstrapped funds is correlated with tail risk, and a robustness check confirms this finding. Originality/value – The authors find that the outperforming probability itself is not enough to confirm the existence of manager skill. The complete story of mutual fund alpha, should it exist, would not be complete without incorporating both risk and luck.

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