a study on performance evaluation of equity share …

A STUDY ON PERFORMANCE EVALUATION OF EQUITY

SHARE AND MUTUAL FUNDS

ANKITA SHARMA

Asst. Professor, Gitarattan International Business School, Delhi (INDIA)

DEEPAK KUMAR ADHANA

Research Scholar, Institute of Mgt. Studies & Research, M.D. University, Rohtak (INDIA)

ABSTRACT:

The present paper is based on the study of comparing and analyzing the equity fund schemes in

respect of bare risk and return. Further the paper compares and analyzes the mutual fund

schemes in respect of bare risk and return. The research also studies the average risk and average

return of selected companies of Mutual Funds as well as of Equity Shares. The paper in the end,

studies the relationship between the risk and return of Equity Shares and Mutual Funds.

KEYWORDS —Equity Shares, Mutual Funds, Return, Risk,

I. INTRODUCTION:

In the current economic scenario falling and fluctuation in the share market investor is confusion.

One finds it difficult to take decision on investment. This is primarily because of investment in

nature and investors have to consider various factors before investing in investment avenues.

These Factors include risk, return, volatility of shares and liquidity. Objectives of comparing

investment in equity shares with Mutual Funds scheme is to analyse the performance of mutual

fund with their benchmark and comparing them with equities by using risk, return ,beta and Alpha

as a parameter.

Historical data with taken for calculating risk, return, Alpha and beta. Analysis has done on

percentage method for comparing equity share with mutual fund schemes. Compare to equity

mutual fund are less risky with stable returns and mutual fund give the investor at diversify

NOVYI MIR Research Journal

Volume 5, Issue 9, 2020

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portfolio. If you have well knowledge in equity market, you can go for equity investment rather

than investing in mutual fund because no control on the expenses made by the fund manager.

Study will guide the new investor who wants to invest in equity mutual fund scheme by providing

knowledge about how to make other risk and return of particular script for mutual fund schemes.

Study requirements where to go for mutual fund equity because and market instability.

II. OBJECTIVES

The study has been geared to achieve the following objectives;

1. To compare and analyze the equity fund schemes in respect of bare risk and return

2. To compare and analyze the mutual fund schemes in respect of bare risk and return

3. To study the average risk and average return of selected companies of Mutual Funds

4. To study the average risk and average return of selected companies of Equity Shares

5. To study the relationship between the risk and return of Equity Shares and Mutual Funds

Scope of the Study:

This Paper aims at studying difference between investing in shares and mutual funds. The scope of

the study of mutual funds and equities is very large but my study is limited to 10 companies.

III. RESEARCH METHODOLOGY:

This paper analyzes the mutual funds open-ended equity oriented dividend funds in India. This study

aims to analyze the average return and the risk involved in investing in the mutual funds. BETA

value is calculated for all 10 companies to know whether investment in that company is risky or not.

In this study, risk adjusted methods of Sharpe Ratio and alpha measure the performance evaluation of

schemes of equity funds and ANOVA is used to measure the statistical technique that assesses

potential differences in a scale-level dependent variable by a nominal-level variable having 2 or more

categories.. The required data of 5 samples each of equities and mutual funds are collected and

compiled from official website of selected Indian companies.

BSE being the premier exchange of India was chosen for selecting stocks. It is widely accepted that

BSE 500 is the one of the most reliable index of the stock exchange that reflects present day market

condition. Since it is not possible to compare all the 500 scripts in the index with all Mutual Fund



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and equity Schemes due to time and resource constraints, sampling techniques were considered.

Randomly selected samples will facilitate inference of the population, in our case BSE 500 of mutual

fund and equity industry in India.

a) Research Design

Descriptive research - A descriptive research study is used for collecting information

without manipulating the original source of data. It is used to generate information

Considering the present condition of the phenomena to describe what exists with

respect to conditions of the situation.

b) Data Type

Secondary data related to market portfolio collected through the value research, and

BSE website. And the secondary data is also collected from company website and

various other financial website also.

c) Data Collection

The entire data of the study is collected from secondary source. World Wide Web is a

main source for collecting the data for the study. The data’s are collected from the

company websites, financial journals and fact sheets from the mutual fund schemes.

d) Sampling Technique

The quality of the research output and the validity of its finding depends upon

appropriateness of the sample design selected of the study. It was needed to apply

inferential statistical analysis; hence Probability sampling was chosen to be essential.

e) Sample Size

Total Ten companies selected where 5 companies of equities are listed in BSE 500

benchmark and rest other 5 mutual fund Companies who were also listed in BSE 500

Benchmark.



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RESEARCH METHOD AND MEASUREMENT TECHNIQUES

Research method: The data is analyzed by using various statistical methods and MS Excel.

The BSE return series is calculated as a log of first difference of Monthly closing price, which

is as follows:

rt = log (Pt / Pt−1 )

Where rt is the logarithmic monthly return on BSE index for time t, Pt is the closing price at

time t, and Pt−1 is the corresponding price in the period at time t −1.

Following techniques are:

(i) Rate of return

(ii) Risk

(iii) Standard Deviation is used to measure the risk of a stock.

(iv) Beta is calculated to know whether investment in the companies is risky or not

(v) Alpha is used to measure the performance of all the funds. Alpha is a measure of an

investment's performance on a risk-adjusted basis.

(vi) Standard Deviation- The total risk is measured by the standard deviation of the

monthly returns.

(vii) Sharpe technique - Sharpe devised an index of portfolio performance measure,

referred to as reward o variability ratio. The Sharpe ratio provides the reward to

volatility trade-off. It is the ratio of the fund portfolio’s average excess return divided

by the standard deviation of the return and giving the rank.

(viii) ANOVA test- An ANOVA test is a way to find out if survey or experiment results

are significant. In other words, they help you to figure out if you need to reject the

null hypothesis or accept the alternate hypothesis. Basically, you're testing groups to

see if there's a difference between them.



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IV. Data Presentation & Analysis

The study is based on secondary data which is collected from the BSE official website and Finance

Yahoo.com. In research study the Monthly return of 3 years from 1st Jan 2017 to 31st Dec 2019 of

companies are taken. This section covers the statistical analysis on data collected. The analysis of

data is carried out using MS Excel to calculate the Return, total risk, Standard Deviation, Beta and

Alpha, Sharpe’s ratio and ANOVA test. Five companies from each sector of equities and mutual

funds are selected for data that is their indices and for Benchmark BSE 500 has been taken as a

sample.

BSE 500 Benchmark

Calculation of Return and Risk of BSE 500

BSE 500

Date Adj Close Return Risk Free rate Excess Return

1/1/2017 11659.94 2.24

2/1/2017 12176.95 0.04 2.24 -2.20 3/1/2017 12631.9 0.04 2.24 -2.20 4/1/2017 12979.24 0.03 2.24 -2.21 5/1/2017 13199.15 0.02 2.24 -2.22 6/1/2017 13178.45 0.00 2.24 -2.24 7/1/2017 13897.23 0.05 2.24 -2.19 8/1/2017 13762.13 -0.01 2.24 -2.25 9/1/2017 13610.7 -0.01 2.24 -2.25

10/1/2017 14485.57 0.06 2.24 -2.18 11/1/2017 14493.58 0.00 2.24 -2.24 12/1/2017 15002.73 0.03 2.24 -2.21 1/1/2018 15347.19 0.02 2.24 -2.22 2/1/2018 14670.49 -0.05 2.24 -2.29 3/1/2018 14125.53 -0.04 2.24 -2.28 4/1/2018 15047.73 0.06 2.24 -2.18 5/1/2018 14765.69 -0.02 2.24 -2.26 6/1/2018 14528.54 -0.02 2.24 -2.26 7/1/2018 15314.81 0.05 2.24 -2.19 8/1/2018 15846.2 0.03 2.24 -2.21 9/1/2018 14445.89 -0.09 2.24 -2.33

10/1/2018 13881.71 -0.04 2.24 -2.28 11/1/2018 14429 0.04 2.24 -2.20 12/1/2018 14540.39 0.01 2.24 -2.23 1/1/2019 14285.11 -0.02 2.24 -2.26 2/1/2019 14196.8 -0.01 2.24 -2.25



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3/1/2019 15304.57 0.08 2.24 -2.16 4/1/2019 15293.75 0.00 2.24 -2.24 5/1/2019 15517.9 0.01 2.24 -2.23 6/1/2019 15291.7 -0.01 2.24 -2.25 7/1/2019 14324.12 -0.07 2.24 -2.31 8/1/2019 14234.07 -0.01 2.24 -2.25 9/1/2019 14810.02 0.04 2.24 -2.20

10/1/2019 15387.13 0.04 2.24 -2.20 11/1/2019 15567.67 0.01 2.24 -2.23 12/1/2019 15667.44 0.01 2.24 -2.23

Standard Deviation 0.037597

R1 0.10%

Benchmark 0.04

mean of Excess return -2.23

SD of excess return 0.037597

Sharpe ratio -59.355

Table No 1.1: Calculation of Return and Standard Deviation of BSE 500

SAMPLE DESCRIPTION

EQUITIES BENCHMARK

ACC Limited BSE 500

BHEL Limited BSE 500

ICICI Bank limited BSE 500

Infosys limited BSE 500

Cipla limited BSE 500

MUTUAL FUNDS BENCHMARK

ICICI Prudential Mutual Fund BSE 500

Kotak Mahindra Mutual Fund BSE 500

SBI mutual funds BSE 500

Axis Mutual Fund BSE 500

Aditya Birla Sun Life Mutual Fund BSE 500

Table No 1.2: Sample Description of Equity and mutual fund based Company



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V (I) . EQUITIES:

A. ACC Limited Risk and Return of ACC limited

Risk Return Beta Alpha

0.07 0.22 1.35 0.47

Table No 1.3: Risk and Return of ACC limited

Figure No 1.1: Graph of Risk and Return of ACC limited Interpretation:

Beta of ACC Ltd is 1.35 which is higher than 1 indicates that the security's price tends to be

more volatile than the market. Risk of share is 0.07% and the rate of return is 0.22%. This is

higher than risk. Alpha is positive which indicates the fund has performed better than its beta

would predict and Sharpe ratio is negative which means the investment return is lower than the

risk-free rate.

0.07

0.22

1.35

0.47

0

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6


Risk and Return of ACC limited

Axis

T

itle



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Analysis:

(i) ACC ltd has a risk Factor of 0.07%

(ii) Its rate of return on a monthly average is 0.22

(iii) Alpha, beta and Sharpe Ratio are 0.47, 1.35, and -30.89 respectively.

B. BHEL limited

Risk and Return of BHEL limited


0.11 -0.02 1.60 -1.66

Table No 1.4: Risk and Return of BHEL limited

Figure No 1.2: Graph of Risk and Return of BHEL limited

Interpretation:

Beta of BHEL Ltd is 0.6 which is lower than 1 indicates that the security's price tends to be

less volatile than the market. Risk of share is 0.11 and the rate of return is -0.02. Alpha is a

negative which indicates the security fails to generate returns at the same rate as the broader

sector.

0.11-0.02

1.6

-1.66

-2

-1.5

-1

-0.5

0

0.5

1

1.5

2


Risk and Return of BHEL limited

Pe

rcen

tag

e



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Analysis:

(i) BHEL ltd has a risk Factor of 0.11

(ii) Its rate of return on a monthly average is -0.02

(iii) Alpha and beta are -1.66 and 0.6 respectively.

C. ICICI Bank limited

Risk and Return of ICICI Bank limited


0.07 0.02 0.24 -0.63

Table No 1.5: Risk and Return of ICICI bank limited

Figure No 1.3: Graph of Risk and Return of ICICI Bank limited

Interpretation:

Beta of ICICI Bank Ltd is 0.24 which lower than 1 indicates that the security's price tends to be

less volatile than the market. Risk of share is 0.07 and the rate of return is only 0.02%. Alpha is

0.07 0.02

0.24

-0.63

-0.7

-0.6

-0.5

-0.4

-0.3

-0.2

-0.1

0

0.1

0.2

0.3


Risk and Return of ICICI Bank limited



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a negative which indicates the security fails to generate returns at the same rate as the broader

sector.

Analysis:

(i) ICICI Bank ltd has a risk Factor of 0.07%



D. Infosys limited

Risk and Return of Infosys limited


0.06 0.02 0.13 -1.40

Table No 1.6: Risk and Return of Infosys limited

Figure No 1.4: Graph on Risk and Return of Infosys limited

0.06 0.02 0.13

-1.4

-1.6

-1.4

-1.2

-1

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4


Risk and Return of Infosys limited



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Interpretation:

Beta of Infosys Ltd is 0.13 which lower than 1 indicates that the security's price tends to be

less volatile than the market. Risk of share is 0.06 and the rate of return is only 0.02. Alpha is

a -1.4, negative which indicates the security fails to generate returns at the same rate as the

broader sector.

Analysis:

(i) Infosys ltd has a risk Factor of 0.06


(iii) Alpha and beta are –1.4 and 0.13 respectively.

E. Cipla limited Risk and Return of Cipla limited


0.07 -0.48 0.02 -2.61

Table No 1.7: Risk and Return of Cipla limited

Figure No 1.5: Graph of Risk and Return of Cipla limited

0.07

-0.480.02

-2.61

-3

-2.5

-2

-1.5

-1

-0.5

0

0.5


Risk and Return of Cipla limited



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Interpretation:

Beta of Cipla Ltd is -0.02 which is less than 1 means it tends to be less volatile than the market.

Risk of share is 0.07 and the rate of return is only -0.48. Alpha is a negative which indicates

the security fails to generate returns at the same rate as the broader sector.

Analysis:

(i) Cipla ltd has a risk Factor of 0.07


(iii) Alpha and beta are -2.61 and -0.02 respectively.

V (II). MUTUAL FUNDS:

A. ICICI Prudential Mutual Fund Risk and Return of ICICI Prudential Mutual Fund


0.03 -0.066 0.45 -1.37

Table No 1.8: Risk and Return of ICICI Bank limited

Figure No 1.6: Graph of Risk and Return of ICICI Bank limited

0.03 -0.0660.45

-1.37

-1.5

-1

-0.5

0

0.5

1


Risk and Return of ICICI Prudential Mutual Fund



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Interpretation:

Beta of ICICI Prudential Mutual Fund Ltd is 0.45 which is less than 1 means it tends to be less

volatile than the market. Risk of MF is 0.03 and the rate of return is only -0.066%. Alpha is a

negative which indicates the security fails to generate returns at the same rate as the broader

sector.

Analysis:

(i) ICICI Prudential Mutual Fund Ltd has a risk Factor of 0.03%



B. Kotak Mahindra Mutual Fund

Risk and Return of Kotak Mahindra Mutual Fund


0.04 0.01 0.93 0.01

Table No 1.9: Risk and Return of Kotak Mahindra Mutual Fund

Figure No 1.7: Graph of Risk and Return of Kotak Mahindra Mutual Fund

0.04 0.01

0.93

0.010

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1


Risk and Return of Kotak Mahindra Mutual Fund



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Interpretation:

Beta of Kotak Mahindra Mutual Fund is 0.93 which is less than 1 means it tends to be less

volatile than the market.. Risk of MF is 0.04 and the rate of return is only 0.01. Alpha is

positive which indicates the fund has performed better than its beta would predict.

Analysis:

(i) Kotak Mahindra Mutual Fund ltd has a risk Factor of 0.04%

(ii) Its rate of return on a monthly average is -0.01%

(iii) Alpha and beta are 0.01 and 0.93 respectively.

C. SBI mutual funds Risk and Return of SBI mutual funds


0.04 0.01 -0.23 -2.37

Table No 1.10: Risk and Return of SBI mutual funds

Figure No 1.8: Graph of Risk and Return of SBI mutual funds

Interpretation:

Beta of SBI mutual funds is -0.23 which is negative beta simply means that the stock is

0.04 0.01-0.23

-2.37

-2.5

-2

-1.5

-1

-0.5

0

0.5


Risk and Return of SBI mutual funds



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inversely correlated with the market. A negative beta occurs even when both the benchmark

index and the stock under consideration have positive returns. Risk of MF is and the rate of

return is only 0.01%. Alpha is a negative which indicates the security fails to generate returns

at the same rate as the broader sector.

Analysis:

(i) SBI mutual funds ltd has a risk Factor of 0.04



D. Axis Mutual Fund Risk and Return of Axis Mutual Fund


0.04 0.01 0.69 -0.71

Table No 1.11: Risk and Return of Axis Mutual Fund

Figure No 1.9: Graph of Risk and Return of Axis Mutual Fund

0.04 0.01

0.69

-0.71

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8


Risk and Return of Axis Mutual Fund



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Interpretation: Beta of Axis Mutual Fund is 0.69 which is less than 1 means it tends to be less

volatile than the market but positive beta value indicates that stocks generally move in the

same direction with that of the market and the vice versa. Risk of MF is 0.04 and the rate of

return is only 0.01. Alpha is a negative which indicates the security fails to generate returns at

the same rate as the broader sector

Analysis:

(i) Axis Mutual Fund ltd has a risk Factor of 0.04.

(ii) Its rate of return on a monthly average is 0.01.


E. Aditya Birla Sun Life Mutual Fund

Risk and Return of Aditya Birla Sun Life Mutual Fund


0.10 0.01 -0.05 -2.11

Table No 1.12: Risk and Return of Aditya Birla Sun Life Mutual Fund

0.1 0.01 -0.05

-2.11

-2.5

-2

-1.5

-1

-0.5

0

0.5


Risk and Return of Aditya Birla Sun Life Mutual Fund



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Figure No 1.10: Graph of Risk and Return of Aditya Birla Sun Life Mutual Fund

Interpretation:

Beta of Aditya Birla Sun Life Mutual Fund is -0.05 which is negative beta simply means that

the stock is inversely correlated with the market.

A negative beta occurs even when both the benchmark index and the stock under

consideration have positive returns. Risk of MF is 0.10 and the rate of return is only 0.01%.

Alpha is a negative which indicates the security fails to generate returns at the same rate as the

broader sector.

Analysis:

(i) Aditya Birla Sun Life Mutual Fund ltd has a risk Factor of 0.10



VI (I). AVERAGE RISK OF SELECTED COMPANY OF MUTUAL FUNDS:

Company ICICI Prudential Mutual Fund

Kotak Mahindra Mutual Fund

SBI mutual funds

Axis Mutual Fund

Aditya Birla Sun Life Mutual Fund

Benchmark Total

Risk 0.03 0.04 0.04 0.04 0.10 0.04 0.29

Table No 1.13: Average Risk of Selected Company of Mutual Funds

Average Risk = 0.29/5

= 5.8%



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Figure No 1.11: Graph on Average Risk of Selected Company of Mutual Funds

Interpretation:

Risk is a major factor influence all type of investors. In the above selected Mutual Funds

average risk factor is 5.8 % and the risk factor of bench mark is 4%, it is showing Mutual

Funds are less Risky.

Analysis:

(i) Aditya Birla sun life mutual funds Limited has the highest risk factor of 10% with

beta -0.05 and alpha -2.11

(ii) ICICI mutual fund Limited has the lowest risk factor of 0.01% with beta 0.17 and

alpha -2.79

(iii) Benchmark has the risk factor of 4%

(iv) On the average Mutual Funds has the risk factor of 5.8%

0 0 00.03 0.04 0.04 0.04

0.1

0.04

0.29

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35

ICICI Kotak Mahindra

Mutual Fund

SBI Axis Mutual Fund

Aditya Birla Sun Life Mutual

Benchmark Total

Average Risk of Selected Companies of Mutual Funds

Risk



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VI (II). AVERAGE RETURN OF SELECTED COMPANY OF MUTUAL FUNDS:

Company ICICI

Prudential

Mutual

Fund

Kotak

Mahindra

Mutual

Fund

SBI

mutual

funds

Axis

Mutual

Fund

Aditya

Birla

Sun

Life

Mutual

Fund

Benchmark Total

Return -0.07 0.01 0.01 0.01 0.01 0.10 0.07

Table No 1.14: Average Return of Selected Company of Mutual Funds

Average Risk = 0.07/5 = 1.4%

Figure No 1.12: Graph on Average Return of Selected Company of Mutual Funds

Interpretation:

Return is a major factor influence all type of investors. In the above selected Mutual Funds

average Return factor is 1.4 % and the Return factor of bench mark is 0.10%, selected MF

returns are good and it will attract more and more customer

0 0 0

-0.07

0.01 0.01 0.01 0.01

0.1

0.07

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

0.08

0.1

0.12

ICICI Kotak Mahindra

Mutual Fund

SBI Axis Mutual Fund

Aditya Birla Sun Life Mutual

Benchmark Total

Average Return of Selected Companies of Mutual Funds

Return



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Analysis:

(i) ICICI prudential mutual fund Limited has the lowest return factor of -0.07%

with beta -0.17 and alpha -2.79

(ii) Benchmark has the return factor of 0.10%

(iii) On the average Mutual Funds has the return factor is 1.4%

VII (I). AVERAGE RISK OF SELECTED COMPANY EQUITY SHARES:

Company ACC

ltd

BHEL

ltd

ICICI

Bank

ltd

Infosys

ltd

Cipla

ltd

Benchmark Total

Risk 0.07 0.11 0.07 0.06 0.07 0.04 0.42

Table No 1.15: Average Risk of Selected Company Equity Shares

Average Risk = 0.42/5 = 8.4%

Figure No 1.13: Graph on Average Risk of Selected Company Equity Shares

Interpretation:

0 0 0

0.070.11

0.07 0.06 0.070.04

0.42

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35

0.4

0.45

ACC BHEL ICICI Infosys ltd Cipla ltd Benchmark Total

Average Risk of Selected Companies of Equity Shares

Risk



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Risk is a major factor influence all type of investors. In the above selected equity shares

average risk factor is 8.4% and the risk factor of bench mark is 4%, it is showing Equity

are more Risky.

Analysis:

(i) BHEL Limited has the highest risk factor of 11% with beta 0.60 and alpha -1.66

(ii) Infosys Limited has the lowest risk factor of 0.06 with beta 0.13and alpha 1.40.

(iii) Benchmark has the risk factor of 4%

(iv) On the average equity share has the risk factor of 8.4%

VII (II). AVERAGE RETURN OF SELECTED COMPANY EQUITY SHARES:

Company ACC

ltd

BHEL

ltd

ICICI

Bank

ltd

Infosys

ltd

Cipla

ltd

Benchmark Total

Risk 0.22 -0.02 0.02 0.02 -0.48 0.10 0.86

Table No 1.16: Average Return of Selected Company Equity Shares

Average Risk = 0.86/5 = 17.2%

Figure No 1. 14: Graph of Average Return of Selected Company Equity Shares

Interpretation:

Return is a major factor influencing factor to all type of investors. In the above selected equity

shares average Return factor is 17.2% compare to benchmark return of 0.10% selected equity

0 0

0.22

-0.02 0.02 0.02

-0.48

0.1

0.86

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

ACC BHEL ICICI Infosys ltd Cipla ltd Benchmark Total

Average Return of Selected Companies of Equity Shares



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share returns are good and it will attract more and more customer.

Analysis:

(i) ACC Limited has the highest return of 0.22%.

(ii) Cipla Limited has the lowest giving return of -0.48%.

(iii) Benchmark Return factor is 0.10%

(iv) On the average equity share have got return of 17.2%

VIII. DESCRIPTIVE STATISTICS:

Descriptive Statistics of Equity Shares Company

ACC ltd BHEL

Ltd

ICICI

Bank Ltd

Infosys

Ltd

Cipla

Limited

Mean 0.22 -0.02 0.02 0.02 -0.48

Standard Deviation 0.07 0.11 0.07 0.06 0.07

Beta 1.35 0.60 0.24 0.13 -0.02

Alpha 0.47 -1.66 -0.63 -1.40 -2.61

Sharpe Ratio -30.89 -20.47 -31.00 -35.66 -32.51

Table No 1.17: Descriptive statistics for Equity Shares Company

The above table no. 1.17 Represent the summary statistic of all the equity limited company.

The statistics consists of mean which shows the Average return of each company, standard

deviation which analyse the risk factor related to each company share, and Beta is a

measure of a stock's volatility in relation to the overall market, Alpha the active return on

an investment and the performance of an investment against a market index or benchmark

that is considered to represent the market's movement as a whole and Sharpe ratio is the

most important tools to measure the performance of any fund or investment. Sharpe ratio

helps in getting the right analysis of the funds and enhancing the returns on investment.

From the above comparative analysis it is observed that, the highest rate of return is

recorded for company ACC Ltd is 0.22 among the selected funds, then Infosys and ICICI

bank 0.02 , Cipla -0.48 and BHEL Ltd -0.02 respectively.

Standard deviation measures the absolute variability of a distribution. Lower the standard

deviation show the lowest risk. So, Infosys ltd reflects the lowest standard deviation that is

0.06 then comes ACC ltd is 0.07, ICICI and Cipla is 0.07 and BHEL is 0.11.



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Beta is a measure of a stock's volatility in relation to the overall market. So High-beta

stocks are supposed to be riskier but provide higher return potential; low-beta stocks pose

less risk but also lower returns. So ACC ltd reflects the highest beta potential which is 1.35

then BHEL ltd is 0.60, ICICI is 0.24, Infosys is 0.13 and Cipla is -0.02 which is less risky

than other shares but also give lesser return.

Alpha, often considered the active return on an investment, a positive alpha indicates the

fund has performed better than its beta would predict. In contrast, a negative alpha means

the fund performed worse than expected given its beta. So, Acc ltd reflects the active return

on an investment which is 0.47 where as other companies are performed worse than

expected given its beta which is ICICI ltd is -0.63 then Infosys ltd which is -1.40, BHEL

ltd is -1.66 and Cipla is -2.61.

Sharpe and is used to help investors understand the return of an investment compared to its

risk, negative Sharpe ratio, means the risk-free rate is greater than its return. So,

Infosys ltd is giving the poor return is -35.66 afterward Cipla ltd which is -32.51 , ICICI

ltd is -31.00 , ACC ltd is -30.89 and BHEL ltd is -20.47 respectively.

Descriptive Statistics of Mutual Funds Company

ICICI

mutual

fund

Kotak

Mahindra

Mutual

Fund

SBI

mutual

fund

Axis

Mutual

Fund

Aditya

Birla

Sun life

MF

Mean -0.07 0.01 0.01 0.01 0.01

Standard Deviation 0.03 0.04 0.04 0.04 0.10

Beta 0.17 0.93 -0.23 0.69 -0.05

Alpha -2.79 0.01 -2.37 -0.71 -2.11

Sharpe Ratio -2.49 -5.80 -60.05 -53.57 -22.71

Table No 1.18: Descriptive statistics for Mutual Funds Company

The table no. 1.18 represents the summary statistics of all the mutual Funds companies. The

statistics consists of mean which shows the typical return of every company , Standard

Deviation which analyse the danger factor associated with each company share , and Beta

measure of a stock's volatility in reference to the general market, Alpha the active return on an



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investment and the performance of an investment against a market index or benchmark that's

considered to represent the market's movement as an entire and Sharpe ratio is that the most

vital tools to live the performance of any fund or investment. Sharpe ratio helps in getting the

proper analysis of the funds and enhancing the returns on investment.

Mean is the average value of the series. The highest rate of return is recorded for ABSL Mf is

0.01 and SBI is 0.01, Kotak Mahindra is 0.01, Axis Mutual fund is 0.01, ICICI MF is -0.07.

Standard deviation measures the absolute variability of a distribution. So, ICICI i.e. 0.03 and

reflects the lowest standard deviation that is 0.03 which means it has low risk from the other

companies then comes Kotak Mahindra ltd is 0.04 , SBI is 0.04 Axis mutual fund ltd is 0.04

and ABSL mutual Fund is 0.10.

Beta is a measure of a stock's volatility in relation to the overall market. So High-beta stocks

are supposed to be riskier but provide higher return potential; low-beta stocks pose less risk

but also lower returns. So Kotak mf ltd reflects the highest beta potential which is 0.93 Then

Axis mf ltd which is 0.69, ICICI mf ltd is 0.17, ABSL mf is -0.05 and SBI i s - 0.23 Which

is less risky than other shares but also give lesser return.

Alpha, often considered the active return on an investment, a positive alpha indicates the fund

has performed better than its beta would predict. In contrast, a negative alpha means the fund

performed worse than expected given its beta. So, Kotak Mahindra Mf ltd reflects the active

return on an investment which is 0.01 where as other companies are performed worse than

expected given its beta which is Axis Mf ltd is -0.71 then ABSL mf ltd which is -2.11, SBI mf

is -2.37 and ABSL mf ltd is –2.79.

Sharpe and is used to help investors understand the return of an investment compared to its risk,

negative Sharpe ratio, means the risk-free rate is greater than the portfolio's return. So, SBI mf

ltd is giving the poor return is -60.05 then by axis mf ltd is -53.57, ABSL ltd is -22.71 , Kotak

mf ltd is –5.80 and ICICI Mf ltd is -2.49.



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Performance Analysis Based On Sharpe Ratio Analysis and Ranking

Name of Scheme Sample Sharpe Ratio Ranking

ACC Limited Equity -30.89 6

BHEL Limited Equity -20.47 3

ICICI Bank limited Equity -30.00 5

Infosys limited Equity -35.66 8

Cipla limited Equity -32.51 7

ICICI Prudential Mutual Fund Mutual Funds -2.49 1

Kotak Mahindra Mutual Fund Mutual Funds -5.80 2

SBI mutual funds Mutual Funds -60.05 10

Axis Mutual Fund Mutual Funds -53.57 9

Aditya Birla Sun Life Mutual Fund Mutual Funds -22.71 4

Table No 1.19: Performance Analysis Based On Sharpe Ratio Analysis And Ranking

In my analysis i have given rank on the basis of higher Sharpe’s ratio. Higher Sharpe’s

ratio gets first rank. Sharpe's performance index measures the standard deviation of

portfolio. This model considered total risk that is both systematic and unsystematic risk.

In my analysis i have found that ACC ltd - growth has a return of 0.22% and on the basis

of Sharpe’s Ratio its stand on 6th rank but its standard deviation is 0.07 which is almost

equal as compared to other 9 funds.

This thing indicates that ICICI MF and other services fund stand on 1st rank because it is

providing return with moderate risk.

I have analysed that SBI mutual fund growth plan also has low standard deviation first rank

according to Sharpe performance index. This reason behind this is that fund is

providing lower return as compared to other 9 funds. This is indicates that SBI Mutual

funds stand On last rank because it is providing lower return with low risk .



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I want to conclude that according to Sharpe’s performance index it is not necessary fund

with higher return is always well performing fund standard first time because we also have

to consider risk associated with that funds. The return of funds should also be good enough;

it is not be so lower.

Comparative Analyses between Fund and Bench Mark Return

Name of Funds Benchmark 3yr

Return

Benchmark

Return

Performance

ACC Limited BSE 500 0.22 0.10% Outperformed

BHEL Limited BSE 500 -0.02 0.10% Underperformed

ICICI Bank limited BSE 500 0.02 0.10% Underperformed

Infosys limited BSE 500 0.02 0.10% Underperformed

Cipla limited BSE 500 -0.48 0.10% Underperformed

ICICI Prudential

Mutual Fund

BSE 500 -0.07 0.10% Underperformed

Kotak Mahindra

Mutual Fund

BSE 500 0.01 0.10% Underperformed

SBI mutual funds BSE 500 0.01 0.10% Underperformed

Axis Mutual Fund BSE 500 0.01 0.10% Underperformed

Aditya Birla Sun Life

Mutual Fund

BSE 500 0.01 0.10% Underperformed

Table No 1.20: Comparative Analyses between Fund and Bench Mark Return

A benchmark is a standard or measure that can be used to analyze the allocation, risk, and

return of a given portfolio and benchmark' to measure a fund's/stock's performance.

Individual funds and investment portfolios will generally have established benchmarks for

standard analysis. A variety of benchmarks can also be used to understand how a portfolio

is performing against various market segments. Here we can see that only ACC limited is

outperformed and rest 9 funds is underperformed as compared to benchmark BSE 500.



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Comparison of selected equity and mutual funds schemes in respect their Risk

Investment Mutual Fund Equity

Risk 5.8 8.4%

Table No 1.21: Comparison of selected equity and mutual funds schemes in respect their Risk

Figure No 1.15: Graph of Comparison of selected equity and mutual funds schemes in respect their Risk

Interpretation:

Equity capital and mutual funds schemes are subjected of market risk. Based on the above

analysis mutual fund have a average risk of 5.8% which is compared to equity shares risk of

8.4% is lower. Those who whole like to take risk can go for equity investments.

Analysis:

a) Mutual funds have the risk on an average of 5.8%

b) Equity shares have the risk on an average of 8.4%

5.8

8.4

0

1

2

3

4

5

6

7

8

9

Mutual Fund Equity

Risk between mutual funds and Equity shares



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Comparison of selected equity and mutual funds schemes in respect their Returns

Investment Mutual Fund Equity

Returns 1.4% 17.2%

Table No 1.22: Comparison of selected equity and mutual funds schemes in respect

their Return

Figure No 1.16: Graph of Comparison of selected equity and mutual funds schemes

in respect of their Returns

Interpretation:

Equity capital and mutual funds schemes are subjected of market risk. Based on the above

analysis mutual fund have a average return of 1.4% which is compared to equity shares Return

of 17.2% is lower. Those who whole like to take risk can go for equity investments for getting

higher return.

Analysis:

a) Mutual funds have average Return of 1.4%

b) Equity shares have average return of 17.2%

1.4

17.2

0

2

4

6

8

10

12

14

16

18

20

Mutual Fund Equity

Return between mutual funds and equity shares



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IX. ANOVA RESULT:

H0: There is no significant difference between the risk and return of equity shares and mutual

fund is accepted.

H1: There is a significant difference between the risk and return of equity share and mutual

fund is rejected.

ANOVA: Two-Factor With Replication

SUMMARY EQUITY SHARE MUTUAL FUND Total

Return

Count

Sum

Average

Variance

5

0.0173

0.00346

0.000291898

5

-0.03

-0.006

0.00128

10

-0.0127

-0.00127

0.00072348

Risk

Count

Sum

Average

Variance

5

0.38

0.076

0.00038

5

0.25

0.05

0.0008

10

0.63

0.063

0.000712222

Total

Count

Sum

Average

Variance

10

0.3973

0.03973

0.001760302

10

0.22

0.022

0.001795556

ANOVA

Source of Variation SS df

MS F P-value F crit

Sample 0.020653165 1 0.020653165 3.020247117 5.0481E-05 4.493998478

Columns 0.001571765 1 0.001571765 2.284626102 0.150159629 4.493998478

Interaction 0.000341964 1 0.000341964 0.497059847 0.490931714 4.493998478

Within 0.011007592 16 0.000687975

Total 0.033574486 19

Table No 1.23: ANOVA Result for Risk and Return of equity and mutual fund



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As you can see in the highlighted cells in the image above, the F-value for sample, column

and interaction are lesser than their F-critical values. This means that the factors have no

significant difference between the risk and return of equity shares and mutual fund and thus

we can accept the null hypothesis and also we reject the alternative hypothesis F-Critical

is less then F value.

Hypothesis summary table

Relationship Evidence Accepted/

supported

H0 There is no significant difference between the “(3.02<4.49=;) YES

risk and return of equity shares and mutual fund (0.05)=,(5.04=.”

H1 There is a significant difference between the risk “(4.49>3.02=;) NO

and return of equity share and mutual fund is (0.05)=,(5.04=.”

Rejected.

Table No 1.24: Hypothesis summary table

X. CONCLUSION:

The main aim of the study was to examine the Performance Evaluation of Risk and Return for the

Equity and Mutual Funds Companies. For this secondary data has been collected from reliable

database. The data has been analyzed and result has interpreted and the findings of this study are

reported below:

(i) The first objective is to measure the mean return and risk of the stocks. It was found that

equity share schemes have higher risk with higher return and mutual funds schemes have

lower risk with lower return, there are some companies how can give positive returns to their

investors, the annualized returns of ACC ltd , ICICI bank ltd , Infosys ltd , Kotak Mahindra

mf , SBI Mf , Aditya Birla sun life Mf and Axis mutual funds are positive and the investor

get the good return. The returns are positive but with minimum amount and difference and

the mean return of other 3 company is negative.



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(ii) The result of Sharpe’s Ratio shows that Sharpe’s performance index it is not necessary fund

with higher return is always well performing fund standard first time because we also have

to consider risk associated with that funds. The return of funds should also be good enough;

it is not be so lower.

(iii) A benchmark is a standard or measure that can be used to analyze the allocation, risk, and

return of a given portfolio and benchmark' to measure a fund's/stock's performance So here

we can see that only ACC Ltd is outperformed and rest 9 funds is underperformed as

compared to benchmark BSE 500.

(iv) ANOVA result shows that Null h(0) hypothesis is Accepted because there is no significant

difference between the return and risk of equity and mutual fund and Alternative hypothesis

is Rejected because F critical value is more than f – value also p value is higher than alpha

value i.e. 0.05.

(v) Investment in both equity and mutual funds are subjected to market risk.

REFERENCES:

Journals:

1. Debasish Sathya Swaroop (2009), Investigating Performance of Equity-based Mutual Fund

Schemes in Indian Scenario, KCA Journal of Business Management, 2 (2) 4-10.

2. Narayanasamy and Rathnamani (2013) Performance Evaluation of Equity Mutual Funds (On

Selected Equity Large Cap Funds). International Journal of Business and Management

Invention, 2(4), 18-24.

3. Dr. Mehta and Shah (2012) Preference of Investors for Indian Mutual Funds and its

Performance Evaluation. Pacific Business Review International, 5(3) 15-20.

4. Yaseen and Chakraborty (2015) Performance Evaluation of Equity Diversified Mutual Fund

Schemes. M.S. Ramaiah University of Applied Sciences, Bangalore, 4(1), 6-10.

5. Pratap, Singh and Kr. Gautam (2020) Performance Evaluation of Equity Linked Savings

Schemes (ELSS) of Indian Mutual Funds. BHU, Varanasi. UGC Care Journal.



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6. Jain (2012), Analysis of Equity Based Mutual Funds in India, Journal of Business and

Management (IOSRJBM).2(1) 1-4.

7. Pangestuti, Wahyudi, and Robiyanto (2017) , Performance Evaluation of Equity Mutual Funds

in Indonesia, Jurnal Keuangan dan Perbankan, 21(4): 527–542.

8. Shukla and Singh (1997), A Performance Evaluation of Global Equity Mutual Funds:

Evidence From 1988-95. Global Finance Journal, S (2): 279-293.

9. Gusni, Silviana, and Hamdani (2018), Factors Affecting Equity Mutual Fund Performance:

Evidence from Indonesia. Investment Management and Financial Innovations, 15(1), 1-9.

10. Ashraf and Sharma (2014), Performance Evaluation of Indian Equity Mutual Funds against

Established Benchmarks Index. International Journal of Accounting Research, 2(1).2-7.

Websites:

1. https://www.bseindia.com/

2. https://www.moneycontrol.com/

3. https://in.finance.yahoo.com/

4. https://www.inflationdata.com/

5. https://www.google.com/



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a study on performance evaluation of equity share …

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