Performance Evaluation of Gilt Mutual Fund Schemes in India

Abstract

This study aims to examine the performance of open-ended debt mutual funds in India. To evaluate the performance a sample of 23 schemes have been selected on the basis of weekly returns compared to benchmark returns. For this purpose statistical tools average, standard deviation, beta, co-efficient of determination, systematic and unsystematic risk and the risk adjusted performance measures suggested by Treynor (1965), Sharpe (1966), Jensen (1968) and Fama‟s (1972) measures are employed. The return analysis reveals that most of the schemes could not perform better as compared to the benchmark. Whereas the variability in return of market is more than the variability in return of schemes. The beta value of the schemes is less than one and indicates that these are defensive schemes in nature and less sensitive to the market forces. It is found that none of the schemes performed better according to Sharpe and Jensen measures whereas twenty six percent schemes outperformed the market according to Treynor measure. On the basis of R 2 , the schemes are not so well diversified. These funds are found to be poor in earning better returns either adopting marketing or in selecting under priced securities.