An Empirical Analysis of Risk-Adjusted Performance: A Comparative Study of Selected Mutual Funds

Abstract The study provides a detailed examination of performance of selected mutual funds because the mutual fund sector has grown at an exponential rate over the previous two decades; the research examines the performance of specific mutual funds in depth. With the increased mobilization of funds in the industry it becomes empirical to analyze the performance of such mutual funds which can help the investors to take rational decision that has actually motivated researchers to undertake the current research. The researchers have tried to examine the performance of selected equity mutual funds with varying market capitalization. This was analyzed using risk adjusted ratios like Sharpe ratio, treynor’s ratio and Jensen’s Alpha ratio, M2 measures, Information ratio, Sortino ratio and Appraisal ratio. The researchers have tried to examine the wide spectrum of three different categories of mutual funds using risk adjusted ratios which have not been covered in the previous studies which can actually help the investors to take intelligent decisions. The results of these selected ratios were verified across categories using statistical technique ANOVA in MS-Excel. Researchers found out JM Large Cap Fund outperform other selected mutual funds in the Large Cap category. HDFC Mid-Cap Opportunities Fund outperforms other selected mutual funds in the Mid Cap category. HDFC Small Cap Fund outperforms other selected mutual funds in the Small Cap category. ANOVA results indicates that investors or portfolio managers can allocate more of their funds to small cap mutual funds to earn better risk adjusted returns. Keywords: Mutual Funds, Performance Evaluation, Market Capitalization, Sharpe ratio, treynor’s ratio and Jensen’s Alpha ratio, M2 measures, Information ratio, Sortino ratio and Appraisal ratio, ANOVA.