Sl. No.

Author
Mukesh Kumar Mukul, Vikrant Kumar,
and Sougata Ray

Dr. Anubha Srivastava, Assistant

Professor (Finance), Amity Business
School, AUUP, Noida

Poonam M Lohana

5
6
7

Ms. Dhanalakshmi K, Asst Professor

M.S.Ramaiah college of Arts, science
and commerce, Bangalore

Title
Research Design
Gold ETF Performance: A Comparative Analysis of Descriptive and applied
Monthly Returns
research

Examining Efficiency & Performance of Various

Investment portfolios

Descriptive, analytical,
and applied research

Performance Evaluation of Selected Mutual Funds Descriptive and applied

research

A Comparative Analysis On Performance Of Sbi

And Hdfc Equity, Balanced And Gilt Mutual Fund

Descriptive and applied

research

Objective
1) To understand how does a gold ETF perform in terms of returns and risk against a diversified
equity fund and market portfolio?
2) To understand, should gold ETF be considered a part of the portfolio to hedge equity risk or
maximize portfolio returns?

1) To construct portfolio of mutual funds using Capital Asset Pricing Model (CAPM)
2) To examine the efficiency of risk- adjusted returns of the constructed portfolios.
3) To analyse the performance of the formed portfolios using Sharpe ratio, Jensen and Treynor
ratio.
4) To interpret the ratios and returns of the portfolios in comparison to each other.
5) To Comparative study of portfolio returns with that of the market return.

1) To measure the growth oriented Mutual Fund are earning higher returns than the benchmark
returns (or market Portfolio/Index returns).
2) To find out those mutual fund schemes offering the advantages of diversification.
3) To analyze the excess return per unit of risk evidenced by mutual fund of public sector and
private sector.

- Comparative performance analysis of SBI Equity - Diversified with HDFC Equity Growth
(Diversified Fund) using Sharpe Index Ration, Treynor Ratio and Jensens Ratio
- Comparative performance analysis of SBI Gilt Fund with HDFC Gilt Fund using Sharpe Index
Ration, Treynor Ratio and Jensens Ratio
- Comparative performance analysis of SBI Balance Fund with HDFC Balanced Fund using
Sharpe Index Ration, Treynor Ratio and Jensens Ratio

Variables
. Return
. Risk
. Safety

. Return
. Risk
. Safety

. Return
. Risk
. Safety

. Return
. Risk
. Safety

Data collected
Closing prices of Nifty, Gold Benchmark Exchange Traded Fund (Gold
BeES), and UTI Dividend Yield Fund (UDF).

For diversification and comparative analysis of portfolio return and

market return 10 best performing mutual funds are taken. Time period
for the study is 5 years i.e. 2009 to 2013. Input data involved in the
study is the NAV of the mutual funds, taken from nseindia.com. 1-month
mibor as the proxy for riskfree rate of return; S&P CNX NIFTY as the
proxy for the Indian market, data for market return (return on CNX NIFTY)
is also derived from NSE website

- NAVon the opening and closing day of each of the 12 months of the
study period (1st March 2011 to 29th Feb 2012) of the 10 growth
oriented funds are collected from the websites of the Association of
Mutual Fund of India (AMFI).
- Monthly Bombay Stock Exchange 100 Index values have been drawn
from Bombay Stock Exchange website. The BSE 100 Index is proxy for
the market return in study.
- Return on 91 days T-bills has been taken as surrogate measure of riskfree return.

Three calendar years monthly NAVs of SBI Mutual Fund and HDFC Mutual
Fund for comparison of the three schemes- Equity fund; Gilt fund and
Balanced fund, and three calendar years monthly index of BSE, were
collected

Data analysis - Methodology

Data was analysed using- Treynor
- Sharpe
- Jensen ratios.

Data was analysed using- Mean

- Varience
- Covarience
- Beta
- CAPM
- Treynor
- Sharpe
- Jensen ratios.
In this study the top performing mutual funds were taken to form portfolios
and classified into growth, balanced and secure portfolios, and above
measures were applied to each portfolio.

Data was analysed using- Geometric mean

- Treynor
- Sharpe
- Jensen ratios.
- Hypothesis testing :
H0 - There is no difference in the mean returns of Public funds and Private funds.
H1 - The Mean returns of Public funds are greater than the Mean returns of Private funds. (Critical
value being 1.860)

Data was analysed using- Beta

- Alpha
- Treynor
- Sharpe
- Jensen ratios.

Findings
- Gold BeES as an asset class had performed better than the equity market and UDF.
- Gold BeES had been able to generate greater positive return in comparison to UDF.
- Gold BeES had a negative correlation with both UDF and market. Therefore, Gold BeES would act
for the purpose of hedging equity market risk.
- Any combination of UDF and Gold BeES would give a positive return, and it was comparatively hi
market return during the period of study.
- The risk of the combined portfolio measured in terms of the standard deviation was
much lower than the individual risk of UDF.

- Low risk give low returns and for high returns high risk.
- The performance of the funds has been immense. They outperformed the market maximum num
- The funds had been made with minimum variance and maximum diversification. Also portfolios w
managed in every year for maximum return and minimum variance. The risk-adjusted measures
reveal that if portfolios are actively managed then returns can be earned even at the time of reces
then losses can definitely be minimised.
- Also the type of portfolio defines its performance in different scenarios. A growth fund best perfo
period only, a balanced fund earns when the market is stable and the benefits of a secure fund is b
recession or crisis time.

Returns of all funds are more than market index returns, but not high.
Reliance Banking Fund is poor performer under all three measures.
Kotak Gold Fund and IDBI Fixed Maturity Fund have outperformed than the market benchma
Average monthly returns of public and private funds are equal, in randomly selected funds.

- Average returns from Equity funds of SBI Mutual Fund and HDFC Mutual Fund for the three years
fluctuating similar to that of the market movements (BSE 100).
Equity Growth Fund
- SBI Equity fund- Growth had a lower risk profile than HDFC Equity fund-Growth.
- HDFC Equity fund-Growth had greater return when compared with the SBI Equity fund- Growth
- With reference to the Sharpe ratio SBI Equity Fund is safer than HDFC.
- WIth reference to the Treynor ratio HDFC Equity Growth option is better. This shows that the SBI E
fund had a greater unsystematic risk.
- With reference to Jensen ratio, HDFC Equity growth fund had higher return.
Balanced fund
- HDFC is a better option when compared to SBI Balanced Fund in terms of Average return.
- SBI Balanced fund had lower beta than HDFC Balanced fund.
- HDFC balance had performed well with reference to the Alpha.
- With reference to the Sharpe ratio, SBI Balanced fund was a better option.
- WIth reference to the Treynor ratio, HDFC balanced fund was less risky.
- With reference to Jensen ratio, HDFC was better option.
Gilt fund
- HDFC Gilt fund was better, as it has lower risk profile when compared to SBI Gilt Fund.
- SBI Magnum Gilt fund had greater return.
- WIth reference to Sharpe, Treynor, and Jensen ratio the result was similar to the Balanced funds.

Conclusion
1) Gold investment gave a better monthly return as compared to a diversified equity fund.
2) In terms of portfolio performance measure, gold investment had performed better.
3)Gold investment had negative correlation with equity investment, and therefore, can act as a per
hedging equity investment risk.
4) A combination of gold with equity is likely to reduce the overall risk of the portfolio. Therefore, in
a certain portion of their investment in gold.

- Properly diversified portfolio can help the investor to increase his return, at the same time, more
help him to diversify and reduce the unsystematic risk.
- A systematic incestment plan can be made with a minimum variance and a maximum diversifica
- Diversification also plays an important role in minimizing the losses during the times when marke
underporforming.

Diversification would increase the return on our investment.

During the period, Banking funds were underperforming.
Gold funds have outperformed in the market during the test period.
There is no significant difference between the return on Private funds and the Public funds.

- The volatility in the market might have affected the returns of the schemes in the year 2010 and
performance of the schemes revived better in the year 2012.
- It is examined that Indian Mutual Funds in terms of performance measure, some funds show con
linear relationship of return and risk. But some funds dont demonstrate this relationship.
- Articulating the investment objectives with greater clarity, sharpening the investment strat
methods of security selection is essential for an investor.
- Overall the study conducted revealed that investment in HDFC (Growth Equity, Balanced,Gilt, ) is
to SBI funds over the last three years.