An Analysis of Risk-Adjusted Return on Tax-Saving Mutual Fund Schemes in India

The IUP Journal of Financial Risk Management, Vol. IX, No. 3, pp. 54-71, September 2012

Posted: 27 Nov 2012

See all articles by N.S. Santhi

N.S. Santhi

KSR College of Engineering

K. Balanaga Gurunathan

Amity Business School, Amity University, Gurgaon, Harayana; Amity Business School, Amity University, Gurgaon, Harayana

Date Written: November 27, 2012

Abstract

In this paper, an attempt has been made to evaluate the performance of 32 growth-oriented open ended Equity Linked Savings Schemes (ELSS) of tax-saving mutual funds in India. Performance has been analyzed by comparing the monthly returns of the funds with that of Indian stock market benchmark S&P CNX NIFTY. For this purpose, risk-adjusted performance measures suggested by Sharpe, Treynor and Jensen have been used. The Net Asset Value (NAV) of tax saving schemes from 2006-07 to 2011-12 has been considered. There was volatility in the performance of all the funds during the entire period of study. All the schemes follow the same pattern in returns and move along with the stock market index S&P CNX NIFTY. As expected, all the funds showed negative returns during 2008-09 and it was higher than that of the stock market index. The average return of most of the schemes is higher and the average risk is lower than the benchmark S&P CNX NIFTY.

Suggested Citation

Santhi, N.S. and Gurunathan, K. Balanaga and Gurunathan, K. Balanaga, An Analysis of Risk-Adjusted Return on Tax-Saving Mutual Fund Schemes in India (November 27, 2012). The IUP Journal of Financial Risk Management, Vol. IX, No. 3, pp. 54-71, September 2012, Available at SSRN: https://ssrn.com/abstract=2181210

N.S. Santhi (Contact Author)

KSR College of Engineering ( email )

Tiruchengode
India

K. Balanaga Gurunathan

Amity Business School, Amity University, Gurgaon, Harayana ( email )

Manesar
professor In Finance,
Manesar, HI 122413
India
9486595663 (Phone)

Amity Business School, Amity University, Gurgaon, Harayana ( email )

Manesar
Manesar, 122413
India

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