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A Study on Performance Evaluation of Equity Share and Mutual Funds

Article  in  SSRN Electronic Journal · October 2020

DOI: 10.2139/ssrn.3691971

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NOVYI MIR Research Journal ISSN No : 0130-7673

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

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NOVYI MIR Research Journal ISSN No : 0130-7673

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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NOVYI MIR Research Journal ISSN No : 0130-7673

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

Risk and Return of ACC limited

1.6
1.35
1.4

1.2

0.8

0.6 0.47
Axis
Title

0.4
0.22
0.2 0.07

0
Risk Return Beta Alpha

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.

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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

Risk Return Beta Alpha

0.11 -0.02 1.60 -1.66

Table No 1.4: Risk and Return of BHEL limited

Risk and Return of BHEL limited

2

1.5

1
1.6
0.5
Percentag

0.11
-0.02
0
Risk Return Beta Alpha
e

-0.5
-1.66
-1

-1.5

-2

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.

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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

Risk Return Beta Alpha

0.07 0.02 0.24 -0.63

Table No 1.5: Risk and Return of ICICI bank limited

Risk and Return of ICICI Bank limited

0.3

0.2

0.1 0.24
0.07 0.02
0
Risk Return Beta Alpha
-0.1

-0.2

-0.3 -0.63
-0.4

-0.5

-0.6

-0.7

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

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NOVYI MIR Research Journal ISSN No : 0130-7673

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%

(ii) Its rate of return on a monthly average is -0.02
(iii) Alpha and beta are -0.63 and 0.24 respectively.

D. Infosys limited

Risk and Return of Infosys limited

Risk Return Beta Alpha

0.06 0.02 0.13 -1.40

Table No 1.6: Risk and Return of Infosys limited

Risk and Return of Infosys limited

0.4

0.2
0.06 0.02 0.13
0
Risk Return Beta Alpha
-0.2

-0.4

-0.6
-1.4
-0.8

-1

-1.2

-1.4

-1.6

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

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NOVYI MIR Research Journal ISSN No : 0130-7673

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

(ii) Its rate of return on a monthly average is 0.02
(iii) Alpha and beta are –1.4 and 0.13 respectively.

E. Cipla limited

Risk and Return of Cipla limited

Risk Return Beta Alpha

0.07 -0.48 0.02 -2.61
Table No 1.7: Risk and Return of Cipla limited

0.5
0.07 Risk and Return of Cipla limited
0
0.02
Risk Return
-0.48 Beta Alpha
-0.5

-1

-2.61
-1.5

-2

-2.5

-3

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

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NOVYI MIR Research Journal ISSN No : 0130-7673

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

(ii) Its rate of return on a monthly average is -0.48

(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

Risk Return Beta Alpha
0.03 -0.066 0.45 -1.37
Table No 1.8: Risk and Return of ICICI Bank limited

Risk and Return of ICICI Prudential Mutual

1 Fund

0.5

0.45
0.03 -0.066
0
Risk Return Beta Alpha

-0.5
-1.37

-1

-1.5

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

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NOVYI MIR Research Journal ISSN No : 0130-7673

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%
(ii) Its rate of return on a monthly average is -0.066
(iii) Alpha and beta are -1.37 and 0.45 respectively.

B. Kotak Mahindra Mutual Fund

Risk and Return of Kotak Mahindra Mutual Fund

Risk Return Beta Alpha
0.04 0.01 0.93 0.01
Table No 1.9: Risk and Return of Kotak Mahindra Mutual Fund

Risk and Return of Kotak Mahindra Mutual

Fund
1
0.9
0.8
0.7
0.6
0.5
0.93
0.4
0.3
0.2
0.1
0 0.04 0.01 0.01
Risk Return Beta Alpha

Figure No 1.7: Graph of 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

Risk Return Beta Alpha

0.04 0.01 -0.23 -2.37

Table No 1.10: Risk and Return of SBI mutual funds

Risk and Return of SBI mutual funds

0.5

0 0.04 0.01
-0.23
Risk Return Beta Alpha
-0.5

-1
-2.37
-1.5

-2

-2.5

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

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NOVYI MIR Research Journal ISSN No : 0130-7673

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

(ii) Its rate of return on a monthly average is 0.01
(iii) Alpha and beta are -2.37 and -0.23 respectively.

D. Axis Mutual Fund

Risk and Return of Axis Mutual Fund

Risk Return Beta Alpha

0.04 0.01 0.69 -0.71

Table No 1.11: Risk and Return of Axis Mutual Fund

Risk and Return of Axis Mutual Fund

0.8

0.6

0.4
0.69

0.2

0 0.04 0.01
Risk Return Beta Alpha
-0.2

-0.71
-0.4

-0.6

-0.8

Figure No 1.9: Graph of 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.

(iii) Alpha and beta are -0.71 and 0.69 respectively.

E. Aditya Birla Sun Life Mutual Fund

Risk and Return of Aditya Birla Sun Life Mutual Fund

Risk Return Beta Alpha

0.10 0.01 -0.05 -2.11

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

Risk and Return of Aditya Birla Sun Life Mutual Fund

0.5

0 0.1 0.01 -0.05

Risk Return Beta Alpha

-0.5

-1 -2.11

-1.5

-2

-2.5

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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

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

(iii) Alpha and beta are -2.11 and -0.05 respectively.

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

Company ICICI Kotak SBI Axis Aditya Benchmark Total

Prudential Mahindra mutual Mutual Birla
Mutual Mutual funds Fund Sun
Fund Fund Life
Mutual
Fund
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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Average Risk of Selected Companies of Mutual Funds

0.35

0.3

0.25

0.2

0.15 0.29

0.1

0.05 0.1
0.03 0.04 0.04 0.04 0.04
0 0 0 0
ICICI Kotak SBI Axis Mutual Aditya Birla Sun Benchmark Total
Mahindra Fund Life Mutual
Mutual Fund

Risk

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%

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

Company ICICI Kotak SBI Axis Aditya Benchmark Total

Prudential Mahindra mutual Mutual Birla
Mutual Mutual funds Fund Sun
Fund Fund Life
Mutual
Fund
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%

Average Return of Selected Companies of Mutual Funds

0.12

0.1

0.08

0.06
0.1
0.04
0.07
0.02

0 0.01 0.01 0.01 0.01

0 0 0

-0.02 ICICI Kotak SBI Axis Mutual Aditya Birla Sun Benchmark Total
Mahindra Fund Life Mutual
-0.04 -0.07 Mutual Fund

-0.06

-0.08

Return

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

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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 BHEL ICICI Infosys Cipla Benchmark Total

ltd ltd Bank ltd ltd
ltd
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%

Average Risk of Selected Companies of Equity Shares

0.45
0.4
0.35
0.3
0.25
0.2 0.42

0.15
0.1
0.05 0.11
0.07 0.07 0.06 0.07
0.04
0 0 0 0
ACC BHEL ICICI Infosys ltd Cipla ltd Benchmark Total

Risk

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

Interpretation:

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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 BHEL ICICI Infosys Cipla Benchmark Total

ltd ltd Bank ltd ltd
ltd
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%

Average Return of Selected Companies of Equity Shares

1

0.8

0.6

0.4 0.86

0.2
0.22
0.02 0.02 0.1
0 0 -0.02 0
ACC BHEL ICICI Infosys ltd Cipla ltd Benchmark Total
-0.2
-0.48
-0.4

-0.6

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

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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 ICICI Infosys Cipla

Ltd Bank Ltd Ltd 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 Kotak SBI Axis Aditya

mutual Mahindra mutual Mutual Birla
fund Mutual fund Fund Sun life
Fund 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 Benchmark Performance

Return Return
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 BSE 500 -0.07 0.10% Underperformed

Mutual Fund
Kotak Mahindra BSE 500 0.01 0.10% Underperformed
Mutual Fund
SBI mutual funds BSE 500 0.01 0.10% Underperformed

Axis Mutual Fund BSE 500 0.01 0.10% Underperformed

Aditya Birla Sun Life BSE 500 0.01 0.10% Underperformed

Mutual Fund
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

Risk between mutual funds and Equity shares

9
8
7
6
5
4 8.4

3 5.8
2
1
0
Mutual Fund Equity

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%

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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

Return between mutual funds and equity shares

20
18
16
14
12
10
8 17.2

6
4
1.4
2
0
Mutual Fund Equity

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%

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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 5 5 10
Sum 0.0173 -0.03 -0.0127
Average 0.00346 -0.006 -0.00127
Variance 0.000291898 0.00128 0.00072348

Risk
Count 5 5 10
Sum 0.38 0.25 0.63
Average 0.076 0.05 0.063
Variance 0.00038 0.0008 0.000712222

Total
Count 10 10
Sum 0.3973 0.22
Average 0.03973 0.022
Variance 0.001760302 0.001795556
ANOVA
Source of Variation SS d MS F P-value F crit
f
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:
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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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