Literature Review

1. Introduction

The literature shall provide a detailed view of risk adjusted returns and its importance to an
organisation in obtaining the returns and capital revenue. The literature will detail the various
tools used for the measurement of risk adjusted returns and would analyse the mid cap and
large cap in Indian stock market. Fama French model will be detailed to relate stocks, market
and returns.

2. Overview of Risk adjusted return

Risk adjusted return is defined as the return gained from the investment in relations to the risk
associated with the investment in a given period of time. By following risk adjusted return
method, one can evaluate the suitability of more than one investment that have same return but
different risk levels (Muralidhar, 2000). In order to evaluate risk adjusted return associated
with investments, tools such as Sharpe ratio and Treynor ratio are used. Even though both
Sharpe and Treynor’s Ratio uses risk premium and numerical risk measures, Sharpe uses
standard deviation of risks whereas Treynor ratio uses beta coefficient to evaluate the risk
(Arora, 2015). Thus, it is evident that the Risk adjusted returns help the investors to evaluate
the returns from investments along with the risks associated with it.

Analysing the set of assets rather two assets and incorporating linear constraint helps in
maximising risk adjusted return in portfolio selection. Increase in return is possible due to this
method rather than the minimisation of variance approach. Optimum portfolios are being
selected with the help of maximum risk adjusted return approach (Wang, Qiu & Qu, 2016).
Risk adjusted return are not being driven down by diversification however, the impacts are
found to vary depending on the return distribution. The size of the firm is found to be impacting
the risk adjusted return of firms (Shim, 2017). Thus, it is clear that maximum risk adjusted
return helps in selecting optimum portfolio and diversification’s impact on RAR is depending
on distributed returns.
VOLATILITY EFFECT- Lower Risk Without Lower Return

It is to be noted that efficient market theories are tested by the outcome that relatively simple
investment strategies have generated significantly higher returns in comparison to market
portfolio.

Efficient markets theory has been challenged by the finding that relatively simple investment
strategies are found to generate statistically significantly higher returns than the market
portfolio. Well-known examples are the value, size and momentum strategies, for which return
premiums have been documented in US and international stock markets. Market efficiency is
also challenged, however, if some simple investment strategy generates a return similar to that
of the market, but at a systematically lower level of risk.
Another research work undertaken by Ang, Hodrick, Xing and Zhang (2006), report that US
stocks with higher volatility rendered abnormally lower returns during the time frame of 1963-
2000. Black, Jensen and Scholes (1972), found out that low beta stocks comprise of positive
alpha. It was further found out in research work undertaken by Fama and French (1992), that
beta does not forecast return in between the time frame of 1963-90 with special reference to
controlling after size.
This particular research work contributed significant to the existing body of knowledge in
reference to the research topic as it documented a precise impact of volatility as it established
that low risk stocks garnered higher risk adjusted returns in comparison to market portfolio
whereas high risk stocks underperformed on risk adjusted basis. The outcomes could be applied
to global as well as regional stock markets.

3. FAMA FRENCH Factor Model

Fame-French five factor model comprises of equity return, value premium, size premium,
profitability and investment. Fama –French 5 factor model is found to provide a better
description of market equity return better than 3 factor model. The 5 factor model is found to
be outperforming the 3 factor model but, investment premium or profitability in the Asian
factors were failed to be provided by the 5 factor model. Five factor model is found to be
superior in other countries but not in Asia (Foye, 2017). Market return and size factors together
with the value factor provides explanatory during crisis period. Sensitivity of the firms’ returns
was found to the changes in the stock market to explanatory factors such as long-term interest
rate and stock market return could be known with the help of five factor model that are size,
value, profitability and investment factors (Jareño, O González, Tolentino & Rodríguez, 2018).
However, measurement errors are being suspected in the five factor model and the significance
of factors is found to vary (Racicot & Rentz, 2016). Five factor model is being used for pricing
the equities in Australia. Asset pricing anomalies are being explained by this model than the
other asset pricing models (Chiah, Daniel & Zhong, 2015). Thus, it could be seen that five
factor model is better than the 3 factor model. It is also found to be used for pricing equities
though, there are speculations about errors in its measurements.

4. Various Tools used for calculating risk adjusted returns 500

Various tools are used by organisations to calculate annual profit, returns and operational risk
in the industry. The tools used for evaluating risk-adjusted returns shall be detailed as follows:

Jensen’s Alpha

Jensen’s alpha is frequently used by investors in various organisations to measure risk adjusted
returns and the performance measure solely focuses on exposing systematic risk that are
associated with system performance. This is specifically used in measuring equity funds
(Breloer, Lea Hühn and Scholz, 2016). Jensen alpha is one of the method that used by fund
offices to measure and work on the distribution of non – normally operated accounts. For
instance Australian hedge funds used this conventional method to measure their performance
(Soydemir, Smolarski and Shin, 2010). Therefore, it is revealed that Jensen’s Alpha is one of
the most conventional method suitable for calculating risk.

Sharpe Ratio

Firms use Sharpe ratio as a specific indicators to evaluate risk-adjusted returns in an

organisation. While, designing capital requirements for an organisation, regulators focus on a
certain point and design operation in order manage relationship between organisation capital
and the clients (Gaganis, Liu and Pasiouras, 2015). Organisation on achieving a perceived
Sharpe ratio is expected to attain positive past returns. This tool highlights the past and
expected risk associated with business operation (Kaplanski et al., 2016). This reveals that
Sharpe ratio is used by organisation in measuring the risk adjusted return and the possibilities
of managing the impact by improving operation performance of the organisation.

Treynor’s Ratio
Treynor ratio unlike the other ratio’s focuses on measuring the portfolio of risk return profile.
This is identified only when the expected portfolio return, risk free rate and portfolio beta is
well known. However, each term involved in the evaluation are horizon dependent (Bednarek,
Firsov and Patel, 2017). Treynor ratios are largely composed for handling large and small
stocks, portfolios and bond holdings between a period of 1 – 30 years. In case of bond and
stock the TR changes with the holding period (Hodges, Taylor and Yoder, 2003). Therefore, it
is evident that TR value is dependent on a set horizon and it cannot be calculated independently.

Beta

Beta or systematic risk analysis is used for portfolio and stock evaluation over short term
returns. Betas are calculated using monthly or weekly returns since, this is effective in assessing
systematic risk in operation. Beta is mainly used to the construction of Treynor ratio in studying
the bias among investors. However, is concentrated on identifying and working with the direct
function if the returns are independent and evenly distributed across time (Hodges, Taylor &
Yoder, 2003). This method is effective for evaluating short term stocks and operations in the
financial sector.

From the literature it is evident that the above-mentioned tools are efficient in analyzing the
funds and returns in the stock market that improves operation performance.

Momentum Strategies based on Reward-Risk Stock Selection Criteria

This research work assesses the various momentum strategies that are set out on the basis of
reward-risk stock choosing criteria as against the normal momentum strategies that are based
on a cumulative return criterion. It is to be noted that reward-risk stock selection comprises of
conventional Sharpe ratio as a risk measure and alternative reward risk ratios along with
expected shortfall acting as risk measure. This research work assessed momentum strategies
by deploying 517 stocks that are listed in S&P 500 within the time frame of 1996-2003.
It is to be noted that stock selection criteria play a significant role in reference to construction
of momentum portfolio. The various other research works deploy a simple cumulative return
criterion while deploying monthly data. This research work puts into practice a simple
cumulative return or total return criterion by deploying monthly data as it applies reward risk
portfolio selection criteria in reference to individual securities by putting into effect daily data.
It has been observed that general choice of reward risk criterion is the general Sharpe ratio that
corresponds to the static mean variance theory.
It is to be taken into context that reward and risk measures can be put into effect to come up
with alternative reward risk ratios. This research work comes up with the concept of alternative
risk adjusted parameter via reward risk ratios that deploy expected shortfall as an input to gauge
risk and expectation or expected shortfall as a parameter to gauge reward. In various current
and past research works that have been undertaken in the field of momentum strategies, various
probable impact of non-normality of individual stock returns, its risk traits and distributional
traits have not been studied extensively. There is ample research data that clearly depicts that
individual stock returns depict non-normality, leptokurtic and heteroscedastic traits which
clearly imply that such impacts are clearly significant and have a drastic effect on reward and
the level of risk involved in reference to investment strategies. Further, Harvey and Siddique
(2000) assessed the relationship that was present between the variables pertaining to skewness
and momentum datasets that emerged on the basis of cumulative return parameter.
The researcher in this research work examines alternative strategies on the basis of varied
reward risk criterion in reference to a sample of 517 S&P 500 organizations over a time frame
of 1996-2003. The researcher further assessed performance of varied criterion by deploying a
risk adjusted independent performance variable which takes the form of reward risk ration
which is put into effect to a resulting momentum spread. In reference to this particular measure,
the most apt risk adjusted performance is deciphered from deploying the best alternative ratio
that is garnered by applying the cumulative return criterion and Sharpe ratio.

STOCK MARKET EFFICIENCY IN INDIA- EVIDENCE FROM NSE

It is an evident fact that market efficiency is a debatable subject of conventional finance since
long. The very concept renders impetus on the fact security prices have a prudent connection
to varied logical and psychological realities. It also comprises of information that is available
within the market. The prime objective with which this research work was undertaken was to
test the concept of market efficiency by making use of CAPM framework in reference to Indian
market. It also studied the comprehensive progress of Indian stock market and check the growth
of Indian capital market after NSE was institutionalized. This research work also gauged the
relationship between risk and expected return of security. In the viewpoint of Fama and
Macbeth (1973), it was to be tested whether beta described returns and put forth facts that
further solidified capital asset pricing framework. In another research work undertaken by
Ramachandran (1989), 22 portfolio groupings on the basis of beta were studied and it was
found out that CAPM framework was rejected. Further, Fama and French (1987) established
that there is a negative serial correlation in the market returns over observations intervals of
three to five years. Also, French and Roll (1988) came up with the fact that there is a huge
negative serial correlation in daily returns but put forth the fact that it was small in absolute
magnitude and it was even more complex to decipher its economic importance.

In another research work undertaken by Jagadeesh (1990), the random walk hypothesis was
rejected as his research work found out that there is an important positive higher order serial
correlation in the monthly returns on individual stocks in the USA over a time frame of 53
years. Dhankar (1991) found out that Indian stock market performed efficiently in reference to
its weak form. Further, Gupta (1985) undertook a testing of weak form of efficient market
hypothesis by deploying data of five shares that were traded on BSE and arrived at a conclusion
that random walk framework is an apt framework to define the behavior of equity price in
Indian market. In yet another research work undertaken by Nalini (1999), it was done to study
the overall investment performance of equity stock market in Indian context which undertook
empirical testing of CAPM framework by gauging the relationship between risk and return
which was found to be non-linear. In another research work undertaken by Fama, Fisher, Jensen
and Roll (1969), the first test for semi-strong market efficiency was undertaken. With the aid
of risk adjusted return to test the market efficiency in reference to announcement of stock split,
it was found out that there is an abnormal high return before the public announcement of split.

Low Risk Stocks outperform within all observable markets of the world
It is an evident fact that low risk stocks have higher expected returns is a unique anomaly in
financial sector. It is interesting owing to its persistent nature as it is present now and dates
back to the time till one can see. It is also interesting as it is comprehensive in nature. This
phenomenon is found to be applicable across global equity markets. This phenomenon also
becomes remarkable owing to fact that it contradicts the basics of finance which relates to the
fact that risk bearing leads to reward.
In the decade of sixties and seventies, the term modern finance came into existence. The prime
elements included Capital Asset Pricing framework which projected that the mean-variance
efficiency of market portfolio and efficient market hypothesis which further forecasted that
markets are informationally efficient. On the basis of such novel concepts, varied professional
investors were convinced to inject trillions of dollars into equity investments into capitalizing
weighted equity indexes such as the likes of S&P500.
Also, Modern Finance was making inroads. Haugen and Heins (1972) came up with a working
paper that studied time frame of 1926-1971 in which they answered the shortcomings of
previous research works in reference to the relationship that is present between the elements of
risk and realized return. They came up with the concept of survival bias and gauged its effect
on research works undertaken by Jensen (1969), Soldfosky and Miller (1969) and Sharpe
(1964). This research work quite clearly rendered an effective documentation of the negative
relationship that is present between the elements of risk and return in both US Stock Market
and US Bond Market. It was found out that stock market precisely led to higher returns in
reference to asset class in comparison to bond market but within each of the markets, it was
found out that higher the risk, lower was the realized return. It was very unfortunate to record
that majority of the outcomes of this research work were excised in the review process and
paper was published in the name of Haugen and Heins (1975).
The research work at hand renders a solid supporting evidence to foster the notion that carrying
relative risk in equity markets globally leads to expected negative outcome in all developed
nations as well as emerging nations. The researcher further comes up with a justification in
reference to the theory of agency that describes this anomaly and renders empirical evidence
to foster this contention.

5. Evaluation of Mid Cap fund returns in Indian stock market

On observing the net asset value of some of the leading mid cap mutual funds in India such as
the Franklin India Prima Fund, SBI Magnum Mid Cap Fund and Mirae Asset Emerging Blue
Chip Fund for the period of 5 years from 2012 to 2016, it was identified that the net asset value
of these mid cap mutual funds had shown a massive increase. This was attributed to the rise in
the stock market of India. In addition, there was considerable improvement in the quality and
quantity of the product and service offerings in the last few years. The most returns were
generated by the Mirae Asset Emerging Blue Chip Fund (Nandhini & Rathnamani, 2017). The
ICICI Prudential mid cap fund-growth offered the highest return of 0.07% compared to other
selected mutual funds. This was followed by the HDFC Capital builders fund growth, UTI
opportunities fund, UTI equity fund and SBI Blue chip fund (Narayanasamy & Rathnamani,
2013). However, the DSP Income Opportunities fund, DSP Blackrock MIP fund, Kotak flexi
debt fund, IDFC Money Manager fund, Franklin India savings plus fund, Birla sun life income
plus fund, Reliance income fund and the ICICI Prudential corporate bond fund were found to
generate low returns in the mid cap mutual funds of India (Sumana & Shivarj, 2014). It can be
seen that the mid cap fund returns in the stock market of India have been showing a positive
increase with better product and service offerings.

On evaluating the mid cap mutual funds performance using the Sharpe measure, it was seen
that the ICICI Prudential Mid cap fund, UTI Opportunities fund, SBI Blue chip fund, HDFC
Capital builder fund and UTI Equity fund growth outperformed the others through positive
Sharpe ratio (Raju, Manjunath & Nagaraj, 2015). Using the Treynor Measure, Birla Sun Life
Income Plus growth had the highest Treynor ratio. This was followed by the UTI opportunities
fund growth, HDFC capital builders fund, UTI equity fund growth and ICICI prudential mid
cap fund (Satish & Shakthi, 2016). However, the Birla Sun Life Income Plus growth had the
lowest Jensen ratio compared to all the other mid cap funds in India. Kotak balanced mutual
fund scheme was found to be highly risky mid cap fund. The Axis balanced mutual fund
scheme showed terrible performance (Sridevi, 2018). Compared to other mid cap mutual funds,
Axis and Kotak mutual funds are found to be risky and show poor performance.

6. Evaluation of Large Cap fund returns in Indian stock market

Indian stock market has been exposed to volatility and the shares in the market dropped down
to 2007 – 2010. The daily returns calculated during the conversion and evaluation of stock
projected the volatility in Nifty and Sensex (Arekar & Jain, 2011). Forecasting is essential in
order to operate efficiently in the market. The stocks improve operation performance and
enables organizations to manage stock market. From the investors point of view it has been
identified that various operation methods are utilized to understand stocks and shares
(Upadhyay, Bandyopadhyay & Dutta, 2012). Therefore, it is evident from the literature that
stock in Indian market has been dropping and recovering from the point of recession with
effective forecasting and operation.

Large Cap fund in India is very poor in performance in comparison with other funds operation.
Though, Indian stock market is considered to be one of world’s largest growing economy the
diverse schemes and operation affects performance and investors involvement (Yalavatti, &
Bheemanagouda, 2017). Large cap funds are oriented and designed on the basis of risk
evaluation and returns. For instance it has been identified from the funds of ING large cap that
this resulted in inferior returns (Chawla & Choudhary, 2016). From the literature it is revealed
that large cap funds have a lower return in their operations in comparison with that of other
funds strategy in the Indian stock market.
The performance level of large cap funds varies before and after incorporating expenses. This
approach underperforms benchmarks however, they are more stable in operation in comparison
with that of other funds and the management fees for the fund could be viewed as an investment
rather than expense (Kaushik & Boisvert, 2018). During the past two decades the Indian capital
market has been subjected to various changes in terms of increasing stock value and decreasing
business opportunity. Mutual funds are used by organizations to enhance performance in the
market. The large cap value has been used to asses equity growth in the country (Mohanti &
Priyan, 2018). Large-cap schemes are considered to be a long term asset to Equity Linked
Savings Scheme however, this fund scheme has its vulnerabilities in assessing risk adjusted
returns and its performance evaluation drops short in terms of risk adjustment (Raj, & Shahani,
2016). Therefore, it is evident that though large cap funds are stable and possess long term
benefits and investment option. Its performance is poor in the risk adjusted return section.

7. Summary

The risk adjusted return has been detailed in the above section projecting the assessing tools
and its impact on the financial performance in Indian stock market. Risk adjusted returns are
applied in various operation however, the literature focuses on the investment funds option that
are availed by the stock market. The risk adjusted returns in operation are evaluated via alpha,
Sharpe ratio and Treynor ratio as specified and detailed above. It is evident the mid cap projects
better performance result in comparison with large cap funds.

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