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Performance Evaluation of Mutual Funds Scheme in India
An Empirical Study
The performance of mutual funds depends on the performance of securities that make up the portfolio of the mutual fund. Mutual funds pool the money of investors and then invest this pool in the designated securities. Once this is done, the investors must understand that the performance of a particular scheme will depend on the performance of the underlying portfolio. For instance, a scheme has invested funds in equity shares, and the equity market is booming, then the performance of the scheme would be good. It may be noted that the performance of a scheme is restricted by the underlying portfolio and no scheme can rise faster than the rise in underlying portfolio. Even within a particular category or group of schemes, say income schemes, the performance of all mutual fund schemes under that category would not be same. What is required on the part of investors is to look at each of the schemed and its underlying portfolio. This will help them to know how and where their money is being invested and about the risk indirectly taken by them.
Nishant Patel Stevens Business School, Ahmedabad 3/16/2011
Performance Evaluation of Mutual Funds Scheme in 2011 India
Preparing a project is an arduous task, but I was fortunate enough to get support from large number of people to whom I shall always remain grateful and those who have helped me directly or indirectly in completion of the project on “Performance Evaluation of Mutual Funds Scheme in India – An Empirical Study”. The project has given me an opportunity to learn many aspects. I am very grateful to my guide Professor Deepak Krishnan, for giving me this privilege to work under him and for all his support during the entire duration as well as for his invaluable guidance that helped me to complete my project.
Performance Evaluation of Mutual Funds Scheme in 2011 India
I. INTRODUCTION MUTUAL FUND IS a trust the pools the savings of a number of investors who share a common financial goal. The money thus collected is then invested in capital market instruments such as shares, debentures and other securities. The income earned through these investments and the capital appreciation realized is shared by its unit holders in proportion to the number of units owned by them. Thus, a mutual fund is the most suitable investment for the common man as it offers an opportunity to invest in a diversified, professionally managed basket of securities at a relatively low cost. The mutual fund industry plays a significant role in the development of the economy as well. Its buoyant growth leads to lower intermediation costs, Professor & Head of the Department, Er. Perumal Manimekalai College of Engineer, Department of Management studies, Koneripalli, Hosur, Tamil Nadu, INDIA. Associate Professor, Alagappa University, Alagappa Institute of Management, Karikudi, Kancheepuram, Tamil Nadu 630003, INDIA Submitted December 2007; Accepted April 2010. More efficient financial markets, increased vibrancy of the capital markets and higher local ownership of financial assets. If retail investment is directed through the mutual fund route, it will lead to greater wealth creation in the long run. Thus, the industry can be one of the causative factors for a healthy economy. Mutual funds have emerged as an important intermediary in all the capital markets of the world. The mutual funds play and will continue to play an important role in the growth of the capital market in India. One of the reasons for mutual funds becoming popular in such a short period if that they offer low risk coupled with stability of income and are ideally suited for average and small investors who, otherwise, probably cannot operate in capital market. Growth of 3|Page
a mutual fund is a suitable investment for a common man as it offers an opportunity to invest in a diversified and professionally managed basket of securities at a relatively low cost. there is always a tradeoff between risk and return. viz. risk and return have been considered for detailed analysis. This study also presents an empirical analysis of risk adjusted performance evaluation of mutual fund schemes based on the Sharpe. As risk is commensurate with return.Performance Evaluation of Mutual Funds Scheme in 2011 India mutual funds in India. Making investment in a mutual fund is more convenient as compared to dealing in the capital market. 4|Page . So. In the present study these two attributes. therefore. Jenson and Fama measures. as well as. providing maximum return on the investment made within the acceptable associated risk level helps in demarcating the better performance from the laggards. in all the capital markets of the world is a testimony to the fact that mutual funds provide specialized financial securities to the investors. The relation between risk and return determines the performance of a mutual fund. Treynor. So.. Mutual funds provide different services to investors for making investment.
Sharpe (1966) developed a composite measure for performance evaluation and reported superior performance for 11 funds out or 34 during the period 1944-1963. Friend and Vickers (1965) while examining portfolio selection and investment performance critically examined the performance of mutual funds against the randomly constructed portfolios. 2. Existing literature. since it will throw light on the performance evaluation of mutual fund schemes in India. The literature on mutual funds has also contributed to the development of various portfolio performance measures. The review of literature helps to identify the research gap in the study on performance evaluation of mutual fund schemes and which has given rise to the present study.1 Foreign Literature. both Indian and foreign are important.Performance Evaluation of Mutual Funds Scheme in 2011 India II. It also strengthens the theoretical base of the research study. The study concluded that mutual funds on the whole have not performed superior to random portfolios. The review has been covered the research articles. Literature Review The review of literature gives a broad outlook of the various research studies made in the past and the details of such studies throw light on the future studies to be made. Jensen's (1968) classic study developed an absolute measure of performance based upon the Capital Assets Pricing Model and reported that mutual funds did not appear to achieve abnormal performance when transaction costs were taken 5|Page . Treynor and Mazuy (1966) developed a methodology for testing mutual funds historical success in anticipating major turns in the stock market and found no evidence that the funds had successfully out guessed the market. The deficiencies of the existing studies should help in conducting new studies and updating the relevant literature. textbooks and research studies.
The weekly returns were computed for these schemes since their commencement to April 1994. Indian Literature : Barua (1981) made the pioneering attempt in evaluating the performance of master Share Scheme of Unit Trust of India from the Investor point of view. Jensen and Treynor ratios for the period from January 1988 to June 1991. (1994) evaluated performance of five growth oriented schemes for the period from February 1991 to August 1993. Shukla (1993) evaluated and compared the performance of Canshare and Mastershare by employing the Sharpe. However. This characterizes the Efficient Market Hypothesis. CAPM model was used to evaluate the superior performance of the growth schemes. CAPM model was unused to arrive at conclusion and considered that 'Master Share' was a bonanza to the small investors with high return. Guy (1978) on analyzing the performance of British Investment Trust Industry evaluated the risk-adjusted performance of UK Investment Trust through the application of Sharpe and Jensen measures. 2. He concluded that Mastershare had performed better in terms of risk and return than Canshare. They concluded that mutual fund investment offers tremendous potential for Indian investors. compared to the London Stock Exchange Index. Shaw and Thomas (1994) evaluated the performance of 11 mutual fund schemes based on market price data. Ippolito (1987) while testing the Efficient Market Theory. The study concluded that no trust had exhibited superior performance.2. Jayadev (1998) evaluated the performance of mutual fund schemes in terms of risk and return. This study 6|Page .Performance Evaluation of Mutual Funds Scheme in 2011 India into a count. Jaideep and Majumdar. expenses and load charges offset them. Tripathy and Sahu (1995) evaluated the performance of a major growth oriented schemes for a period of one year from October 1994 to September 1995. Jensen and Sharpe measures were used to evaluate the superior performance of the schemes. concluded that mutual funds offer superior returns.
Bhayani and Patidar (2006) evaluated the performance of balanced fund scheme in terms of average return. In the case of equity diversified schemes. it is clear that the research studies both Indian and foreign are used to evaluate the performance of mutual fund schemes. This study covered relatively a large number of schemes. the performance of schemes have shown better returns and most of the schemes have outperformed the benchmark. The performance of schemes was better in case of returns and has earned returns on lower risk as compared to the market. The performance of tax planning fund schemes has generated superior return as compared to the market return. 7|Page .Performance Evaluation of Mutual Funds Scheme in 2011 India proved to be an empirical evidence of Efficient Market Hypothesis in Indian context. To sum up the review of literature. Income fund schemes have shown poor performance compared to the market return. The results of gilt fund schemes have outperformed the benchmark. The results of gilt fund schemes indicated that all the schemes earned a slightly higher return in comparison to the market return. A majority of the sample mutual funds schemes have recorded a superior performance as compared to the benchmarks index.
Treynor Ratio. Methodology and Sample 3. Sharpe Differential Return Measure and Fama's Components of Investment Measure were applied to evaluate the performance of selected schemes. The secondary data pertaining to the mutual fund investments during the above 8|Page . from April 2002 to March 2007).e. 3. The study is kept limited to only two fund categories namely equity fund and income fund.2 Methodology To evaluate the investment performance of sample mutual fund schemes. In this study the Bombay Stock Exchange (BSE) Sensex (100) has been used as a surrogate for market portfolio and the bank interest rate has been used as a surrogate for risk-free rate of return which have been accepted as the market proxy and the risk-free proxy respectively by the researchers as well as practitioners in India.Performance Evaluation of Mutual Funds Scheme in 2011 India III. Treynor. To examine funds sensitivity to the market fluctuations in terms of beta.3 Period of the Study The study covers a period of five years (i. To evaluate performance of mutual funds in terms of risk and return. Secondary data were used to evaluate the performance of the selected mutual fund schemes. Jensen & Fama. Jensen Differential Return Measure. The study Objective. To evaluate risk adjusted performance of selected mutual fund schemes by applying the measures of Sharpe.1 Objectives of the Study The main objectives of the study are as under. Tamil Nadu. Performance evaluation models such as Sharpe Ratio. 3. 23 schemes were chosen as per the priority given by the respondents in Dharmapuri district.
2007 Nov.4 Sample Schemes Selected for the Study For the evaluation of mutual fund schemes.2007 Sep. HDFC Asset Management Co. Ltd.1999 Mar.2007 Sep. Ltd.1996 Mar.1999 Mar. Table Name of the Selected Mutual Fund Schemes S. 3. 23 schemes from 11 mutual funds have been selected. 2009 .1993 Mar. 9|Page Sep. Scheme Name 1. Franklin Temploton Asset Management (India) Pvt.No. Franklin India Prima Plus 4 Franklin India Prima Fund 5 HDFC Top 200 Fund Equity Equity Equity Equity Franklin Temploton Asset Management (India) Pvt. Franklin Temploton Asset Management (India) Pvt. Franklin India Blue ship Fund 3. Ltd. The selected schemes are presented in Table I.2007 Period From To Mar. Ltd.Performance Evaluation of Mutual Funds Scheme in 2011 India period have been collected from the relevant authorized sources for an in-depth analysis. Can Equity Tax Saver Fund Category Equity Asset Management Company Can Bank Investment Management Services 2.1999 Mar.
.2003 Mar.1995 Mar.. 14.1999 Mar..1995 Mar. UTI Equity Tax Saving Plan 16. Prudential ICICI Power Equity Prudential ICICI Asset Management Co.1999 Mar.. 2007 Oct..2007 June 1998 Mar.2007 Sep.2007 Oct.1994 Mar.2007 Sep. Tata Growth Fund Tata Growth Fund UTI-Growth and Value Fund 15.. Prudential ICICI Asset Management Co. Ltd.2007 10 | P a g e Dec. Birla Sun life Asset Oct.1995 Mar.2007 Mar.1999 Mar. UTI Asset Management Company Ltd. Tata Asset Management Ltd. Ltd. 2007 Sep.2007 Jun.1994 Mar. UTI Asset Management Company Ltd..2007 Oct. Birla Income plus Retail Income Equity Equity Equity Equity Tata Asset Management Ltd. Prudential ICICI Power Equity Equity Equity SBI Funds Management Ltd. 12.2007 . 9. Prudential ICICI Asset Management Co. Reliance Growth Fund Equity Reliance Capital Asset Management Ltd. 10 Reliance Growth Fund Equity Reliance Capital Asset Management Ltd. 11. 13. Ltd.Performance Evaluation of Mutual Funds Scheme in 2011 India 6 7 Magnum Global Fund Prudential ICICI Tax Plan 8.1994 Mar.
2007 11 | P a g e .Ltd.1999 Mar.Ltd.Ltd.2007 Apr.2007 Jun. 22.Performance Evaluation of Mutual Funds Scheme in 2011 India Management Co.1997 Mar.2007 Nov. 19. Reliance income Fund Income Reliance Capital Asset Management Co. Sundaram Bond Saver Tata Income Fund UTI.1998 mar.1997 Mar.1999 Mar. 17. 21.2007 DEc. Jul. Prudential ICICI Income Income Income Kotak Mahindra Asset Management Co.1998 Mar.Ltd. 20. Kotak Bond Regular Plan 18. Tata Asset Management Ltd. 23. UTI Asset Management Co. Predential ICICI Asset Management Co.2007 Jun.2007 Nov.Ltd.Bond Fund Income Income Income Sundaram BNP Paribas AMC Ltd.1997 Mar. UTI Bond Advantage Fund LTP Income UTI Asset Management Company Ltd.
40 4.26 5.40 4. ICIC Prudential Growth Plan Average Risk 10 Reliance Growth Fund Average 1.74 3. S.35 3. The dividend payments were included for determining the net asset based annual returns.11 9.35 2005 -06 3.49 6.42 8.26 5.23 1.44 0.58 4.82 4.49 3.63 7.85 4.46 1.13 2006 -07 1.07 5.58 3.41 6.19 2003 -04 3.26 7.14 3.29 6.48 10.90 1.70 4.52 5.05 7.95 3.02 6.42 1.33 6.46 4.05 8.24 8.69 1.24 3.09 4.84 4.09 3.68 5.75 4.07 3. Franklin India Blue ship Fund Average Risk 3.35 4.24 4.79 0.20 7.1 Average Annual Risk and Return of Selected Equity Schemes The rates of return for all the fifteen schemes were calculated on the basis of average monthly net asset values.83 7. Franklin India Prima Plus Average Risk 4 Franklin India Prima Fund Average Risk 5 HDFC Top 200 Fund Average Risk 6 Magnum Global Fund Average Risk 7 Prudential ICICI Tax Plan Average Risk 8.01 5.73 1.94 0.43 5.04 5.12 4.N Scheme Name o 200203 1.85 2.16 Total Average Total 12 | P a g e .38 1.65 0.11 5.56 3.Performance Evaluation of Mutual Funds Scheme in 2011 India IV Empirical Analysis 4.74 0.10 6.55 6.85 5.39 2.18 8.71 3.22 8.71 1.43 2.32 200405 1.49 1.04 1.19 7.41 5.76 7.55 1.78 0.31 5.41 2.52 3.40 1.46 1.98 5.40 7.78 3.63 4.13 8. Prudential ICICI Power Average Risk 9.68 5.58 4.09 3.13 6.96 4.00 8.46 5.84 8.70 3.15 3.84 4.29 0.17 4.55 4.05 5. Can Equity Tax Saver Average Risk 2.41 7.93 6.29 4.69 4.12 6.84 4.64 4.26 0. The year wise average returns were calculated and provided in Table II for all the fifteen schemes.
50 1. all the fifteen schemes had yielded positive return. 13 | P a g e .11 5. Prudential ICICI Tax Plan was having the highest risk and Franklin India Prima Plus was having the lowest risk.90 5.79 The overall annual average risk and return were calculated from the five years data presented in the same table for all the fifteen schemes.77 5.11 1.41 3.00 1.87 8.67 0.85 7.74 3.44 3.27 3.55 6.96 4. Reliance Vision Fund Average Risk 12.13 7.50 2.19 1.21 3.63 0. The overall minimum return was from Can Equity Tax Saver.78 4.87 0.79 6.43 6.24 8.91 3.76 6.68 3.Performance Evaluation of Mutual Funds Scheme in 2011 India Risk 11. Tata Growth Fund Average Risk 13.68 3. The year wise average returns were calculated and provided in Table – III for all the eight schemes.38 4.90 2.02 5.27 3.66 5.11 0.09 2.58 1.02 3. The overall maximum return was from Reliance Growth Fund which was followed by Reliance Vision Fund. UTI Equity Tax Saving Plan Average Risk 4.61 5.11 7.56 3.23 3.74 0.35 6. The dividend payments were included for determining the net asset based annual return.87 6.44 7.99 6.61 4.32 2.34 3.69 0.31 3.91 0.52 1.92 3. 4.01 6.28 3. UTI-Growth and Value Fund Average Risk Average Risk 15.84 6.2 Average Annual Risk And Returns of Selected income scheme The rates of return for all the eight schemes were calculated on the basis of average monthly net asset values.25 7.10 5.52 7.41 7.04 8. Tata Equity Opportunities Fund 14.56 5.85 3.
63 0.82 0.2004.34 Total 0.71 17.83 1.86 0.79 0.82 0.25 0.53 0. 0.23 0.19 0.92 1.8 0.83 0.82 -0.39 1.16 Risk Average Risk Average Risk UT I -Bond Average Advantage Fund-LTP Risk The overall annual average risk and return were calculated from the five year data and presented in the same table for all the eight schemes.54 0.Average Retail Risk Kotak Bond Plan Regular Prudential ICICI Income Reliance Income Fund Sundaram Bond Saver Tata Income Fund UTI-Bond Fund Risk Average Average Risk Average Risk Average Period 2002-03 2003.86 1.84 0.91 0.85 11.54.4 0.32 0.52 0.61 1.92 6.33 0.33 0.28 0.83 0.27 0.3 Risk and Return of Mutual Fund with Benchmark Portfolios. 0.81 0.4 0.47 0.38 0.2005-06 0.28 0.44 0.44 0.04 0. All the schemes had yielded positive returns and risk were from Tata Income Fund There were not many differences among the schemes on the basis of overall annual average risk and returns.26 0.34 0. The average return and risk for both the selected mutual fund schemes and the benchmark portfolio are computed and presented in Table IV Fund Beta (Systematic risk) and value for Beta are also computed and presented in the same table.05 0.78 0.29 0. 0.57 0.3 0.68 0.75 0. 14 | P a g e .86 0.17 0.82 0.32 0.81 0.23 0.72 0.81 0.78 -0.19 0. To have a meaningful evaluation of the investment performance of mutual fund schemes their average return and risk are to be compared with the average return and risk are to be compared with the average return and risk of the benchmark portfolio.37 0.17 0.Performance Evaluation of Mutual Funds Scheme in 2011 India Table III Average Annual Risk and Returns of selected Income Scheme Scheme Name Birla income Plus.81 0.93 9.6 0. 4.92 1.83.9 1.87 0.73 0.2 0.4 0.61 0.6 0.37 "0.02 0.74 0. 0.37.56 0.39 0.03 07 0.23 20060.42 0.77 -3.28 0.46 0.49 0.19 0.76 1.5 04 05 0.19 0.0 1.89 0.56.75 0.
506 and 5.506 3.734 5.973 17. Out of 23 schemes had not earned even more than the risk free return.907 7.506 1. 4 schemes had not earned ever more than risk –free return. the funds are expected to earn more than risk.259 3. Normally.664 6. 14 schemes had more risk than market risk.485 5. only one scheme namely Franklin India Prima Plus had less risk than market risk.889 7.485 0. Out of 15 equity schemes. all the 15 equity schemes had earned more than risk free return.402 3.169 ** ** 0.509 15.493 2. S No Schemes Average Risk Free Return Average Portfolio Return Average Market Return Fund Portfolio Risk Market Risk Fund Bet beta Sig Equity Schemes 1 2 Can Equity Tax Saver Franklin India Blue Chip Fund 3 4 Franklin India Prima Plus Franklin Fund 5 6 7 8 HDFC Top 200 Fund Magnum Global Fund ICICI Prudential Tax Plan ICICI Prudential Power 0.506 0.446 5.485 5.506 0.647 5.485 5.222 10.506 0.911 1.796 5. Among the 8 Income schemes. out of 23 schemes.446 5.485 5.041 2.943 0. 11 schemes had not earned more than the market return.Performance Evaluation of Mutual Funds Scheme in 2011 India Table IV present return and risk of mutual fund schemes together with returns and risk of benchmark portfolio and risk-free return.950 16.446 2.307 2.446 2.free return.469 6. All the schemes from income fund had less risk than market risk out of 15 equity schemes. Out of 23 schemes. Income Fund reflected a negative systematic risk.485 0.067 3.957 9.200 3. It can be concluded that he return and risk are not always in conformity with the stated objectively and the systematic risk free return and average market risk for all the twenty three schemes were same with 0.485 0.172 0.963 12.446 2.446 2.086 5. But.446 2.913 0.506 0.177 ** ** 15 | P a g e .506 0. Tata.511 5.446 7.486 ** ** ** ** India Prima 0. only one schemes ICICI Prudential Tax Plan had high systematic risk and the remaining fourteen schemes were reflected a moderate amount of systematic risk.506 3.095 3.031 17.485 respectively.991 1. Out of 23 schemes.485 5.
015 0.446 2.413 1.771 6.792 2.878 5.446 2.506 0.323 0.446 2.485 5.571 1.446 5.037 5.442 0.506 2.861 9.493 2.506 0.446 2.924 17.831 0.467 0.198 0.446 0.897 2.029 0.821 ns ** ns ns ns ns ns ns 0.155 3.766 7.794 11. To analyze whether the sample mutual fund schemes are adequately diversified or not.Performance Evaluation of Mutual Funds Scheme in 2011 India 9 10 11 ICICI Prudential Growth Reliance Growth Fund Reliance Vision Fund 12 13 Tata Growth Fund Tata Equity Opportunities fund 14 UTI Growth & Value Fund 15 UTI Equity Tax Saving Plan Income (Debt) Scheme 16 17 18 19 20 21 22 23 Birla Income Plus Kotak Bond Regular Plan ICICI Prudential Income Reliance Income Fund Sundaram bond Saver Tata Income Fund UTI Bond Fund Unit Bond Advantage 0. 16 | P a g e .285 6.839 1.139 6.966 0.485 0.506 0.446 2.017 0.485 5.022 0.506 0.446 2.485 5.805 0.446 2. the value of diversification for each schemes is computed and unique risk or unsystematic risk are also computed and presented in Table V.485 0.817 0.866 2.124 1.672 ** ** ** Note ** Significant at 1 Percent Level * Significant at 5 percent level Source : Computed from information in Table III and Table IV 4.506 0.485 5.506 0.492 11.882 11.822 0.598 ** 0.506 0.965 0.446 2.485 0.446 5.485 5.485 5.811 0.506 1.023 0.751 1.506 0.517 0.485 0.506 2.490 0.485 5.672 0.976 15.432 2.485 0.681 4.506 0.485 5.446 6.4 Unique Risk and Diversification The object of diversification is to earn superior returns by reduction of risk.485 5.446 2.559 0.012 0.945 5.506 2.742 5.927 0.446 2.531 0.506 0.019 0.979 0.446 5.464 0.166 1.640 0.506 0.262 5.788 ** 0.485 5.729 ns ** 0.
733 0.589 0.888 per month while the average diversification of the equity sample schemes was 0.839 0.292 4. Out of the 15 equity schemes.843 0.367 2.029.796 2.219 0.189 3. only one schemes namely Tata Income Fund showed higher than the average unique risk.645 0. Hence.705 4.506 0.281 3.960 4.709 0.810 0.827 0.219 and income sample is 1.573 3.838 0. It will be seen that the average unique risk of the equity sample schemes is 3.736 3.531 2. Extent of Diversification (R2) S No Schemes Unique Risk (Unsystematic Risk) Equity Schemes 1 2 3 4 5 6 7 8 9 10 11 Can Equity Tax Saver Franklin India Blue Chip Fund Franklin India Prima Plus Franklin India Prima Fund HDFC Top 200 Fund Magnum Global Fund ICICI Prudential Tax Plan ICICI Prudential Power ICICI Prudential Growth Reliance Growth Fund Reliance Vision Fund 12 13 14 15 Tata Growth Fund Tata Equity Opportunities fund UTI Growth & Value Fund UTI Equity Tax Saving Plan Average 0.296 2.941 2.709 0.724 and income sample schemes was 0.724 Income (Debt) Scheme 1 2 Birla Income Plus Kotak Bond Regular Plan 0.506 0.270 17 | P a g e . schemes.Performance Evaluation of Mutual Funds Scheme in 2011 India Table V.766 0.527 0.538 2.373 3. it Can be concluded that the mutual fund schemes risks are not adequately diversified.834 0. 8.market risk) of mutual fund and the extent of diversification of sample schemes. presented information regarding the unique risk (diversifiable risk or non.512 0.093 3.808 0.859 2.
4. Tat Equity Opportunities fund 3.664 0. 9. Franklin India Prima Plus Franklin India Prima Fund HDFC Top 200 Fund Magnum Global Fund ICICI Prudential Tax Plan ICICI Prudential Power ICICI Prudential Growth Reliance Growth Fund Reliance Return Franklin India Prima Plus 10.813 0. 3.Performance Evaluation of Mutual Funds Scheme in 2011 India 3 4 5 6 7 8 ICICI Prudential Income Reliance Income Fund Sundaram bond Saver Tata Income Fund UTI Bond Fund Unit Bond Advantage Average 0.506 0.796 0.858 9. Tata Growth Fund 12.873 1. 6.5 Risk Returns Grid of Mutual Fund Scheme In order to undertake further analysis. 7. 2. sample schemes have been classified into the following four categories on the basis of their return and risk characteristic and they are presented in the following figure.506 0.029 0. Can Equity Tax Saver 2.506 0.888 Source : Computed from information in table IV 4. Vision Fund 11. High Equity Scheme 1.478 0. 8.506 0.506 0.506 0. UTI Equity Tax Saving Plan 18 | P a g e Return All the I Income Schemes . Tata Equity Opportunities fund 13. 5. UTI Growth & Value Fund APp>ARm SDp>SDm 1 AP>ARm>SDp<SDm II Low Income Schemes AP>ARm>SDp<SDm III Equity Schemes 1.
The results show that these schemes have taken higher risk and returns. All the 11 schemes are equity schemes. only one equity scheme had earned higher returns in comparison to the of the market but have. all of them are equity schemes. one would expect the equity schemes should fall in this first quadrant. Quadrant – IV (Low return and High Risk) This quadrant Included only three schemes. in fact assumed lower risk than market risk. as they have not generated even the average returns. Quadrant – III (Low Return and Low Risk) This Category includes all those schemes whose average return and less than the average market return and their standard deviations are also lower than that of the market.5 percent of return. Indeed. 11 schemes fall in the first quadrant. The topper in this category is Reliance Growth Fund with 415. These Schemes had earned a very lesser return during the study period but have assumed higher risk than the market. they are the poorest performers. all the 8 income schemes fall in this quadrant.Performance Evaluation of Mutual Funds Scheme in 2011 India APp>ARm SDp>SDm 1 Note : ARp – Average Return on Mutual Fund Portfolio ARm – Average Return on Market Portfolio SDp – Risk of Mutual Fund Portfolio SDm – Risk of Market Portfolio Figure – 1 Risk Return Grid of Mutual Fund Schemes Quadrant – I (High Return and High Risk) : An analysis of the data indicated that oput of the total 23 schemes. In terms of risk –return relationship. The result indicates that out of the 23 schemes. 19 | P a g e . Quadrant – II (High Return and Low Risk) The result show that out of the total 23 schemes.
354 0.449 0.442 0. Jensen Differential Return Measure.376 0.386 0.6.354 0. 4.486 0.483 0.354 20 | P a g e .354 0. the next step is to evaluate the risk – adjusted performance of selected mutual fund schemes by using the following five performance measures. Treynor Ratio. Sharpe Ratio.377 0. and Sharpe Differential Return Measure and Eama’s components of Investment Performance A brief description of the five performance evaluation measures is given below.468 0.581 0.354 0.354 0. To evaluate the risk – adjusted performance of sample mutual fund schemes the Sharpe ratio. Having established the risk and the return associated with the sample schemes and the market indices.354 0.1 Application of Share Ratio to Evaluate the Performance of Selected Schemes.767 0.6 Risk – Adjusted Performance of Selected Mutual Fund Schemes.589 0.Performance Evaluation of Mutual Funds Scheme in 2011 India 4.354 0.e. both for the mutual fund schemes and for the benchmark portfolio (i. BSE Sensex 100) are computed and presented in Table VI Table VI Sharpe Ratio of Mutual Fund Schemes S No Schemes Sharp (Fund) Sharp (Index) Equity Schemes 1 2 3 4 5 6 7 8 9 10 Can Equity Tax Saver Franklin India Blue Chip Fund Franklin India Prima Plus Franklin India Prima Fund HDFC Top 200 Fund Magnum Global Fund ICICI Prudential Tax Plan ICICI Prudential Power ICICI Prudential Growth Reliance Growth Fund 0.
which fell in the forth quadrant.544 0.354 0. Out of 15 equity schemes. Reliance vision is the top performer in the equity schemes. All the 8 income Schemes had less Sharpe ratio in comparison with relevant benchmark portfolio.354 0.354 Source : Computed from information in table IV Table VI present the Sharpe ratios for the sample schemes and for the benchmark portfolios.031 -0.051 0.044 0. Out of the 23 Schemes had better Sharpe ratios in comparison to the relevant benchmark portfolios.066 -0.242 Income (Debt) Scheme 16 17 18 19 20 21 22 23 Birla Income Plus Kotak Bond Regular Plan ICICI Prudential Income Reliance Income Fund Sundaram bond Saver Tata Income Fund UTI Bond Fund Unit Bond Advantage ``` -0.048 0.Performance Evaluation of Mutual Funds Scheme in 2011 India 11 Reliance Vision Fund 12 13 14 15 Tata Growth Fund Tata Equity Opportunities fund UTI Growth & Value Fund UTI Equity Tax Saving Plan 0.354 0.354 0.6. All the income schemes have performed less in comparison with their relevant benchmark portfolios.354 0. Though Can Equity Tax Saver scheme had better Sharpe ration than the relevant benchmark portfolio.015 0.075 0.016 -0.354 0.354 0. Table VII 21 | P a g e .354 0.354 0.380 0. two of them have performed less in comparison with their relevant benchmark portfolios.354 0. Table VII present Treynor rations of the Schemes and benchmark portfolios.148 0.397 0.2 Application of Treynor Ratio to Evaluate the Performance of Selected Schemes.354 0.354 0. 4. Treynor ratio or measure evaluates the performance of the sample schemes with respect to systematic risk.
940 1.940 1.940 Table Vii presents the Treynor ratios for the selected schemes as well as for the benchmark portfolio.919 2.430 -1.713 0. 4.134 2.940 1.940 1.578 Income (Debt) Scheme 16 17 18 19 20 21 22 23 Birla Income Plus Kotak Bond Regular Plan ICICI Prudential Income Reliance Income Fund Sundaram bond Saver Tata Income Fund UTI Bond Fund Unit Bond Advantage ``` -2.6.949 2.940 1.756 1.940 1.449 -1.841 2.940 1.940 1.940 1.882 -5.781 3.940 1.069 2.820 2.Performance Evaluation of Mutual Funds Scheme in 2011 India Treynor Ratios of Selected Mutual Fund Schemes S No Schemes Treynor’s Ratio (Fund) Treynor’s Ratio (Index) Equity Schemes 1 2 3 4 5 6 7 8 9 10 11 Can Equity Tax Saver Franklin India Blue Chip Fund Franklin India Prima Plus Franklin India Prima Fund HDFC Top 200 Fund Magnum Global Fund ICICI Prudential Tax Plan ICICI Prudential Power ICICI Prudential Growth Reliance Growth Fund Reliance Vision Fund 12 13 14 15 Tata Growth Fund Tata Equity Opportunities fund UTI Growth & Value Fund UTI Equity Tax Saving Plan 2.556 -0.940 1. which fell in the fourth quadrant.940 1.700 2. 22 | P a g e .2 Application of Treynor Ratio to Evaluate the Performance of Selected Schemes.470 2.300 0.382 1.940 0.555 1.940 1.940 1.251 3.418 1.940 1.940 1.649 2.940 1.940 1.940 1.803 3.940 1.940 1.
4.3 Application of Jensen Measure to Evaluate the Performance of selected Scheme.6. the difference between the expected return and actual return and actual return. Therefore in order to detect any conflict in performance ranking. beta and expected return value are given in Table VIII 23 | P a g e . The presence of unique risk in the portfolio does not affect the Treynor ratio whereas it would affect the Sharpe ratio. The Reason for this difference is that the portfolio under consideration may have a relatively larger amount of unique risk. 10 schemes. The reason for such a conflict arises due to the fact that Sharpe ratio takes into accounts the total risk of the portfolio whereas the Treynor ratio considers only the systematic or the market risk. Table Vii present the Treynor ratios for the selected schemes as well as for the benchmark portfolios. The result pertaining to Share and Treynor ratio reflect some conflict in performance ranking. Interestingly.Performance Evaluation of Mutual Funds Scheme in 2011 India Treynor ratio or measure evaluates the selected schemes as well as for the benchmark portfolios. It can be seen that out of the 23 schemes. The Jensen measure has given a different dimension to the portfolio performance. 9\ schemes outperformed in respect of Sharpe ratio too. Alpha values are computed which indicates the additional return of the portfolio i. had outperformed the benchmark in terms of volatility. The only scheme namely Can Equity Tax Server had offered more return than benchmark in respect of Sharpe ratio. Thus it is possible that a portfolio might have outperformed the market in terms of Treynor ratio whereas in terms of Sharpe ratio it did not. Reliance Growth Fund is the top performer of the equity schemes. In the Jensen measure. among the 10 schemes. the sample schemes have been ranked in terms of Sharpe and Treynor ratios. Jensen’s alphas.e.
537 0.676 0.034 -0.Performance Evaluation of Mutual Funds Scheme in 2011 India Table VIII Jensen Measures of Selected Mutual Fund Schemes S No Schemes Jenson’s A Jenson’ B Expected Return Equity Schemes 1 2 3 4 5 6 7 8 9 10 11 Can Equity Tax Saver Franklin India Blue Chip Fund Franklin India Prima Plus Franklin India Prima Fund HDFC Top 200 Fund Magnum Global Fund ICICI Prudential Tax Plan ICICI Prudential Power ICICI Prudential Growth Reliance Growth Fund Reliance Vision Fund 12 13 14 15 Tata Growth Fund Tata Equity Opportunities fund UTI Growth & Value Fund UTI Equity Tax Saving Plan 0.967 0.556 2.490 0.539 0.981 0.025 0.977 0.609 2.678 2.797 0.926 3.943 3.617 0.300 1.945 0.014 0.951 0.729 2.791 0.510 2.914 0.441 2.548 2.882 -1.163 2.007 -0.535 2.811 24 | P a g e .857 2.175 0.464 -0.920 0.793 0.663 0.721 2.031 0.075 0.992 0.773 1.087 -0.024 0.819 0.819 0.232 0.093 0.912 1.091 0.430 -0.787 1.321 Income (Debt) Scheme 16 17 18 19 20 Birla Income Plus Kotak Bond Regular Plan ICICI Prudential Income Reliance Income Fund Sundaram bond Saver -0.967 0.958 0.013 2.017 0.976 0.956 0.642 2.
6.031 -0. It is noted that the equilibrium return of a fund is the return that it is expected to earn with the given level of systematic or market risk. Franklin India Prima fund. 25 | P a g e .051 -0. In order to test whether the mutual funds schemes are offering superior risk – adjusted return or not under Jensen alpha measure. alpha values for 14 schemes were positive thereby indicating superior performance.817 Table VIII present the Jensen measures of the mutual fund schemes. The additional return earned by the fund manager over equilibrium return can be attributed to his ability to select the securities. IN other words.4 Application of Sharpe differential Return measure to Evaluate the performance of Selected Schemes. 4. The result of the study reveals that out of the 23 schemes. Hence. thereby implying that these three schemes have generated above normal returns.744 0. A positive and significant alpha will mean that the schemes provide superior risk adjusted returns. Out of the total 23 schemes. Reliance Growth Fund and Reliance Vision Fund were found to be statistically significant. The value of alphas is an absolute. the hypothesis is accepted. the following null hypothesis was formulated.319 0. Hypothesis HO : Mutual Fund does not offer superior risk – adjusted returns.Performance Evaluation of Mutual Funds Scheme in 2011 India 21 22 23 Tata Income Fund UTI Bond Fund Unit Bond Advantage ``` 1. The result indicates alpha values for only three schemes viz.916 0. only 3 schemes are having positive and significant alphas values. these schemes had generated returns in excess of equilibrium return.039 -0.020 3. which indicates differential return of the portfolio between equilibrium return and actual return.021 0.
431 1.327 0.721 2.013 2.132 1.079 0.68 4.10 3.Performance Evaluation of Mutual Funds Scheme in 2011 India To analyze the manager’s ability in selecting stocks and his ability to provide diversification.47 0.87 1.539 0.678 2.754 0.79 -1.548 2.16 3.900 3.510 2.46 0.750 0.729 2.629 0.310 2.441 2.797 0.537 Income (Debt) Scheme 16 17 18 19 Birla Income Plus Kotak Bond Regular Plan ICICI Prudential Income Reliance Income Fund 0.231 0.162 -1.157 0. For this.857 2.813 0.637 -0.84 1. Sharpe uses the differential return measure.291 0.793 0.556 2.071 3.53 2.43 2.609 2. the value of expected return and actual return are calculated and presented in Table IX Table IX Sharpe Differential Return of Selected Mutual Fund Scheme S No Schemes Expected Return Actual Return Differential Return Equity Schemes 1 2 3 4 5 6 7 8 9 10 11 Can Equity Tax Saver Franklin India Blue Chip Fund Franklin India Prima Plus Franklin India Prima Fund HDFC Top 200 Fund Magnum Global Fund ICICI Prudential Tax Plan ICICI Prudential Power ICICI Prudential Growth Reliance Growth Fund Reliance Vision Fund 12 13 14 15 Tata Growth Fund Tata Equity Opportunities fund UTI Growth & Value Fund UTI Equity Tax Saving Plan 2.40 3.642 1.163 2.263 26 | P a g e .237 0.201 3.791 0.491 3.26 3.261 -0.535 2.943 3.633 0.56 0.041 3.148 0.505 0.
R.169 -1.813 0.93 0. The remaining 09 schemes showed negative differential returns indicating that they could not generate return commensurate with the risk they assumed.581 0.371 2.916 0.811 3. The analysis is further extended to pinpoint the reasons for good or bad performance which also identifies the areas for correction. 4.327 Source : Computed from information in Table IV Table IX present information pertaining to Sharpe’s differential return for mutual fund schemes.986 0. the Indian mutual funds are not adequately diversified. 12 schemes reflected positive differential returns.) Impact of Beta Imperfect Diversification Net Selectivity Equity Schemes 1 2 Can Equity Tax Saver Franklin India Blue Chip Fund 0.926 1.224 0.44 0.507 27 | P a g e . As revealed earlier.6.087 1.Performance Evaluation of Mutual Funds Scheme in 2011 India 20 21 22 23 Sundaram bond Saver Tata Income Fund UTI Bond Fund Unit Bond Advantage ``` 0.49 0. This is fulfilled by Fama’s decomposition measures.300 0. In order to analyze the selected schemes’ returns under Fama’s components of investment performance the returns are grouped into four components for the sample mutual fund schemes are computed and presented in Table X Table X Fama’s Break-up of selected Mutual Fund Scheme S No Schemes Diversifiable Risk (D.817 0. Out of the 23 schemes.744 0.52 0. The top two performances are Reliance Growth Fund and Reliance vision Fund. thereby indicating superior performance.5 Application of Fama’s components to evaluate the performance of selected schemes.859 0. A comparison of Share differential returns and Jensen alpha indicates the impact of selectivity and diversification on the fund’s returns.
626 0.770 2.347 0. Note that the overall performance has been broken down into various components such as diversifiable risk.876 1.894 1.289 0.323 0.079 0.426 1.085 0.751 0. the remaining 22 schemes had provided positive performance on account of risk bearing activity of fund managers.175 1.236 0.150 Source : Computed from information in Table IV Table X presents information pertaining to Fama's components of performance for the mutual fund schemes.344 0.179 0.166 0.262 -0.44 0.227 -0.232 -0.327 0.088 0.279 1.Performance Evaluation of Mutual Funds Scheme in 2011 India 3 4 5 6 7 8 9 10 11 Franklin India Prima Plus Franklin India Prima Fund HDFC Top 200 Fund Magnum Global Fund ICICI Prudential Tax Plan ICICI Prudential Power ICICI Prudential Growth Reliance Growth Fund Reliance Vision Fund 12 13 14 15 Tata Growth Fund Tata Equity Opportunities fund UTI Growth & Value Fund UTI Equity Tax Saving Plan 0.371 2.164 1.796 0.139 0.667 0.224 0.845 1.205 0.161 -1.990 -0.749 0.106 0.239 0.916 0.876 1.589 1.330 -0.323 0.207 0.627 0.903 1.811 3.49 -0.107 0.134 1.269 0.833 1.712 Income (Debt) Scheme 16 17 18 19 20 21 22 23 Birla Income Plus Kotak Bond Regular Plan ICICI Prudential Income Reliance Income Fund Sundaram bond Saver Tata Income Fund UTI Bond Fund Unit Bond Advantage ``` 0.896 1.369 -2.257 -0.161 0.53 0.46 0.744 0.93 0.47 0.457 0.340 0.336 -0.378 0.153 0.773 1.539 0.195 0. impact of beta.327 -0. 28 | P a g e . imperfect diversification and net selectivity.171 0.52 0.083 0. The above table shows that except the only one income scheme namely Tata Income Fund.791 0.56 0.640 0.635 0.797 0.986 0.793 0.319 0.231 0.817 0.263 0.
Thus the Indian mutual funds are not properly diversified. thereby indicating superior performance in respect of Sharpe differential return measure and 12 schemes appeared to have superior stock selection ability as the selectivity measure was found to be positive in respect of Fama's components of investment performance. in case net selectivity is negative then it would mean that fund managers have taken diversifiable risk that has been compensated by extra returns. all the 23 schemes had provided positive performance in terms of diversifiable risk and imperfect diversification. The two top performers with regard to selectivity were Reliance Growth Fund and Reliance Vision Fund. The only scheme namely Tata Income Fund had provided highest value (4. However. Conclusion The risk and return of mutual fund schemes were not in conformity with their stated investment objectives. the residual performance on selectivity is attributed to net selectivity and it will be equal or less than that on selectivity. and 14 schemes had superior performance according to Jensen measure. Further. It can be seen from the same table 10 that only 12 schemes appeared to have superior stock selection ability as the selectivity measure was found to be positive.028) of imperfect diversification. the mutual funds investors in the district are having an average 29 | P a g e . 13 schemes had superior performance in terms of Treynor ratio (Systematic Risk).Performance Evaluation of Mutual Funds Scheme in 2011 India However. But the proper balance between selectivity and diversification was not maintained. A positive net selectivity will indicate superior performance. Even though the Dharmapuri District is the most backward in terms of economics as well as education. It can be stated that 13 schemes out of 23 schemes selected had superior performance than the benchmark portfolio in terms of Sharpe ratio. sample schemes were not found to be adequately diversified. After accounting for diversification. 12 schemes reflected positive differential returns. The funds were able to earn higher returns due to selectivity. The analysis made by the application of Fama's measure indicates that the returns out of diversification were less. V.
tax concession would go a long way in making mutual funds an increasingly popular. controlling operational costs. increased focus on product innovation. Lack of deeper distribution networks and channels. security and liquidity. 30 | P a g e . domination of the banking sector. the mutual fund industry is having a good prospect in our country. declining bank deposits' interest rate in the recent past. deeper penetration in the rural areas. lack of investment advisors are the major challenges that are being faced by the Indian mutual fund industry. creating awareness among retail investors. maintaining transparency and flexibility and creating a good rapport with the investors. the entry of large domestic institutional investors. The factors such as support from SEBI. their future will be very bright.Performance Evaluation of Mutual Funds Scheme in 2011 India awareness on various mutual fund schemes and their risk and returns. operational hassles. If mutual funds ensure. In spite of the above bottlenecks. impact of global developments. lucrative and cost efficient vehicle for investment. curbing unethical practices. spreading the mutual fund culture. opening of the market to the foreign investors.
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