Applications of Sharpe’s and Treynor’s Measure in the Context of Indian Mutual Fund Schemes | Original Article

ABSTRACT:

Many of the financial instruments mutual fund is one of the most attractive financial investment instrument that plays a vital role in the economy of a country. The present paper investigates the performance of 15 open-ended, growth-oriented equity schemes for the period from April 2010 to March 2015 (five years) of transition economy. The study used the monthly NAV of different schemes to calculate the returns from the fund schemes. BSE-Sensex has been used for market portfolio. The historical performance of the selected schemes were evaluated on the basis of Sharpe’s and Treynor’s measures whose results will be useful for investors for taking better investment decisions. The study revealed that higher positive value of Sharpe measure was found in DSP-BR Micro Cap Funds (G) (0.214) which followed by Franklin Smaller Cos (G) (0.207) and L&T Midcap Fund (G) (0.206). In the study, the Sharpe ratio was positive for all schemes which showed that funds were providing returns greater than risk free rate. It also concluded that higher positive value of Treynor’s measure was found in DSP-BR Micro Cap Funds (G) (0.0148) which followed by Franklin Smaller Cos (G) (0.0147) and L&T Midcap Fund (G) (0.0146). In the study, the Treynor’s ratio was positive for all schemes.