Performance Evaluation of Open-Ended ELSS Mutual Fund Schemes in India during Recession

Abstract

This study examined the performance of the open-ended equity linked saving mutual fund schemes (ELSS) in India during the financial distress in 2008-2009. In this study, the month end net asset values of selected equity linked saving mutual fund schemes were considered and the data was obtained from the website of Association of Mutual Funds in India (AMFI). This paper empirically examined the risk-adjusted, selectivity, diversification and market-timing performances of the open-ended (ELSS) mutual fund schemes. Here, Sharpe, Treynor, Jensen and Treynor & Mazuy models were used to measure the above stated performances. It was observed that the Sharpe and Treynor ratios of the open-ended mutual fund schemes (ELSS) were negative during the recession. Similarly, the stock-selection and market-timing performances of the managers were statistically insignificant and finally, the diversification performances of the mutual fund schemes (ELSS) were found to be unsatisfactory. Therefore, it might be concluded that the overall performances of the open-ended mutual fund schemes (ELSS) were very unsatisfactory during the recession.

Keywords: Mutual Fund, Performance, Recession, Sharpe model, Treynor model