An Analysis of Risk-Adjusted Return on Tax-Saving Mutual Fund Schemes in India

In this paper, an attempt has been made to evaluate the performance of 32 growth-oriented open ended Equity Linked Savings Schemes (ELSS) of tax-saving mutual funds in India. Performance has been analyzed by comparing the monthly returns of the funds with that of Indian stock market benchmark S&P CNX NIFTY. For this purpose, risk-adjusted performance measures suggested by Sharpe, Treynor and Jensen have been used. The Net Asset Value (NAV) of tax saving schemes from 2006-07 to 2011-12 has been considered. There was volatility in the performance of all the funds during the entire period of study. All the schemes follow the same pattern in returns and move along with the stock market index S&P CNX NIFTY. As expected, all the funds showed negative returns during 2008-09 and it was higher than that of the stock market index. The average return of most of the schemes is higher and the average risk is lower than the benchmark S&P CNX NIFTY