Performance Evaluation of Select Exchange Traded Funds and its benchmark in India

14 Pages Posted: 7 Jul 2020

Date Written: July 3, 2020

Abstract

Mutual funds are investment vehicles which pool money from various individual investors and are managed by professional fund managers. In India there are varieties of mutual funds namely Equity funds, Debt funds, Liquid funds, Balance funds, Exchange Traded Funds (ETFs) etc. This study focuses on four Exchange Traded Funds (ETFs) namely Aditya Birla Sun Life Gold ETF, Axis Gold ETF, HDFC Gold Exchange Traded Fund and SBI-ETF Gold. All these funds have Nifty 50 as their benchmark. To compare the performance of these funds Average returns, Standard deviation, Beta, Sharpe ratio, Treynor ratio, Jensen alpha, Sortino ratio and Information ratio were calculated for five financial years (April 1st 2015 to March 31st 2020). The results suggest that all the schemes have better returns than Nifty 50 and all the schemes have defensive relationship with market.

Keywords: Exchange Traded Funds (ETFs), Information ratio, Jensen alpha, Mutual Funds, Risk-Return performance, Sharpe ratio, Sortino ratio and Treynor ratio

JEL Classification: G11

Suggested Citation

Anchalia, Harsh Kumar, Performance Evaluation of Select Exchange Traded Funds and its benchmark in India (July 3, 2020). Available at SSRN: https://ssrn.com/abstract=3642663 or http://dx.doi.org/10.2139/ssrn.3642663

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