Scholarly article on topic 'Portfolio strategies of fund managers in the Indian capital market'

Portfolio strategies of fund managers in the Indian capital market Academic research paper on "Economics and business"

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{"Macro-economic variables" / "Market timing" / "Portfolio strategies" / "Stock selection" / "Value creation"}

Abstract of research paper on Economics and business, author of scientific article — Zabiulla

Abstract This paper examines whether Indian fund managers follow an active portfolio strategy. Interalia, the impact of asset size and market capitalisation on fund performance and the fund managers' ability to create value to the fund they manage is also addressed. The study finds that fund managers exhibit poor stock-selection skills and do not seem to exhibit any distinguishable ability in timing. It signals that they are unsuccessful in determining the right time to enter/exit the market.

Academic research paper on topic "Portfolio strategies of fund managers in the Indian capital market"

IIMB Management Review (2014) 26, 28-58

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Portfolio strategies of fund managers in the Indian capital market

Zabiulla*

Department of Management Studies, Sambhram Academy of Management Studies, Bangalore, India

KEYWORDS

Macro-economic variables; Market timing; Portfolio strategies; Stock selection; Value creation

Abstract This paper examines whether Indian fund managers follow an active portfolio strategy. Interalia, the impact of asset size and market capitalisation on fund performance and the fund managers' ability to create value to the fund they manage is also addressed. The study finds that fund managers exhibit poor stock-selection skills and do not seem to exhibit any distinguishable ability in timing. It signals that they are unsuccessful in determining the right time to enter/exit the market.

© 2014 Indian Institute of Management Bangalore. All rights reserved.

Introduction

The Indian capital market has been witnessing sweeping changes in the investment environment in the past two decades. The environment has been marked by increased competition and integration of global financial markets. In this changing financial landscape, a number of investment opportunities is available for investors to channelise their savings. One such preferred investment option is mutual funds. It provides a means of participation in the stock market for people who on their own cannot successfully construct and manage an investment portfolio. Primarily, investors invest in mutual funds either for risk reduction

* Tel.: +91 9844239296.

E-mail addresses: adeebzabi@gmail.com, wasimzabi@yahoo.co.in Peer-review under responsibility of Indian Institute of Management Bangalore

through diversification or ability of manager to pick the right stock, or both. Retail investors' savings are most often deposited in mutual funds; the theory behind that is that pooling together a large aggregation of individual savings and investing them based on the professional judgement of the fund manager takes advantage of volume buying, scientific data analysis, expertise, and so on. Therefore, it is seen as the ideal option for an individual who does not have the time, knowledge or experience to make a succession of judgements involving his/her savings. The ability of mutual funds to provide impressive returns consistently over longer periods of time is a true indicator of their worthiness.

Mutual funds are the most significant vehicle of collective investing and provide investors with professional asset management and opportunities for diversification (Rompotis, 2008). The contribution of mutual funds to the growth of capital markets measured on the basis of mutual fund assets as a percentage of market capitalisation is 10% for India as compared to 28% for UK, 81% for Brazil, 75% for France, 104% for USA, and 123% for Australia. However, the Indian mutual fund industry is growing at a much higher rate as compared to other major countries. The Compounded Annual Growth Rate (CAGR) over a period of 10

0970-3896 © 2014 Indian Institute of Management Bangalore. All rights reserved. http://dx.doi.org/10.1016/j.iimb.2013.12.003

years for the mutual fund industry in India is 22% as compared to USA (5.7%), UK (6.6%), France (9.8%) and Australia (11%). This shows the tremendous scope for the growth of mutual funds in India (Mitra, 2009).

With reference to the performance of fund managers, the essence of performance evaluation is to measure the value of the services, if any, provided by the portfolio management industry. It is to investigate whether a fund manager helps enlarge the investment opportunity set faced by the investing public and, if so, to what extent the manager enlarges it (Chen & Knez, 1996). The quest for active portfolio managers who can deliver abnormal excess returns and beat a specified benchmark has been critical for the portfolio management industry (Knight & Satchell, 2002).

The measurement of fund performance has been a topic of increased interest in both the academic and practitioner communities for the last four decades. It is more so because of the growing scale of the mutual fund industry and also because of its implication for efficient market theory. A periodic evaluation of fund performance helps investors know whether the fund managers add value to the portfolio managed by them or destroy value by enhancing transaction cost through active investment strategies.

The remainder of this paper is structured as follows. The next section provides a brief review of existing literature relevant to this study. The section following that presents the details of data and methodology. The empirical results are then reported in the penultimate section. The last section concludes the paper.

Review of literature

The academic literature on performance of mutual funds is extensive and the overall conclusions have been remarkably consistent, indicating that mutual fund schemes were unable to earn significantly superior risk-adjusted excess returns to appropriate market or benchmark indices. The studies also present mixed results with regard to market-timing abilities of the fund managers.

Treynor and Mazuy (1966) investigated whether mutual fund managers can outguess the market. In this context, the study examined whether there is any evidence that the volatility of the fund was higher in the years when the market did well than in the years when the market did badly. The study concluded that the best assumption for an investor would be that fund managers have no ability to outguess the market and thus they should not be held responsible for failure to foresee changes in the market climate.

Henriksson and Merton (1981) developed a statistical framework for parametric and non-parametric tests of market-timing ability of fund managers. If the manager's forecasts were observable, the parametric test could be used without further assumptions on distribution of security returns. In case they were not, the parametric test under the assumption of either Capital Asset Pricing Model (CAPM) or multi-factor return structure could also be used. These specifications permitted identification and separation of gains of market-timing skills from the gains of micro stock-selection skills.

Kon (1983) provided evidence of significant superior timing ability and performance at the individual level and

posited that fund managers as a group have no special information regarding the formation of expectations on the returns of the market portfolio. Jagannathan and Korajczyk (1986) concluded that if the funds being analysed tend to hold assets that are less option-like (high-quality) than the average asset in the market proxy, then one would expect to see negative timing and positive selectivity measures. Lee and Rahman (1990) reported that at the individual fund level, there was some evidence of superior forecasting ability on the part of the fund manager.

Chen, Lee, Rahman, and Chan (1992) found little evidence of market-timing or security selection ability and found that fund size and expense ratio were related positively to selectivity and negatively to market timing. Coggin, Fabozzi, and Rahman (1993) showed that the average selectivity measure was positive and the average timing measure was negative regardless of the choice of benchmark and estimation model. They also reported that both selectivity and timing abilities of the managers appeared to be sensitive to the choice of a benchmark when the fund managers were classified by investment style. Ferson and Schadt (1996) suggested that conditioning on public information controls for biases in conventional market-timing models and makes the average performance evaluation process better. Jayadev (1996) evaluated the performance of two growth-oriented mutual funds and found that both the funds were poor in earning better returns either through market-timing strategy or by selecting underpriced securities.

Bello and Janjigian (1997) used an extended version of the Treynor—Mazuy (TM) model to examine the market-timing and stock-selection abilities of fund managers. Working on a sample of 633 US equity mutual funds, they found evidence of positive and significant market-timing abilities which is in sharp contrast to the results of the original TM model. They also found that the cross-sectional correlations between market timing and selectivity are significantly negative. Gupta and Sehgal (1998) studied market-timing abilities of mutual fund managers and found that only 3 schemes out of 73 exhibited market-timing abilities.

Bollen and Busse (2001) examined the ability of mutual fund managers to time the market and reported that timing results cannot be explained simply as a spurious statistical phenomenon. Gallagar (2001) indicated that Australian pooled superannuation funds did not exhibit significantly positive security selection or market-timing skill.

Benson and Robert (2004) found that funds were unable to time the market and showed an inverse relationship between market-timing and selectivity performance. Roy and Deb (2004) examined conditional performance evaluation on a sample of 133 Indian mutual fund schemes. They measured the performance in the conditional framework advocated by Ferson and Schadt, and Christopherson, Ferson, and Glassman. The effect of incorporating lagged information variables such as interest rates, dividend yields, term structure yield spread, and a dummy for April effect on fund performance was examined in the Indian context. The results suggested the use of the conditional framework for Indian mutual fund managers. Besides, it concluded that the historical economic information is the basis for future fund performance.

Drew, Madhu, and Wilson (2005) found that there is no evidence of substantive inverse relationship between

timing and selectivity and reported that managers failed significantly to alter their systematic risk levels. Chander (2006) concluded that fund managers failed to show their market-timing performance across measurement criteria, fund characteristics, and benchmark indices. They revealed that successful timers failed to maintain their performance while laggard managers improved upon theirs, thus negating the survivorship bias. Tripathy (2005) reported that fund managers were not successful in reaping returns in excess of the market returns; rather they were timing the market in the wrong direction.

Deb, Banerjee, and Chakrabarti (2007) employed conditional and unconditional approaches to find the stock-selection and market-timing abilities of 96 Indian mutual fund managers. The study exhibited lack of market-timing abilities and presence of stock-selection abilities among the fund managers in both conditional as well as unconditional approaches. Sehgal and Jhanwar (2008) examined both stock-selection skills and timing abilities of the fund managers and argued that multi-factor benchmarks provide better selectivity and timing measures compared to one factor CAPM as they control for style characteristics such as size, value, and momentum. Nicolosi (2009) revealed that some funds exhibited persistent stock-selection talent. The study concluded that any evidence of sustained stock-selection skill disappears when alternate trade timing assumptions were considered. Shanmugham and Zabiulla (2011) studied the stock selectivity strategies of equity mutual fund managers in India by using conditional and unconditional Jensen's measure. The study evidenced the relevance of using conditional evaluation measures for Indian fund managers to assess their selectivity performance.

A number of studies has analysed whether the differences in investment style are associated with differences in performance. Fund size (Indro, Jiang, Hu, & Lee, 1999) is a key variable in explaining fund performance. Indro et al. (1999) found that the efficiency of an active management strategy depends upon the size of the net assets. Size and value account for the differences in fund performance (Brown & Goetzmann, 1997; Carhart, 1997). Gupta and Sehgal (1998) analysed the performance of open-ended and close-ended funds. Chan, Chen, and Lakonishok (2002) confirm that size (small, mid, and large) and book-to-market (value and growth) are useful descriptors of fund styles. Sondhi and Jain (2006) evaluated the performance of Indian mutual funds on the basis of type, size, and ownership of mutual funds. Ferruz, Munoz, and Vargas (2009) examined the influence of fund size on investment strategy in the Spanish mutual fund market.

Empirical studies conducted in developed and emerging capital markets widely document that active funds do not outperform the market (see Abdel-Kader & Kuang, 2007; Barras, Scaillet, & Wermers, 2010; Bird, Chin, & McCrae, 1983; Elton, Gruber, Das, & Hlavka, 1993; Grinblatt & Titman, 1989; Jayadev, 1996; Jensen, 1968; Malkiel, 1995; Sawicki & Ong, 2000).

The literature review provides some issues which need to be explored. Firstly, most of the Indian studies have used weekly or monthly data for measuring fund performance. Such high interval data fail to capture the fund manager's performance. Bollen and Busse (2001) found that daily data are more powerful than monthly tests. In this regard, the

present study uses daily returns data to assess the fund managers' performance. Secondly, in the studies mentioned thus far, relatively small sample sizes have been used. Such small samples may not provide meaningful inferences and the results cannot be generalised. To overcome this limitation, the present work is based on a large sample of 220 equity funds. Thirdly, Deb et al. (2007), in their study, have used three public information variables such as market dividend yield, yield on short term treasury bills, and yield due to foreign exchange rate fluctuation in conditional approaches to stock-selection and market-timing abilities. In this study, Mumbai Inter-Bank Offer Rate (MIBOR) is incorporated as an additional variable besides these three variables. Fourthly, not many studies exist which assess the impact of the asset size and market capitalisation on fund performance. This study addresses this issue as well. Finally, to the best of our knowledge, there is no study using emerging market data in this field.

Therefore, the present study seeks to extend the existing knowledge base and literature. The objective of this study is to evaluate the portfolio strategies of equity fund managers in the Indian context.

Data and methodology Sample

Initially, the study viewed the 380 equity funds mentioned in the Value Research Scoreboard (2010) published in Mutual Funds Insight.1 Availability of consistent data during the study period April 2007—March 2010 was used as a criterion for selection of funds to be included in the sample. Since the data for 160 equity funds was not completely available, they were excluded and thus the final sample size reduced to 220 equity funds.

The sample so obtained was grouped based on two characteristics viz., asset size and market capitalisation of the fund as on 31st March, 2010. On the basis of asset size, the funds were classified into small size funds (net assets less than ?100 crore/?1000 million), medium size funds (net assets between ?100 crore and ?500 crore/?5000 million) and large size funds (above ?500 crore). This grouping resulted in 86 small size funds, 63 medium size funds, and 71 large size funds.

Market capitalisation of the fund indicates the average market capitalisation of the companies in the fund's portfolio. Value Research Online defines large-caps as the smallest number of stocks that can together equal 70% of the total market capitalisation of the Bombay Stock Exchange (BSE). Mid-caps are the smallest number of stocks that can equal the next 20% of market capitalisation and small-caps are the remaining companies, whose market capitalisation will add up to almost 10% of the market's total value. Using this criterion, the sample was grouped into small cap funds, mid-cap funds, and large cap funds. This grouping resulted in 6 small cap funds, 88 mid-cap funds, and 126 large cap funds.

The rationale for selecting the study period from April 2007 to March 2010 stems from two reasons. Firstly, during this period, major structural reforms were initiated in the Indian mutual fund industry and the stock markets

experienced higher volatility across the world on account of the sub-prime mortgage crisis. The second reason was the availability of a complete data set meeting the requirements of this study.

Sources of data

The data set used in this study is secondary in nature. The daily Net Asset Values (NAVs) for the sample equity funds have been taken from the Alpha database maintained by CMIE.2 The historical closing values of the BSE Sensitive Index used as proxy for the market portfolio were obtained from the PROWESS database of CMIE.

The daily NAV data has been converted into daily returns of the fund by using the following equation:

Rit = ln(NAVt/NAVt_i)*100 (1)

where NAVt and NAVt _ 1 are the net asset values of the fund i at time t and t _ 1 respectively. Daily return on market portfolio is calculated by using equation (1) except that in place of NAV, closing index values are used. The bank rate is used as a surrogate for risk-free rate of return and is obtained from the Reserve Bank of India (RBI) website.

In the conditional models of stock-selection and market-timing abilities, four macro-economic variables are incorporated viz. yield on 91-day Treasury bill, market dividend yield on Sensex, Mumbai Inter-Bank Offer Rate, and fluctuation in daily Rupee Vs Dollar exchange rate. These variables were selected to represent money market, capital market, banking sector, and foreign exchange market respectively as these segments influence the investment environment considerably. The yield on 91-day Treasury bill and the fluctuations in daily Rupee Vs Dollar exchange rate are obtained from the RBI website. The daily market dividend yield on Sensex is obtained from the official website of BSE. As far as MIBOR is concerned, the daily values are taken from NSE website.

Objectives of the study

(1) To examine the stock-selection and market-timing strategies of equity mutual fund managers in India;

(2) To analyse the impact of asset size and market capitalisation of equity funds on stock-selection and market-timing performance of fund managers.

Models

Selectivity and market-timing strategies of fund managers were tested by using the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model in their conditional and unconditional versions. The description of these models is presented in the following paragraphs.

Treynor and Mazuy (unconditional) model

Treynor and Mazuy added a quadratic term to Jensen's single index model to test the market-timing skills of portfolio managers. Besides examining the validity of Jensen's measure, the model decomposes the sources of

performance implied by the index model. The model is based on the premise that portfolio returns are a non-linear function of the market return. The specification of the model is given by

Ri _ Rf = a + b(Rm _ Rf ) t + g{Rm _ Rf)2 + £pt (2)

where Ri is the daily return of the scheme i, Rf represents daily risk-free rate of return, Rm is daily return on the market portfolio, ept is the error term.

Henriksson and Merton (unconditional) model

Unlike the Treynor and Mazuy model, Henriksson and Merton proposed a different test of market-timing skills. According to them, the market timer allocates capital between risk-free assets and equities based on forecasts of future excess market returns. The market timers will select a higher value of b when the market is expected to perform better (Rm > Rf) and select a lower value of b when the market is expected to do poorly (Rm < Rf). The relationship is estimated by involving a dummy variable. The specification of the model is given by

Ri _Rf = a + b{Rm _ Rf)t + g[D{Rm _ Rf)t] + % (3)

where Ri is the daily return of the schemei, Rf is daily risk-free rate of return, Rm is daily return on the market portfolio, D is dummy variable that equals to 0 for Rm > Rf and _1 otherwise, ept is the error term.

a, b and g are the parameters of the regression equations (2) and (3). The 'a' measures the stock-selection ability of the fund managers. Positive and statistically significant a shows the superior ability of the portfolio manager in selecting under-valued securities (selectivity) and vice versa. The intercept of the quadratic regression 'g' captures the market-timing skills of the fund managers. A statistically significant positive value of 'g' would indicate superior macro forecasting skills. While a statistically insignificant negative value of 'g' indicates inability of the fund manager to time the market.

The a and b values give an idea about the selectivity and market-timing abilities generated by the fund manager based on "total information" available to him/her. The true selectivity and market-timing strategies lie in gathering private information and forecasting price fluctuations of equity stocks accordingly to form a portfolio of undervalued stocks. Based on the private information, fund managers can change their as and bs over time and generate superior stock-selection and market-timing performance. For this purpose, one day lagged values of four widely incorporated market fundamental variables, as stated earlier, are used for conditioning as and bs. Thus, the conditional as and bs take the following form:

Conditional a:

a = a0 + ai* (DYt_i ) + ar * (TBt_i ) + a3 * (FXt_i ) + a4* (MIBORt_i) (4)

Conditional b:

b = b + bi* (DYt_1)+ b2 * (TBt_1)+ b3 * (FXt_1) + b4*(MIBORt_1) (5)

Treynor and Mazuy (conditional) model

The Treynor and Mazuy conditional model after incorporating equations (4) and (5) in the original version of the Treynor and Mazuy model becomes as follows:

Ri _ Rf = a0 + «1 * (DYt_) + «2 * (TBt_1) + «3 * (FXt_1) + «4 * (MIBORt_1) + b0 (Rm _ Rf) + b1 * (DYt_1) * (Rm _ Rf) + b2 * (TBt_1) * (Rm _ Rf) + b3 * (FXt_1) * (Rm _ Rf) + b4 * (MIBORt_1) * (Rm _ Rf) + g * (Rm _ Rf)2 + et

a0, a1, a2, «3, a4, bo, bi, b2, b3, b4 and g are the parameters of the model and are obtained using regression analysis. The coefficients obtained from the Treynor and Mazuy conditional model reflects the fund manager's ability in providing return on account of selectivity and timing strategies based on private information only.

Henriksson and Merton (conditional) model

The Henriksson and Merton conditional model becomes as follows after incorporating equations (4) and (5) in the original version of HM model.

Ri _ Rf = «0 + «1 * (DYt_) + «2 * (TBt_) + «3 * (FXt_) + «4 * (MIBORt_1) + b0 (Rm _ Rf) + b1 * (DYt_1) * (Rm _ Rf) + b2 * (TBt_1) * (Rm _ Rf) + b3 * (FXt_1) * (Rm _ Rf) + b4 * (MIBORt_1) * (Rm _ Rf) + g * (Rm _ Rf) * D + et

o:0, «i, «2, «3, «4, b0, b1, b2, b3, b4 and g are the parameters of the model and D is the dummy variable that equals 0 in up markets and _1 otherwise. The parameter g indicates the difference between the two bs and a positive and significant value of g would indicate superior market-timing abilities of the fund managers. The « b, and g coefficients obtained from regression equations (6) and (7) are tested for their statistical significance at 5% level. Positive and statistically significant « shows the superior ability of the fund manager in stock-selection abilities. The intercept of the quadratic regression 'g' captures the market-timing skills of the fund managers.

Empirical results

The descriptive statistics of daily returns of sample equity funds and BSE Sensex are presented in Appendix 1. The average daily returns of 210 equity funds were positive of which 126 equity funds were able to beat the market returns of 0.0485 during the study period. The statistics show that the return series exhibit standard deviation greater than unity and 18 equity funds were characterised by risk higher than the market portfolio. The value of kur-tosis is greater than three implying that the return series have a heavier tail than the standard normal distribution. The significant Jarque—Bera statistic indicates departure

from normality through rejecting the hypothesis of symmetric distribution.

Fig. 1 displays the risk-return characteristics of sample equity funds vis-a-vis the market portfolio. The analysis reveals that majority of the funds has been able to achieve high returns with low risk, followed by low risk and low returns. The results support that the high returns may be attainable irrespective of the level of risk tolerance associated with the portfolio. The findings concur with the work of Fama and French (1992) which presents the evidence that high returns may be achievable by portfolios having low risk. Majority of the fund managers was forming portfolios of low risk securities that generate lower returns. Only a few fund managers was able to provide higher returns by investing in securities characterised by high risk, thus realising the objective of equity funds.

Table 1 presents the summary of stock selectivity and market-timing results of various models. From TM Unconditional (HM Unconditional) results, it is seen that out of 220 funds, 40 (156) funds were characterised by o:s that were statistically significant from zero. Individual fund gs were significant in 11 (2) cases under TM Unconditional (HM Unconditional) framework. Despite the fact that a few schemes has showed some stock-selection skills, when seen in conjunction, the stock-selection skills of the Indian mutual fund managers appear to be in question. The results reported in the above table suggest that most of the Indian fund managers were focussed on stock selection rather than market timing. With respect to the market-timing ability of the Indian fund managers, the majority of the fund managers followed perverse market timing. The results show that the fund managers were not successful in reaping market premium and failed to forecast the broad market trends accurately. Strategy of fund allocation across risky assets in short position market, existence of transaction expenses, and tax implications on trading in equities would have been the major hindrance for the market timers.

The outcome of this study is in conformity with the findings of Tripathy (2005) signalling the inability of fund managers in providing market premium to the investors and configuring the optimum portfolios for the investors. Interalia, the results also concord with Chander (2006), Deb et al. (2007) and Gupta and Sehgal (1998) in relation to the perverse market timing.

Besides, the results show that stock selection and market timing were inversely related. The results concur with the findings of Chang and Lewellen (1984), Coggin and Hunter (1993), Connor and Korajcyzk (1991), Cumby and Glen (1990), Grinblatt and Titman (1989), Henriksson (1984), Kon (1983) and Lehmann and Modest (1987).

The results reveal that the selectivity performance declined and perverse market-timing ability increased on conditioning the « and bs for macro-economic variables. Prima facie, subtle differences were found in negative stock-selection and positive market-timing coefficients in the conditional and unconditional versions. However, the number of schemes with significant « coefficient reduced considerably from 46 to 7 under the Treynor and Mazuy model and from 156 to 3 under the Henriksson and Merton model. This reflects the inability of the fund managers to encash the private information in the true sense.

High Risk - Low Return Funds (11) a, > cr : R. < Rm i m7 i m Asset Size: Small size funds 01 Medium size funds 06 Large size funds 04 Market Capitalisation: Small cap funds 01 High Risk - High Return Funds (07) er. > a-R, > Rm i m ~ t m Asset Size: Small size funds 02 Medium size funds 03 Large size funds 02 Market Capitalisation: Small cap funds —

Mid cap funds 04 Mid cap funds 03

Large cap funds 06 Large cap funds 04

Low Risk - Low Return Funds (83) <7,. < a^R, < Rm Asset Size: Small size funds 35 Medium size funds 17 Large size funds 31 Market Capitalisation: Small cap funds 01 Low Risk -High Return Funds (119) a. < cr-R,. > Rm I tn" i tn Asset Size: Small size funds 48 Medium size funds 37 Large size funds 27 Market Capitalisation: Small cap funds 04

Mid cap funds 33 Large cap funds 49 Mid cap funds 48 Large cap funds 67

Low High

RETURN

Fig. 1 Matrix of sample equity funds based on risk-return characteristics.

The results of regression equations (2), (3), (6), and (7) are presented in Appendices 3—5 for individual funds along with the relevant diagnostic tests.

Table 2 presents the results of the Treynor and Mazuy unconditional model of sample equity funds classified on the basis of their asset size and market capitalisation. It is observed that only 18% of the sample equity schemes were able to record statistically significant a values at 5% level of significance. These include 15 schemes from small size funds, 11 schemes from medium size funds and 14 schemes from large size funds. While considering the equity schemes based on market capitalisation with significant a coefficients, 27 schemes belong to large cap funds followed by 12 schemes belonging to mid-cap funds and 1 belonging to small cap funds. A positive and significant a coefficient mirrors the ability of the fund manager in predicting the stock price pattern and identifying the under-valued stocks that seem to promise possible returns in the future. It can also be inferred that the stock-selection strategies of most

of large cap fund managers were found to be successful. It is observed that none of the schemes have shown negative and statistically significant a coefficients.

A positive and statistically significant g coefficient implies superior market-timing abilities of the fund managers. It is inferred from the table that the fund managers of only 11 schemes appeared to be successful market timers. However, a majority of the schemes has shown negative and statistically significant g coefficient. Small size funds showed poor performance. The results support the view that the fund managers do not seem to exhibit any distinguishable ability in timing. They failed to shift their fund's b to take advantage of broad market movements and were unable to earn superior returns from market timing. It can be concluded from the Treynor and Mazuy unconditional formulation that the large asset size and large market cap funds have done considerably better than their counterparts.

The results of the Treynor and Mazuy conditional model of sample equity funds classified on the basis of their asset

Table 1 Summary of regression results: unconditional Vs conditional models.

Model Stock-selectivity coefficient (a) Market-timing coefficient (g)

Positive Negative Positive Negative

PANEL A: Treynor and Mazuy Model

TM — Unconditional 40 - 11 93

TM — Conditional 07 01 10 47

PANEL B: Henriksson and Merton Model

HM — Unconditional 156 - 02 181

HM — Conditional 03 01 01 159

NOTE: Figures indicate number of schemes with statistically significant estimates.

Table 2 Results of Treynor and Mazuy (unconditional) model: asset size and market capitalisation.

Fund characteristics Category N Stock-selectivity coefficient* Market-timing coefficient*

Positive Negative Positive Negative

Asset size Small size funds 86 15 — 02 38

Medium size funds 63 11 - 04 25

Large size funds 71 14 — 05 30

TOTAL 220 40 — 11 93

Market cap Small cap funds 06 01 — — 04

Mid-cap funds 88 12 — 03 29

Large cap funds 126 27 — 08 40

TOTAL 220 40 — 11 93

Note: * indicate number of schemes with statistically significant estimates.

size and market capitalisation are displayed in Table 3. Of the 153 schemes with positive « coefficients, the fund managers of only 7 schemes were able to post positive and statistically significant stock selectivity coefficient. Evidence of positive stock selection was present but apparently to a lesser degree as compared to the Treynor and Mazuy unconditional model. The fund managers failed to capitalise on the private information and hence were unsuccessful in selecting overvalued securities in their portfolio. Market-timing performance was found to be bleak. The results are in line with unconditional Treynor and Mazuy model.

Asset size analysis showed poor results. Only seven fund managers were able to fare well. It is surprising to note that 97% of small size funds, 95% of medium size funds and 99% of large size funds failed to exercise their expertise of stock selection. Only one fund manager of large size funds was successful in positioning his portfolio well by churning the under-valued equities in his portfolios. About 3% of the fund managers with small and medium size funds displayed good stock-selection skills. This result implies that the asset size of the fund did not show any considerable variation in stock-selection fund performance. The fund managers were not able to correctly time their exit/entry into the market as evidenced by their market-timing strategies. They were unsuccessful in predicting the share price movement. The analysis reveals that about 27% of fund managers of small size funds, 19% of fund managers of medium size funds, and 15% of fund managers of large size funds were wrong timers.

Further, the analysis reveals that out of 220 sample equity funds, the fund managers of only 10 schemes appeared to be successful market timers. Of these 10 successful market timers, 9 schemes are from large cap funds and 1 scheme from mid-cap funds. None of the small cap funds have shown positive g coefficients. The t-values for g coefficient for 47 schemes are negative and are statistically significant. It signals that the fund managers were timing the market incorrectly. While Indian fund managers do not appear to have perfect market-timing abilities, the presence of perverse market-timing abilities is evidenced. With regard to perfect market timing, the unconditional TM model showed similar results, on the other hand, the number of wrong timers decreased across large and mid-cap funds categories.

Thus, stock selectivity skills showed poor performance when conditional version of Treynor and Mazuy model was used while the results of perfect market-timing abilities were almost similar. Besides, it is inferred that the number of large cap funds with positive and statistically significant « coefficient is only 1 as against 27 in the Treynor and Mazuy unconditional framework.

Table 4 gives the regression results of the Henriksson and Merton unconditional model of the equity funds schemes classified on the basis of their net asset size and market capitalisation. High percentage of the equity mutual fund schemes has exhibited positive « values, some of which are statistically non-zero. No evidence of negative and statistically significant« coefficients was found while three funds

Table 3 Results of Treynor and Mazuy (conditional) model: asset size and market capitalisation.

Fund characteristics Category N Stock-selectivity coefficient* Market-timing coefficient*

Positive Negative Positive Negative

Asset size Small size funds 86 03 — 03 24

Medium size funds 63 03 — 03 12

Large size funds 71 01 01 04 11

TOTAL 220 07 01 10 47

Market cap Small cap funds 06 01 — — 03

Mid-cap funds 88 05 — 01 13

Large cap funds 126 01 01 09 31

TOTAL 220 07 01 10 47

Table 4 Results of Henriksson and Merton (unconditional) model: asset size and market capitalisation.

Fund characteristics Category N Stock-selectivity coefficient* Market-timing coefficient*

Positive Negative Positive Negative

Asset size Small size funds 86 67 — 01 76

Medium size funds 63 40 — 01 50

Large size funds 71 49 — — 55

TOTAL 220 156 — 02 181

Market cap Small cap funds 06 05 — — 06

Mid-cap funds 88 62 — — 76

Large cap funds 126 89 — 02 99

TOTAL 220 156 — 02 181

Note: * indicate number of schemes with statistically significant estimates.

(small size funds-2; medium size funds-1) have posted negative and statistically significant a values.

The number of schemes with positive and statistically significant g coefficient stood at two. It suggests, prima facie, that market-timing abilities of Indian mutual fund managers are poor. It is surprising to note that the number of schemes with negative and statistically significant g coefficient under this model is highest as against the other three formulations. It shows that the Indian fund managers were wrong in assessing the future movements of stock market conditions and at the same time failed to determine the right time for entry/exit into the market. Majority of the fund managers of small size funds failed at market timing while they fared better at stock selection.

It is inferred from Table 4 that 57% of the large cap funds and 40% of mid-cap funds have positive and statistically significant a coefficients. While the Indian fund managers indulged in market timing they were in effect were doing so in the wrong direction as evident by the significant and negative g coefficients. The majority of the fund managers of large cap funds followed by mid-cap funds was unable to book profits and encash the benefits of market movements.

Table 5 presents the summarised results of the Hen-riksson and Merton conditional model based on asset size and market capitalisation. Of the 111 equity schemes with positive and statistically significant a coefficients, the fund managers of only 3 schemes were successful in picking the best securities of a given level of risk.

As per the Henriksson and Merton conditional formulation, poor market-timing abilities of fund managers were

observed. The fund manager's contribution due to his predictions of general market trend was not successful. It suggests, prima facie, that most of the Indian fund managers have shown statistically significant perverse timing with market movements as evident from the negative g values.

The fund managers of small size funds were wrong market timers and were also not successful at stock selection. The results of stock section reported as per this model contradicts the earlier three models. Further, with market capitalisation as a fund characteristic, the results show that there is a drastic change in the number of schemes with positive and statistically significant a coefficients. Fund managers with successful stock-selection ability were reduced in number indicating that they failed to incorporate the information about the market fundamentals in taking their investment decisions. The market-timing results were almost in line with the HM unconditional version.

It is observed that positive stock selectivity coefficients and negative market-timing coefficients decrease when the HM conditional version is used rather than the HM unconditional version.

Conclusion and scope for further research

In this paper, portfolio strategies of fund managers were examined in the Indian context by using a sample of 220 equity funds. The study used the Treynor and Mazuy model and the Henriksson and Merton model in their unconditional

Table 5 Results of Henriksson and Merton (conditional) model: asset size and market capitalisation.

Fund characteristics Category N Stock-selectivity coefficient* Market-timing coefficient*

Positive Negative Positive Negative

Asset size Small size funds 86 — — — 65

Medium size funds 63 02 — — 42

Large size funds 71 01 01 01 52

TOTAL 220 03 01 01 159

Market cap Small cap funds 06 — — — 06

Mid-cap funds 88 03 — — 62

Large cap funds 126 — 01 01 91

TOTAL 220 03 01 01 159

and conditional versions. The impact of asset size and market capitalisation was also studied.

The empirical results indicate that a majority of the fund managers did not exhibit superior performance. They were inclined towards stock selection rather than timing. In line with the Indian and global studies, this study suggests that the fund managers were unable to provide market premium to the investors. Perverse market-timing strategies resulted in poor performance. Negative relationship between stock selection and market timing was evidenced. The selectivity performance declined and perverse market-timing ability increased on inclusion of macro-economic variables. The fund managers failed to capitalise on their professional management expertise. The fund characteristics analysis showed that the large cap funds and large size funds posted better results than their mid-cap and mid-size counterparts. Small cap and small size funds displayed poor performance.

A thorough investment research prior to selection of a particular security for investment would have definitely added value to the portfolio managed by managers. Active portfolio strategies aim at earning a portfolio return that exceeds the return of passive benchmark portfolio and net of transaction cost, on a risk-adjusted basis. In order to

realise this, the fund manager's strategy should be to involve overweighing of specific sectors in anticipation of possible price increases with an increased level of risk.

Fund managers were unsuccessful in adding value to their portfolio relative to the market portfolio. They were unable to time the equity market by shifting funds across various asset classes depending on broad market forecasts and estimated risk premiums. They failed to position their portfolio to take advantage of stock market trends during the economic cycle.

A fruitful area of research may relate to the issue of examining the impact of inflation on fund performance. Second, due to the highly volatile nature of Indian stock markets, investors are perplexed with the "discount to NAV factor". Hence, pricing efficiency of mutual funds is another possible area of research. Third, future studies can consider the effect of fund ratings on mutual fund performance.

Appendix 1

Descriptive statistics of daily returns of sample equity funds

Sl No Scheme name Mean Std. Dev. Skewness Kurtosis Jarque—Bera p-value

1 Bank BeES 0.091 2.880 0.712 10.826 1855.762 0.000

2 Baroda Pioneer ELSS 96 0.038 1.963 0.273 10.223 1539.025 0.000

3 Baroda Pioneer Growth 0.079 2.099 0.281 10.318 1580.050 0.000

4 Birla SL Adv(G) 0.040 2.192 0.093 10.524 1661.744 0.000

5 Birla SL Asset Allocation-Agg.(G) 0.072 1.273 0.327 13.955 3532.585 0.000

6 Birla SL Basic Inds(G) -0.092 4.751 -19.239 46.525 6183.000 0.000

7 Birla SL Buy India(G) 0.192 4.125 19.316 46.280 6231.000 0.000

8 Birla SL Dividend Yield Plus(G) -0.007 2.841 -15.139 32.529 3212.000 0.000

9 Birla SL Equity(G) 0.059 2.046 0.181 10.632 1712.465 0.000

10 Birla SL Frontline Equity-A(G) 0.076 1.952 0.270 10.149 1507.783 0.000

11 Birla SL Index(G) 0.053 2.259 0.102 8.623 928.713 0.000

12 Birla SL India GenNext(G) 0.225 5.023 22.373 56.756 9216.000 0.000

13 Birla SL India Opportunities(G) 0.011 1.836 -0.447 7.146 527.727 0.000

14 Birla SL Infrastructure-A(G) 0.063 2.101 0.453 13.492 3252.934 0.000

15 Birla SL Midcap-A(G) 0.086 1.983 0.526 16.181 5129.051 0.000

16 Birla SL MNC(G) 0.064 1.409 -0.558 7.663 674.267 0.000

17 Birla SL New Millennium(G) -0.004 1.787 -0.361 5.318 172.893 0.000

18 Birla SL Tax Plan(G) 0.036 1.804 -0.402 8.207 814.357 0.000

19 Birla SL Top 100(G) 0.050 1.876 0.040 7.764 666.023 0.000

20 Canara Robeco Emerging Equity(G) 0.048 1.835 -0.231 8.136 780.056 0.000

21 Canara Robeco Equity Diversified(G) 0.084 2.007 0.201 10.374 1599.597 0.000

22 Canara Robeco Infrastructure(G) 0.077 2.152 0.267 10.812 1798.394 0.000

23 Canara Robeco Nifty Index(G) 0.049 2.199 0.146 8.769 978.803 0.000

24 DSPBR India TIGER-Reg(G) 0.056 2.091 0.150 10.041 1456.950 0.000

25 DSPBR Opportunities(G) 0.060 1.869 -0.060 8.151 778.833 0.000

26 DSPBR Small & Mid Cap-Reg(G) 0.066 1.729 -0.404 9.412 1225.101 0.000

27 DSPBR Tax Saver(G) 0.074 1.875 -0.341 8.892 1031.824 0.000

28 DSPBR Technology.com(G) 0.037 1.839 -0.759 6.672 463.132 0.000

29 DSPBR Top 100 Equity(G) 0.077 1.795 -0.029 9.628 1288.858 0.000

30 DWS Alpha Equity(G) 0.066 1.933 -0.109 7.313 547.034 0.000

31 DWS Investment Opportunity(G) 0.079 1.965 -0.260 6.941 463.505 0.000

32 DWS Tax Saving(G) 0.049 1.962 -0.342 7.006 484.390 0.000

33 Escorts Growth(G) 0.052 1.836 0.216 13.346 3145.221 0.000

(continued)

Sl No Scheme name Mean Std. Dev. Skewness Kurtosis Jarque—Bera p-value

34 Escorts High Yield Equity(G) 0.030 1.457 -0.354 9.977 1442.457 0.000

35 Escorts Tax(G) 0.021 1.773 -0.426 12.266 2539.881 0.000

36 Fidelity Equity(G) 0.063 1.812 0.120 9.037 1070.865 0.000

37 Fidelity India Spl.Situations(G) 0.052 1.944 0.200 12.211 2493.657 0.000

38 Fidelity Tax Advantage(G) 0.068 1.781 0.046 8.732 964.156 0.000

39 Fortis Dividend Yield(G) 0.071 1.759 -0.331 9.094 1102.127 0.000

40 Fortis Equity(G) 0.036 1.980 -0.155 9.062 1080.727 0.000

41 Fortis Future Leaders(G) -0.011 2.031 -0.401 9.063 1097.030 0.000

42 Fortis Opportunities(G) -0.008 2.022 -0.218 7.960 727.177 0.000

43 Fortis Tax Adv(G) 0.016 1.969 -0.309 8.732 975.024 0.000

44 Franklin FMCG(G) 0.072 1.285 0.304 12.699 2770.532 0.000

45 Franklin India Blue-chip(G) 0.071 1.915 0.161 7.967 726.633 0.000

46 Franklin India Flexi Cap(G) 0.063 2.022 0.109 8.212 798.146 0.000

47 Franklin India Index Tax 0.049 2.189 0.148 8.891 1020.406 0.000

48 Franklin India Index-BSE Sensex(G) 0.050 2.235 0.263 7.977 734.684 0.000

49 Franklin India Infotech(G) 0.015 2.158 0.163 4.053 35.619 0.000

50 Franklin India Opportunities(G) 0.033 2.150 0.018 8.590 916.556 0.000

51 Franklin India Pharma(G) 0.092 1.215 -0.651 6.811 475.758 0.000

52 Franklin India Prima Plus(G) 0.064 1.823 0.168 8.969 1048.516 0.000

53 Franklin India Prima(G) 0.048 1.876 -0.106 9.744 1335.345 0.000

54 Franklin India Tax shield(G) 0.068 1.904 0.124 7.717 654.500 0.000

55 FT India Index Fund-Nifty Plan 0.050 2.214 0.179 9.076 1086.603 0.000

56 FT India Life Stage FOFs-20(G) 0.061 1.435 0.231 9.089 1093.810 0.000

57 HDFC Capital Builder(G) 0.073 1.701 -0.224 8.209 801.917 0.000

58 HDFC Core & Satellite(G) 0.063 1.896 -0.120 6.722 408.014 0.000

59 HDFC Equity(G) 0.078 1.920 0.131 8.458 875.992 0.000

60 HDFC Growth(G) 0.075 1.788 0.002 8.425 863.178 0.000

61 HDFC Index-Nifty(G) 0.036 2.264 0.216 9.266 1157.124 0.000

62 HDFC Index-Sensex Plus(G) 0.062 1.933 0.469 8.935 1059.032 0.000

63 HDFC Index-Sensex(G) 0.034 2.184 0.186 7.900 708.444 0.000

64 HDFC Long Term Adv(G) 0.050 1.692 0.076 8.750 970.579 0.000

65 HDFC Premier Multi-Cap(G) 0.061 3.895 -2.017 21.622 1264.000 0.000

66 HDFC Tax Saver(G) 0.067 1.777 -0.020 7.652 634.730 0.000

67 HDFC Top 200(G) 0.086 1.924 0.225 8.251 814.609 0.000

68 HSBC Equity(G) 0.054 1.759 -0.018 7.729 656.030 0.000

69 HSBC India Opportunities(G) 0.030 1.762 -0.227 8.644 940.489 0.000

70 HSBC Midcap Equity(G) 0.031 1.818 -0.013 11.351 2045.913 0.000

71 HSBC Progressive Themes(G) 0.020 1.853 -0.084 7.954 720.641 0.000

72 HSBC Tax Saver Equity(G) 0.060 1.768 0.352 12.199 2496.824 0.000

73 HSBC Unique Opportunities(G) 0.004 1.805 -0.052 11.706 2223.520 0.000

74 ICICI Pru Advisor-Very Aggressive(G) 0.046 1.906 0.173 8.461 878.258 0.000

75 ICICI Pru Discovery(G) 0.085 1.786 -0.468 8.147 802.692 0.000

76 ICICI Pru Discovery-Inst-I(G) 0.090 1.761 -0.493 8.320 858.737 0.000

77 ICICI Pru Dynamic(G) 0.065 1.680 -0.409 7.893 721.833 0.000

78 ICICI Pru Dynamic-Inst-I(G) 0.069 1.680 -0.409 7.891 721.249 0.000

79 ICICI Pru Emerging S.T.A.R.(G) 0.031 1.881 -0.261 8.985 1058.746 0.000

80 ICICI Pru Emerging S.T.A.R.-Inst-I(G) 0.036 1.881 -0.277 8.930 1040.615 0.000

81 ICICI Pru FMCG(G) 0.045 1.398 -0.552 6.712 439.886 0.000

82 ICICI Pru Growth(G) 0.055 1.998 0.100 8.040 746.351 0.000

83 ICICI Pru Growth-Inst-I(G) 0.061 1.998 0.109 8.021 741.003 0.000

84 ICICI Pru Index 0.057 2.266 0.159 8.964 1046.365 0.000

85 ICICI Pru Infrastructure(G) 0.078 2.066 -0.259 7.217 529.493 0.000

86 ICICI Pru Power(G) 0.046 1.969 0.002 7.358 557.108 0.000

87 ICICI Pru Power-Inst-I(G) 0.051 1.969 0.004 7.344 553.618 0.000

88 ICICI Pru Services Inds(G) 0.018 1.933 -0.013 7.882 699.171 0.000

89 ICICI Pru Tax Plan(G) 0.065 1.757 -0.300 8.199 803.471 0.000

90 ICICI Pru Technology(G) 0.000 1.748 -0.322 4.874 115.110 0.000

91 ICICI Prudential SPIcE 0.050 2.151 0.311 8.770 988.066 0.000

(continued)

Sl No Scheme name Mean Std. Dev. Skewness Kurtosis Jarque—Bera p-value

92 IDFC Classic Equity-A(G) 0.048 1.911 0.128 8.480 882.867 0.000

93 IDFC Imperial Equity-A(G) 0.073 1.977 0.202 7.900 709.130 0.000

94 IDFC Premier Equity-A(G) 0.111 1.723 -0.192 7.045 484.185 0.000

95 ING C.U.B(G) 0.049 2.078 -0.468 7.363 584.123 0.000

96 ING Contra(G) 0.060 1.935 0.090 10.607 1698.401 0.000

97 ING Core Equity(G) 0.048 2.019 -0.102 7.526 602.137 0.000

98 ING Dividend Yield(G) 0.087 1.832 -0.585 8.840 1040.569 0.000

99 ING Domestic Opportunities(G) 0.044 2.049 -0.025 8.801 987.168 0.000

100 ING Midcap(G) 0.031 2.087 -0.410 8.572 930.468 0.000

101 ING Nifty Plus(G) 0.046 2.139 0.178 9.812 1364.842 0.000

102 ING OptiMix 5 Star Multi-Mgr FoF(G) 0.054 1.733 0.028 9.692 1313.873 0.000

103 ING Tax Savings(G) 0.010 2.070 -0.458 8.972 1070.835 0.000

104 JM Basic(G) 0.002 2.465 0.114 10.929 1845.491 0.000

105 JM Emerging Leaders(G) -0.024 2.362 -0.638 7.423 621.563 0.000

106 JM Equity(G) 0.015 2.237 0.448 11.422 2104.097 0.000

107 JM Fin Services Sector(G) 0.003 2.545 -0.030 7.761 664.927 0.000

108 JM HI FI(G) -0.065 2.380 -0.465 7.028 501.167 0.000

109 Kotak 30(G) 0.060 1.941 0.084 7.965 724.010 0.000

110 Kotak Contra(G) 0.058 1.774 -0.069 8.891 1018.681 0.000

111 Kotak Emerging Equity(G) 0.014 1.877 -0.370 7.245 544.689 0.000

112 Kotak Equity FOF(G) 0.057 1.879 0.044 9.184 1122.131 0.000

113 Kotak Lifestyle(G) 0.005 1.782 -0.007 9.409 1204.703 0.000

114 Kotak Midcap(G) 0.027 1.904 -0.147 9.387 1199.101 0.000

115 Kotak Opportunities(G) 0.066 2.094 0.092 9.746 1335.859 0.000

116 Kotak Tax Saver(G) 0.035 2.031 0.091 10.312 1569.222 0.000

117 L&T Contra -0.009 2.076 -0.186 9.891 1397.015 0.000

118 L&T Global Advantage -0.032 1.665 -0.168 6.639 391.732 0.000

119 L&T Growth 0.032 2.246 0.094 8.184 789.266 0.000

120 L&T Midcap 0.065 2.095 -0.177 8.704 958.210 0.000

121 L&T Multicap 0.011 2.148 0.166 9.060 1080.475 0.000

122 L&T Opportunities 0.074 2.344 0.110 9.249 1147.042 0.000

123 L&T Tax Saver 0.031 2.190 0.093 9.833 1370.429 0.000

124 LICMF Equity(G) 0.043 2.312 -0.031 10.285 1556.889 0.000

125 LICMF Growth(G) 0.034 2.192 0.270 12.121 2448.945 0.000

126 LICMF Index-Sensex Adv(G) 0.027 1.955 0.348 9.472 1242.876 0.000

127 LICMF Index-Sensex(G) 0.030 2.209 0.306 8.225 811.969 0.000

128 LICMF Opportunities(G) 0.020 2.313 0.058 9.385 1196.313 0.000

129 LICMF Tax Plan(G) 0.023 2.177 0.216 10.538 1672.286 0.000

130 Magnum Comma(G) 0.078 2.000 -0.439 7.158 529.751 0.000

131 Magnum Contra(G) 0.069 1.948 -0.050 8.169 784.037 0.000

132 Magnum Emerging Businesses(G) 0.037 2.099 0.230 10.188 1521.956 0.000

133 Magnum Equity(G) 0.063 2.030 -0.011 8.620 926.643 0.000

134 Magnum FMCG 0.081 1.335 -0.484 6.147 318.049 0.000

135 Magnum Global'94(G) 0.032 1.957 0.051 10.586 1688.355 0.000

136 Magnum Index(G) 0.042 2.184 0.168 9.134 1107.150 0.000

137 Magnum IT -0.043 2.008 -0.727 8.978 1110.371 0.000

138 Magnum Midcap(G) 0.010 2.171 -0.386 7.484 607.293 0.000

139 Magnum Multicap(G) 0.035 2.001 0.209 9.383 1200.293 0.000

140 Magnum Multiplier Plus'93(G) 0.062 1.801 0.107 8.551 905.201 0.000

141 Magnum Pharma(G) 0.019 1.756 -0.596 7.854 732.952 0.000

142 Magnum TaxGain'93(G) 0.048 1.915 0.256 10.213 1533.852 0.000

143 Morgan Stanley Growth(G) 0.037 2.045 0.256 9.767 1350.999 0.000

144 Nifty BeES 0.051 2.231 0.153 9.019 1065.496 0.000

145 Nifty Junior BeES 0.067 2.471 -0.076 8.135 774.170 0.000

146 Principal Dividend Yield(G) 0.054 1.670 -0.360 10.281 1570.105 0.000

147 Principal Growth(G) 0.018 1.868 -0.317 7.787 684.115 0.000

148 Principal Index 0.045 2.208 0.147 9.142 1109.254 0.000

149 Principal Large Cap(G) 0.073 2.052 -0.215 9.116 1102.767 0.000

150 Principal Personal Tax saver -0.040 2.427 -5.229 74.750 1542.000 0.000

(continued)

Sl No Scheme name Mean Std. Dev. Skewness Kurtosis Jarque—Bera p-value

151 Principal PNB LT Equity-3Y-I(G) 0.017 1.801 -0.332 8.320 843.071 0.000

152 Principal Resurgent India Equity(G) 0.032 1.787 -0.215 8.291 826.590 0.000

153 Principal Services Inds(G) 0.039 1.888 -0.177 8.143 779.676 0.000

154 Principal Tax Saving 0.005 1.929 -0.602 9.418 1250.773 0.000

155 Quantum LT Equity(G) 0.077 1.703 0.145 9.592 1277.181 0.000

156 Reliance Banking(G) 0.121 2.255 0.947 14.279 3837.133 0.000

157 Reliance Equity Oppor-Ret(G) 0.065 1.864 -0.163 7.589 620.962 0.000

158 Reliance Equity-Ret(G) 0.047 1.694 0.173 9.561 1266.376 0.000

159 Reliance Growth-Ret(G) 0.079 1.811 -0.103 9.648 1297.768 0.000

160 Reliance Long Term Equity(G) 0.051 1.634 -0.448 9.653 1322.039 0.000

161 Reliance NRI Equity(G) 0.062 2.107 0.050 8.117 768.435 0.000

162 Reliance Pharma(G) 0.131 1.659 -0.515 6.893 475.545 0.000

163 Reliance Reg Savings-Equity(G) 0.103 1.994 -0.020 7.686 644.034 0.000

164 Reliance Tax Saver (ELSS)(G) 0.053 1.771 -0.302 8.950 1049.050 0.000

165 Reliance Vision-Ret(G) 0.062 1.876 0.199 8.162 786.292 0.000

166 Religare Tax Plan(G) 0.078 1.771 0.090 8.613 925.143 0.000

167 Sahara Growth(G) 0.073 1.871 0.291 9.695 1324.952 0.000

168 Sahara Infra-Fixed Pricing(G) 0.067 1.945 0.344 11.799 2284.748 0.000

169 Sahara Infra-Variable Pricing(G) 0.070 1.946 0.344 11.776 2273.217 0.000

170 Sahara Midcap(G) 0.071 1.938 0.140 10.701 1741.714 0.000

171 Sahara Tax Gain(G) 0.081 2.000 0.204 9.896 1399.998 0.000

172 Sahara Wealth Plus-Fixed Pricing(G) 0.044 1.520 -0.013 8.485 882.590 0.000

173 Sahara Wealth Plus-Variable Pricing(G) 0.047 1.676 0.202 10.298 1567.165 0.000

174 SBI Blue Chip(G) 0.043 1.964 0.454 11.189 1991.281 0.000

175 SBI One India(G) 0.012 1.890 0.404 11.911 2348.232 0.000

176 Sundaram BNPP CAPEX Oppor(G) 0.071 2.099 0.858 17.357 6133.017 0.000

177 Sundaram BNPP Equity Multiplier(G) 0.043 2.140 0.090 11.684 2212.948 0.000

178 Sundaram BNPP Growth(G) 0.049 2.179 -0.074 9.468 1227.684 0.000

179 Sundaram BNPP India Leadership(G) 0.053 2.211 -0.089 9.926 1408.145 0.000

180 Sundaram BNPP Rural India(G) 0.039 2.087 -0.170 8.481 884.686 0.000

181 Sundaram BNPP Select Focus(G) 0.060 2.158 0.426 12.561 2702.798 0.000

182 Sundaram BNPP Select Midcap(G) 0.066 2.017 0.033 11.415 2077.311 0.000

183 Sundaram BNPP SMILE (G) 0.090 2.136 -0.320 8.180 798.945 0.000

184 Sundaram BNPP Tax Saver(G) 0.068 1.918 0.225 11.594 2172.382 0.000

185 Tata Contra(G) 0.065 1.932 -0.167 8.531 900.555 0.000

186 Tata Dividend Yield(G) 0.083 1.804 -0.530 9.816 1395.667 0.000

187 Tata Equity Opportunities(G) 0.058 1.981 0.023 9.683 1310.064 0.000

188 Tata Equity P/E(G) 0.091 1.880 -0.202 7.733 661.771 0.000

189 Tata Growth(G) 0.041 1.882 0.003 9.942 1413.731 0.000

190 Tata Infrastructure(G) 0.066 2.139 0.382 11.541 2156.748 0.000

191 Tata Mid Cap(G) 0.041 1.776 -0.200 10.130 1496.102 0.000

192 Tata Pure Equity(G) 0.069 1.906 0.161 9.697 1318.467 0.000

193 Tata Select Equity(G) 0.049 1.938 -0.469 7.761 690.696 0.000

194 Tata Service Inds(G) 0.035 2.048 0.006 9.114 1096.677 0.000

195 Tata Tax Saving 0.014 1.932 -0.460 10.833 1824.789 0.000

196 Taurus Bonanza(G) 0.033 2.154 0.208 10.812 1795.148 0.000

197 Taurus Discovery(G) 0.007 2.187 0.159 12.288 2533.650 0.000

198 Taurus Infrastructure(G) 0.046 2.359 0.391 13.258 3104.587 0.000

199 Taurus Star Share(G) 0.045 2.360 0.067 9.799 1356.472 0.000

200 Taurus Tax Shield(G) 0.104 2.041 0.044 10.985 1870.676 0.000

201 Templeton India Equity Income(G) 0.067 1.804 -0.085 6.777 419.324 0.000

202 Templeton India Growth(G) 0.091 1.856 -0.134 7.123 500.751 0.000

203 UTI Banking Sector(G) 0.093 2.464 0.423 9.637 1313.212 0.000

204 UTI Contra(G) 0.064 1.795 -0.034 7.012 472.294 0.000

205 UTI Dividend Yield(G) 0.089 1.709 -0.426 9.746 1355.987 0.000

206 UTI Equity Tax Savings Plan (G) 0.046 1.815 0.141 9.143 1109.194 0.000

207 UTI Equity(G) 0.070 1.607 -0.090 8.401 856.637 0.000

208 UTI Infrastructure(G) 0.050 1.895 0.200 9.272 1158.479 0.000

(continued)

Sl No Scheme name Mean Std. Dev. Skewness Kurtosis Jarque—Bera p-value

209 UTI Leadership Equity(G) 0.038 2.036 -0.247 11.571 2162.180 0.000

210 UTI Master Index(G) 0.046 2.257 0.234 8.041 751.707 0.000

211 UTI Master Plus '91 (G) 0.036 1.986 0.297 8.810 1000.553 0.000

212 UTI Master Share(G) 0.063 1.810 0.070 7.345 554.299 0.000

213 UTI Master Value(G) 0.075 1.791 -0.503 7.513 627.028 0.000

214 UTI Mid Cap(G) 0.057 1.799 -0.449 7.530 625.560 0.000

215 UTI MNC(G) 0.065 1.340 -0.586 7.507 636.132 0.000

216 UTI Nifty Index(G) 0.048 2.215 0.159 9.045 1075.017 0.000

217 UTI Oppor(G) 0.091 1.849 0.358 9.750 1351.546 0.000

218 UTI Pharma & Healthcare(G) 0.070 1.291 -0.788 7.689 717.721 0.000

219 UTI Services Inds(G) 0.029 2.111 -0.139 6.545 371.010 0.000

220 UTI SUNDER 0.055 2.199 0.168 9.025 1068.199 0.000

Appendix 2

Results of Treynor and Mazuy (unconditional) model: fund wise analysis

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

1 Bank BeES -0.6838 0.4943 4.1194 0.0000 0.8073 1.8818

2 Baroda Pioneer ELSS 96 -0.2818 0.7782 0.2214 0.8248 0.8856 1.8616

3 Baroda Pioneer Growth 1.2668 0.2057 0.7894 0.4301 0.9343 1.9379

4 Birla SL Adv(G) -0.1192 0.9051 -0.3670 0.7137 0.9049 1.8069

5 Birla SL Asset Allocation-Agg.(G) 0.8497 0.3958 1.9528 0.0512 0.7956 1.6641

6 Birla SL Basic Inds(G) -0.9607 0.3370 0.5227 0.6014 0.1612 1.9918

7 Birla SL Buy India(G) 1.2004 0.2304 -0.6143 0.5392 0.1505 1.9912

8 Birla SL Dividend Yield Plus(G) -0.3580 0.7204 -0.2231 0.8236 0.1983 1.9554

9 Birla SL Equity(G) 1.4445 0.1491 0.6516 0.5149 0.9424 1.7416

10 Birla SL Frontline Equity-A(G) 0.6972 0.4859 -4.8376 0.0000 0.8247 1.7687

11 Birla SL Index(G) 0.0807 0.9357 1.4670 0.1428 0.8753 1.6068

12 Birla SL India GenNext(G) 2.2337 0.0258 -3.8150 0.0001 0.7094 1.7658

13 Birla SL India Opportunities(G) 0.3808 0.7034 - 4.8570 0.0000 0.7785 1.6228

14 Birla SL Infrastructure-A(G) 0.6306 0.5285 -2.2801 0.0229 0.8081 1.9167

15 Birla SL Midcap-A(G) 1.0562 0.2912 -2.4526 0.0144 0.6575 1.5173

16 Birla SL MNC(G) 0.7346 0.4628 0.8614 0.3893 0.8775 1.7080

17 Birla SL New Millennium(G) 0.7401 0.4595 -1.7835 0.0749 0.9754 1.9975

18 Birla SL Tax Plan(G) 0.6003 0.5485 -0.5065 0.6127 0.9039 1.7274

19 Birla SL Top 100(G) 1.6288 0.1038 -2.5182 0.0120 0.9138 1.7291

20 Cañara Robeco Emerging Equity(G) 1.0560 0.2913 -1.1051 0.2695 0.6544 1.6355

21 Cañara Robeco Equity Diversified(G) 1.9126 0.0562 -2.6914 0.0073 0.8146 1.7962

22 Cañara Robeco Infrastructure(G) 2.3433 0.0194 -2.1091 0.0353 0.9113 1.7410

23 Cañara Robeco Nifty Index(G) 2.7213 0.0067 - 4.1600 0.0000 0.8783 1.6776

24 DSPBR India TIGER-Reg(G) 1.8361 0.0668 - 4.6446 0.0000 0.8773 1.7093

25 DSPBR Opportunities(G) 2.3538 0.0189 -6.9816 0.0000 0.4611 1.9360

26 DSPBR Small & Mid Cap-Reg(G) -0.0841 0.9330 -0.9301 0.3527 0.6202 1.7708

27 DSPBR Tax Saver(G) 0.2336 0.8153 0.1656 0.8685 0.8491 1.6328

28 DSPBR Technology.com(G) 0.5286 0.5973 -2.3309 0.0200 0.8760 1.6571

29 DSPBR Top 100 Equity(G) -0.0224 0.9821 -3.2558 0.0012 0.6962 1.5661

30 DWS Alpha Equity(G) 0.0373 0.9702 -4.3055 0.0000 0.8183 1.8829

31 DWS Investment Opportunity(G) 0.3561 0.7219 -3.6062 0.0003 0.8540 1.6449

(continued )

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

32 DWS Tax Saving(G) 2.4581 0.0142 -4.1393 0.0000 0.4135 2.2906

33 Escorts Growth(G) 0.9650 0.3349 -3.6459 0.0003 0.3422 1.9922

34 Escorts High Yield Equity(G) -0.0022 0.9982 -1.4165 0.1571 0.9036 1.9295

35 Escorts Tax(G) 3.7467 0.0002 -5.7197 0.0000 0.5066 1.6856

36 Fidelity Equity(G) 2.3578 0.0187 -3.2891 0.0011 0.8495 1.7030

37 Fidelity India Spl.Situations(G) 1.4970 0.1348 -0.4791 0.6320 0.8893 1.7976

38 Fidelity Tax Advantage(G) 2.4496 0.0145 -2.5908 0.0098 0.9109 1.7445

39 Fortis Dividend Yield(G) -0.0941 0.9251 4.3973 0.0000 0.9770 1.7202

40 Fortis Equity(G) -0.5439 0.5867 -2.6574 0.0081 0.9887 2.9406

41 Fortis Future Leaders(G) 1.5185 0.1293 -1.5684 0.1172 0.8680 1.9986

42 Fortis Opportunities(G) 2.5707 0.0104 -0.0967 0.9230 0.9541 1.8439

43 Fortis Tax Adv(G) 1.7294 0.0842 -2.8775 0.0041 0.9428 1.7062

44 Franklin FMCG(G) 0.1054 0.9161 -0.9531 0.3409 0.7068 1.6235

45 Franklin India Blue-chip(G) 0.8814 0.3784 -2.1619 0.0310 0.7434 2.7282

46 Franklin India Flexi Cap(G) 2.6506 0.0082 -3.8532 0.0001 0.6948 1.5651

47 Franklin India Index Tax 3.2223 0.0013 -6.1957 0.0000 0.8386 2.1664

48 Franklin India Index-BSE Sensex(G) 0.8406 0.4009 -2.7895 0.0054 0.7359 1.5535

49 Franklin India Infotech(G) 2.4609 0.0141 -6.2018 0.0000 0.5181 1.8903

50 Franklin India Opportunities(G) 1.8137 0.0702 -3.0503 0.0024 0.9759 2.0766

51 Franklin India Pharma(G) 2.2733 0.0233 -2.8344 0.0047 0.9752 2.0524

52 Franklin India Prima Plus(G) 1.0168 0.3096 -1.3596 0.1744 0.9686 2.2693

53 Franklin India Prima(G) 3.7054 0.0002 -6.6337 0.0000 0.9189 1.8309

54 Franklin India Tax shield(G) 2.0902 0.0370 -3.5977 0.0003 0.8267 1.4964

55 FT India Index Fund-Nifty Plan 1.8662 0.0624 -7.6231 0.0000 0.5735 1.6350

56 FT India Life Stage FOFs-20(G) -0.7492 0.4540 2.6152 0.0091 0.9577 2.7415

57 HDFC Capital Builder(G) 0.5648 0.5724 -1.0454 0.2962 0.9110 1.7732

58 HDFC Core & Satellite(G) 1.8976 0.0582 -0.6492 0.5164 0.9536 1.7541

59 HDFC Equity(G) 2.5112 0.0123 -1.9123 0.0562 0.6809 1.7653

60 HDFC Growth(G) 1.5748 0.1158 - 4.0624 0.0001 0.7326 1.5994

61 HDFC Index-Nifty(G) 0.7465 0.4556 -0.6911 0.4898 0.8118 1.6699

62 HDFC Index-Sensex Plus(G) 1.9863 0.0474 -5.1670 0.0000 0.9555 1.8370

63 HDFC Index-Sensex(G) 2.8247 0.0049 - 4.5007 0.0000 0.7426 1.7437

64 HDFC Long Term Adv(G) 1.0757 0.2824 -3.2094 0.0014 0.9375 1.7518

65 HDFC Premier Multi-Cap(G) 0.8652 0.3872 -3.3567 0.0008 0.7733 1.6219

66 HDFC Tax Saver(G) 0.3020 0.7627 -1.1399 0.2547 0.9765 1.8794

67 HDFC Top 200(G) 0.9767 0.3291 -1.3249 0.1857 0.8633 1.9793

68 HSBC Equity(G) 0.4079 0.6834 -3.5550 0.0004 0.7770 1.5746

69 HSBC India Opportunities(G) -1.6914 0.0912 2.2216 0.0266 0.8580 1.7882

70 HSBC Midcap Equity(G) -0.6942 0.4878 - 4.8478 0.0000 0.7640 1.7474

71 HSBC Progressive Themes(G) 0.5380 0.5908 -3.5386 0.0004 0.7360 1.6299

72 HSBC Tax Saver Equity(G) -0.1594 0.8734 1.8906 0.0591 0.8631 2.1590

73 HSBC Unique Opportunities(G) -1.3872 0.1658 -2.5009 0.0126 0.7784 1.6913

74 ICICI Pru Advisor-Very Aggressive(G) -0.0126 0.9900 -1.6669 0.0960 0.9246 1.8580

75 ICICI Pru Discovery(G) 1.0467 0.2956 -1.5834 0.1138 0.7238 1.6886

76 ICICI Pru Discovery-Inst-I(G) -1.1232 0.2617 -0.3147 0.7531 0.8905 1.6915

77 ICICI Pru Dynamic(G) 1.2404 0.2153 -1.0916 0.2754 0.8933 1.6654

78 ICICI Pru Dynamic-Inst-I(G) -0.3289 0.7423 -0.4132 0.6796 0.8673 2.1790

79 ICICI Pru Emerging S.T.A.R.(G) -0.2282 0.8196 0.3820 0.7026 0.8166 2.3098

80 ICICI Pru Emerging S.T.A.R.-Inst-I(G) -1.5199 0.1290 2.4607 0.0141 0.8930 2.4389

81 ICICI Pru FMCG(G) -1.2126 0.2257 0.8323 0.4055 0.9559 2.4834

82 ICICI Pru Growth(G) -0.3734 0.7090 -0.2923 0.7702 0.6882 2.8702

83 ICICI Pru Growth-Inst-I(G) -1.1750 0.2404 1.4213 0.1557 0.8493 2.3994

84 ICICI Pru Index 2.5124 0.0122 - 4.4644 0.0000 0.7842 1.7971

85 ICICI Pru Infrastructure(G) 2.8882 0.0040 - 4.8293 0.0000 0.4419 2.0318

86 ICICI Pru Power(G) 0.2533 0.8001 -1.6659 0.0962 0.9652 2.1253

87 ICICI Pru Power-Inst-I(G) 0.3328 0.7394 -2.8161 0.0050 0.6658 1.5981

(continued)

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

88 ICICI Pru Services Inds(G) -0.5526 0.5807 0.5028 0.6153 0.9320 1.8214

89 ICICI Pru Tax Plan(G) 1.2140 0.2252 -2.2291 0.0261 0.7374 1.6699

90 ICICI Pru Technology(G) 0.5506 0.5821 -2.0919 0.0368 0.9785 1.9370

91 ICICI Prudential SPIcE 2.1312 0.0334 -3.2811 0.0011 0.8816 1.9740

92 IDFC Classic Equity-A(G) 0.7581 0.4486 -3.1829 0.0015 0.8653 1.7471

93 IDFC Imperial Equity-A(G) 0.7355 0.4623 -2.5362 0.0114 0.8724 1.6952

94 IDFC Premier Equity-A(G) 0.1337 0.8937 -3.2655 0.0011 0.7799 1.8803

95 ING C.U.B(G) 1.6563 0.0981 -0.4085 0.6830 0.8784 1.8616

96 ING Contra(G) 0.4369 0.6624 3.9297 0.0001 0.7888 1.6902

97 ING Core Equity(G) 1.7913 0.0737 -2.7666 0.0058 0.8611 1.6584

98 ING Dividend Yield(G) 0.3549 0.7228 -0.2476 0.8045 0.8918 1.8490

99 ING Domestic Opportunities(G) 1.7323 0.0837 -1.4007 0.1617 0.8297 1.6333

100 ING Midcap(G) 1.1543 0.2488 -2.3621 0.0184 0.6548 1.8998

101 ING Nifty Plus(G) 4.2698 0.0000 -6.2851 0.0000 0.5264 1.7164

102 ING OptiMix 5 Star Multi-Mgr FoF(G) 2.3799 0.0176 -1.7896 0.0739 0.8234 1.7232

103 ING Tax Savings(G) 1.2320 0.2184 -2.4041 0.0165 0.8122 1.7004

104 JM Basic(G) 0.7406 0.4592 0.2359 0.8136 0.9102 1.8768

105 JM Emerging Leaders(G) 0.7577 0.4489 1.2010 0.2302 0.8871 1.7971

106 JM Equity(G) 0.1988 0.8425 1.3662 0.1723 0.7941 1.6503

107 JM Fin Services Sector(G) 0.2758 0.7828 1.4008 0.1617 0.7959 1.6480

108 JM HI FI(G) 0.6761 0.4992 0.0066 0.9947 0.6794 1.6934

109 Kotak 30(G) 0.8882 0.3747 -0.1908 0.8487 0.6465 2.4095

110 Kotak Contra(G) 0.5109 0.6096 -0.8651 0.3873 0.7636 1.7454

111 Kotak Emerging Equity(G) 0.5562 0.5783 -0.9410 0.3470 0.5837 2.4235

112 Kotak Equity FOF(G) -1.0841 0.2787 2.8291 0.0048 0.9380 1.7459

113 Kotak Lifestyle(G) 0.5748 0.5656 -1.3830 0.1671 0.8718 1.7007

114 Kotak Midcap(G) 0.5679 0.5703 -0.1078 0.9142 0.6800 1.7860

115 Kotak Opportunities(G) 2.1502 0.0319 -2.8523 0.0045 0.7861 1.6454

116 Kotak Tax Saver(G) 2.1194 0.0344 -5.5376 0.0000 0.8026 1.6540

117 L&T Contra 0.1081 0.9139 -1.0492 0.2944 0.8164 1.7622

118 L&T Global Advantage -0.2222 0.8242 -0.4349 0.6638 0.8527 1.6962

119 L&T Growth 0.3084 0.7578 -0.9654 0.3347 0.7745 1.7999

120 L&T Midcap 0.3793 0.7046 2.0881 0.0371 0.8412 1.6384

121 L&T Multicap 2.2806 0.0229 -2.5181 0.0120 0.8951 1.8687

122 L&T Opportunities 0.4025 0.6874 -2.0892 0.0370 0.9339 2.0835

123 L&T Tax Saver 1.3542 0.1761 -1.2522 0.2109 0.9063 2.0726

124 LICMF Equity(G) 2.1487 0.0320 -3.7504 0.0002 0.6446 1.6684

125 LICMF Growth(G) 3.1982 0.0014 -6.3260 0.0000 0.4652 1.7551

126 LICMF Index-Sensex Adv(G) 1.1451 0.2525 -1.5636 0.1184 0.9775 1.9571

127 LICMF Index-Sensex(G) 0.6331 0.5269 1.4932 0.1358 0.9562 2.4876

128 LICMF Opportunities(G) -0.4659 0.6414 -0.7021 0.4828 0.6932 2.8937

129 LICMF Tax Plan(G) -0.2341 0.8149 -0.6431 0.5203 0.8534 2.4460

130 Magnum Comma(G) 0.6966 0.4863 -3.7431 0.0002 0.8059 1.8159

131 Magnum Contra(G) -0.1538 0.8778 -2.6885 0.0074 0.9068 1.8588

132 Magnum Emerging Businesses(G) 1.7644 0.0781 -2.6649 0.0079 0.7375 1.6748

133 Magnum Equity(G) -0.0392 0.9688 -1.7419 0.0820 0.8931 1.9395

134 Magnum FMCG -0.0491 0.9609 -3.4811 0.0005 0.4830 1.9732

135 Magnum Global'94(G) 1.3282 0.1845 -2.7902 0.0054 0.7501 1.7388

136 Magnum Index(G) -0.3123 0.7549 -3.0217 0.0026 0.9666 2.1502

137 Magnum IT -0.3855 0.7000 -2.5841 0.0100 0.5644 1.7800

138 Magnum Midcap(G) 0.6528 0.5141 - 4.4125 0.0000 0.6921 1.6973

139 Magnum Multicap(G) 0.3669 0.7138 -2.0078 0.0451 0.9233 1.8410

140 Magnum Multiplier Plus'93(G) 0.1056 0.9159 -2.5438 0.0112 0.8363 1.8236

141 Magnum Pharma(G) 0.1957 0.8449 -4.3291 0.0000 0.4905 1.7345

142 Magnum TaxGain'93(G) 0.4218 0.6733 -2.9616 0.0032 0.9386 1.7811

143 Morgan Stanley Growth(G) 0.4982 0.6185 -2.3376 0.0197 0.9351 1.8462

144 Nifty BeES -0.0448 0.9642 -1.7758 0.0762 0.9787 1.9771

(continued)

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient (, a) coefficient (g)

t-stat p-value t-stat p-value

145 Nifty Junior BeES -0.2533 0.8001 -2.9755 0.0030 0.8228 1.8708

146 Principal Dividend Yield(G) 0.2905 0.7715 -3.2995 0.0010 0.7574 1.7145

147 Principal Growth(G) 0.9508 0.3420 -3.4411 0.0006 0.9012 1.7809

148 Principal Index -0.1501 0.8808 -2.2823 0.0228 0.9793 1.9387

149 Principal Large Cap(G) 0.1771 0.8595 -2.5736 0.0103 0.8886 2.0572

150 Principal Personal Tax saver -0.8701 0.3845 -4.4259 0.0000 0.6227 1.8628

151 Principal PNB LT Equity-3Y-I(G) 2.0013 0.0457 - 4.6894 0.0000 0.6422 1.7068

152 Principal Resurgent India Equity(G) 0.5078 0.6118 -3.9854 0.0001 0.8759 1.7460

153 Principal Services Inds(G) -0.5025 0.6155 -2.5544 0.0108 0.8856 1.7673

154 Principal Tax Saving 0.6722 0.5017 - 4.4201 0.0000 0.7869 1.9170

155 Quantum LT Equity(G) 0.4838 0.6287 -0.8890 0.3743 0.8838 1.9219

156 Reliance Banking(G) -0.1911 0.8485 -0.6149 0.5388 0.7982 1.6927

157 Reliance Equity Oppor-Ret(G) 0.3836 0.7014 -3.4392 0.0006 0.8736 1.7351

158 Reliance Equity-Ret(G) -1.3751 0.1695 -3.2104 0.0014 0.9025 1.9010

159 Reliance Growth-Ret(G) 0.6079 0.5435 -3.3277 0.0009 0.8487 1.6978

160 Reliance Long Term Equity(G) 0.5471 0.5845 -3.2717 0.0011 0.6976 1.9742

161 Reliance NRI Equity(G) -1.2228 0.2218 -2.8222 0.0049 0.9110 1.8726

162 Reliance Pharma(G) -1.0290 0.3038 -5.4082 0.0000 0.5512 1.7357

163 Reliance Reg Savings-Equity(G) 0.9947 0.3202 -2.9139 0.0037 0.8391 1.7315

164 Reliance Tax Saver (ELSS)(G) -0.5409 0.5887 -3.3603 0.0008 0.8320 1.6971

165 Reliance Vision-Ret(G) -0.1664 0.8679 -2.0349 0.0422 0.9287 1.9214

166 Religare Tax Plan(G) 0.5026 0.6154 -2.6055 0.0094 0.8257 1.8543

167 Sahara Growth(G) -0.8108 0.4178 -1.0844 0.2786 0.9249 1.8582

168 Sahara Infra-Fixed Pricing(G) -0.2993 0.7648 -2.0108 0.0447 0.8437 1.7178

169 Sahara Infra-Variable Pricing(G) -0.2722 0.7855 -1.9565 0.0508 0.8447 1.7182

170 Sahara Midcap(G) 0.5364 0.5919 -3.9242 0.0001 0.7202 1.7801

171 Sahara Tax Gain(G) -0.6006 0.5483 -1.5156 0.1301 0.6794 2.5168

172 Sahara Wealth Plus-Fixed Pricing(G) -0.2180 0.8275 -2.2993 0.0218 0.8457 1.8615

173 Sahara Wealth Plus-Variable Pricing(G) -0.2702 0.7871 -1.5947 0.1112 0.6456 2.5886

174 SBI Blue Chip(G) 0.1081 0.9140 -1.0248 0.3058 0.9450 1.8051

175 SBI One India(G) 1.1711 0.2419 -2.0399 0.0417 0.9190 1.7724

176 Sundaram BNPP CAPEX Oppor(G) 1.2173 0.2239 -3.3619 0.0008 0.7949 1.7196

177 Sundaram BNPP Equity Multiplier(G) -0.4503 0.6527 -4.5324 0.0000 0.7713 2.2277

178 Sundaram BNPP Growth(G) 0.1854 0.8529 -3.3152 0.0010 0.8944 1.7345

179 Sundaram BNPP India Leadership(G) 0.4542 0.6498 -2.5238 0.0118 0.8642 1.8824

180 Sundaram BNPP Rural India(G) 0.3270 0.7437 -4.3782 0.0000 0.8391 1.7941

181 Sundaram BNPP Select Focus(G) 0.4100 0.6819 -0.9962 0.3195 0.8923 2.1416

182 Sundaram BNPP Select Midcap(G) 0.0313 0.9750 -3.4893 0.0005 0.7231 1.8800

183 Sundaram BNPP SMILE (G) -0.4098 0.6821 -4.8138 0.0000 0.8131 1.6705

184 Sundaram BNPP Tax Saver(G) -0.3396 0.7342 -2.3867 0.0173 0.8591 1.9810

185 Tata Contra(G) 0.6062 0.5446 -3.3103 0.0010 0.8379 1.7199

186 Tata Dividend Yield(G) 0.6029 0.5468 -1.8238 0.0686 0.7652 1.8056

187 Tata Equity Opportunities(G) 0.9336 0.3508 -3.3691 0.0008 0.8651 1.6922

188 Tata Equity P/E(G) 0.5665 0.5713 -2.3319 0.0200 0.8188 1.7327

189 Tata Growth(G) 0.5022 0.6157 -3.7777 0.0002 0.8118 1.7334

190 Tata Infrastructure(G) 1.0439 0.2969 -2.9960 0.0028 0.9175 1.7518

191 Tata Mid Cap(G) 0.9778 0.3285 -3.7627 0.0002 0.7289 1.6299

192 Tata Pure Equity(G) 0.1246 0.9009 -2.4499 0.0145 0.9174 1.7609

193 Tata Select Equity(G) 0.7910 0.4292 -4.0349 0.0001 0.8124 1.7046

194 Tata Service Inds(G) -0.4816 0.6302 -2.4483 0.0146 0.8368 1.8104

195 Tata Tax Saving -0.9701 0.3324 -2.5739 0.0103 0.8104 1.8390

196 Taurus Bonanza(G) 0.3287 0.7425 -2.0755 0.0383 0.8682 1.6946

197 Taurus Discovery(G) 2.3715 0.0180 -3.4767 0.0005 0.7160 1.7214

198 Taurus Infrastructure(G) 0.5633 0.5734 -1.5733 0.1161 0.7676 1.6734

199 Taurus Star Share(G) 0.8396 0.4014 -1.9442 0.0523 0.7904 1.8309

200 Taurus Tax Shield(G) 0.1335 0.8938 -3.4883 0.0005 0.7444 1.7163

(continued)

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

201 Templeton India Equity Income(G) 1.7503 0.0805 -0.6551 0.5126 0.8088 2.0049

202 Templeton India Growth(G) 1.5456 0.1226 -2.9137 0.0037 0.8905 1.8456

203 UTI Banking Sector(G) -0.4987 0.6181 0.1684 0.8663 0.8480 1.6600

204 UTI Contra(G) -0.8617 0.3891 -1.6996 0.0897 0.8908 1.8732

205 UTI Dividend Yield(G) -0.1715 0.8639 -2.1524 0.0317 0.8574 1.7024

206 UTI Equity Tax Savings Plan (G) 1.2965 0.1952 -1.6226 0.1051 0.9360 1.8304

207 UTI Equity(G) -0.3687 0.7125 -2.7090 0.0069 0.9174 1.8776

208 UTI Infrastructure(G) 0.2765 0.7823 -1.8843 0.0599 0.8802 1.7682

209 UTI Leadership Equity(G) -0.1938 0.8464 -2.2130 0.0272 0.9448 2.1990

210 UTI Master Index(G) 0.1016 0.9191 -0.8086 0.4190 0.8726 2.9652

211 UTI Master Plus '91 (G) -0.3926 0.6948 -0.2061 0.8367 0.9675 1.9356

212 UTI Master Share(G) 0.2407 0.8098 0.0122 0.9903 0.9260 2.2674

213 UTI Master Value(G) 0.3019 0.7628 -4.7756 0.0000 0.6732 1.7329

214 UTI Mid Cap(G) 0.3026 0.7623 - 4.6105 0.0000 0.6794 1.7205

215 UTI MNC(G) -0.8250 0.4096 -3.4053 0.0007 0.7239 1.8430

216 UTI Nifty Index(G) -0.3609 0.7183 -2.0212 0.0436 0.9777 1.9420

217 UTI Oppor(G) 0.1132 0.9099 -0.4246 0.6712 0.9076 1.8563

218 UTI Pharma & Healthcare(G) -0.1476 0.8827 -3.9629 0.0001 0.5022 1.7355

219 UTI Services Inds(G) -0.5007 0.6168 -0.8565 0.3920 0.9170 2.2094

220 UTI SUNDER -0.3068 0.7591 -1.6880 0.0919 0.9790 1.9572

Note: Standard errors are corrected for heteroskedasticity and autocorrelation using the White's (1980) correction.

Appendix 3

Results of Henriksson and Merton (unconditional) model: fund wise analysis

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

1 Bank BeES -1.1398 0.2548 2.4494 0.0146 0.8043 1.8873

2 Baroda Pioneer ELSS 96 1.7710 0.0770 -2.7493 0.0061 0.8868 1.8835

3 Baroda Pioneer Growth 2.5843 0.0100 -2.0047 0.0454 0.9347 1.9298

4 Birla SL Adv(G) 1.9109 0.0564 -2.9974 0.0028 0.9060 1.8182

5 Birla SL Asset Allocation-Agg.(G) 2.2433 0.0252 -1.5329 0.1257 0.7952 1.6804

6 Birla SL Basic Inds(G) -0.7345 0.4629 0.2034 0.8389 0.1609 1.9916

7 Birla SL Buy India(G) 1.8367 0.0667 -1.5488 0.1219 0.1530 1.9959

8 Birla SL Dividend Yield Plus(G) 0.1634 0.8703 -0.7075 0.4795 0.1988 1.9554

9 Birla SL Equity(G) 2.7025 0.0070 -3.2522 0.0012 0.9117 1.7108

10 Birla SL Frontline Equity-A(G) 2.4735 0.0136 -1.7070 0.0883 0.9426 1.7443

11 Birla SL Index(G) 1.7406 0.0822 -2.1754 0.0299 0.9597 2.6951

12 Birla SL India GenNext(G) 1.7731 0.0766 -1.4872 0.1374 0.0889 2.0008

13 Birla SL India Opportunities(G) 3.1288 0.0018 -5.5585 0.0000 0.8265 1.7938

14 Birla SL Infrastructure-A(G) 2.3359 0.0198 -2.6822 0.0075 0.8762 1.6269

15 Birla SL Midcap-A(G) 2.7157 0.0068 -2.7218 0.0067 0.7268 1.6607

16 Birla SL MNC(G) 4.3142 0.0000 -5.1755 0.0000 0.7143 1.7770

17 Birla SL New Millennium(G) 1.8636 0.0628 - 4.0924 0.0000 0.7764 1.6520

18 Birla SL Tax Plan(G) 2.2557 0.0244 -3.4041 0.0007 0.8098 1.9406

19 Birla SL Top 100(G) 2.3606 0.0185 -2.9904 0.0029 0.9351 1.8903

20 Canara Robeco Emerging Equity(G) 3.7384 0.0002 -5.1188 0.0000 0.6670 1.5508

21 Canara Robeco Equity Diversified(G) 3.3415 0.0009 -2.9522 0.0033 0.9155 1.7620

(continued )

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

22 Canara Robeco Infrastructure(G) 2.7066 0.0070 -2.7286 0.0065 0.8786 1.7247

23 Canara Robeco Nifty Index(G) 1.3819 0.1674 -1.8481 0.0650 0.9754 2.0005

24 DSPBR India TIGER-Reg(G) 2.7733 0.0057 -3.4936 0.0005 0.9055 1.7446

25 DSPBR Opportunities(G) 3.4356 0.0006 - 4.0867 0.0000 0.9150 1.7461

26 DSPBR Small & Mid Cap-Reg(G) 3.3904 0.0007 -4.1031 0.0000 0.6619 1.6689

27 DSPBR Tax Saver(G) 4.3063 0.0000 -5.0788 0.0000 0.8193 1.8229

28 DSPBR Technology.com(G) 4.7774 0.0000 -6.9201 0.0000 0.7417 1.7364

29 DSPBR Top 100 Equity(G) 3.5488 0.0004 -3.3134 0.0010 0.9122 1.7440

30 DWS Alpha Equity(G) 3.7352 0.0002 - 4.1971 0.0000 0.9250 1.7589

31 DWS Investment Opportunity(G) 4.8568 0.0000 -5.5470 0.0000 0.8805 1.6842

32 DWS Tax Saving(G) 4.3703 0.0000 -6.0105 0.0000 0.8797 1.7180

33 Escorts Growth(G) 4.2211 0.0000 -5.7128 0.0000 0.3546 1.6583

34 Escorts High Yield Equity(G) 4.0012 0.0001 -5.8148 0.0000 0.4502 1.9987

35 Escorts Tax(G) 2.5134 0.0122 -4.0370 0.0001 0.6284 1.8011

36 Fidelity Equity(G) 3.8066 0.0002 - 4.1024 0.0000 0.9474 1.8060

37 Fidelity India Spl.Situations(G) 2.2378 0.0255 -2.8734 0.0042 0.8509 1.6453

38 Fidelity Tax Advantage(G) 4.3752 0.0000 - 4.6607 0.0000 0.9394 1.7827

39 Fortis Dividend Yield(G) 3.2073 0.0014 -3.6570 0.0003 0.7254 1.7790

40 Fortis Equity(G) 2.5222 0.0119 -3.9160 0.0001 0.8777 1.6714

41 Fortis Future Leaders(G) 2.9844 0.0029 -5.5428 0.0000 0.7046 1.5912

42 Fortis Opportunities(G) 3.2103 0.0014 -6.2052 0.0000 0.8232 1.8883

43 Fortis Tax Adv(G) 2.9618 0.0032 -5.2250 0.0000 0.8569 1.6595

44 Franklin FMCG(G) 3.7429 0.0002 -4.2481 0.0000 0.4142 2.2767

45 Franklin India Blue-chip(G) 2.8359 0.0047 -2.1685 0.0305 0.9602 1.8397

46 Franklin India Flexi Cap(G) 2.8486 0.0045 -3.2038 0.0014 0.9233 1.8178

47 Franklin India Index Tax 1.6759 0.0942 -2.2631 0.0239 0.9782 1.9646

48 Franklin India Index-BSE Sensex(G) -0.6655 0.5059 1.4620 0.1442 0.9989 2.2347

49 Franklin India Infotech(G) 0.7446 0.4567 -1.4029 0.1611 0.3316 2.0079

50 Franklin India Opportunities(G) 2.4581 0.0142 -4.0555 0.0001 0.9056 1.9392

51 Franklin India Pharma(G) 5.2133 0.0000 -5.5521 0.0000 0.5054 1.7013

52 Franklin India Prima Plus(G) 3.1573 0.0017 -3.4460 0.0006 0.9083 1.8721

53 Franklin India Prima(G) 3.3507 0.0008 - 4.5775 0.0000 0.7391 1.6320

54 Franklin India Tax shield(G) 3.7702 0.0002 -3.9258 0.0001 0.9436 2.0234

55 FT India Index Fund-Nifty Plan 1.5697 0.1169 -2.0697 0.0388 0.9783 1.9778

56 FT India Life Stage FOFs-20(G) 3.2588 0.0012 -2.8433 0.0046 0.9455 1.7540

57 HDFC Capital Builder(G) 4.5182 0.0000 -5.1251 0.0000 0.8527 1.7166

58 HDFC Core & Satellite(G) 2.7752 0.0057 -3.2237 0.0013 0.8448 1.8191

59 HDFC Equity(G) 2.8738 0.0042 -2.6489 0.0083 0.8904 1.8098

60 HDFC Growth(G) 4.5739 0.0000 -4.8327 0.0000 0.9130 1.7540

61 HDFC Index-Nifty(G) 0.7775 0.4371 -1.5044 0.1329 0.8877 2.9033

62 HDFC Index-Sensex Plus(G) -0.1552 0.8767 1.7803 0.0755 0.9765 1.7420

63 HDFC Index-Sensex(G) 0.9415 0.3468 -2.9507 0.0033 0.9887 2.9451

64 HDFC Long Term Adv(G) 2.8477 0.0045 -3.6556 0.0003 0.8890 1.7876

65 HDFC Premier Multi-Cap(G) -0.4752 0.6348 0.8271 0.4085 0.1735 2.9311

66 HDFC Tax Saver(G) 2.7511 0.0061 -2.8690 0.0042 0.8691 2.0148

67 HDFC Top 200(G) 3.2870 0.0011 -1.9253 0.0546 0.9544 1.8442

68 HSBC Equity(G) 3.4860 0.0005 - 4.1873 0.0000 0.9435 1.7093

69 HSBC India Opportunities(G) 2.9374 0.0034 - 4.7015 0.0000 0.8860 1.7994

70 HSBC Midcap Equity(G) 3.2379 0.0013 - 4.8726 0.0000 0.7160 1.6511

71 HSBC Progressive Themes(G) 2.1217 0.0342 -4.0657 0.0001 0.8940 1.8005

72 HSBC Tax Saver Equity(G) 2.3147 0.0209 -2.5195 0.0120 0.8795 1.7233

73 HSBC Unique Opportunities(G) 2.3521 0.0189 - 4.5574 0.0000 0.7867 1.7581

74 ICICI Pru Advisor-Very Agg.(G) 2.5041 0.0125 -3.4394 0.0006 0.7460 2.7330

75 ICICI Pru Discovery(G) 4.4687 0.0000 -5.1552 0.0000 0.6839 1.7367

76 ICICI Pru Discovery-Inst-1(G) 4.7385 0.0000 -5.3373 0.0000 0.7005 1.5949

(continued)

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient ( a) coefficient (g)

t-stat p-value t-stat p-value

77 ICICI Pru Dynamic(G) 5.4053 0.0000 -6.5014 0.0000 0.8995 1.8355

78 ICICI Pru Dynamic-Inst-1(G) 5.7160 0.0000 -7.0101 0.0000 0.8409 2.1756

79 ICICI Pru Emerging S.T.A.R.(G) 3.8111 0.0002 -5.7203 0.0000 0.7441 1.5905

80 ICICI Pru Emerging S.T.A.R.-Inst-1(G) 3.9394 0.0001 -5.7743 0.0000 0.7451 1.5918

81 ICICI Pru FMCG(G) 4.0619 0.0001 -5.4901 0.0000 0.5126 1.8795

82 ICICI Pru Growth(G) 1.9141 0.0560 -1.9276 0.0543 0.9757 2.0672

83 ICICI Pru Growth-Inst-1(G) 2.2624 0.0240 -1.8438 0.0656 0.9750 2.0423

84 ICICI Pru Index 1.3998 0.1620 -1.4110 0.1587 0.9686 2.2709

85 ICICI Pru Infrastructure(G) 5.6126 0.0000 -6.5147 0.0000 0.9187 1.8451

86 ICICI Pru Power(G) 2.3949 0.0169 -3.3332 0.0009 0.9463 1.8975

87 ICICI Pru Power-Inst-1(G) 2.5203 0.0119 -3.2310 0.0013 0.9447 1.9429

88 ICICI Pru Services Inds(G) 2.0951 0.0365 -4.1395 0.0000 0.9012 1.7564

89 ICICI Pru Tax Plan(G) 4.6111 0.0000 -5.6683 0.0000 0.8312 1.5349

90 ICICI Pru Technology(G) 3.4103 0.0007 -5.7329 0.0000 0.5588 1.6584

91 ICICI Prudential SPIcE -1.4222 0.1554 2.2130 0.0272 0.9576 2.7386

92 IDFC Classic Equity-A(G) 2.2464 0.0250 -2.9890 0.0029 0.9119 1.7805

93 IDFC Imperial Equity-A(G) 1.8527 0.0643 -0.8284 0.4077 0.9536 1.7542

94 IDFC Premier Equity-A(G) 5.0477 0.0000 -5.1697 0.0000 0.6910 1.8110

95 ING C.U.B(G) 4.5985 0.0000 -6.3972 0.0000 0.7414 1.6206

96 ING Contra(G) 2.7927 0.0054 -3.4323 0.0006 0.8148 1.6817

97 ING Core Equity(G) 4.4793 0.0000 -6.2030 0.0000 0.9562 1.8397

98 ING Dividend Yield(G) 4.6651 0.0000 -5.2967 0.0000 0.7453 1.7504

99 ING Domestic Opportunities(G) 4.1473 0.0000 -5.9739 0.0000 0.9397 1.7467

100 ING Midcap(G) 3.4063 0.0007 -5.2045 0.0000 0.7782 1.6404

101 ING Nifty Plus(G) 1.2398 0.2155 -1.8759 0.0611 0.9766 1.8840

102 ING OptiMix 5 Star Multi-Mgr FoF(G) 2.9749 0.0030 -3.6838 0.0002 0.8656 1.9933

103 ING Tax Savings(G) 3.0164 0.0027 -5.2266 0.0000 0.7815 1.5910

104 JM Basic(G) 2.0905 0.0369 -3.9426 0.0001 0.7403 1.6662

105 JM Emerging Leaders(G) 3.0236 0.0026 -5.6215 0.0000 0.6502 1.4800

106 JM Equity(G) 0.0625 0.9501 -1.0764 0.2821 0.8572 1.8283

107 JM Fin Services Sector(G) 2.0667 0.0391 - 4.0095 0.0001 0.7907 1.6705

108 JM HI FI(G) 2.6243 0.0089 -6.3799 0.0000 0.7694 1.7655

109 Kotak 30(G) 3.1472 0.0017 -3.5030 0.0005 0.9506 1.8148

110 Kotak Contra(G) 3.5050 0.0005 -4.3404 0.0000 0.8570 1.6822

111 Kotak Emerging Equity(G) 3.6946 0.0002 -6.0501 0.0000 0.7447 1.6527

112 Kotak Equity FOF(G) 1.5253 0.1276 -1.6277 0.1040 0.8629 2.2133

113 Kotak Lifestyle(G) 1.8515 0.0645 -3.9737 0.0001 0.8315 1.7935

114 Kotak Midcap(G) 2.8377 0.0047 -4.4656 0.0000 0.7446 1.6870

115 Kotak Opportunities(G) 1.4722 0.1414 -1.3636 0.1731 0.8585 2.1468

116 Kotak Tax Saver(G) 2.3839 0.0174 -3.7754 0.0002 0.8795 1.7634

117 L&T Contra 1.6667 0.0960 - 4.1299 0.0000 0.8438 1.7553

118 L&T Global Advantage 1.5298 0.1265 - 4.6717 0.0000 0.7832 1.7162

119 L&T Growth 1.9372 0.0531 -3.4177 0.0007 0.9256 1.8714

120 L&T Midcap 3.4567 0.0006 -4.3920 0.0000 0.7303 1.7101

121 L&T Multicap 0.9966 0.3193 -2.7697 0.0058 0.8917 1.7127

122 L&T Opportunities 3.0712 0.0022 -3.4432 0.0006 0.8949 1.6786

123 L&T Tax Saver 1.5659 0.1178 -2.7518 0.0061 0.8687 2.1999

124 LICMF Equity(G) 0.4186 0.6756 -0.6994 0.4846 0.8167 2.3185

125 LICMF Growth(G) -1.4110 0.1587 1.6704 0.0953 0.8192 2.2498

126 LICMF Index-Sensex Adv(G) -1.0185 0.3088 0.7435 0.4574 0.8922 2.4497

127 LICMF Index-Sensex(G) -1.5074 0.1322 1.1501 0.2505 0.9560 2.4794

128 LICMF Opportunities(G) 0.7656 0.4442 -1.6104 0.1078 0.6893 2.8715

129 LICMF Tax Plan(G) -0.3666 0.7140 -0.2102 0.8336 0.8489 2.4053

130 Magnum Comma(G) 4.6461 0.0000 -5.5944 0.0000 0.7876 1.8150

131 Magnum Contra(G) 3.3275 0.0009 -3.6432 0.0003 0.8988 1.8218

132 Magnum Emerging Businesses(G) 2.5843 0.0100 -3.8281 0.0001 0.7226 1.5916

133 Magnum Equity(G) 2.8029 0.0052 -3.3093 0.0010 0.8782 1.8822

(continued)

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient (, a) coefficient (g)

t-stat p-value t-stat p-value

134 Magnum FMCG 4.3322 0.0000 -4.8850 0.0000 0.4423 2.0098

135 Magnum Global'94(G) 2.6437 0.0084 -4.0381 0.0001 0.7342 1.6608

136 Magnum Index(G) 1.4809 0.1391 -2.4743 0.0136 0.9653 2.1296

137 Magnum IT 1.4122 0.1583 -3.6690 0.0003 0.5486 1.7384

138 Magnum Midcap(G) 3.2151 0.0014 -5.3104 0.0000 0.6751 1.6286

139 Magnum Multicap(G) 1.8072 0.0712 -3.0532 0.0023 0.9183 1.7766

140 Magnum Multiplier Plus'93(G) 2.7764 0.0056 -3.2529 0.0012 0.8178 1.7588

141 Magnum Pharma(G) 4.3051 0.0000 -6.5019 0.0000 0.4683 1.7029

142 Magnum TaxGain'93(G) 2.3468 0.0192 -3.1485 0.0017 0.9316 1.7451

143 Morgan Stanley Growth(G) 1.4500 0.1475 -2.4787 0.0134 0.9326 1.8498

144 Nifty BeES 1.6966 0.0902 -2.1323 0.0333 0.9778 1.9688

145 Nifty Junior BeES 2.9911 0.0029 -3.7970 0.0002 0.8084 1.8359

146 Principal Dividend Yield(G) 3.4578 0.0006 - 4.4599 0.0000 0.7428 1.6905

147 Principal Growth(G) 3.1150 0.0019 -5.5584 0.0000 0.8953 1.7042

148 Principal Index 1.6881 0.0918 -2.6089 0.0093 0.9785 1.9404

149 Principal Large Cap(G) 3.8416 0.0001 - 4.4107 0.0000 0.8831 1.9945

150 Principal Personal Tax saver 2.6317 0.0087 -5.2490 0.0000 0.6129 1.8598

151 Principal PNB LT Equity-3Y-I(G) 3.6623 0.0003 -5.7524 0.0000 0.6100 1.6306

152 Principal Resurgent India Equity(G) 3.2398 0.0013 -5.0174 0.0000 0.8681 1.7687

153 Principal Services Inds(G) 2.5988 0.0096 -3.8776 0.0001 0.8739 1.7123

154 Principal Tax Saving 2.8050 0.0052 -5.1150 0.0000 0.7846 1.9095

155 Quantum LT Equity(G) 2.7795 0.0056 -2.3152 0.0209 0.8793 1.8705

156 Reliance Banking(G) 0.7692 0.4421 0.8575 0.3915 0.7843 1.6911

157 Reliance Equity Oppor-Ret(G) 3.6735 0.0003 -4.3433 0.0000 0.8633 1.6792

158 Reliance Equity-Ret(G) 2.0547 0.0403 -2.6386 0.0085 0.8929 1.8406

159 Reliance Growth-Ret(G) 4.0694 0.0001 - 4.4408 0.0000 0.8339 1.6567

160 Reliance Long Term Equity(G) 3.3862 0.0007 - 4.4746 0.0000 0.6617 1.9362

161 Reliance NRI Equity(G) 2.7805 0.0056 -3.2791 0.0011 0.9069 1.8233

162 Reliance Pharma(G) 6.4310 0.0000 -6.9215 0.0000 0.5317 1.7370

163 Reliance Reg Savings-Equity(G) 4.0499 0.0001 -3.8589 0.0001 0.8262 1.7304

164 Reliance Tax Saver (ELSS)(G) 3.0801 0.0022 -3.9701 0.0001 0.8148 1.7037

165 Reliance Vision-Ret(G) 2.1844 0.0293 -2.2183 0.0269 0.9108 1.8801

166 Religare Tax Plan(G) 3.4278 0.0006 -3.5531 0.0004 0.8194 1.8161

167 Sahara Growth(G) 1.6368 0.1021 -1.0534 0.2925 0.8871 1.8059

168 Sahara Infra-Fixed Pricing(G) 1.9741 0.0488 -2.0773 0.0381 0.7948 1.6448

169 Sahara Infra-Variable Pricing(G) 2.0050 0.0453 -2.0246 0.0433 0.7966 1.6432

170 Sahara Midcap(G) 3.1684 0.0016 -3.7753 0.0002 0.6858 1.7129

171 Sahara Tax Gain(G) 2.5591 0.0107 -2.7537 0.0060 0.6503 2.4160

172 Sahara Wealth Plus-Fixed Pricing(G) 2.4959 0.0128 -3.3341 0.0009 0.7670 1.7579

173 Sahara Wealth Plus-Variable Pricing(G) 2.4623 0.0140 -3.2659 0.0011 0.5895 2.4339

174 SBI Blue Chip(G) 0.4507 0.6524 -0.7403 0.4594 0.9374 1.7393

175 SBI One India(G) 0.4970 0.6193 -2.2128 0.0272 0.9096 1.6837

176 Sundaram BNPP CAPEX Oppor(G) 1.6541 0.0986 -1.6818 0.0930 0.7341 1.6732

177 Sundaram BNPP Equity Multiplier(G) 2.1125 0.0350 -3.0276 0.0026 0.7236 2.1968

178 Sundaram BNPP Growth(G) 2.4668 0.0139 -3.4218 0.0007 0.8736 1.7085

179 Sundaram BNPP India Leadership(G) 1.7313 0.0838 -2.2574 0.0243 0.8400 1.8278

180 Sundaram BNPP Rural India(G) 3.2893 0.0011 - 4.8573 0.0000 0.8176 1.7613

181 Sundaram BNPP Select Focus(G) 0.4074 0.6838 -0.1111 0.9116 0.8445 1.9383

182 Sundaram BNPP Select Midcap(G) 2.6732 0.0077 -3.2332 0.0013 0.6847 1.7951

183 Sundaram BNPP SMILE (G) 4.3412 0.0000 -4.9313 0.0000 0.7909 1.6563

184 Sundaram BNPP Tax Saver(G) 1.2305 0.2189 -0.9150 0.3605 0.8210 1.9465

185 Tata Contra(G) 3.6211 0.0003 - 4.4169 0.0000 0.8294 1.7151

186 Tata Dividend Yield(G) 3.8502 0.0001 - 4.2514 0.0000 0.7388 1.8313

187 Tata Equity Opportunities(G) 3.5725 0.0004 - 4.5990 0.0000 0.8478 1.6590

188 Tata Equity P/E(G) 3.7697 0.0002 -3.8233 0.0001 0.7995 1.7142

(continued on next page)

(continued)

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

189 Tata Growth(G) 3.2355 0.0013 -4.6435 0.0000 0.7983 1.6985

190 Tata Infrastructure(G) 2.6103 0.0092 -2.8783 0.0041 0.9123 1.7417

191 Tata Mid Cap(G) 3.2283 0.0013 -4.5823 0.0000 0.7014 1.5988

192 Tata Pure Equity(G) 2.7629 0.0059 -2.7805 0.0056 0.9022 1.7467

193 Tata Select Equity(G) 4.3930 0.0000 -6.0774 0.0000 0.8043 1.6765

194 Tata Service Inds(G) 1.7673 0.0776 -2.8057 0.0052 0.8182 1.7807

195 Tata Tax Saving 1.4401 0.1503 -2.9246 0.0036 0.7921 1.8025

196 Taurus Bonanza(G) 2.3600 0.0185 -3.7784 0.0002 0.8556 1.6932

197 Taurus Discovery(G) 2.8422 0.0046 -4.8258 0.0000 0.6688 1.6851

198 Taurus Infrastructure(G) 1.8546 0.0641 -2.6565 0.0081 0.7564 1.6189

199 Taurus Star Share(G) 2.7603 0.0059 -3.9716 0.0001 0.7791 1.8102

200 Taurus Tax Shield(G) 3.9093 0.0001 - 4.0599 0.0001 0.7127 1.6855

201 Templeton India Equity Income(G) 2.2473 0.0249 -2.3417 0.0195 0.7963 1.9132

202 Templeton India Growth(G) 4.5746 0.0000 -4.4582 0.0000 0.8837 1.8414

203 UTI Banking Sector(G) 0.4906 0.6239 0.5061 0.6129 0.8403 1.6403

204 UTI Contra(G) 2.3570 0.0187 -2.4449 0.0147 0.8699 1.8060

205 UTI Dividend Yield(G) 3.8145 0.0001 -3.6294 0.0003 0.8230 1.6975

206 UTI Equity Tax Savings Plan (G) 2.1604 0.0311 -2.9279 0.0035 0.9159 1.8439

207 UTI Equity(G) 3.8167 0.0001 -3.9183 0.0001 0.8964 1.8799

208 UTI Infrastructure(G) 1.9049 0.0572 -2.4299 0.0154 0.8562 1.7291

209 UTI Leadership Equity(G) 2.0680 0.0390 -3.3122 0.0010 0.9345 2.1008

210 UTI Master Index(G) 0.4701 0.6384 -0.6989 0.4849 0.8599 3.0625

211 UTI Master Plus '91 (G) 0.4044 0.6860 -1.1925 0.2335 0.9588 1.8821

212 UTI Master Share(G) 2.5353 0.0115 -2.6195 0.0090 0.9070 2.0862

213 UTI Master Value(G) 4.6993 0.0000 -5.7887 0.0000 0.6540 1.6938

214 UTI Mid Cap(G) 4.0708 0.0001 -5.3491 0.0000 0.6391 1.6766

215 UTI MNC(G) 3.6644 0.0003 - 4.1716 0.0000 0.6942 1.8354

216 UTI Nifty Index(G) 1.5222 0.1284 -2.1278 0.0337 0.9768 1.9321

217 UTI Oppor(G) 1.6980 0.0900 -0.3909 0.6960 0.8782 1.7397

218 UTI Pharma & Healthcare(G) 5.2926 0.0000 -6.4888 0.0000 0.4667 1.7578

219 UTI Services Inds(G) 1.8264 0.0682 -3.3104 0.0010 0.9072 2.1319

220 UTI SUNDER 1.8756 0.0611 -2.0276 0.0430 0.9776 1.9607

Note: Standard errors are corrected for heteroskedasticity and autocorrelation using the White's (1980) correction.

Appendix 4

Results of Treynor and Mazuy (conditional) model: fund wise analysis

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient ( a) coefficient (g)

t-stat p-value t-stat p-value

1 Bank BeES -0.1876 0.8513 2.8068 0.0051 0.8153 1.9051

2 Baroda Pioneer ELSS 96 0.8249 0.4097 -1.4493 0.1477 0.8947 1.8744

3 Baroda Pioneer Growth 0.8726 0.3832 0.4609 0.6450 0.9374 1.9330

4 Birla SL Adv(G) -0.3176 0.7509 -0.8037 0.4219 0.9131 1.8682

5 Birla SL Asset Allocation-Agg.(G) 0.2016 0.8403 -0.2686 0.7883 0.8660 1.7445

6 Birla SL Basic Inds(G) -1.6480 0.0998 0.2283 0.8195 0.1662 2.0034

7 Birla SL Buy India(G) 1.8446 0.0655 -0.4277 0.6690 0.1617 2.0113

8 Birla SL Dividend Yield Plus(G) -2.0977 0.0363 -0.1228 0.9023 0.2153 1.9742

9 Birla SL Equity(G) 0.4650 0.6421 -0.1045 0.9168 0.9173 1.7474

(continued )

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

10 Birla SL Frontline Equity-A(G) -0.1133 0.9098 0.2461 0.8057 0.9484 1.7962

11 Birla SL Index(G) -0.3150 0.7528 -2.2921 0.0222 0.9603 2.7149

12 Birla SL India GenNext(G) 1.8126 0.0703 -0.5097 0.6104 0.0961 2.0145

13 Birla SL India Opportuniti'es(G) 0.5589 0.5764 -3.3188 0.0010 0.8337 1.8301

14 Birla SL Infrastructure-A(G) 0.7531 0.4517 0.7219 0.4706 0.8846 1.6579

15 Birla SL Midcap-A(G) 1.1869 0.2357 0.6810 0.4961 0.7592 1.7106

16 Birla SL MNC(G) -0.1347 0.8929 -2.0233 0.0434 0.7338 1.8111

17 Birla SL New Millennium(G) -0.3488 0.7273 -4.0367 0.0001 0.7888 1.6734

18 Birla SL Tax Plan(G) 0.5240 0.6004 -2.6533 0.0082 0.8192 1.9835

19 Birla SL Top 100(G) -1.2431 0.2143 -2.4726 0.0137 0.9519 2.0283

20 Canara Robeco Emerging Equity(G) 1.5513 0.1213 -0.6752 0.4998 0.7013 1.5480

21 Canara Robeco Equity Diversified(G) 0.0774 0.9384 1.0091 0.3133 0.9204 1.7796

22 Canara Robeco Infrastructure(G) 1.4778 0.1399 2.6104 0.0092 0.8831 1.7600

23 Canara Robeco Nifty Index(G) -0.2558 0.7982 -1.2426 0.2144 0.9766 2.0045

24 DSPBR India TIGER-Reg(G) 0.7801 0.4356 1.0039 0.3158 0.9137 1.7977

25 DSPBR Opportunities(G) 0.1722 0.8633 -0.1260 0.8998 0.9286 1.8008

26 DSPBR Small & Mid Cap-Reg(G) 1.2836 0.1997 -0.6506 0.5155 0.7098 1.7451

27 DSPBR Tax Saver(G) 0.9093 0.3635 -1.8360 0.0668 0.8341 1.8298

28 DSPBR Technology.com(G) -0.6486 0.5168 -5.9976 0.0000 0.7691 1.7139

29 DSPBR Top 100 Equity(G) -0.6960 0.4866 -1.3938 0.1638 0.9325 1.7782

30 DWS Alpha Equity(G) 0.1596 0.8732 -2.3471 0.0192 0.9358 1.7629

31 DWS Investment Opportunity(G) 1.6970 0.0901 -3.1082 0.0020 0.8882 1.7061

32 DWS Tax Saving(G) 1.5529 0.1209 -3.4612 0.0006 0.8909 1.7353

33 Escorts Growth(G) 0.2473 0.8047 -3.7478 0.0002 0.4654 1.6100

34 Escorts High Yield Equity(G) -0.9567 0.3390 -6.0863 0.0000 0.5163 1.9963

35 Escorts Tax(G) 0.7242 0.4692 -0.1776 0.8591 0.6615 1.8434

36 Fidelity Equity(G) 0.3226 0.7471 -0.9873 0.3238 0.9535 1.8204

37 Fidelity India Spl.Situations(G) 0.9938 0.3207 0.4298 0.6675 0.8610 1.7089

38 Fidelity Tax Advantage(G) 0.3958 0.6924 -1.4668 0.1429 0.9475 1.7831

39 Fortis Dividend Yield(G) -0.9998 0.3178 -0.5966 0.5509 0.7754 1.8441

40 Fortis Equity(G) -0.5315 0.5953 -1.4290 0.1535 0.9056 1.7340

41 Fortis Future Leaders(G) 1.6087 0.1081 -1.9071 0.0569 0.7210 1.6019

42 Fortis Opportunities(G) 1.0544 0.2921 -2.9820 0.0030 0.8266 1.9211

43 Fortis Tax Adv(G) 0.3894 0.6971 -2.6137 0.0092 0.8753 1.6853

44 Franklin FMCG(G) -0.1481 0.8823 -1.3787 0.1684 0.4420 2.3027

45 Franklin India Blue-chip(G) 0.0990 0.9212 0.4046 0.6859 0.9628 1.8433

46 Franklin India Flexi Cap(G) -0.1149 0.9086 -1.1571 0.2476 0.9269 1.8378

47 Franklin India Index Tax -0.3575 0.7208 -1.6614 0.0971 0.9793 1.9619

48 Franklin India Index-BSE Sensex(G) -0.0930 0.9259 0.2079 0.8353 0.9989 2.2100

49 Franklin India Infotech(G) -0.6789 0.4974 -3.0432 0.0024 0.3725 1.9704

50 Franklin India Opportunities(G) 0.1975 0.8435 -1.6889 0.0917 0.9080 1.9697

51 Franklin India Pharma(G) -0.0156 0.9876 -3.2470 0.0012 0.5415 1.6971

52 Franklin India Prima Plus(G) 0.6298 0.5290 -0.2497 0.8029 0.9143 1.9076

53 Franklin India Prima(G) 0.8122 0.4170 -1.4928 0.1359 0.7490 1.6573

54 Franklin India Tax shield(G) 0.4700 0.6385 -0.8405 0.4009 0.9508 2.0617

55 FT India Index Fund-Nifty Plan -0.0084 0.9933 -1.3247 0.1857 0.9795 1.9650

56 FT India Life Stage FOFs-20(G) 1.4121 0.1584 -0.9622 0.3363 0.9494 1.7510

57 HDFC Capital Builder(G) 0.4187 0.6756 -1.4214 0.1556 0.8609 1.8068

58 HDFC Core & Satellite(G) 0.4913 0.6234 -0.7672 0.4432 0.8519 1.8945

59 HDFC Equity(G) 0.0293 0.9767 -0.0466 0.9628 0.8949 1.8790

60 HDFC Growth(G) -0.0244 0.9806 -1.4442 0.1491 0.9172 1.8028

61 HDFC Index-Nifty(G) -0.4751 0.6349 -1.0328 0.3021 0.8879 2.9014

62 HDFC Index-Sensex Plus(G) -0.3351 0.7377 3.9209 0.0001 0.9849 1.7860

63 HDFC Index-Sensex(G) -0.8008 0.4235 - 4.0647 0.0001 0.9890 2.9644

64 HDFC Long Term Adv(G) 0.9875 0.3238 -0.6211 0.5347 0.8946 1.8509

(continued)

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

65 HDFC Premier Multi-Cap(G) 0.2936 0.7692 1.2513 0.2112 0.1785 2.9391

66 HDFC Tax Saver(G) 0.0608 0.9515 -0.1366 0.8914 0.8748 2.1003

67 HDFC Top 200(G) -0.4267 0.6697 0.4589 0.6465 0.9570 1.9130

68 HSBC Equity(G) 0.9563 0.3393 0.4414 0.6591 0.9546 1.8378

69 HSBC India Opportunities(G) -0.1148 0.9086 -1.3493 0.1777 0.8984 1.8383

70 HSBC Midcap Equity(G) 1.5701 0.1169 -1.6625 0.0969 0.7426 1.6788

71 HSBC Progressive Themes(G) 0.8137 0.4161 -0.7119 0.4767 0.9005 1.8597

72 HSBC Tax Saver Equity(G) 0.2072 0.8359 0.1495 0.8812 0.9035 1.7620

73 HSBC Unique Opportunities(G) 1.2949 0.1958 -1.3923 0.1643 0.8135 1.7658

74 ICICI Pru Advisor-Very Aggressive(G) -0.1256 0.9001 -0.2426 0.8084 0.7493 2.7708

75 ICICI Pru Discovery(G) -0.0398 0.9683 -1.0500 0.2941 0.6955 1.7637

76 ICICI Pru Discovery-Inst-1(G) -0.0039 0.9969 -0.9853 0.3248 0.7124 1.6129

77 ICICI Pru Dynamic(G) 0.1322 0.8949 -2.0085 0.0450 0.9107 1.7782

78 ICICI Pru Dynamic-Inst-1(G) 0.0271 0.9784 -2.8558 0.0044 0.8458 2.2022

79 ICICI Pru Emerging S.T.A.R.(G) 2.3789 0.0176 -0.4877 0.6259 0.7485 1.6226

80 ICICI Pru Emerging S.T.A.R.-Inst-1(G) 2.3537 0.0189 -0.6079 0.5434 0.7495 1.6250

81 ICICI Pru FMCG(G) -0.1658 0.8684 -3.6743 0.0003 0.5438 1.9072

82 ICICI Pru Growth(G) -1.0446 0.2966 0.1002 0.9202 0.9779 2.1105

83 ICICI Pru Growth-Inst-1(G) -0.9711 0.3318 0.1783 0.8586 0.9771 2.0894

84 ICICI Pru Index -0.3394 0.7344 -1.5485 0.1220 0.9695 2.2609

85 ICICI Pru Infrastructure(G) 0.1239 0.9015 -1.3639 0.1731 0.9320 1.8148

86 ICICI Pru Power(G) -0.2872 0.7740 -0.7386 0.4604 0.9494 1.9026

87 ICICI Pru Power-Inst-1(G) -0.2600 0.7950 -0.5977 0.5503 0.9478 1.9495

88 ICICI Pru Services Inds(G) 1.2619 0.2074 -1.0082 0.3137 0.9023 1.7750

89 ICICI Pru Tax Plan(G) 1.4297 0.1532 -0.8920 0.3727 0.8341 1.5300

90 ICICI Pru Technology(G) 0.0785 0.9374 -5.9873 0.0000 0.5919 1.6281

91 ICICI Prudential SPIcE 0.2899 0.7720 2.7760 0.0057 0.9584 2.7397

92 IDFC Classic Equity-A(G) 1.0211 0.3076 -0.5619 0.5743 0.9193 1.8488

93 IDFC Imperial Equity-A(G) -0.1175 0.9065 0.2391 0.8111 0.9553 1.7663

94 IDFC Premier Equity-A(G) 1.6418 0.1011 -0.9804 0.3272 0.7045 1.7952

95 ING C.U.B(G) 1.3758 0.1693 -2.4481 0.0146 0.7476 1.6791

96 ING Contra(G) 0.4889 0.6251 -1.6928 0.0909 0.8228 1.7552

97 ING Core Equity(G) 0.4764 0.6339 -0.6663 0.5054 0.9619 1.8882

98 ING Dividend Yield(G) 0.2063 0.8366 -1.4890 0.1370 0.7578 1.7529

99 ING Domestic Opportunities(G) -0.5381 0.5907 -1.4181 0.1566 0.9397 1.8059

100 ING Midcap(G) 0.9966 0.3193 -1.1012 0.2712 0.7925 1.6902

101 ING Nifty Plus(G) -0.1968 0.8440 -1.3883 0.1655 0.9769 1.9025

102 ING OptiMix 5 Star Multi-Mgr FoF(G) 0.3903 0.6964 -0.8195 0.4128 0.8872 2.0274

103 ING Tax Savings(G) 0.7376 0.4610 -1.2067 0.2280 0.7955 1.6380

104 JM Basic(G) 2.2726 0.0234 -0.6585 0.5104 0.7528 1.7456

105 JM Emerging Leaders(G) 2.4876 0.0131 -2.3122 0.0211 0.6646 1.5567

106 JM Equity(G) 0.9691 0.3329 2.4315 0.0153 0.8619 1.8092

107 JM Fin Services Sector(G) -0.0302 0.9760 -0.9050 0.3658 0.8002 1.7222

108 JM HI FI(G) 0.7212 0.4710 -3.6759 0.0003 0.7714 1.7963

109 Kotak 30(G) 0.1974 0.8436 0.1761 0.8602 0.9641 1.8759

110 Kotak Contra(G) -0.0389 0.9690 -1.8900 0.0592 0.8696 1.7254

111 Kotak Emerging Equity(G) 0.6538 0.5134 -2.4235 0.0156 0.7769 1.6653

112 Kotak Equity FOF(G) 1.1685 0.2430 2.6687 0.0078 0.8768 2.2578

113 Kotak Lifestyle(G) 0.1000 0.9204 -0.5356 0.5924 0.8637 1.8261

114 Kotak Midcap(G) 0.9217 0.3570 -1.0135 0.3112 0.7743 1.7134

115 Kotak Opportunities(G) 1.3364 0.1819 1.7856 0.0746 0.8696 2.2152

116 Kotak Tax Saver(G) 1.0882 0.2769 -0.2424 0.8085 0.8945 1.7863

117 L&T Contra 0.4893 0.6248 -1.8494 0.0648 0.8526 1.7769

118 L&T Global Advantage 0.4993 0.6177 -3.1965 0.0015 0.7911 1.7373

119 L&T Growth 0.1471 0.8831 -0.4122 0.6803 0.9308 1.8779

120 L&T Midcap 1.1043 0.2698 -0.9447 0.3451 0.7542 1.7266

(continued )

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

121 L&T Multicap 0.3861 0.6996 0.0758 0.9396 0.8987 1.7199

122 L&T Opportunities 1.4311 0.1529 -0.1589 0.8738 0.8964 0.8964

123 L&T Tax Saver 0.4103 0.6817 -0.5668 0.5710 0.8730 2.2208

124 LICMF Equity(G) 0.1211 0.9037 0.7137 0.4756 0.8243 2.3624

125 LICMF Growth(G) 0.0577 0.9540 1.6696 0.0955 0.8268 2.2548

126 LICMF Index-Sensex Adv(G) -0.0302 0.9759 1.8443 0.0656 0.9039 2.5692

127 LICMF Index-Sensex(G) 0.5316 0.5952 1.1837 0.2370 0.9561 2.4924

128 LICMF Opportunities(G) -0.1137 0.9095 1.4033 0.1610 0.6939 2.8933

129 LICMF Tax Plan(G) -0.0058 0.9954 0.6711 0.5024 0.8535 2.4405

130 Magnum Comma(G) 1.0459 0.2960 -2.4015 0.0166 0.8036 1.8057

131 Magnum Contra(G) 0.1723 0.8632 -1.2438 0.2140 0.9061 1.8614

132 Magnum Emerging Businesses(G) 2.3720 0.0180 0.5679 0.5703 0.7350 1.6653

133 Magnum Equity(G) 0.3893 0.6972 0.5794 0.5625 0.8927 1.9436

134 Magnum FMCG 0.1089 0.9133 -3.3188 0.0010 0.4821 1.9893

135 Magnum Global'94(G) 1.9710 0.0491 0.6473 0.5176 0.7475 1.7164

136 Magnum Index(G) -0.1154 0.9082 -2.4852 0.0132 0.9664 2.1443

137 Magnum IT -0.5571 0.5777 -4.3068 0.0000 0.5717 1.7708

138 Magnum Midcap(G) 1.1540 0.2489 -2.2144 0.0271 0.6856 1.6742

139 Magnum Multicap(G) 0.9572 0.3388 1.2722 0.2037 0.9230 1.8295

140 Magnum Multiplier Plus'93(G) 0.6231 0.5334 0.1588 0.8738 0.8348 1.8252

141 Magnum Pharma(G) 0.4528 0.6509 -3.7318 0.0002 0.4870 1.7279

142 Magnum TaxGain'93(G) 1.0152 0.3104 0.1330 0.8942 0.9379 1.7843

143 Morgan Stanley Growth(G) 1.0295 0.3036 0.4926 0.6225 0.9346 1.8319

144 Nifty BeES 0.0783 0.9376 -1.4193 0.1563 0.9787 1.9733

145 Nifty Junior BeES 0.1902 0.8492 -0.8426 0.3998 0.8207 1.8623

146 Principal Dividend Yield(G) 0.7687 0.4423 -1.0178 0.3091 0.7540 1.7022

147 Principal Growth(G) 1.2494 0.2119 -2.3683 0.0181 0.9004 1.7642

148 Principal Index 0.0181 0.9856 -1.7563 0.0795 0.9793 1.9340

149 Principal Large Cap(G) 0.5568 0.5779 -0.7629 0.4458 0.8876 2.0472

150 Principal Personal Tax saver -0.3668 0.7138 -2.2531 0.0246 0.6148 1.8520

151 Principal PNB LT Equity-3Y-I(G) 2.5653 0.0105 -2.0816 0.0377 0.6332 1.6811

152 Principal Resurgent India Equity(G) 0.9254 0.3551 -2.2476 0.0249 0.8740 1.7310

153 Principal Services Inds(G) -0.1211 0.9036 -0.7179 0.4731 0.8846 1.7545

154 Principal Tax Saving 1.0850 0.2783 -2.8100 0.0051 0.7834 1.8956

155 Quantum LT Equity(G) 0.9202 0.3578 1.6609 0.0972 0.8841 1.9142

156 Reliance Banking(G) 0.2342 0.8149 1.9667 0.0496 0.7992 1.6965

157 Reliance Equity Oppor-Ret(G) 0.7093 0.4784 -2.1803 0.0296 0.8723 1.7220

158 Reliance Equity-Ret(G) -0.8889 0.3743 -0.8593 0.3905 0.9012 1.9037

159 Reliance Growth-Ret(G) 1.2050 0.2286 -0.2840 0.7765 0.8463 1.6858

160 Reliance Long Term Equity(G) 0.9830 0.3259 -1.2572 0.2091 0.6936 1.9457

161 Reliance NRI Equity(G) -0.7599 0.4476 -0.5223 0.6016 0.9100 1.8780

162 Reliance Pharma(G) -0.6280 0.5302 -4.1230 0.0000 0.5434 1.7164

163 Reliance Reg Savings-Equity(G) 1.3978 0.1626 -1.0378 0.2997 0.8374 1.7343

164 Reliance Tax Saver (ELSS)(G) -0.1755 0.8608 -1.8178 0.0695 0.8301 1.6960

165 Reliance Vision-Ret(G) 0.2649 0.7911 0.2391 0.8111 0.9283 1.9198

166 Religare Tax Plan(G) 1.0086 0.3135 0.0056 0.9956 0.8240 1.8547

167 Sahara Growth(G) -0.4597 0.6458 0.9312 0.3521 0.9249 1.8582

168 Sahara Infra-Fixed Pricing(G) 0.3130 0.7544 1.4303 0.1531 0.8433 1.7334

169 Sahara Infra-Variable Pricing(G) 0.3339 0.7385 1.4572 0.1455 0.8444 1.7329

170 Sahara Midcap(G) 1.1866 0.2358 -0.6578 0.5109 0.7142 1.7696

171 Sahara Tax Gain(G) -0.0329 0.9737 1.7742 0.0765 0.6798 2.5189

172 Sahara Wealth Plus-Fixed Pricing(G) 0.2541 0.7995 0.1741 0.8618 0.8445 1.8582

173 Sahara Wealth Plus-Variable Pricing(G) 0.2501 0.8026 1.3577 0.1750 0.6452 2.5855

174 SBI Blue Chip(G) 0.6551 0.5126 2.2165 0.0270 0.9453 1.8194

175 SBI One India(G) 1.7387 0.0825 1.0657 0.2869 0.9187 1.7597

176 Sundaram BNPP CAPEX Oppor(G) 1.9301 0.0540 0.4204 0.6743 0.7916 1.7152

(continued)

Sl. No. Equity funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

177 Sundaram BNPP Equity Multiplier(G) -0.0872 0.9305 -3.2818 0.0011 0.7682 2.2447

178 Sundaram BNPP Growth(G) 0.5159 0.6061 -1.9938 0.0466 0.8933 1.7360

179 Sundaram BNPP India Leadership(G) 0.6758 0.4994 -1.7288 0.0843 0.8635 1.8807

180 Sundaram BNPP Rural India(G) 0.8767 0.3810 -1.8635 0.0628 0.8355 1.7956

181 Sundaram BNPP Select Focus(G) 0.7058 0.4806 0.6371 0.5242 0.8922 2.1386

182 Sundaram BNPP Select Midcap(G) 0.5581 0.5769 -0.9371 0.3491 0.7185 1.8716

183 Sundaram BNPP SMILE (G) 0.0169 0.9866 -3.2154 0.0014 0.8097 1.6631

184 Sundaram BNPP Tax Saver(G) -0.1212 0.9036 -1.5573 0.1199 0.8584 1.9813

185 Tata Contra(G) 1.0805 0.2803 -1.0555 0.2916 0.8356 1.7141

186 Tata Dividend Yield(G) 0.9976 0.3188 0.2447 0.8068 0.7641 1.7889

187 Tata Equity Opportunities(G) 1.5180 0.1295 -0.4122 0.6803 0.8629 1.6843

188 Tata Equity P/E(G) 0.9170 0.3595 -0.6606 0.5091 0.8175 1.7243

189 Tata Growth(G) 1.1270 0.2601 -0.6471 0.5178 0.8080 1.7281

190 Tata Infrastructure(G) 1.6724 0.0949 0.3147 0.7531 0.9165 1.7476

191 Tata Mid Cap(G) 1.6177 0.1062 -0.5224 0.6016 0.7235 1.6204

192 Tata Pure Equity(G) 0.5600 0.5756 -0.2518 0.8013 0.9167 1.7590

193 Tata Select Equity(G) 1.0960 0.2734 -3.0562 0.0023 0.8105 1.6899

194 Tata Service Inds(G) -0.1421 0.8870 -0.8548 0.3930 0.8355 1.7942

195 Tata Tax Saving -0.5357 0.5923 -0.3968 0.6917 0.8086 1.8231

196 Taurus Bonanza(G) 1.0475 0.2952 2.0047 0.0454 0.8681 1.7153

197 Taurus Discovery(G) 3.0650 0.0023 0.1777 0.8590 0.7111 1.7190

198 Taurus Infrastructure(G) 1.2741 0.2030 2.5519 0.0109 0.7689 1.6885

199 Taurus Star Share(G) 1.5018 0.1336 1.7858 0.0746 0.7902 1.8439

200 Taurus Tax Shield(G) 0.8265 0.4088 0.1327 0.8944 0.7399 1.7220

201 Templeton India Equity Income(G) 1.8777 0.0608 -0.0713 0.9432 0.8087 1.9987

202 Templeton India Growth(G) 1.7907 0.0738 -2.0860 0.0373 0.8898 1.8360

203 UTI Banking Sector(G) -0.3092 0.7573 1.4499 0.1475 0.8484 1.6597

204 UTI Contra(G) -0.6846 0.4938 -0.9505 0.3422 0.8905 1.8718

205 UTI Dividend Yield(G) 0.0393 0.9687 -1.3201 0.1872 0.8568 1.7000

206 UTI Equity Tax Savings Plan (G) 1.7177 0.0863 0.6375 0.5240 0.9358 1.8256

207 UTI Equity(G) -0.0731 0.9417 -1.4616 0.1443 0.9168 1.8719

208 UTI Infrastructure(G) 0.7020 0.4829 0.3764 0.7068 0.8796 1.7647

209 UTI Leadership Equity(G) 0.0748 0.9404 -1.0234 0.3065 0.9444 2.1911

210 UTI Master Index(G) 0.2072 0.8359 -0.3347 0.7379 0.8725 2.9649

211 UTI Master Plus '91 (G) -0.0490 0.9609 1.9664 0.0497 0.9677 1.9358

212 UTI Master Share(G) 0.6057 0.5449 2.3362 0.0198 0.9266 2.2523

213 UTI Master Value(G) 0.7470 0.4553 -3.0350 0.0025 0.6669 1.7171

214 UTI Mid Cap(G) 0.7953 0.4267 -2.5192 0.0120 0.6726 1.6930

215 UTI MNC(G) -0.5394 0.5898 -2.3811 0.0175 0.7215 1.8267

216 UTI Nifty Index(G) -0.2277 0.8200 -1.6484 0.0997 0.9776 1.9362

217 UTI Oppor(G) 0.4379 0.6616 1.5429 0.1233 0.9079 1.8547

218 UTI Pharma & Healthcare(G) 0.1423 0.8869 -3.0548 0.0023 0.4977 1.7305

219 UTI Services Inds(G) -0.4772 0.6333 -0.8952 0.3710 0.9170 2.2047

220 UTI SUNDER -0.1698 0.8652 1.2119 0.2260 0.9789 1.9524

Note: Standard errors are corrected for heteroskedasticity and autocorrelation using the White's (1980) correction.

Appendix 5

Results of Henriksson and Merton (conditional) model: fund wise analysis

1 Bank BeES

2 Baroda Pioneer ELSS 96

3 Baroda Pioneer Growth

4 Birla SL Adv(G)

5 Birla SL Asset Allocation-Agg. (G)

6 Birla SL Basic Inds(G)

7 Birla SL Buy India(G)

8 Birla SL Dividend Yield Plus(G)

9 Birla SL Equity(G)

10 Birla SL Frontline Equity-A(G)

11 Birla SL Index(G)

12 Birla SL India GenNext(G)

13 Birla SL India Opportunities(G)

14 Birla SL Infrastructure-A(G)

15 Birla SL Midcap-A(G)

16 Birla SL MNC(G)

17 Birla SL New Millennium(G)

18 Birla SL Tax Plan(G)

19 Birla SL Top 100(G)

20 Canara Robeco Emerging Equity(G)

21 Canara Robeco Equity Diversified(G)

22 Canara Robeco Infrastructure(G)

23 Canara Robeco Nifty Index(G)

24 DSPBR India TIGER-Reg(G)

25 DSPBR Opportunities(G)

26 DSPBR Small & Mid Cap-Reg(G)

27 DSPBR Tax Saver(G)

28 DSPBR Technology.com(G)

29 DSPBR Top 100 Equity(G)

30 DWS Alpha Equity(G)

31 DWS Investment Opportunity(G)

32 DWS Tax Saving(G)

33 Escorts Growth(G)

34 Escorts High Yield Equity(G)

35 Escorts Tax(G)

36 Fidelity Equity(G)

37 Fidelity India Spl.Situations(G)

38 Fidelity Tax Advantage(G)

39 Fortis Dividend Yield(G)

40 Fortis Equity(G)

41 Fortis Future Leaders(G)

42 Fortis Opportunities(G)

43 Fortis Tax Adv(G)

44 Franklin FMCG(G)

45 Franklin India Blue-chip(G)

46 Franklin India Flexi Cap(G)

47 Franklin India Index Tax

48 Franklin India Index-BSE Sensex(G)

-0.2932 0.7694 1.6889 0

0.3377 0.7357 -3.7021 0

0.3719 0.7101 -2.2055 0

-0.8178 0.4138 -3.2382 0

-0.3494 0.7269 -3.0690 0

-1.7252 0.0849 -0.2727 0

1.6986 0.0898 -1.0415 0

-2.2408 0.0254 -0.9053 0

-0.1162 0.9075 -3.0934 0

-0.5111 0.6095 -1.8631 0

-0.4064 0.6846 -2.3242 0

1.7330 0.0835 -0.7610 0

0.2936 0.7691 -4.0393 0

0.0326 0.9740 -3.1457 0

0.5140 0.6074 -2.9273 0

-0.5402 0.5892 -3.7346 0

-0.3665 0.7141 -3.3393 0

0.3067 0.7592 -3.2493 0

-1.4441 0.1492 -3.0583 0

1.0119 0.3119 -3.3464 0

-0.4819 0.6301 -2.0807 0

0.7298 0.4657 -1.7094 0

-0.3256 0.7448 -1.3681 0

0.1417 0.8873 -2.4831 0

-0.2348 0.8145 -2.2052 0

0.7435 0.4574 -3.3281 0

0.4093 0.6824 -4.0892 0

-0.6446 0.5194 -4.8040 0

-0.9819 0.3265 -2.6141 0

0.0035 0.9972 -2.6908 0

1.3773 0.1689 -4.1522 0

1.2294 0.2193 -4.4599 0

0.1738 0.8621 -3.3733 0

-0.8861 0.3759 -4.5548 0

0.1330 0.8942 -3.2060 0

-0.1878 0.8511 -3.4425 0

0.4542 0.6498 -2.4334 0

-0.1145 0.9089 -3.8341 0

-1.3740 0.1699 -2.4315 0

-0.9323 0.3515 -3.2307 0

1.1347 0.2569 -4.0168 0

0.5770 0.5641 -4.9134 0

-0.0202 0.9839 -4.2378 0

-0.3700 0.7115 -2.2617 0

-0.1499 0.8809 -0.9597 0

-0.5260 0.5991 -3.0629 0

-0.4783 0.6326 -1.9707 0

0.1912 0.8484 1.6358 0

0917 0.8140

0002 0.8964

0277 0.9378

0013 0.9143

0022 0.8678 7852 0.1662 2980 0.1628 3656 0.2163 0021 0.9184 0629 0.9487 0204 0.9603 4469 0.0965

0001 0.8349 0017 0.8861 0035 0.7620

0002 0.7375 0009 0.7872 0012 0.8201

0023 0.9521 0009 0.7059 0378 0.9208 0878 0.8825 1717 0.9766 0133 0.9143

0278 0.9291 0009 0.7142 0000 0.8372 0000 0.7649 0091 0.9330 0073 0.9359 0000 0.8894 0000 0.8921 0008 0.4633

0000 0.5053

0014 0.6664 0006 0.9542

0152 0.8621

0001 0.9484

0153 0.7771 0013 0.9068 0001 0.7259 0000 0.8303 0000 0.8772 0240 0.4446 3375 0.9628 0023 0.9278 0492 0.9793 1023 0.9989

(continued on

1.9115 1.8879 1.9221 1.8790 1.7569 2.0037 2.0122 1.9763 1.7589 1.7965 2.7196 2.0146 1.8467 1.6679 1.7221 1.8198 1.7016 2.0016 2.0349 1.5678 1.7765 1.7607 2.0081 1.8024 1.8080 1.7649 1.8465 1.7501 1.7789 1.7567 1.7029 1.7336 1.6486 2.0472 1.8602 1.8375 1.7130 1.7984 1.8490 1.7489 1.6126 1.9184 1.6961 2.2977 1.8446 1.8420 1.9660 2.2304 next page)

(continued)

Sl. No. Equity Funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

49 Franklin India Infotech(G) -0.3920 0.6952 -0.9880 0.3235 0.3650 1.9910

50 Franklin India Opportunities(G) -0.3616 0.7178 - 4.2694 0.0000 0.9100 1.9773

51 Franklin India Pharma(G) -0.1647 0.8692 -3.3812 0.0008 0.5421 1.7077

52 Franklin India Prima Plus(G) 0.0929 0.9260 -2.9799 0.0030 0.9154 1.9061

53 Franklin India Prima(G) 0.1883 0.8507 - 4.4679 0.0000 0.7552 1.6751

54 Franklin India Tax shield(G) 0.0277 0.9779 -2.9660 0.0031 0.9514 2.0652

55 FT India Index Fund-Nifty Plan -0.1600 0.8730 -1.8495 0.0648 0.9796 1.9706

56 FT India Life Stage F0Fs-20(G) 0.9651 0.3348 -3.0873 0.0021 0.9501 1.7584

57 HDFC Capital Builder(G) -0.0408 0.9675 -3.5298 0.0004 0.8630 1.8106

58 HDFC Core & Satellite(G) 0.2921 0.7703 -1.6349 0.1025 0.8524 0.8524

59 HDFC Equity(G) -0.3963 0.6920 -2.2396 0.0254 0.8957 1.8905

60 HDFC Growth(G) -0.5296 0.5966 -3.7844 0.0002 0.9186 1.8055

61 HDFC Index-Nifty(G) -0.6597 0.5097 -1.7988 0.0725 0.8882 2.9112

62 HDFC Index-Sensex Plus(G) -0.5476 0.5841 1.9974 0.0462 0.9847 1.7897

63 HDFC Index-Sensex(G) -0.8514 0.3948 -3.5556 0.0004 0.9890 2.9644

64 HDFC Long Term Adv(G) 0.5191 0.6038 -2.9213 0.0036 0.8958 1.8612

65 HDFC Premier Multi-Cap(G) 0.3163 0.7518 1.1328 0.2577 0.1781 2.9386

66 HDFC Tax Saver(G) -0.2398 0.8106 -1.6643 0.0965 0.8753 2.1119

67 HDFC Top 200(G) -0.7829 0.4340 -1.4861 0.1377 0.9572 1.9126

68 HSBC Equity(G) 0.5631 0.5736 -1.6564 0.0981 0.9548 1.8373

69 HSBC India Opportunities(G) -0.5336 0.5938 -3.2582 0.0012 0.8996 1.8433

70 HSBC Midcap Equity(G) 0.8808 0.3787 - 4.9976 0.0000 0.7506 1.6896

71 HSBC Progressive Themes(G) 0.3967 0.6917 -2.7257 0.0066 0.9015 1.8602

72 HSBC Tax Saver Equity(G) -0.4873 0.6262 -3.4760 0.0005 0.9051 1.7661

73 HSBC Unique Opportunities(G) 0.6067 0.5442 - 4.7499 0.0000 0.8189 1.7780

74 ICICI Pru Advisor-Very Aggressive(G) -0.5357 0.5923 -2.3200 0.0206 0.7512 2.7728

75 ICICI Pru Discovery(G) -0.5184 0.6043 -3.3263 0.0009 0.6999 1.7970

76 ICICI Pru Discovery-Inst-I(G) -0.5073 0.6121 -3.4030 0.0007 0.7167 1.6453

77 ICICI Pru Dynamic(G) -0.1655 0.8686 -3.1588 0.0017 0.9114 1.7977

78 ICICI Pru Dynamic-Inst-I(G) -0.4689 0.6393 - 4.8861 0.0000 0.8492 2.2155

79 ICICI Pru Emerging S.T.A.R.(G) 1.7412 0.0821 -3.7347 0.0002 0.7534 1.6466

80 ICICI Pru Emerging S.T.A.R.-Inst-I(G) 1.7254 0.0849 -3.7850 0.0002 0.7544 1.6488

81 ICICI Pru FMCG(G) -0.2486 0.8038 -3.3815 0.0008 0.5424 1.9001

82 ICICI Pru Growth(G) -1.0559 0.2914 -0.0143 0.9886 0.9779 2.1109

83 ICICI Pru Growth-Inst-I(G) -0.9983 0.3185 -0.0309 0.9753 0.9771 2.0903

84 ICICI Pru Index -0.4107 0.6814 -1.6242 0.1048 0.9695 2.2654

85 ICICI Pru Infrastructure(G) -0.2942 0.7687 -3.2658 0.0011 0.9328 1.8256

86 ICICI Pru Power(G) -0.4447 0.6567 -1.4172 0.1569 0.9495 1.9134

87 ICICI Pru Power-Inst-I(G) -0.4136 0.6793 -1.2834 0.1998 0.9479 1.9598

88 ICICI Pru Services Inds(G) 0.8559 0.3923 -2.9066 0.0038 0.9034 1.7886

89 ICICI Pru Tax Plan(G) 0.8775 0.3805 -3.5953 0.0003 0.8370 1.5605

90 ICICI Pru Technology(G) 0.1788 0.8582 - 4.2211 0.0000 0.5815 1.6504

91 ICICI Prudential SPIcE 0.3332 0.7391 2.4620 0.0141 0.9583 2.7353

92 IDFC Classic Equity-A(G) 0.6795 0.4970 -2.2025 0.0280 0.9198 1.8441

93 IDFC Imperial Equity-A(G) -0.2125 0.8318 -0.3037 0.7614 0.9553 1.7644

94 IDFC Premier Equity-A(G) 0.9960 0.3196 - 4.1828 0.0000 0.7114 1.8318

95 ING C.U.B(G) 0.8330 0.4052 - 4.8404 0.0000 0.7537 1.6912

96 ING Contra(G) -0.0118 0.9906 -3.9698 0.0001 0.8261 1.7665

97 ING Core Equity(G) -0.0078 0.9938 -3.0438 0.0024 0.9624 1.8887

98 ING Dividend Yield(G) -0.1427 0.8866 -3.0055 0.0027 0.7602 1.7567

99 ING Domestic Opportum'ties(G) -1.2883 0.1981 -5.0133 0.0000 0.9417 1.8042

100 ING Midcap(G) 0.5309 0.5957 -3.3023 0.0010 0.7954 1.7007

101 ING Nifty Plus(G) -0.3828 0.7020 -2.0840 0.0375 0.9769 1.9096

102 ING OptiMix 5 Star Multi-Mgr FoF(G) -0.0621 0.9505 -3.0020 0.0028 0.8885 2.0307

103 ING Tax Savings(G) 0.2859 0.7751 -3.3145 0.0010 0.7983 1.6484

104 JM Basic(G) 1.7461 0.0812 -3.2657 0.0011 0.7564 1.7588

105 JM Emerging Leaders(G) 2.1835 0.0293 -3.4107 0.0007 0.6676 1.5721

(continued)

Sl. No. Equity Funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

106 JM Equity(G) 0.3719 0.7101 -1.0951 0.2739 0.8610 1.8411

107 JM Fin Services Sector(G) -0.4690 0.6392 -3.0027 0.0028 0.8026 1.7242

108 JM HI FI(G) 0.2987 0.7652 -5.1756 0.0000 0.7756 1.8021

109 Kotak 30(G) -0.0994 0.9209 -1.3891 0.1652 0.9642 1.8793

110 Kotak Contra(G) -0.5754 0.5652 -4.3102 0.0000 0.8723 1.7355

111 Kotak Emerging Equity(G) 0.0925 0.9264 - 4.8973 0.0000 0.7826 1.6769

112 Kotak Equity FOF(G) 0.5673 0.5707 -0.9114 0.3624 0.8757 2.2957

113 Kotak Lifestyle(G) -0.4388 0.6609 -3.2225 0.0013 0.8656 1.8419

114 Kotak Midcap(G) 0.3301 0.7414 -3.9002 0.0001 0.7788 1.7215

115 Kotak Opportunities(G) 0.9459 0.3445 -0.5296 0.5965 0.8690 2.2205

116 Kotak Tax Saver(G) 0.4872 0.6263 -3.3135 0.0010 0.8962 1.8001

117 L&T Contra 0.0488 0.9611 -3.7794 0.0002 0.8549 1.7904

118 L&T Global Advantage 0.0891 0.9290 - 4.7167 0.0000 0.7946 1.7627

119 L&T Growth -0.2416 0.8092 -2.3420 0.0195 0.9313 1.8883

120 L&T Midcap 0.5859 0.5582 -3.4549 0.0006 0.7580 1.7378

121 L&T Multicap -0.0499 0.9602 -2.1888 0.0289 0.8994 1.7392

122 L&T Opportunities 0.9672 0.3338 -2.5130 0.0122 0.8973 1.7241

123 L&T Tax Saver -0.0213 0.9830 -2.6877 0.0074 0.8743 2.2378

124 LICMF Equity(G) -0.0386 0.9692 -0.2491 0.8034 0.8242 2.3650

125 LICMF Growth(G) -0.0715 0.9430 0.6720 0.5018 0.8262 2.2593

126 LICMF Index-Sensex Adv(G) -0.1870 0.8517 0.6646 0.5065 0.9035 2.5662

127 LICMF Index-Sensex(G) 0.6331 0.5269 1.4932 0.1358 0.9562 2.4876

128 LICMF Opportunities(G) -0.4659 0.6414 -0.7021 0.4828 0.6932 2.8937

129 LICMF Tax Plan(G) -0.2341 0.8149 -0.6431 0.5203 0.8534 2.4460

130 Magnum Comma(G) 0.6966 0.4863 -3.7431 0.0002 0.8059 1.8159

131 Magnum Contra(G) -0.1538 0.8778 -2.6885 0.0074 0.9068 1.8588

132 Magnum Emerging Businesses(G) 1.7644 0.0781 -2.6649 0.0079 0.7375 1.6748

133 Magnum Equity(G) -0.0392 0.9688 -1.7419 0.0820 0.8931 1.9395

134 Magnum FMCG -0.0491 0.9609 -3.4811 0.0005 0.4830 1.9732

135 Magnum Global'94(G) 1.3282 0.1845 -2.7902 0.0054 0.7501 1.7388

136 Magnum Index(G) -0.3123 0.7549 -3.0217 0.0026 0.9666 2.1502

137 Magnum IT -0.3855 0.7000 -2.5841 0.0100 0.5644 1.7800

138 Magnum Midcap(G) 0.6528 0.5141 - 4.4125 0.0000 0.6921 1.6973

139 Magnum Multicap(G) 0.3669 0.7138 -2.0078 0.0451 0.9233 1.8410

140 Magnum Multiplier Plus'93(G) 0.1056 0.9159 -2.5438 0.0112 0.8363 1.8236

141 Magnum Pharma(G) 0.1957 0.8449 -4.3291 0.0000 0.4905 1.7345

142 Magnum TaxGain'93(G) 0.4218 0.6733 -2.9616 0.0032 0.9386 1.7811

143 Morgan Stanley Growth(G) 0.4982 0.6185 -2.3376 0.0197 0.9351 1.8462

144 Nifty BeES -0.0448 0.9642 -1.7758 0.0762 0.9787 1.9771

145 Nifty Junior BeES -0.2533 0.8001 -2.9755 0.0030 0.8228 1.8708

146 Principal Dividend Yield(G) 0.2905 0.7715 -3.2995 0.0010 0.7574 1.7145

147 Principal Growth(G) 0.9508 0.3420 -3.4411 0.0006 0.9012 1.7809

148 Principal Index -0.1501 0.8808 -2.2823 0.0228 0.9793 1.9387

149 Principal Large Cap(G) 0.1771 0.8595 -2.5736 0.0103 0.8886 2.0572

150 Principal Personal Tax saver -0.8701 0.3845 -4.4259 0.0000 0.6227 1.8628

151 Principal PNB LT Equity-3Y-I(G) 2.0013 0.0457 - 4.6894 0.0000 0.6422 1.7068

152 Principal Resurgent India Equity(G) 0.5078 0.6118 -3.9854 0.0001 0.8759 1.7460

153 Principal Services Inds(G) -0.5025 0.6155 -2.5544 0.0108 0.8856 1.7673

154 Principal Tax Saving 0.6722 0.5017 - 4.4201 0.0000 0.7869 1.9170

155 Quantum LT Equity(G) 0.4838 0.6287 -0.8890 0.3743 0.8838 1.9219

156 Reliance Banking(G) -0.1911 0.8485 -0.6149 0.5388 0.7982 1.6927

157 Reliance Equity Oppor-Ret(G) 0.3836 0.7014 -3.4392 0.0006 0.8736 1.7351

158 Reliance Equity-Ret(G) -1.3751 0.1695 -3.2104 0.0014 0.9025 1.9010

159 Reliance Growth-Ret(G) 0.6079 0.5435 -3.3277 0.0009 0.8487 1.6978

160 Reliance Long Term Equity(G) 0.5471 0.5845 -3.2717 0.0011 0.6976 1.9742

161 Reliance NRI Equity(G) -1.2228 0.2218 -2.8222 0.0049 0.9110 1.8726

(continued)

Sl. No. Equity Funds Stock-selectivity Market-timing R2 DW stat

coefficient (a) coefficient (g)

t-stat p-value t-stat p-value

162 Reliance Pharma(G) -1.0290 0.3038 -5.4082 0.0000 0.5512 1.7357

163 Reliance Reg Savings-Equity(G) 0.9947 0.3202 -2.9139 0.0037 0.8391 1.7315

164 Reliance Tax Saver (ELSS)(G) -0.5409 0.5887 -3.3603 0.0008 0.8320 1.6971

165 Reliance Vision-Ret(G) -0.1664 0.8679 -2.0349 0.0422 0.9287 1.9214

166 Religare Tax Plan(G) 0.5026 0.6154 -2.6055 0.0094 0.8257 1.8543

167 Sahara Growth(G) -0.8108 0.4178 -1.0844 0.2786 0.9249 1.8582

168 Sahara Infra-Fixed Pricing(G) -0.2993 0.7648 -2.0108 0.0447 0.8437 1.7178

169 Sahara Infra-Variable Pricing(G) -0.2722 0.7855 -1.9565 0.0508 0.8447 1.7182

170 Sahara Midcap(G) 0.5364 0.5919 -3.9242 0.0001 0.7202 1.7801

171 Sahara Tax Gain(G) -0.6006 0.5483 -1.5156 0.1301 0.6794 2.5168

172 Sahara Wealth Plus-Fixed Pricing(G) -0.2180 0.8275 -2.2993 0.0218 0.8457 1.8615

173 Sahara Wealth Plus-Variable Pricing(G) -0.2702 0.7871 -1.5947 0.1112 0.6456 2.5886

174 SBI Blue Chip(G) 0.1081 0.9140 -1.0248 0.3058 0.9450 1.8051

175 SBI One India(G) 1.1711 0.2419 -2.0399 0.0417 0.9190 1.7724

176 Sundaram BNPP CAPEX Oppor(G) 1.2173 0.2239 -3.3619 0.0008 0.7949 1.7196

177 Sundaram BNPP Equity Multiplier(G) -0.4503 0.6527 -4.5324 0.0000 0.7713 2.2277

178 Sundaram BNPP Growth(G) 0.1854 0.8529 -3.3152 0.0010 0.8944 1.7345

179 Sundaram BNPP India Leadership(G) 0.4542 0.6498 -2.5238 0.0118 0.8642 1.8824

180 Sundaram BNPP Rural India(G) 0.3270 0.7437 -4.3782 0.0000 0.8391 1.7941

181 Sundaram BNPP Select Focus(G) 0.4100 0.6819 -0.9962 0.3195 0.8923 2.1416

182 Sundaram BNPP Select Midcap(G) 0.0313 0.9750 -3.4893 0.0005 0.7231 1.8800

183 Sundaram BNPP SMILE (G) -0.4098 0.6821 -4.8138 0.0000 0.8131 1.6705

184 Sundaram BNPP Tax Saver(G) -0.3396 0.7342 -2.3867 0.0173 0.8591 1.9810

185 Tata Contra(G) 0.6062 0.5446 -3.3103 0.0010 0.8379 1.7199

186 Tata Dividend Yield(G) 0.6029 0.5468 -1.8238 0.0686 0.7652 1.8056

187 Tata Equity Opportunities(G) 0.9336 0.3508 -3.3691 0.0008 0.8651 1.6922

188 Tata Equity P/E(G) 0.5665 0.5713 -2.3319 0.0200 0.8188 1.7327

189 Tata Growth(G) 0.5022 0.6157 -3.7777 0.0002 0.8118 1.7334

190 Tata Infrastructure(G) 1.0439 0.2969 -2.9960 0.0028 0.9175 1.7518

191 Tata Mid Cap(G) 0.9778 0.3285 -3.7627 0.0002 0.7289 1.6299

192 Tata Pure Equity(G) 0.1246 0.9009 -2.4499 0.0145 0.9174 1.7609

193 Tata Select Equity(G) 0.7910 0.4292 -4.0349 0.0001 0.8124 1.7046

194 Tata Service Inds(G) -0.4816 0.6302 -2.4483 0.0146 0.8368 1.8104

195 Tata Tax Saving -0.9701 0.3324 -2.5739 0.0103 0.8104 1.8390

196 Taurus Bonanza(G) 0.3287 0.7425 -2.0755 0.0383 0.8682 1.6946

197 Taurus Discovery(G) 2.3715 0.0180 -3.4767 0.0005 0.7160 1.7214

198 Taurus Infrastructure(G) 0.5633 0.5734 -1.5733 0.1161 0.7676 1.6734

199 Taurus Star Share(G) 0.8396 0.4014 -1.9442 0.0523 0.7904 1.8309

200 Taurus Tax Shield(G) 0.1335 0.8938 -3.4883 0.0005 0.7444 1.7163

201 Templeton India Equity Income(G) 1.7503 0.0805 -0.6551 0.5126 0.8088 2.0049

202 Templeton India Growth(G) 1.5456 0.1226 -2.9137 0.0037 0.8905 1.8456

203 UTI Banking Sector(G) -0.4987 0.6181 0.1684 0.8663 0.8480 1.6600

204 UTI Contra(G) -0.8617 0.3891 -1.6996 0.0897 0.8908 1.8732

205 UTI Dividend Yield(G) -0.1715 0.8639 -2.1524 0.0317 0.8574 1.7024

206 UTI Equity Tax Savings Plan (G) 1.2965 0.1952 -1.6226 0.1051 0.9360 1.8304

207 UTI Equity(G) -0.3687 0.7125 -2.7090 0.0069 0.9174 1.8776

208 UTI Infrastructure(G) 0.2765 0.7823 -1.8843 0.0599 0.8802 1.7682

209 UTI Leadership Equity(G) -0.1938 0.8464 -2.2130 0.0272 0.9448 2.1990

210 UTI Master Index(G) 0.1016 0.9191 -0.8086 0.4190 0.8726 2.9652

211 UTI Master Plus '91 (G) -0.3926 0.6948 -0.2061 0.8367 0.9675 1.9356

212 UTI Master Share(G) 0.2407 0.8098 0.0122 0.9903 0.9260 2.2674

213 UTI Master Value(G) 0.3019 0.7628 -4.7756 0.0000 0.6732 1.7329

214 UTI Mid Cap(G) 0.3026 0.7623 - 4.6105 0.0000 0.6794 1.7205

215 UTI MNC(G) -0.8250 0.4096 -3.4053 0.0007 0.7239 1.8430

216 UTI Nifty Index(G) -0.3609 0.7183 -2.0212 0.0436 0.9777 1.9420

217 UTI Oppor(G) 0.1132 0.9099 -0.4246 0.6712 0.9076 1.8563

(continued)

Sl. No. Equity Funds Stock-selectivity coefficient (a) Market-timing coefficient (g) R2 DW stat

t-stat p-value t-stat p-value

218 219 220 UTI Pharma & Healthcare(G) UTI Services Inds(G) UTI SUNDER -0.1476 -0.5007 -0.3068 0.8827 0.6168 0.7591 -3.9629 -0.8565 -1.6880 0.0001 0.3920 0.0919 0.5022 0.9170 0.9790 1.7355 2.2094 1.9572

Note: Standard errors are corrected for heteroskedasticity and autocorrelation using the White's (1980) correction.

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