Analysing Performance of Hybrid and ELSS Mutual Funds: A Comparative Analysis of Key Indicators

Abstract

In an effort to gain a greater understanding of how different risk criteria affect the performance metrics of Hybrid and ELSS funds, this research paper focusses on annualised returns, Sharpe's Ratio, Treynor's Ratio, and Jensen's Alpha. Through an examination of risk characteristics such correlation, annualised daily variance, downside standard deviation, systematic risk, and unsystematic risk, the study offers a comparative evaluation of the impact these parameters have on fund performance. Results indicate that downside risk significantly impacts annualized returns and Jensen's Alpha for both fund types, with Hybrid funds showing a more comprehensive impact due to systematic risk. Sharpe's Ratio analysis reveals that downside risk is crucial for both fund types, though its effect is more pronounced in ELSS funds. Treynor's Ratio analysis highlights the importance of downside risk and variance, with ELSS funds demonstrating a stronger explanatory power. The findings suggest that investors should consider these risk parameters carefully when evaluating fund performance, as their effects vary significantly across different performance metrics and fund types.