Performance Evaluation of Ethical and Conventional Funds - A Study of Taurus Mutual Fund in India

Financial Markets and Economic Development, Bloomsbury Publishing India, ISBN 97-8-93-848-98-946, Forthcoming

19 Pages Posted: 2 May 2015 Last revised: 3 Jun 2015

See all articles by Vanita Tripathi

Vanita Tripathi

Department of Commerce, Delhi School of Economics,University of Delhi, India; University of Delhi India - Delhi School of Economics - Department of Commerce

Varun Bhandari

University of Delhi - Department of Commerce

Date Written: January 16, 2015

Abstract

One of the significant developments in the investing community is the rise of socially responsible or ethical investments during last two decades. Because of the increasing size and importance of ethical mutual funds, this paper seeks to evaluate and compare the performance of ethical mutual funds with general funds and benchmark index (S&P BSE Shariah 500 Equity Index) in the Indian market. The sample comprises of six ethical fund schemes and three general fund schemes of Tauras mutual fund over the period 2009-2014 using weekly NAVs. The study uses return, risk, risk-adjusted measures (Sharpe ratio, Treynor ratio, Jensen’s alpha and information ratio), Fama’s decomposition measure, paired samples t-test and growth regression equation to accomplish the objectives. The findings suggest that some of the ethical funds generated significantly higher return than other funds and benchmark index. Despite having higher risk, ethical funds outperformed other funds and benchmark index on the basis of various risk-adjusted measures and net selectivity returns. This indicates that the compromise made with respect to diversification by investing in ethical funds was well rewarded in terms of higher returns in Indian context. Our findings lend support to the case of ethical investing in India. Mutual funds and other investment funds should launch schemes which invest in socially responsible or ethical stocks.

Keywords: Corporate Social Responsibility, Ethical Investing, Fama’s Decomposition Measure, Mutual Funds, Socially Responsible Investing

JEL Classification: G11, G20, G23, M14

Suggested Citation

Tripathi, Vanita and Tripathi, Vanita and Bhandari, Varun, Performance Evaluation of Ethical and Conventional Funds - A Study of Taurus Mutual Fund in India (January 16, 2015). Financial Markets and Economic Development, Bloomsbury Publishing India, ISBN 97-8-93-848-98-946, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2601297 or http://dx.doi.org/10.2139/ssrn.2601297

Vanita Tripathi

Department of Commerce, Delhi School of Economics,University of Delhi, India ( email )

Department of Commerce, Delhi school of Economics,
Delhi, Delhi 110007
India

HOME PAGE: http://people@du.ac.in~vtripathi/

University of Delhi India - Delhi School of Economics - Department of Commerce ( email )

Department of Commerce
Delhi University
Delhi, 110007
India

HOME PAGE: http://people@du.ac.in~vtripathi/

Varun Bhandari (Contact Author)

University of Delhi - Department of Commerce ( email )

University Road
Delhi, 110 007
India

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