Statistical Evaluation of Hybrid and ELSS Mutual Fund Performance Employing Sharpe, Treynor, & Jensen Models

Abstract

The research investigates how various risk criteria impact Hybrid and ELSS fund performance metrics through its assessment of annualised returns and Sharpe's Ratio and Treynor's Ratio and Jensen's Alpha. This study evaluates fund performance through assessment of risk characteristics which include correlation and annualised daily variance and downside standard deviation and Risk (Systematic) and Risk (Unsystematic). The results demonstrate that both fund categories experience annualized return and Jensen's Alpha decrease because of downside risk, while Hybrid funds face more extensive Risk (Systematic) challenges. The analysis of Sharpe's Ratio shows that both fund categories depend on downside risk assessment, but ELSS funds demonstrate stronger effects from this risk. The analysis of Treynor's Ratio demonstrates that ELSS funds require both downside risk and variance assessment, as these factors provide better understanding of fund performance. The study shows that investors must examine risk parameters when assessing fund performance because risk parameters influence performance metrics differently across various fund categories.