Risk-Adjusted Excellence: Performance Analytics of India’s Top Large-Cap Mutual Funds

Abstract: This study evaluates the risk-adjusted performance of India’s top AUM-based large-cap mutual funds over five financial years (2020–21 to 2024–25), integrating Modern Portfolio Theory and the Capital Asset Pricing Model to assess whether leading schemes generate meaningful alpha or simply mirror benchmark behaviour under SEBI’s category constraints. Using Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, Beta, and return volatility, the analysis reveals clear differences in efficiency and managerial skill. Nippon India Large Cap Fund delivers the strongest outcomes (Sharpe 0.845, Treynor 27.10, Alpha 7.69%), followed by ICICI Prudential (Alpha 5.48%) and HDFC Large Cap (Alpha 4.97%), each demonstrating effective risk control. In contrast, SBI Large Cap shows the highest volatility (32.04%) with modest alpha (2.11%), while Mirae Asset exhibits near-benchmark behaviour. With Betas clustered between 0.91–1.00, the findings show that scale advantages are not uniform. These insights offer implications for investors, fund managers, and regulators seeking more nuanced evaluation frameworks.

Keywords: Large-cap mutual funds; Risk-adjusted performance; Sharpe Ratio; Treynor Ratio; Jensen’s Alpha; Systematic risk; Beta; Portfolio efficiency; Mutual fund evaluation; Nifty 100 Index; Asset management; SEBI categorization.