Abstract
This study compares total return, risk adjusted return of small cap and large cap mutual funds with market returns. In addition, it contrasts the risk adjusted returns of small and large cap funds. It also measures risk return relationship and performance persistence of mutual funds. Six years daily closing Net Asset Value (NAVs) of 44 open ended equity growth mutual funds are obtained. Results reveal that mutual funds outperform market index when total return is taken into consideration and underperform market index when risk adjusted return is taken into consideration. We observe that risk adjusted returns of small cap funds are superior to large cap funds. We also find that risk of small cap funds is lower than large cap funds. Finally, we fail to find any significant relationship between risk and return and there is no evidence of performance persistence.