Fund performance measurement studies in the past have been of great interest for academicians, fund managers and general investors. Assessment of risk involved in investment has been at the center of all investment decisions. Treating risk as a whole and always taking it to be on the negative side of investments, is not warranted. Since, the risk has two elements upward-risk and downward-risk so the much more important question in the minds of everyone should be the maximum downside risk

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... d in investments. Considering this, Value-at-Risk (VaR), is a better tool for evaluating fund performance. In the present study, Value at Risk approaches have been used first time to analyze the performance of equity based mutual funds and Unit Linked Insurance Plan funds. It can be concluded that mutual funds outperform the unit linked insurance plan funds.