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PRESENTATION ON

COMPARITIVE ANALYSIS OF TOP MUTUAL FUNDS THROUGH QUANTITATIVE MEASURES

BY MRIDUL CHANDRA ROLL NO- 39

CONTENTS 1.OVERVIEW OF ORGANIZATION KARVY 2.MISSION & VISION OF KARVY 3.KARVY GROUP OF COMPANIES 4.INTRODUCTION TO MUTUAL FUNDS 5.TYPES OF MUTUAL FUNDS 6.ADVANTAGES & DISADVANTAGES OF MUTUAL FUNDS 7.MAJOR MUTUAL FUNDS COMPANIES IN INDIA 8.QUANTITATIVE ANALYSIS OF MUTUAL FUNDS

OVERVEIW OF ORGANISATION KARVY


Karvy was started by a group of five chartered accountants in 1979 at Hydrabad. It was started with a capital of Rs. 1, 50,000 In starting it was only offering auditing and taxation services. Later, on The partners decided to offer, other than the audit services, value added services like Financial Product Distribution, Investment Advisory Services, Demat Services, Corporate Finance, Insurance etc to their clients. The first firm in the group, Karvy Consultants Limited was incorporated on 23rd July, 1983. In a very short period, it became the largest Registrar and Transfer Agent in India Karvys foray into stock broking began with marketing IPOs, in 1993. Within a few years, Karvy began topping the IPO procurement league tables and it has consistently maintained its position among the top 5. Karvy was among the first few members of National Stock Exchange, in 1994 and became a member of The Stock Exchange, Mumbai in 2001, and in 2002 member of Hyderabad Stock Exchange. In January 1998, Karvy became first Depository Participant in Andhra Pradesh Today Karvy is among the top 5 Depositary Participant in India. Today Karvy is working as the registrar, and brokerage house for around 85 AMCs , 70 Insurance companies, also it is selling about FDs &FMPs products of about 55 banks in India.

MISSION STATEMENT OF KARVY


To Bring Industry, Finance and People together.
Karvy is work as intermediary between industry and people. Karvy work as investment advisor and helps people to invest their money same way Karvy helps industry in achieving finance from people by issuing shares, debentures, bonds, mutual funds, fixed deposits etc.

VISION OF KARVY
To be pioneering financial services company. And continue to grow at a healthy pace, year after year, decade after decade.

KARVY GROUP OF COMPANIES

MUTUAL FUNDS
A MUTUAL FUND scheme collects money from various investors and this pool of money is then invested in different asset classes _ equity and debt primarily. The income earned through these investments and the capital appreciation realized are shared by unit holders in proportions to the numbers of units hold by them.

TYPES OF MUTUAL FUNDS


According to structure
Open-ended schemes Close-ended schemes

According to investment objective


Equity funds Debt funds (or income funds Balanced funds (65% equity and 35% debt) Gilt funds Commodity funds Exchange Trade funds Fund of Funds

Advantages of Mutual Funds


Diversification: Professional Management: Liquidity: Low cost: Well regulated

Disadvantages of Mutual Funds


No Guarantees Taxes: Risk Management

Major Mutual Fund Companies in India


ICICI PRUDENTIAL ASSET MANAGEMENT COMPANY LTD HDFC ASSET MANAGEMENT COMPANY LIMITED SBI MUTUAL FUNDS MANAGEMENT LTD. TATA ASSET MANAGEMENT PRIVATE LIMITED UTI ASSET MANAGEMENT COMPANY LTD. DSP BLACK ROCK ASSET MANAGEMENT COMPANY MORGAN & STANLEY MUTUAL FUNDS PVT LTD FRANKLIN TEMPLETON ASSET MANAGEMENT COMPANY

MARKET SHARE
DSP BLACK ROCK MORGAN&STANLEY 8% 7% FRANKLIN 10% ICICI 15% UTI 20%

HDFC 13% TATA 11% SBI 16%

QUANTITATIVE

ANALYSIS OF TOP MUTUAL FUNDS

QUANTITATIVE TOOLS USED FOR FUNDS ANALYSIS


NAV (NET ASSET VALUE)
NAV = M.V. OF INVESTMENT+ACCRUED INCOME+(C.A-C.L)+ACCRUED EXP NO. OF UNITS OUTSTANDING

STANDARD DEVIATION BETA BETA = COV/S.D SHARPEs RATIO SHARPE RATIO = Rf-Rr/ S.D

TREYNORS MEASURE TREYNORS MEASURES = Rf-Rr/ BETA

EQUITY- LARGE CAP FUND


ICICI BLUE CHIP vs. FRANKLIN BLUE CHIP vs. HDFC TOP 200 vs. SBI BLUE CHIP
Scheme ICICI BLUE CHIP FRANKLIN BLUE HDFC TOP 200 CHIP
Large Cap Open-Ended Rank 2 BSE Sensitive Index Large Cap Open-Ended Rank 3 BSE 200

SBI BLUE CHIP

Fund Class Fund Type Ranking Benchmark Performance Returns as on Jun 08, 12 3 Months 6 Months 1 Year 2 Years 3 Years

Large Cap Open-Ended Rank 1 S&P CNX Nifty

Large Cap Open-Ended Rank 4 BSE 100

-4.8% 3.3% -4.1% 5.8% 12.2%

-5.4% 3.7% -5.4% 3.7% 9.9%

-5.1% 5.7% -8.0% 2.1% 10.0%

-2.5% 7.3% -5.1% -0.4% 3.7%

5 Years

8.6%

10.6%

2.7%

PERFORMANCE 3D CHART

15.00%

10.00%

5.00% SBI HDFC 3 Months -5.00% FRANKLIN 6 Months 1 Year 2 Years ICICI 3 Years 5 Years

ICICI

FRANKLIN
HDFC SBI

0.00%

-10.00%

ICICI Prudential Focused Blue-chip Equity Fund (G)


YEAR
1
1.8

RETURN OF FUND

RETURN OF BENCHMARK/MARKET
1.2 -5 2.5 -8.3

2 3 4 5 6 7

-4.8 3.3 -4.1

5.8
12.2 13.2

0.8
4.6 4.1

PERFORMANCE OF ICICI OVER BENCHMARK


15 10

ICICI RETURNS S&P CNX NIFTY RETURNS 1 2 3 4 5 6 7

-5

-10

CALCULATION OF QUANTITATIVE MEASURES


ANALYSIS TABLE
YEAR
1
1.8

Rf

Rm

Rfmeanf(X)
1.2 -5 2.5 -8.3 0.8 4.6 -2.11429 -8.71429 -0.61429 -8.01429 1.885714 8.285714

RmX.Y meanm(Y)
1.21429 -4.98571 2.51429 -8.28571 0.81429 4.61429 -2.56736 43.4469 -1.54449 66.40405 1.535518 38.23269

Y^2

1.4745 24.8573 6.321654 68.65299 0.663068 21.29167

2
-4.8

3
3.3

4
-4.1

5
5.8

6
12.2

7
13.2

4.1

9.285714

4.11429

38.20412

16.92738

N=7

MEANf= 3.914286

MEANm=0.01429

183.7114

140.1886

STANDARD DEVIATION ( S.D)=

Y^2/ n-1 = 140.1886/7-1 = 140.1886/6 = 23.36

Cov

= = =

X.Y/n-1 183.7114/6 30.61

BETA

= C0V/ S.D = 30.61/23.36 = 1.31

SHARPES RATIO = Rf-Rr/ S.D (Rr= Risk free returns of Government securities) (Given Rr= -11.426) = 3.914286-(-11.426)/23.36 = 0.65 TREYNOR MEASURE= Rf-Rr/ BETA = =

3.914286-(-11.426)/1.31 11.71

Franklin Templeton Blue-chip Fund (G)


YEAR 1 2 3 4 5 6 RETUNRN OF FUND
1.4 -5.4 3.7 -5.4 3.7 9.9 8.6

RETURN OF BENCHMARK 1 -4.5 1.4 -9.1 0.3 4.5 3.5

PERFORMANCE COMPARE TO BENCHMARK


15 10 5 0 1 -5 -10 2 3 4 5 6 7 FRANKLIN BLUE CHIP BSE SENSEX

-15

CALCULATION OF QUANTITATIVE MEASURES


ANALYSIS TABLE
YEAR
1
1.4

Rf

Rm

RfRmMEANf(X) MEANm(Y)
1 -4.5 1.4 -0.95714 -7.75714 1.342857 1.41429 -4.08571 1.81429

X.Y

Y^2

-1.35368 31.69344 2.436332

2.000216 16.69303 3.291648

2
-5.4

3
3.7

4
-5.4

-9.1 0.3
4.5 3.5 -2.9 MEANm= 0.41429

-7.75714 1.342857
7.542857 6.242857

-8.68571 0.71429
4.91429 3.91429

67.37629 0.959189
37.06779 24.43635 162.6157

75.44156 0.51021
24.15025 15.32167 137.4086

5
3.7

6
9.9

7
8.6

TOTAL 16.5

N=7

MEANf= 2.357143

STANDARD DEVIATION (S.D )=

Y^2/ n-1

= =
COV = =

137.4086/6 22.9

X.Y/n-1 162.6157/6 =

27.1

BETA

= C0V/S.D =27.1/22.9 = 1.18

SHARPE RATIO = Rf-Rr/ S.D (Given Rr= -11.426) = 2.357143-(-11.426)/22.9 = 0.60 TREYNOR MEASURE= Rf-Rr/ BETA = 2.357143-(-11.426)/1.18 = 11.68

HDFC Top 200 Fund (G)


YEAR
1 2 3 4 5 6 7

RETURN OF FUND
2.7 -5.1 5.7 -8 2.1 10 10.6

RETURN OF BENCHMARK
0.6

-5.4
3 -10.3 -1.5 4.9 3.7

PERFORMANCE OF FUNDCOMPARED TO BENCHMARK


15 10 5 0 1 -5 -10 -15 2 3 4 5 6 7 HDFC TOP 200 BSE 200

CALCULATION OF QUANTITATIVE MEASURES


ANALYSIS TABLE
YEAR
1 2 3 4 5 6 7 TOTAL

Rf
2.7 -5.1 5.7 -8 2.1 10 10.6

Rm
0.6 -5.4 3 -10.3 -1.5 4.9 3.7 -5 MEANm = 0.71429

Rf-meanf(X) Rmmeanm(Y)
0.128571 -7.67143 3.128571 -10.5714 -0.47143 7.428571 8.028571 1.31429 -4.68571 3.71429 -9.58571 -0.78571 5.61429 4.41429

X.Y
0.16898 35.94609 11.62042 101.3347 0.370406 41.70615 35.44044 226.5871

Y^2
1.727358 21.95588 13.79595 91.88584 0.61734 31.52025 19.48596 180.9886

18 MEANf= 2.571429

STANDARD DEVIATION (S.D )=

Y^2/ n-1 = =

180.9886/6 30.164

COV

= X.Y/n-1 = 226.5871/6 = 37.76 = C0V/ S.D = 37.76/30.164 = 1.25

BETA

SHARPE RATIO = Rf-Rr/ S.D (Given Rr= -11.426) = 2.571429-(-11.426)/30.164 = 0.46

TREYNOR MEASURE=

Rf-Rr/ BETA = 2.571429-(-11.426)/1.25 =11.20

SBI Blue Chip Fund (G)


YEAR
1

RETURNS OF FUND
2.3 -2.5 7.3 -5.1 -0.4 3.7 2.7

RETURNS OF BENCHMARK
0.9 -5.3 2.7 -9.5 -0.7 4.6 3.9

2
3 4

5
6 7

PERFORMANCE OF FUND COMPARE TO BENCHMARK


10 8 6 4 2 0 -2 -4 -6 -8 -10 -12 1 2 3 4 5 6 7 SBI BLUE CHIP BSE 100

CALCULATION OF QUANTITATIVE MEASURES


ANALYSIS TABLE
YEAR
1
2.3

Rf

Rm
0.9 -5.3 2.7 -9.5 -1.54286 4.6 3.9 -3.4 MEANm= 0.48571

Rf-meanf(X) Rm-meanm(Y)
1.157143 -3.64286 6.157143 -6.24286 -0.21429 2.557143 1.557143 1.38571 -4.81429 3.18571 -9.01429 0.330619 5.08571 4.38571

X.Y

Y^2
1.603465 1.920192 17.53777 19.61487 56.27492 0.04592 13.00489 6.829178 115.1957 23.17739 10.14875 81.25742 -.070848

2
-2.5

3
7.3

4
-5.1

5 -0.7 6
3.7

25.86445 19.23445 161.6486

7
2.7

TOTAL 8 MEANf= 1.142857

STANDARD DEVIATION (S.D )=

Y^2/ n-1 =161.6486/6 = 26.94 X.Y/n-1 =115.1957/6 =19.9

Cov

BETA

= C0V/ S.D =19.9/26.94 = 0.712

SHARPE RATIO = Rf-Rr/ S.D (Given Rr= -11.426) =1.142857-(-11.426)/26.94 =0.46 TREYNOR MEASURE= Rf-Rr/ BETA = 1.142857-(-11.426)/0.712 = 17.2

COMPARISION TABLE
FUNDS
S.D BETA SHARPE RATIO TREYNOR MEASURE

ICICI BLUE CHIP FRANKLIN BLUE CHIP


26.36 1.31 0.65 11.71 22.9 1.18 0.60 11.68

HDFC TOP 200


30.64 1.25 0.46 11.20

SBI BLUE CHIP


22.94 0.712 0.46 17.2

INTERPRETATION
1.AS FAR AS STANDARD DEVIATION IS CONCERNED HDFC TOP 200 HAS HIGHEST SD AND SBI BLUE CHIP HAS LOWEST SD ALSO FRANKLIN BLUE CHIP SD IS ALSO LOWEST, ICICI BLUE CHIP S.D IS LYING BETWEEN THESE THREE FUNDS.

2..THEREFORE AS FAR AS RISK CONCERNED HDFC TOP 200 HAS HIGHEST RISK , SBI BLUE CHIP AND FRANKLIN BLUE CHIP HAS LOWEST RISK , ICICI BLUE CHIP HAS RISK SLYGHTLY MORE THAN SBI, AND FRANKLIN BUT MUCH LESS THAN HDFC TOP 200. 3.NOW LOOKING TOWARDS THE BETA OF EVERY FUND WE CAN SAY THAT, ICICI, FRANKLIN, HDFC TOP 200 HAVE BETA MORE THAN 1 WHICH MEANS THESE FUNDS ARE GIVING MUCH MORE AND BETER RETURNS AS COMPARED TO THEIR BENCHMARKS. 4.WHEREAS SBI BLUE CHIPs BETA IS LESS THAN 1 WHICH MEANS THAT IT IS GIVING LESS RETURNS AS COMPARED TO ITS BENCHMARK BSE 100, SO IT IS A UNDERPERFORMING FUND. 5.ICICI BLUE CHIP HAS HIGHEST BETA OF 1.31 WHICH SHOWS THAT IT IS GIVING 31% MORE RETURNS THAN ITS BENCHMARK S&P CNX NIFTY. 6.NOW LOOKING TOWARDS SHARPE MEASURE ICICI AND FRANKLIN BLUE CHIP HAVE GOT HIGHEST VALUE OF SHARPE RATIO , SHARPE RATIO CLEARLY SHOWS THE EXESS RETURNS GIVEN BY A FUND AS AREWRD FOR INVESTING IN RISKY FUNDS , WHILE SHARPE RATIO OF HDFC TOP 200 & SBI BLUE CHIP IS VERY LESS AS SUCH 7.WE CAN SAY THAT LOOKING TOWARDS THE RISK IN INVESTMENT HDFC TOP 200 AND ICICI BLUE CHIP HAS GOT HIGHEST S.D SO HIGHEST RISK BUT ICICI IS GIVING MUCH EXESS RETURNS AS COMPARED TO HDFC TOP 200 WHILE FRANKLIN BEING A LESS RISKY FUND IS ALSO GIVING EXESS RETURNS WHILE SBI IS PERFORMING POORLY. 8.SO FROM INVESTORS POINT OF VIEW IF AN INVESTER IS RISK TAKER HE SHOULD INVEST IN ICICI BLUE WHICH HAS GOT A BIT RISK BUT GIVING BEST AND HIGHEST RETURNS AS COMPARED TO THESE TOP 4 FUNDS OF PURE LARGE CAP EQUITY 9.IF THE INVESTER IS RISK AVERTOR HE SHOULD INVEST IN FRANKLIN BLUE CHIP AS IT HAS LOW RISK BUT GOOD RETURNS.

EQUITY DIVERSIFIED FUNDS


SBI MAGNIUM EQUITY vs. TATA PURE EQUITY
SCHEME
Fund Class Fund Type Ranking Benchmark NAV Details Latest NAV Rs/Units Performance Returns as on Jun 08, 12 * Returns over 1 year are Annualized 3 Months 6 Months 1 Year -2.8% 6.5% -3.4% -2.9% 6.5% -3.1% 41.390
Jun-08-2012

SBI MAGNUM EQUITY FUND


Large Cap Open-Ended Rank 2 S&P CNX Nifty

TATA PURE EQUITY FUND


Diversified Equity Open-Ended Rank 1 BSE Sensitive Index

92.597
Jun-08-2012

2 Years
3 Years 5 Years

2.4%
8.3% 7.7%

1.6%
8.3% 7.5%

PERFORMANCE CHART

10.00%

8.00%

6.00%

4.00%

SBI EQUITY TATA EQUITY

2.00%

0.00% 3 Months -2.00% 6 Months 1 Year 2 Years 3 Years 5 Years

-4.00%

SBI EQUITY FUND(G)


YEAR
1
1.9

RETURNS OF FUND

RETURNS OF BENCHMARK
1.4 -5 2.5 -8.3 0.8 4.6 4.1

2
-2.8

3
6.5

4
-3.4

5
2.4

6
8.3

7
7.7

PERFORMANCE OF FUND COMPARE TO BENCHMARK


10 8 6 4 2

0
-2 -4 -6 -8 -10 1 2 3 4 5 6 7

SBI EQUITY S&P CNX NIFTY

CALCULATION OF QUANTITATIVE MEASURES


ANALYSIS TABLE
YEAR
1
1.9

Rf

Rm
1.4 -5 2.5 -8.3 0.8 4.6 4.1 0.1 MEANm= 0.014286

Rf-MEANf(X)
-1.04286 -5.74286 3.557143 -6.34286 -5.9 5.357143 4.757143

Rm-MEANm(Y)
1.385714 -5.01429 10.8 -8.31429 0.785714 4.585714 4.085714

X.Y
-1.4451 28.79633 38.41714 52.73633 -4.63571 24.56633 19.43633 157.8716

Y^2
1.920204 25.14306 116.64 69.12735 0.617347 21.02878 16.69306 149.287

2
-2.8

3
6.5

4
-3.4

5
2.4

6
8.3

7
7.7

TOTAL 20.6 MEANf= 2.942857

STANDARD DEVIATION ( S.D) =

Y^2/ n-1 = 149.287/6 = 24.89 X.Y/n-1 =157.8716/6 =26.31

COV

BETA

= C0V/S.D =26.31/24.89 = 1.057

SHARPE RATIO = Rf-Rr/ S.D (Given Rr= -11.426) = 2.942857-(-11.426)/41.86 =0.34 TREYNOR MEASURE= Rf-Rr/ BETA = 2.942857-(-11.426)/0.62 = 23.17

TATA PURE EQUITY FUND (G)


YEAR
1
1.9

RETURNS OF FUND

RETURN OF BENCHMARK
1 -4.5 1.4 -9.1 0.3 4.5 3.5

2
-2.9

3
6.5

4
-3.1

5
1.6

6
8.3

7
7.5

PERFORMANCE OF FUND COMPARE TO BENCHMARK


10 8 6 4 2 0 -2 -4 -6 -8 1 2 3 4 5 6 7 TATA EQUITY BSE SENSEX

-10

CALCULATION OF QUANTITATIVE MEASURES


ANALYSIS TABLE
YEAR
1
1.9

Rf

Rm
1 -4.5 1.4 -9.1 0.3 4.5 3.5 -2.9

Rf-MEANf(X)
-0.92857 -5.72857 3.671429 -5.92857 -1.22857 5.471429 4.671429

Rm-MEANm(Y)
1.41429 -4.08571 1.81429 -8.68571 0.71429 4.91429 3.91429

X.Y
-1.31327 23.40528 6.661036 51.49385 -0.87756 56.88819 18.28533 154.5429

Y^2
2.000216 16.69303 3.291648 75.44156 0.51021 24.15025 15.32167 137.4086

2
-2.9

3
6.5

4
-3.1

5
1.6

6
8.3

7
7.5

TOTAL N=7

19.8 MEANf= 2.828571

MEANm= -0.41429

STANDARD DEVIATION ( S.D) =

Y^2/ n-1 =137.4086/6 = 22.9 X.Y/n-1 = 154.5429/6 = 25.75

Cov

BETA

= C0V/ S.D =25.75/ 22.9 =1.12

SHARPE RATIO = Rf-Rr/ S.D (Given Rr= -11.426) = 2.828571-(-11.426)/22.9 = 0.62 TREYNOR MEASURE= Rf-Rr/ BETA = 2.828571-(-11.426)/0.906 = 15.73

COMPARISION TABLE
FUNDS S.D BETA SHARPEs RATIO TREYNOR MEASURE SBI EQUITY
41.6 1.057 0.34 23.17

TATA PURE EQUITY


22.9 1.12 0.62 15.73

INTERPRETATION
BY THE ABOVE ANALYSIS WE CAN INTERPRET THAT BOTH THE FUNDS HAVE GOT A VERY LOW STANDARD DEVIATION , BUT STANDARD DEVIATION OF TATA EQUITY IS VERY LOW AS COMPARED TO SBI EQUITY FUND , SO TATA EQUITY IS LESS RISKY FOR INVESTORS AS COMPARED TO SBI EQUITY. NOW SEEING THE BETA OF BOTH THE FUNDS AS BETA OF BOTH THE FUND S IS MORE THAN 1 , SO IT MEANS THE BOTH THE FUNDS ARE GIVING MORE RETURNS AS COMPARED TO THERE BENCHMARKS .

BUT THEN ALSO BETA OF TATA EQUITY IS FAR MORE BETER THAN SBI EQUITY FUND. ITS BETA IS 1.12 ie GIVING 12% MORE RETURNS THAN ITS BENCHMARK . SO TATA EQUITY CAN GIVE MUCH BETER RETURNS AS COMPARED TO SBI EQUITY FUND

TATA EQUITY FUND IS ALSO MORE VOLATILE AS COMPARED TO SBI EQUITY FUND AS BETA OF TATA EQUITY IS MORE THAN SBI EQUITY BETA. THE SHARPE RATIO OF TATA PURE EQUITY IS ALSO MORE THAN SBI EQUITY THEREFORE TATA EQUITY PROVIDES MUCH BETER REWARDS IN TERMS OF RETURNS AS COMPARED TO SBI EQUITY FUND.

AS AN INVESTOR SHOULD INVEST IN TATA EQUITY TO GET BETER GROWTH AND CAPITAL APPRECIATION.

SECTOR FUNDS
ICICI BANKING FUND vs. UTI BANKING FUND
SCHEMES
Fund Class Fund Type Ranking

ICICI BANKING FUND


Sector - Banking & Finance Open-Ended 2nd

UTI BANKING FUND


Sector - Banking & Finance Open-Ended 1st

Benchmark
NAV Details

BSE SENSEX
16.900 Jun-08-2012

Bank Nifty
38.750 Jun-08-2012

Performance Returns as on Jun 08, 12


3 Months 6 Months 1 Year 2 Years 3 Years 5 Years -1.8% 14.3% -6.1% 4.6% 14.3% 10.5% -5.6% 12.2% -7.8% 3.8% 14.0% 11.8%

PERFORMANCE CHART
35.00% 30.00% 25.00% 20.00%

15.00%
10.00% 5.00% 0.00% 3 Months -5.00% -10.00% -15.00% -20.00% 6 Months 1 Year 2 Years 3 Years 5 Years UTI ICICI

ICICI Prudential Banking FUND


YEAR
1 2

RETURNS OF FUND
7.3 -5.6

RETURNS OF BENCHMARK
4.3 -4.8 12.1 -7.3 4.3 12.8 10.1

12.2
4

-7.8
5

3.8
6

14
7

11.8

PERFORMANCE OF FUND COMPARE TO BENCHMARK


20 15 10 5 0 1 -5 -10 2 3 4 5 6 7 ICICI BANKING FUND BSE SENSEX

CALCULATION OF QUANTITATIVE MEASURES


ANALYSIS TABLE
YEAR
1
7.3

Rf

Rm
4.3 -4.8 12.1 -7.3 4.3 12.8 10.1 31.5

Rf-MEANf(X)
2.2 -10.7 7.1 -12.9 -1.3 8.9 6.7

Rm-MEANm(Y)
-0.2 -9.3 7.6 -11.8 -0.2 8.3 5.6

X.Y
-0.44 99.51 53.96 152.22 0.26 73.87 37.52 416.9

Y^2
0.04 86.49 57.76 139.24 0.04 68.89 31.36 383.82

2
-5.6

3
12.2

4
-7.8

5
3.8

6
14

7
11.8

TOTAL

35.7

MEANf = 5.1 MEANm = 4.5

STANDARD DEVIATION (S.D ) =

Y^2/ n-1 = 383.82/6 = 63.97 X.Y/n-1 = =

COV

416.9/6 69.4

BETA

= C0V/ S.D = 69.4/63.97 = 1.084

SHARPE RATIO = Rf-Rr/ S.D (Given Rr= -11.426) = 5.1-(-11.426)/63.97 = 0.26

TREYNOR MEASURE=

Rf-Rr/ BETA = 5.1-(-11.426)/1.084 = 15.24

UTI Banking Sector Fund (G)


YEAR
1 2

RETURNS OF FUND
4.8 -1.8

RETURNS OF BENCHMARK
4.2 -4.7 12.1 -6.6 4.9 13.7 9.1

14.3
4

-6.1
5

4.6
6

14.3
7

11.5

PERFORMANCE COMPARE TO BENCHMARK


20 15 10 5 0 UTI NIFTY

1
-5 -10

CALCULATION OF QUANTITATIVE MEASURES


ANALYSIS TABLE
YEAR
1
4.8

Rf

Rm
4.2 -4.7 12.1 -6.6 4.9 13.7 9.1 32.7

Rf-MEANf(X)
-1.14286 -7.74286 8.357143 -12.0429 -1.34286 8.357143 5.557143

Rm-MEANm(Y)
-0.47143 -9.37143 7.428571 -11.2714 0.228571 9.028571 4.428571

X.Y
0.538776 72.56163 62.08163 135.7402 -0.30694 75.45306 24.6102

Y^2
0.222245 87.82368 55.18367 127.0451 0.052245 81.51509 19.61224

2
-1.8

3
14.3

4
-6.1

5
4.6

6
14.3

7 TOTAL MEANf =5.942857


11.5 41.6

370.6786

371.4543

MEANm = 4.671429

STANDARD DEVIATION (S.D ) = = = COV =

Y^2/ n-1 371.4543/6 61.9

X.Y/n-1 = 370.6786/6 = 61.7

BETA

= C0V/ S.D = 61.7/61.9 =

0.996

SHARPE RATIO = Rf-Rr/ S.D (Given Rr= -11.426) = 5.942857- (-11.426)/61.9 = 0.28 TREYNOR MEASURE= Rf-Rr/ BETA = 5.942857-(-11.426)/0.996 = 17.44

COMPARISION TABLE
FUNDS STANDARD DEVIATIO BETA SHARPES RATIO TREYNORS MEASURE ICICI BANKING FUND
63.97 1.084 0.26 15.24

UTI BANKING FUND


61.90 0.996 0.28 17.44

INTERPRETATION
BY THE ABOVE ANALYSIS WE CAN SAY THAT BOTH THE FUNDS ARE RISKY AS STANDARD DEVIATION OF BOTH FUNDS IS QUITE HIGH BUT ICICI FUND IS MORE RISKY THAN UTI BANKING FUND LOOKING TOWARDS THE BETA OF BOTH THE FUNDS ICICI BANKING FUND HAS BETA MORE THAN 1 , SO IT IS PERFORMING MORE AND GIVING BETER RETURNS AS COMPARED TO ITS BENCHMARK

BETA OF UTI BANKING IS ALMOST CLOSE TO ONE SO WE CAN SAY THAT THIS FUND IS GIVING THE SAME RETURNS OR PERFORMING ALMOST EQUAL TO ITS BENCHMARK. LOOKING TOWARDS THE SHARPE RATIO THE SHARPE RATIO OF UTI BANKING IS SLIGHTLY MORE THAN ICICI BANKING, SO IT IS GIVING BETER RETURNS TO INVESTORS AS COMPARED TO ICICI BANKING. WHEREAS ICICI BANKING FUND BEING MORE RISKY THAN UTI BANKING COULD NOT ABLE TO BETER RISK ADJUSTED RETURNS AS ITS SHARPE RATIO IS LESS THAN UTI BANKING. TREYNORS MEASURE OF UTI BANKING IS ALSO MORE THAN ICICI BANKING. THEREFORE UTI BANKING SECTOR FUND IS A LESS RISKY BETER RETURNS ROVIDING FUND AS COMPARED TO ICICI WHICH IS MORE RISKY

CONCLUSION AND SUGGESTIONS


People before investing in a mutual fund should consider the following points below Try to jugde your investment through proper financial planning ,ie what are your future goals . According to your future goals decide which fund is better for you. For this first see the NAV of the fund , always invest in that fund which has least or less NAV , because less the NAV more the units you will purchase. Look towards the AUM of the fund , if the AUM is very large do not choose that scheme because that fund can performe poor at any time because fund with large AUM cannot be managed well by fund manager. Look towards standard deviation and then see the Sharpe Ratio if S.D is high and also the Sharpe Ratio is high then that fund can give you best returns , otherwise not. Look towards Beta of the fund invest in that fund which has Beta more than 1 , because Beta of more than 1 indicates that the fund is performing more than its benchmark , do not invest in that fund whose Beta is less than 1. Also look towards the Fund Manager track record ie how many funds he is managing and what are the performance of those funds.

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