Analysis In Selected Mutual Fund Companies

Published Date: 02 Nov 2017

Submitted by:

Yash Murarka

MBA - FT (2011-13)

Under the Guidance of

Prof. Deepak Danak

In Partial Fulfilment of the Requirement of the Dissertation in the Master of Business Administration Programme (Full Time)

Key Words: sharpe ratio, beta, NAV,index

Dissertation Report Approval Form

Institute of Management, Nirma University MBA (Full-Time)–II

(2011-13 Batch)

Roll No. : 111360

Student’s Name: Yash Murarka

Faculty Guide: Prof. Deepak Danak

Topic: Risk analysis in selected mutual fund companies

Signature of Student Approval of the Faculty Guide

Acknowledgement

I would like to take this opportunity to express my gratitude and sincere thanks to all people who helped me with their valuable suggestions, information and support necessary for the successful completion of the project.

First and Foremost, I sincerely thank Prof. Deepak Danak (Faculty Guide), for giving me an opportunity to work with him as a part of the Dissertation Project. Without his support, encouragement and guidance my learning would have been limited.

I would also thank all the faculty members & friends for providing me the necessary inputs during my MBA, which helped me in completion of this project. I am equally thankful to Institute of Management, Nirma University for giving me an opportunity to go through such Project and help me in understanding a broader perspective.

Yash Murarka

Executive summary

This project offers a valuable opportunity to take a glimpse of the mutual funds in India. In today’s increasingly competitive and complex world there are large numbers of mutual funds claiming to provide maximum return with minimum risk. It is become very difficult to select the best mutual fund.

There are more than 1000 schemes available for the investors in India. It is very difficult to select a particular scheme on the basis of their past records. This project will try to analyse few popular mutual funds statistically on the basis of the risk involved in each fund and the return of the same.

Also an in-depth analysis of their portfolio will be done which will give a better view for a fund’s resultant performance. This project identifies the key factors, that helps in finding out that a fund is performing better then is competitors or not. The factors identified in this study will help investors in making sound and logical investment decisions regarding their investment in mutual funds.

Table of Contents

Executive Summary……………………………………………………….04

Background ………………………………………………………………..06

Objective of the Project…………………………………………………...18

Literature Review…………………………………………………………18

Research Methodology………..…………………………………………..24

Data Analysis………………………………………………………………24

Conclusion………………………………………………………………….42

References …………………………………………………………………40

Background

INTRODUCTION OF MUTUAL FUNDS

There are a lot of investment avenues available today in the financial market for an investor with an investable surplus. He can invest in Bank Deposits, Corporate Debentures, and Bonds where there is low risk but low return. He may invest in Stock of companies where the risk is high and the returns are also proportionately high. The recent trends in the Stock Market have shown that an average retail investor always lost with periodic bearish tends. People began opting for portfolio managers with expertise in stock markets who would invest on their behalf. Thus we had wealth management services provided by many institutions. However they proved too costly for a small investor. These investors have found a good shelter with the mutual funds.

CONCEPT OF MUTUAL FUND:

A mutual fund is a common pool of money into which investors place their contributions that are to be invested in accordance with a stated objective. The ownership of the fund is thus joint or "mutual"; the fund belongs to all investors. A single investor’s ownership of the fund is in the same proportion as the amount of the contribution made by him or her bears to the total amount of the fund.

Mutual Funds are trusts, which accept savings from investors and invest the same in diversified financial instruments in terms of objectives set out in the trusts deed with the view to reduce the risk and maximize the income and capital appreciation for distribution for the members. A Mutual Fund is a corporation and the fund manager’s interest is to professionally manage the funds provided by the investors and provide a return on them after deducting reasonable management fees. The objective sought to be achieved by Mutual Fund is to provide an opportunity for lower income groups to acquire without much difficulty financial assets. They cater mainly to the needs of the individual investor whose means are small and to manage investors portfolio in a manner that provides a regular income, growth, safety, liquidity and diversification opportunities.

DEFINITION

"Mutual funds are collective savings and investment vehicles where savings of small (or sometimes big) investors are pooled together to invest for their mutual benefit and returns distributed proportionately". "A mutual fund is an investment that pools your money with the money of an unlimited number of other investors. In return, you and the other investors each own shares of the fund. The funds’ assets are invested according to an investment objective into the fund’s portfolio of investments. Aggressive growth funds seek long-term capital growth by investing primarily in stocks of fast-growing smaller companies or market segments. Aggressive growth funds are also called capital appreciation funds".

WHY SELECT MUTUAL FUND?

The risk return trade-off indicates that if investor is willing to take higher risk then correspondingly he can expect higher returns and vice versa if he pertains to lower risk instruments, which would be satisfied by lower returns. For example, if an investors opt for bank FD, which provide moderate return with minimal risk. But as he moves ahead to invest in capital protected funds and the profit-bonds that give out more return which is slightly higher as compared to the bank deposits but the risk involved also increases in the same proportion. Thus investors choose mutual funds as their primary means of investing, as Mutual funds provide professional management, diversification, convenience and liquidity. That doesn’t mean mutual fund investments risk free. This is because the money that is pooled in are not invested only in debts funds which are less riskier but are also invested in the stock markets which involves a higher risk but can expect higher returns. Hedge fund involves a very high risk since it is mostly traded in the derivatives market which is considered very volatile.

HISTORY OF MUTUAL FUNDS IN INDIA

The mutual fund industry in India started in 1963 with the formation of Unit Trust ofIndia, at the initiative of the Government of India and Reserve Bank. The history of mutual fundsin India can be broadly divided into four distinct phases.

FIRST PHASE – 1964-87

Unit Trust of India (UTI) was established on 1963 by an Act of Parliament. It was set up by the Reserve Bank of India and functioned under the Regulatory and administrative control of the Reserve Bank of India. In 1978 UTI was de-linked from the RBI and the Industrial Development Bank of India (IDBI) took over the regulatory and administrative control in place of RBI. The first scheme launched by UTI was Unit Scheme 1964. At the end of 1988 UTI had Rs.6, 700 crores of assets under management.

SECOND PHASE – 1987-1993 (ENTRY OF PUBLIC SECTOR FUNDS):

1987 marked the entry of non- UTI, public sector mutual funds set up by public sector banks and Life Insurance Corporation of India (LIC) and General Insurance Corporation of India(GIC). SBI Mutual Fund was the first non- UTI Mutual Fund established in June 1987 followed by Canbank Mutual Fund (Dec 87), Punjab National Bank Mutual Fund (Aug 89), Indian Bank Mutual Fund (Nov 89), Bank of India (Jun 90), Bank of Baroda Mutual Fund (Oct 92). LIC established its mutual fund in June 1989 while GIC had set up its mutual fund in December1990. At the end of 1993, the mutual fund industry had assets under management of Rs.47, 004crores.

THIRD PHASE – 1993-2003 (ENTRY OF PRIVATE SECTOR FUNDS):

With the entry of private sector funds in 1993, a new era started in the Indian mutual fund industry, giving the Indian investors a wider choice of fund families. Also, 1993 was the year in which the first Mutual Fund Regulations came into being, under which all mutual funds, except UTI were to be registered and governed. The erstwhile Kothari Pioneer (now merged with Franklin Templeton) was the first private sector mutual fund registered in July 1993. 12

The 1993 SEBI (Mutual Fund) Regulations were substituted by a more comprehensive and revised Mutual Fund Regulations in 1996. The industry now functions under the SEBI (Mutual Fund) Regulations 1996. The number of mutual fund houses went on increasing, with many foreign mutual funds setting up funds in India and also the industry has witnessed several mergers and acquisitions. As at the end of January 2003, there were 33 mutual funds with total assets of Rs. 1, 21,805 crores. The Unit Trust of India with Rs.44, 541 crores of assets under its management was way ahead of other mutual funds.

FOURTH PHASE – SINCE FEBRUARY 2003:

In February 2003, following the repeal of the Unit Trust of India Act 1963 UTI was bifurcated into two separate entities. One is the Specified Undertaking of the Unit Trust of India with assets under management of Rs.29, 835 crores as at the end of January 2003, representing broadly, the assets of US 64 scheme, assured return and certain other schemes. The Specified Undertaking of Unit Trust of India, functioning under an administrator and under the rules framed by Government of India and does not come under the purview of the Mutual Fund Regulations. The second is the UTI Mutual Fund Ltd, sponsored by SBI, PNB, BOB and LIC. It is registered with SEBI and functions under the Mutual Fund Regulations. With the bifurcation of the erstwhile UTI which had in March 2000 more than Rs.76,000 crores of assets under management and with the setting up of a UTI Mutual Fund, conforming to the SEBI Mutual Fund Regulations, and with recent mergers taking place among different private sector funds, the mutual fund industry has entered its current phase of consolidation and growth. As at the end of September, 2004, there were 29 funds, which manage assets of Rs.153108 crores under 421schemes.

ADVANTAGES OF MUTUAL FUNDS:

If mutual funds are emerging as the favourite investment vehicle, it is because of the many advantages they have over other forms and the avenues of investing, particularly for the investor who has limited resources available in terms of capital and the ability to carry out detailed research and market monitoring. The following are the major advantages offered by mutual funds to all investors:

1. Portfolio Diversification: Each investor in the fund is a part owner of all the fund’s assets, thus enabling him to hold a diversified investment portfolio even with a small amount of investment that would otherwise require big capital.

2. Professional Management: Even if an investor has a big amount of capital available to him, he benefits from the professional management skills brought in by the fund in the management of the investor’s portfolio. The investment management skills, along with the needed research into available investment options, ensure a much better return than what an investor can manage on his own. Few investors have the skill and resources of their own to succeed in today’s fast moving, global and sophisticated markets.

3. Reduction/Diversification Of Risk: When an investor invests directly, all the risk of potential loss is his own, whether he places a deposit with a company or a bank, or he buys a share or debenture on his own or in any other from. While investing in the pool of funds with investors, the potential losses are also shared with other investors. The risk reduction is one of the most important benefits of a collective investment vehicle like the mutual fund.

4. Reduction of Transaction Costs: What is true of risk as also true of the transaction costs. The investor bears all the costs of investing such as brokerage or custody of securities. When going through a fund, he has the benefit of economies of scale; the funds pay lesser costs because of larger volumes, a benefit passed on to its investors.

5. Liquidity: Often, investors hold shares or bonds they cannot directly, easily and quickly sell. When they invest in the units of a fund, they can generally cash their investments any time, by selling their units to the fund if open-ended, or selling them in the market if the fund is close-end. Liquidity of investment is clearly a big benefit.

6. Convenience and Flexibility: Mutual fund management companies offer many investor services that a direct market investor cannot get. Investors can easily transfer their holding from one scheme to the other; get updated market information and so on.

7. Tax Benefits: Any income distributed after March 31, 2002 will be subject to tax in the assessment of all Unit holders. However, as a measure of concession to Unit holders of open-ended equity-oriented funds, income distributions for the year ending March 31, 2003, will be taxed at a concessional rate of 10.5%. In case of Individuals and Hindu Undivided Families a deduction up to Rs. 9,000 from the Total Income will be admissible in respect of income from investments specified in Section 80L,including income from Units of the Mutual Fund. Units of the schemes are not subject to Wealth-Tax and Gift-Tax.

8. Choice of Schemes: Mutual Funds offer a family of schemes to suit your varying needs over a lifetime.

9. Well Regulated: All Mutual Funds are registered with SEBI and they function within the provisions of strict regulations designed to protect the interests of investors. The operations of Mutual Funds are regularly monitored by SEBI.

10. Transparency: You get regular information on the value of your investment in addition to disclosure on the specific investments made by your scheme, the proportion invested in each class of assets and the fund managers investment strategy and outlook.

DISADVANTAGES OF INVESTING THROUGH MUTUALFUNDS:

1. No Control over Costs: An investor in a mutual fund doesn’t have any control over the overall costs of investing. The investor pays investment management fees as long as he remains with the fund, albeit in return for the professional management and research. Fees are payable even if the value of his investments is declining. A mutual fund investor also pays fund distribution costs, which he would not incur indirect investing. However, this shortcoming only means that there is a cost to obtain the mutual fund services.

2. No Tailor-Made Portfolio: Investors who invest on their own can build their own portfolios of shares and bonds and other securities. Investing through fund means he delegates this decision to the fund managers. The very-high-net-worth individuals or large corporate investors may find this to be a constraint in achieving their objectives. However, most mutual fund managers help investors overcome this constraint by offering families of funds- a large number of different schemes- within their own management company. An investor can choose from different investment plans and constructs a portfolio to his choice.

3. Managing A Portfolio Of Funds: Availability of a large number of funds can actually mean too much choice for the investor. He may again need advice on how to select a fund to achieve his objectives, quite similar to the situation when he has individual shares or bonds to select.

4. The Wisdom of Professional Management: That’s right, this is not an advantage. The average mutual fund manager is no better at picking stocks than the average nonprofessional, but charges fees.

5. No Control: Unlike picking your own individual stocks, a mutual fund puts you in the passenger seat of somebody else’s car.

6. Dilution: Mutual funds generally have such small holdings of so many different stocks that insanely great performance by a funds’ top holdings still doesn’t make much of a difference in a mutual funds total performance.

7. Buried Costs: Many mutual funds specialize in burying their costs and in hiring salesmen who do not make those costs clear to their clients.

TYPES OF MUTUAL FUNDS SCHEMES IN INDIA

Wide variety of Mutual Fund Schemes exists to cater to the needs such as financial position, risk tolerance and return expectations etc. thus mutual funds has Variety of flavours, Being a collection of many stocks, an investors can go for picking a mutual fund might be easy. There are over hundreds of mutual funds scheme to choose from. It is easier to think of mutual funds in categories, mentioned below.

A).BY STRUCTURE

1. Open - Ended Schemes:

An open-end fund is one that is available for subscription all through the year. These donot have a fixed maturity. Investors can conveniently buy and sell units at Net Asset Value ("NAV") related prices. The key feature of open-end schemes is liquidity.

2. Close - Ended Schemes:

A closed-end fund has a stipulated maturity period which generally ranging from 3 to 15years. The fund is open for subscription only during a specified period. Investors can invest in the scheme at the time of the initial public issue and thereafter they can buy or sell the units of the scheme on the stock exchanges where they are listed. In order to provide an exit route to the investors, some close-ended funds give an option of selling back the units to the Mutual Fund through periodic repurchase at NAV related prices. SEBI Regulations stipulate that at least one of the two exit routes is provided to the investor.

3. Interval Schemes:

Interval Schemes are that scheme, which combines the features of open-ended and close-ended schemes. The units may be traded on the stock exchange or may be open for sale or redemption during pre-determined intervals at NAV related prices.

BY NATURE

Equity Fund: These funds invest a maximum part of their corpus into equities holdings. The structure of the fund may vary different for different schemes and the fund manager’s outlook on different stocks. The Equity Funds are sub-classified depending upon their investment objective, as follows:

• Diversified Equity Funds

• Mid-Cap Funds

• Sector Specific Funds

• Tax Savings Funds (ELSS)

Equity investments are meant for a longer time horizon, thus Equity funds rank high on the risk-return matrix.

Debt Funds: The objectives of these Funds are to invest in debt papers. Government authorities, private companies, banks and financial institutions are some of the major issuers of debt papers. By investing in debt instruments, these funds ensure low risk and provide stable income to the investors. Debt funds are further classified as:

• Gilt Funds: Invest their corpus in securities issued by Government, popularly known as Government of India debt papers. These Funds carry zero Default risk but are associated with Interest Rate risk. These schemes are safer as they invest in papers backed by Government.

• Income Funds: Invest a major portion into various debt instruments such as bonds, corporate debentures and Government securities.

• MIPs: Invests maximum of their total corpus in debt instruments while they take minimum exposure in equities. It gets benefit of both equity and debt market. These scheme ranks slightly high on the risk-return matrix when compared with other debt schemes.

• Short Term Plans (STPs): Meant for investment horizon for three to six months. These funds primarily invest in short term papers like Certificate of Deposits (CDs) and Commercial Papers (CPs). Some portion of the corpus is also invested in corporate debentures.

• Liquid Funds: Also known as Money Market Schemes, These funds provides easy liquidity and preservation of capital. These schemes invest in short-term instruments like Treasury Bills, inter-bank call money market, CPs and CDs. These funds are meant for short-term cash management of corporate houses and are meant for an investment horizon of 1day to 3 months. These schemes rank low on risk-return matrix and are considered to be the safest amongst all categories of mutual funds.

3. Balanced Funds: As the name suggest they, are a mix of both equity and debt funds. They invest in both equities and fixed income securities, which are in line with pre-defined investment objective of the scheme. These schemes aim to provide investors with the best of both the worlds. Equity part provides growth and the debt part provides stability in returns. Further the mutual funds can be broadly classified on the basis of investment parameter viz, Each category of funds is backed by an investment philosophy, which is pre-defined in the objectives of the fund. The investor can align his own investment needs with the funds objective and invest accordingly.

C).BY INVESTMENT OBJECTIVE:

Growth Schemes: Growth Schemes are also known as equity schemes. The aim of these schemes is to provide capital appreciation over medium to long term. These schemes normally invest a major part of their fund in equities and are willing to bear short-term decline in value for possible future appreciation.

Income Schemes: Income Schemes are also known as debt schemes. The aim of these schemes is to provide regular and steady income to investors. These schemes generally invest in fixed income securities such as bonds and corporate debentures. Capital appreciation in such schemes may be limited.

Balanced Schemes: Balanced Schemes aim to provide both growth and income by periodically distributing apart of the income and capital gains they earn. These schemes invest in both shares and fixed income securities, in the proportion indicated in their offer documents (normally 50:50).

Money Market Schemes: Money Market Schemes aim to provide easy liquidity, preservation of capital and moderate income. These schemes generally invest in safer, short-term instruments, such as treasury bills, certificates of deposit, commercial paper and inter-bank call money.

Load Funds: A Load Fund is one that charges a commission for entry or exit. That is, each time you buy or sell units in the fund, a commission will be payable. Typically entry and exit loads range from 1% to 2%. It could be worth paying the load, if the fund has a good performance history.

No-Load Funds: A No-Load Fund is one that does not charge a commission for entry or exit. That is, no commission is payable on purchase or sale of units in the fund. The advantage of a no load fund is that the entire corpus is put to work.

OTHER SCHEMES

Tax Saving Schemes: Tax-saving schemes offer tax rebates to the investors under tax laws prescribed from time to time. Under Sec.88 of the Income Tax Act, contributions made to any Equity Linked Savings Scheme (ELSS) are eligible for rebate.

Index Schemes: Index schemes attempt to replicate the performance of a particular index such as the BSE Sensex or the NSE 50. The portfolio of these schemes will consist of only those stocks that constitute the index. The percentage of each stock to the total holding will be identical to the stocks index weightage. And hence, the returns from such schemes would be more or less equivalent to those of the Index.

Sector Specific Schemes: These are the funds/schemes which invest in the securities of only those sectors or industries as specified in the offer documents. e.g. Pharmaceuticals, Software, Fast Moving Consumer Goods(FMCG), Petroleum stocks, etc. The returns in these funds are dependent on the performance of the respective sectors/industries. While these funds may give higher returns, they are more risky compared to diversified funds. Investors need to keep a watch on the performance of those sectors/industries and must exit at an appropriate time.

Objectives of the Study

Indian Mutual Fund Industry has grown enormously. Now it has plethora of schemes, having different investment objective, available for small investor to choose from. This present study has the objective of finding out the necessary facts regarding performance of selected balanced schemes (Both growth and dividend), which can benefit the investors and fund managers. The specific objectives of the study are:

To evaluate the performance of Selected Schemes of Indian mutual funds using Return-Risk Analysis, Sharpe Measure, Treynors Measure and Jensen Alpha.

To compare all the measures against the market to distinguish the performers from the laggards.

To analyse the excess return per unit of risk evidenced by mutual fund schemes, and to draw comparisons.

Literature Review

Anand and Murugaiah (2008) examined the components and sources of investment performance in order to attribute it to specific activities of Indian fund managers. They also attempted to identify a part of observed return which was due to the ability to pick up the best securities at given level of risk. For this purpose, Fama's methodology is adopted here. The study covers the period between April 1999 and March 2003 and evaluates the performance of mutual funds based on 113 selected schemes having exposure more than 90percent of corpus to equity stocks of 25 fund houses. The empirical results reported reveals the fact that the mutual funds were not able to compensate the investors for the additional risk that they have taken by investing in the mutual funds. The study concludes that the influence of market factor was more severe during negative performance of the funds while the impact selectivity skills of fund managers was more than the other factors on the fund performance in times of generating positive return by the funds.

Redman, Gullett and Manakyan (2000) examined the risk-adjusted returns using Sharpe’s Index, Treynor’s Index, and Jensen’s Alpha for five portfolios of international mutual funds and for three time periods: 1985-1994, 1985-1989, and 1990-1994. The benchmarks for comparison were the U. S. market proxied by the Vanguard Index 500 mutual fund and a portfolio of funds that invest solely in U. S. stocks. The result shows that for 1985 through 1994 the portfolios of international mutual funds outperformed the U. S. market and the portfolio of U. S. mutual funds under Sharpe’s and Treynor’s indices. During 1985-1989, the international fund portfolio outperformed both the U. S. market and the domestic fund portfolio. Returns declined below the stock market and domestic mutual funds during 1990-1994.

Treynor (1965), Sharpe (1966), and Jensen (1968) have developed the standard indices to measure risk adjusted mutual fund returns. They came out with the models to evaluate the portfolio’s performance. Their models have been used in detail later in the study to evaluate the performance.

John and Donald (1974) examined the relationship between the stated fund objectives and their risks-return attributes. They conclude that on an average, the fund manager appears to offer superior aggregate returns but they are offset by expenses and load charges.

Lehmann and Modest (1987) came out with one of the cornerstone study of mutual fund performance evaluation. They, for the first time used multifactor models for performance measurement. Although evidence of persistence is found, the authors note that results are highly dependent on performance metrics employed; the results show considerable differences between rankings based on the Capital Asset Pricing Model (CAPM) and those based on various applications of the Arbitrage Pricing Theory (APT) Model.

Moreover, substantial ranking differences occur also within alternative Arbitrage Pricing Theory implementations.

Thanou (2008) in his paper examined the risk adjusted overall performance of 17 Greek Equity Mutual Funds between the years 1997 and 2005. The performance evaluation of each fund based on the CAPM performance, Treynor and Sharp indexes for the nine year period as well as for three sub-periods displaying different market characteristics was done. Then, he compared the rankings obtained by the two indexes and found significant differences in rankings between up and down market conditions. Lastly, paper proceeds to analyze the fund managers‟ performance, distinguishing superior security selection ability and market timing, using the standard and quadratic Jensen’s performance measures. Results indicate that the majority of the funds under examination followed 8 closely the market, achieved overall satisfactory diversification and some consistently outperformed the market, while the results in market timing are mixed, with most funds displaying negative market timing capabilities.

Sehgal and Janwar (2008) in his paper evaluated the performance of selected equity based mutual funds in India. Argument was made that multi-factor benchmarks provide better selectivity and timing measures compared to one-factor CAPM as they control for style characteristics such as size, value and momentum. The results timing ability, and to some extent stock selectivity improve when daily data was used instead of monthly data.

It was concluded that higher observation frequency captures the trading skills of more active fund managers in a better fashion. They showed that timing should be examined in a multi-dimensional framework with additional measures for timing of style characteristics.

Research Methodology

Data collection:

The data required for the study may be collected either from primary sources or from secondary sources. A major portion of the data in this study has been collected through secondary sources of data.

Return

The daily returns will be computed on the basis of the NAV of the different schemes and returns in the market index are calculated on basis of NSE Nifty on the respective date for the 3 years.

Risk Free Rate

By definition, a risk less asset has zero variability of returns. If an investor buys an asset at the beginning of the holding period with the known terminal value, such type of asset can be called as risk-less or risk free asset. Government securities and nationalized bank deposits fall under this category. In this study, average daily yield on 91-days Treasury bill have been used as a proxy for risk free rate of return.

Risk

The risk is calculated on the basis of daily NAV. The following measures of risks associated with mutual funds have been calculated for the study:

Beta (β): i.e., fund’s volatility as regard market index measuring the extent of co-movement of fund with that of the benchmark index. Higher values of β indicate a high sensitivity of fund returns against market returns; the lower value indicates low sensitivity. Higher β values are desired for the mutual funds during bull phase of the market and lower β values are desired during the bear phase to outperform the market.

Standard Deviation (SD): i.e., fund’s volatility or variation from the average expected return over a certain period. Standard deviation is computed from daily returns.

For further evaluation, the risk-return relation models given by Sharpe (1966), Treynor

(1965) and Jensen (1968) have been applied.

Sharpe Ratio

William F. Sharpe (1966) devised an index of portfolio performance measure, referred to as reward to variability ratio. The Sharpe measure provides the reward to volatility trade-off.

It is the ratio of the fund portfolio’s average excess return divided by the standard deviation of returns and is given by the following Equation

Sharpe Ratio = (Rsm - Rfm)/sd

Where, Rsm= average return on mutual fund portfolio over the sample period, Rfm = average risk free return over the sample period, and sd = standard deviation of excess returns over the sample period.

By dividing the average return of the portfolio in excess of the risk-free return by the standard deviation of the portfolio, we get the Sharpe ratio which measures the risk premium earned per unit of risk exposure. In other words, it measures the change in the portfolio's return with respect to a one unit change in the portfolio's risk.

The higher this "Reward-to-Variability-Ratio" the more attractive is the evaluated portfolio because the investor receives more compensation for the same increase in risk.

Treynor Ratio

Jack Treynor (1965) conceived an index of portfolio performance measure called as reward to volatility ratio, based on systematic risk The Treynor measure is similar to the

Sharpe ratio, except that it defines reward (average excess return) as a ratio of the CAPM beta risk. Treynor's performance measure is defined as the risk premium earned per unit of risk taken. Thus, it is computed as the average return of the portfolio in excess of the risk-free return divided by the portfolio's beta. Treynor‟s ratio is given by Equation-6 as shown below:

Treynor‟s Ratio = (Rsm – Rfm)/Betap (6)

Where, Rsm= average return on mutual fund portfolio over the sample period, Rfm = average risk free return over the sample period, and Betap = beta risk value for the mutual fund portfolio. The higher this ratio the more attractive is the evaluated portfolio.

Jensen alpha

Michael C. Jensen (1968) has given different dimension and confined his attention to the problem of evaluating a fund manager‟s ability of providing higher returns to the investors. He defines his measure of portfolio performance as the difference between the actual returns on a portfolio in any particular holding period and the expected returns on that portfolio conditional on the risk-free rate, its level of "systematic risk", and the actual returns on the market portfolio. Jensen‟s Alpha measure is given by the Equation-7 as shown below.

Jensen Alpha = Rsm – (Rfm + BetaP (Rim – Rfm)) (7)

Where, Rsm is the average mutual fund portfolio return over the time period, Rfm is the average risk free return over the time period; Rim is the return on the market portfolio.

Data Processing and Analysis:

Data is processed with the help of Microsoft Excel and SPSS (Statistical Package for Social Sciences). The NAVs for six months of all the funds and their benchmarks were entered into the spreadsheet and the above mentioned tools were used to get the final values for the comparative analysis and interpretations.

Limitations of the Study:

The present study has the following limitations

The study has been restricted to only a few schemes.

The data is analyzed for a limited period of 3 years.

Data Analysis and Interpretation

Introduction:

Asset allocation strategies of various select mutual fund schemes are presented in the following tables.

Equity Funds:

Birla Advantage Fund – Growth

Investment information

Fund Type

Open- Ended

Investment Plan

Growth

Asset Size (RS cr)

304.41

Min .Investment

Rs. 5,000

Last Dividend

N.A

Bonus

N.A

Asset Allocation (%)

Percentage held

Equity

84.89

Debt

0.00

Money Market

0.00

Cash / Call

15.10

HDFC Equity Fund – Growth

Asset Allocation (%)

Percentage held

Equity

98.51

Debt

0.00

Mutual fund

N.A

Mutual Market

1.85

Cash / Call

-0.36

Investment Information

Fund Type

Open- Ended

Investment Plan

Growth

Asset Size(Rs cr)

4,030.92

Min. Investment

Rs.5,000

Last Dividend

N.A

ICICI Prudential Dynamic Plan – Growth

Investment Information

Fund Type

Open-Ended

Investment Type

Growth

Investment Plan

3937.96

Asset Size (Rs cr)

Rs. 5,000

Last Dividend

N.A

Bonus

N.A

Asset Allocation(%)

Percentage held

Equity

85.24

Debt

3.78

Mutual Fund

N.A

Money Market

0.00

Cash / Call

11.01

(EQUITY FUNDS: SIX MONTHS COMPARISON OF RETURN)

Company Name and Fund

Absolute return

Mean return

Standard Deviation

Variance

HDFC Equity Fund - Growth

0.136557

0.000897

0.018978

0.0003601

Birla Advantage Fund - Growth

-0.02593

0.01695

1.020131

1.0406672

ICICI Prudential Dynamic Plan - Growth IC

0.082544

0.000628

0.019227

0.0003696

FINDINGS:

From the above table we can see that HDFC Equity Fund - Growth is giving the highest absolute return over 6 months (0.136557) while it is highest in term of fluctuation of returns (variance=0.000586). HDFC Equity Fund - Growth is also having the less fluctuation in return generated (variance=0.0003601).

Birla Advantage Fund – Growth

DATE

S&P CNX NIFTY

RETURN (X)

NAV

RETURN (Y)

X2

Y2

XY

(Y-Y1)

(Y-Y)2

1-jun-05

2087.55

66.86

3-Oct-05

2630.05

25.9874

84.34

26.14418

26.57064

683.5182

679.4194

16.0414177

257.3271

1-Feb-06

2971.55

12.98454

98.4

16.67062

19.00433

277.9095

216.4604

6.56785892

43.13677

1-Jun-06

2962.25

-0.31297

96.08

-2.35772

2.469948

5.55886

0.737892

-12.4604836

155.2637

3-Oct-06

3569.6

20.503

111.36

15.90341

14.76959

252.9186

326.0676

5.80065382

33.64758

1-Feb-07

4137.2

15.90094

129.21

16.02909

15.5848

256.9319

254.8777

5.92633483

35.12144

1-Jun-07

4297.05

3.863724

132.97

2.909991

7.16371

8.46805

11.2434

-7.19276851

51.73592

1-Oct-07

5068.95

17.96349

153.95

15.778

17.06215

248.9451

283.4278

5.67523504

32.20829

1-Feb-08

5317.25

4.89845

159.08

3.332251

6.43697

11.10389

16.32286

-6.77050927

45.8398

2-Jun-08

4739.6

-10.8637

139.97

-12.0128

-10.5782

144.3079

130.5037

-22.1155837

489.099

TOTAL

90.92488

82.397

98.48394

1889.662

1919.061

82.3969994

1143.38

CALCULATION OF ABOVE TABLE

Beta

Alfa

Standard Deviation

Coefficient of determination

Sharpe ratio (SR)

Treynor Ratio (TR

Jensen Ratio (JR)

1.008

-1.025

11.2713

0.9392

4.78116

53.4623

-1.0168

DATE

S&P CNX NIFTY

RETURN (X)

NAV

RETURN (Y)

X2

Y2

XY

(Y-Y1)

(Y-Y)2

1-jun-05

2087.55

71.78

3-Oct-05

2630.05

25.9874

94.324

31.40708

26.57064

986.4045

816.1883

21.304313

453.8738

1-Feb-06

2971.55

12.98454

112.483

19.25173

19.00433

370.629

249.9749

9.14896809

83.70362

1-Jun-06

2962.25

-0.31297

112.327

-0.13869

2.469948

0.019234

0.043405

-10.2414476

104.8872

3-Oct-06

3569.6

20.503

132.634

18.07847

14.76959

326.831

370.6627

7.97570733

63.61191

1-Feb-07

4137.2

15.90094

152.415

14.91397

15.5848

222.4266

237.1462

4.81121379

23.14778

1-Jun-07

4297.05

3.863724

161.903

6.225109

7.16371

38.75198

24.0521

-3.87765092

15.03618

1-Oct-07

5068.95

17.96349

184.165

13.75021

17.06215

189.0682

247.0017

3.64744846

13.30388

1-Feb-08

5317.25

4.89845

191.075

3.75207

6.43697

14.07803

18.37933

-6.35068985

40.33126

2-Jun-08

4739.6

-10.8637

167.237

-12.4757

-10.5782

155.6438

135.5326

-22.5784894

509.7882

TOTAL

90.92488

94.76422

98.48394

2303.852

2098.981

94.764217

1307.684HDFC Equity Fund – Growth

CALCULATION OF ABOVE TABLE

Beta

Alfa

Standard Deviation

Coefficient of determination

Sharpe ratio (SR)

Treynor Ratio (TR

Jensen Ratio (JR)

1.059

-0.16

12.00

0.96700

5.522

62.5722

-0.152

ICICI Prudential Dynamic Plan – Growth

DATE

S&P CNX NIFTY

RETURN (X)

NAV

RETURN (Y)

X2

Y2

XY

(Y-Y1)

(Y-Y)2

1-jun-05

2087.55

28.7764

3-Oct-05

2630.05

25.9874

38.8002

34.83341

26.57064

1213.366

905.2297

24.73064

611.6046

1-Feb-06

2971.55

12.98454

44.1348

13.7489

19.00433

189.0322

178.5232

3.646138

13.29432

1-Jun-06

2962.25

-0.31297

48.7833

10.5325

2.469948

110.9337

-3.29634

0.429745

0.184681

3-Oct-06

3569.6

20.503

55.6132

14.00049

14.76959

196.0137

287.0519

3.897728

15.19228

1-Feb-07

4137.2

15.90094

68.1413

22.52721

15.5848

507.475

358.2038

12.42445

154.3669

1-Jun-07

4297.05

3.863724

70.0892

2.858619

7.16371

8.171701

11.04491

-7.24414

52.47758

1-Oct-07

5068.95

17.96349

77.9361

11.19559

17.06215

125.3413

201.1118

1.092831

1.194279

1-Feb-08

5317.25

4.89845

81.6861

4.811634

6.43697

23.15182

23.56955

-5.29113

27.99601

2-Jun-08

4739.6

-10.8637

74.5291

-8.76159

-10.5782

76.76543

95.18326

-18.8643

355.8636

TOTAL

90.92488

105.7468

98.48394

2450.251

2056.622

14.82191

1232.174

CALCULATION OF ABOVE TABLE

Beta

Alfa

Standard Deviation

Coefficient of determination

Sharpe ratio (SR)

Treynor Ratio (TR

Jensen Ratio (JR)

0.9173

2.482

11.7

0.87065

6.6017

84.203

2.705

Findings and Suggestions:

Company’s

Name

Beta

Alfa

Standard Deviation

Coefficient of determination

Sharpe ratio (SR)

Treynor Ratio (TR

Jensen Ratio (JR)

ICICI Prudential dynamic plan-Growth

0.9173

2.482

11.7

0.87065

6.6017

84.203

2.705

HDFC equity fund-Growth

1.059

-0.16

12.00

0.96700

5.522

62.572

-0.152

Birla advantage fund-Growth

1.008

-1.025

11.2713

0.9392

4.78116

53.462

-1.0168

Alpha & Beta:

The above table shows that ICICI Prudential dynamic plan-Growth fund is comparatively more volatile with a beta of 0.9173 though compared to the market all the funds are safer to invest. And also the alpha values of few funds are positive and few funds are negative. ICICI Prudential dynamic plan-Growth is showing an alpha of 2.482 which suggests that the fund is well diversified and quite efficient in reducing the impact of market risk.

Co-efficient of Determination:

All companies are having positive co- efficient of determination.

Sharpe’s Ratio & Treynor’s Ratio:

Sharp In the above table, the Treynor’s ratio for Birla Advantage Fund - Growth followed by ICICI Prudential Dynamic Plan - Growth and then HDFC Equity Fund - Growth. It suggests that Birla Advantage Fund - Growth is giving highest returns over the risk free returns after taking the market risk in to account. On the other hand HDFC equity fund-Growth is giving the lowest returns. The sharpe’s ratio of Birla Advantage Fund - Growth fund highest suggesting that after taking the total risk in to consideration the fund is giving good return return over and above the risk free returns.

From the above it can be suggested that HDFC equity fund-Growth can be ruled out of investment decision alternative. Among the other three funds Birla is giving higher returns taking lower risk as compared to Sundaram BNP Paribas-Growth and ICICI, and HDFC which is giving lower returns.

Debt Fund

ICICI Prudential Blended Plan - Option B – Growth:

Asset Allocation(%)

Percentage held

Equity

0.00

Debt

82.13

Money Market

0.00

Cash / Call

17.87

Investment Information

Fund Type

Open-Ended

Investment Plan

Growth

Asset Size(Rs cr)

17.31

Min .Investment

Rs. 5,000

Last Dividend

N.A

Asset Allocation (%)

Percentage held

Equity

0.00

Debt

67.72

Money Market

28.76

Cash / Call

3.52 HDFC High Interest Fund – Growth:

Investment Information

Fund Type

Open-Ended

Investment Plan

Growth

Asset Size (Rs cr)

42.74

Min . Investment

Rs,5000

Last Dividend

N.A

Bonus

N.A

Birla Bond Index Fund – Growth:

Investment Information

Fund Type

Open-Ended

Investment Plan

Growth

Asset Size(Rs cr)

0.35

Min . Investment

Rs.25,000

Last Dividend

N.A

Bonus

N.A

Asset Allocation (%)

Percentage held

Equity

0.00

Debt

33.40

Money Market

0.00

Cash / Call

66.60

(DEBT FUND SIX MONTHS COMPARISON OF RETURN)

Company Name and Fund

Absolute return

Mean

Standard Deviation

Variance

Birla Bond Index Fund – Growth

-0.03895

-0.00022

0.000366

0.000000133

HDFC High Interest Fund – Growth

-0.04516

-0.00026

0.001262

0.000001592

ICICI Prudential Blended Plan - Option B – Growth

-0.06014

-0.00035

0.000832

0,000000692

FINDINGS:

From the above table we can see that Birla Bond Index Fund – Growth is giving the highest absolute return over 1 months (-0.03895) while it is lowest in term of fluctuation of returns (variance=0.0000015).

Birla Bond Index Fund – Growth:

DATE

S&P CNX NIFTY

RETURNS

(X)

NAV

RETURNS

(Y)

X2

Y2

X Y

(Y-Y1)

(Y-Y1)2

1-jun-05

2087.55

10.7207

3-Oct-05

2630.05

25.9874

10.9312

1.963491

675.345

3.855298

51.02603

-8.13927

66.24776

1-Feb-06

2971.55

12.98454

11.0239

0.848031

168.5984

0.719157

11.0113

-9.25473

85.65

1-Jun-06

2962.25

-0.31297

11.1885

1.493119

-0.097949

2.229406

-0.4673

-8.60964

74.12591

3-Oct-06

3569.6

20.503

11.3934

1.831345

420.3728

3.353823

37.54805

-8.27142

68.41631

1-Feb-07

4137.2

15.90094

11.5874

1.70274

252.8399

2.899324

27.07517

-8.40002

70.56033

1-Jun-07

4297.05

3.863724

11.7673

1.552548

14.92837

2.410407

5.998619

-8.55021

73.10612

1-Oct-07

5068.95

17.96349

12.0175

2.126231

322.6869

4.520859

38.19453

-7.97653

63.62501

1-Feb-08

5317.25

4.89845

12.2912

2.277512

23.99482

5.187061

11.15628

-7.82525

61.23451

2-Jun-08

4739.6

-10.8637

12.4884

1.6044

118.0199

2.574099

-17.4297

-8.49836

72.22212

TOTAL

90.92488

15.39942

1996.884

27.74943

164.113

-75.5254

635.1881

CALCULATION OF ABOVE TABLE

Beta

Alfa

Standard Deviation

Coefficient of determination

Sharpe ratio (SR)

Treynor Ratio (TR

Jensen Ratio (JR)

0.00792

1.631

8.4009

0.220977

-1.559

-1654.1

10.10

HDFC High Interest Fund – Growth:

DATE

S&P CNX NIFTY

RETURNS

(X)

NAV

RETURNS

(Y)

X2

Y2

X Y

(Y-Y1)

(Y-Y1)2

1-jun-05

2087.55

23.3

3-Oct-05

2630.05

25.9874

23.6829

1.643348

675.345

2.700591

24.34405

-8.45942

71.56173

1-Feb-06

2971.55

12.98454

23.7776

0.399867

168.5984

0.159893

12.58468

-9.70289

94.14614

1-Jun-06

2962.25

-0.31297

23.9594

0.764585

-0.097949

0.58459

-1.07755

-9.33817

87.20151

3-Oct-06

3569.6

20.503

24.3507

1.633179

420.3728

2.667275

18.86982

-8.46958

71.73379

1-Feb-07

4137.2

15.90094

24.4876

0.562201

252.8399

0.316071

15.33874

-9.54056

91.02226

1-Jun-07

4297.05

3.863724

24.5243

0.149872

14.92837

0.022462

3.713852

-9.95289

99.05998

1-Oct-07

5068.95

17.96349

25.3735

3.462688

322.6869

11.99021

14.5008

-6.64007

44.09056

1-Feb-08

5317.25

4.89845

26.6556

5.05291

23.99482

25.53189

-0.15446

-5.04985

25.50099

2-Jun-08

4739.6

-10.8637

26.6776

0.082534

118.0199

0.006812

-10.9462

-10.0202

100.4049

TOTAL

90.92488

13.75118

1996.884

43.9798

77.17369

-77.1737

684.7219

CALCULATION OF ABOVE TABLE

Beta

Alfa

Standard Deviation

Coefficient of determination

Sharpe ratio (SR)

Treynor Ratio (TR

Jensen Ratio (JR)

-0.0519

2.051

8.722

-0.3572

-1.757

295.2

-39.52

ICICI Prudential Blended Plan - Option B – Growth:

DATE

S&P CNX NIFTY

RETURNS

(X)

NAV

RETURNS

(Y)

X2

Y2

X Y

(Y-Y1)

(Y-Y1)2

1-jun-05

2087.55

10.0197

3-Oct-05

2630.05

25.9874

10.212

1.919219

675.345

3.683402

49.87552

-8.18355

66.97041

1-Feb-06

2971.55

12.98454

10.3942

1.784175

168.5984

3.183282

23.16671

-8.31858

69.19885

1-Jun-06

2962.25

-0.31297

10.6886

2.832349

-0.097949

8.0222

-0.88643

-7.27041

52.85888

3-Oct-06

3569.6

20.503

10.8771

1.763561

420.3728

3.110148

36.15829

-8.3392

69.54224

1-Feb-07

4137.2

15.90094

11.1269

2.296568

252.8399

5.274225

36.51759

-7.80619

60.93663

1-Jun-07

4297.05

3.863724

11.414

2.580233

14.92837

6.657605

9.969311

-7.52253

56.58841

1-Oct-07

5068.95

17.96349

11.8158

3.520238

322.6869

12.39208

63.23575

-6.58252

43.32959

1-Feb-08

5317.25

4.89845

12.2543

3.711133

23.99482

13.7725

18.1788

-6.39163

40.8529

2-Jun-08

4739.6

-10.8637

12.5064

2.057237

118.0199

4.232224

-22.3492

-8.04552

64.73044

 

TOTAL

90.92488

22.46471

1996.884

60.32767

213.8663

-68.4601

525.0083

CALCULATION OF ABOVE TABLE

Beta

Alfa

Standard Deviation

Coefficient of determination

Sharpe ratio (SR)

Treynor Ratio (TR

Jensen Ratio (JR)

-0.0129

2.626

7.6376

-0.20696

-0.790

-465.66

-202.62

Findings and Suggestions:

Company’s

Name

Beta

Alfa

Standard Deviation

Coefficient of determination

Sharpe ratio (SR)

Treynor Ratio (TR

Jensen Ratio (JR)

ICICI Prudential Blended plan option-B-Growth

-0.0129

2.626

7.6376

-0.20696

-0.790

-465.66

-202.62

HDFC high interest fund-Growth

-0.0519

2.051

8.722

-0.3572

-1.757

295.2

-39.52

Birla Bond index fund-Growth

0.00792

1.631

8.4009

0.220977

-1.559

-1654.1

10.10

Alpha & Beta:

The above table shows that Birla Bond index fund-Growth is comparatively more volatile with a beta of 0.00792, though compared to the market all the funds are safer to invest. And also the alpha values of all the funds are positive which shows that the funds are giving returns justifying the risk taken. ICICI Prudential Blended plan option-B-Growth is showing an alpha of 2.626 which suggests that the fund is well diversified and quite efficient in reducing the impact of market risk.

Co-efficient of Determination:

Here all values are not in positive form of the co-efficient of determination of all the fund of the debt.

Sharpe’s Ratio & Treynor’s Ratio

Sharp In the above table, the Treynor’s ratio for HDFC High Interest Fund – Growth fund the highest here almost all funds are in negative form and same are in positive form. It suggests that HDFC High Interest Fund – Growth fund fund is giving highest returns over the risk free returns after taking the market risk in to account. With more volatility the Sharpe’s ratio here all fund are in negative or HDFC High Interest Fund – Growth fund giving highest, suggesting that after taking the total risk in to consideration the fund is giving good return over and above the risk free returns.

Balance Fund

HDFC Balanced Fund – Growth

Investment Information

Fund Type

Open-Ended

Investment Type

Growth

Asset Size (Rs cr)

991.18

Min .Investment

Rs.5,000

Last Dividend

N.A

Bonus

N.A

Asset Allocation (%)

Percentage held

Equity

69.00

Debt

23.92

Money Market

5.78

Cash / Call

1.30

ICICI Prudential Balanced – Growth

Asset Allocation (%)

Percentage held

Equity

70.75

Debt

21.16

Mutual Fund

N.A

Money Market

0.00

Cash / Call

8.09

Investment Information

Fund Type

Open-Ended

Investment Plan

Growth

Asset Size (Rs cr)

381.15

Min. Investment

Rs.5000

Last Dividend

N.A

Bonus

N.A

Birla Balance Fund – Growth

Investment Information

Fund Type

Open-Ended

Investment Plan

Growth

Asset Size(Rs cr)

106.38

Min. Investment

Rs.5000

Last Dividend

N.A

Bonus

N.A

Asset Allocation (%)

Percentage held

Equity

67.39

Debt

17.73

Money Market

0.00

Cash / Call

14.88

(BALANCED FUND-SIX MONTHS COMPARISON OF RETURN)

Company Name and fund

Absolute return

Mean return

Standard Deviation

Variance

Birla Balance Fund - Growth

0.107463

0.00066

0.013267

0.000176

HDFC Balanced Fund - Growth

0.03934

0.000312843

0.013947

0.000194

ICICI Prudential Balanced - Growth c

0.134518

0.000848329

0.016753

0.000280

FINDINGS:

From the above table we can see that ICICI Prudential Balanced fund is giving the highest absolute return over 6 months (0.258134) BIRLA balanced fund is having the minimum fluctuation in return generated (variance=0.000176).

Birla Balance Fund – Growth

DATE

S&P CNX NIFTY

RETURN (X)

NAV

RETURNS

(Y)

X2

Y2

XY

(Y-Y1)

(Y-Y1)2

1-jun-05

2087.55

18.01

3-Oct-05

2630.05

25.9874

20.96

16.37979

675.345

268.2975

425.6682

6.277025

39.40104

1-Feb-06

2971.55

12.98454

23.03

9.875954

168.5984

97.53447

128.2348

-0.22681

0.051441

1-Jun-06

2962.25

-0.31297

22.84

-0.82501

-0.097949

0.680643

0.258202

-10.9278

119.4162

3-Oct-06

3569.6

20.503

26.14

14.44834

420.3728

208.7544

296.2342

4.345576

18.88403

1-Feb-07

4137.2

15.90094

28.37

8.530987

252.8399

72.77774

135.6507

-1.57177

2.47047

1-Jun-07

4297.05

3.863724

29.59

4.300317

14.92837

18.49273

16.61524

-5.80244

33.66834

1-Oct-07

5068.95

17.96349

33.63

13.65326

322.6869

186.4115

245.2602

3.550501

12.60606

1-Feb-08

5317.25

4.89845

32.45

-3.50877

23.99482

12.31148

-17.1875

-13.6115

185.2738

2-Jun-08

4739.6

-10.8637

30.91

-4.74576

118.0199

22.52226

51.55653

-14.8485

220.4786

TOTAL

90.92488

58.1091

1996.884

887.7828

1282.29

58.1091

632.25

CALCULATION OF ABOVE TABLE

Beta

Alfa

Standard Deviation

Coefficient of determination

Sharpe ratio (SR)

Treynor Ratio (TR

Jensen Ratio (JR)

0.645

-0.09

8.3815

0.940012

3.5326

45.905

0.1395

HDFC Balanced Fund – Growth

DATE

S&P CNX NIFTY

RETURN (X)

NAV

RETURNS

(Y)

X2

Y2

XY

(Y-Y1)

(Y-Y1)2

1-jun-05

2087.55

20.576

3-Oct-05

2630.05

25.9874

24.464

29.90769

675.345

894.4701

777.2232

19.80493

392.2352

1-Feb-06

2971.55

12.98454

26.057

12.25385

168.5984

150.1567

159.1106

2.151086

4.627172

1-Jun-06

2962.25

-0.31297

26.458

3.084615

-0.097949

9.514852

-0.96539

-7.01814

49.25435

3-Oct-06

3569.6

20.503

29.944

26.81538

420.3728

719.0649

549.7957

16.71262

279.3118

1-Feb-07

4137.2

15.90094

32.09

16.50769

252.8399

272.5039

262.4878

6.404932

41.02316

1-Jun-07

4297.05

3.863724

32.002

-0.67692

14.92837

0.458225

-2.61544

-10.7797

116.2016

1-Oct-07

5068.95

17.96349

34.957

22.73077

322.6869

516.6879

408.3239

12.62801

159.4666

1-Feb-08

5317.25

4.89845

38.158

24.62308

23.99482

606.2959

120.6149

14.52032

210.8396

2-Jun-08

4739.6

-10.8637

34.843

-25.5

118.0199

650.25

277.0243

-35.6028

1267.557

TOTAL

90.92488

109.7462

1996.884

3819.402

2551

18.82131

2520.516

CALCULATION OF ABOVE TABLE

Beta

Alfa

Standard Deviation

Coefficient of determination

Sharpe ratio (SR)

Treynor Ratio (TR

Jensen Ratio (JR)

1.3386

-1.329

16.7351

0.8863

4.8548

60.694

-0.992

ICICI Prudential Balanced – Growth

DATE

S&P CNX NIFTY<