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ANALYSIS OF MUTUAL FUNDSCHEMES PERFORMANCE

MD ASIF IMAM

(MBA/4534/09)



INTRODUCTION OF THE STUDY

MUTUAL FUND

EQUITY,OPEN ENDED AND GROWTH.

ICICI PRUDENTIAL AS A BASE SCHEMES.

EVALUATION FUND THROUGH TREYNOR S RATIO,SHARPE

RATIO, BETA AND STANDARD DEVIATION.



INDIAN INFOLINE: A VIEW

VISION STATEMENT:Our vision is to be the most respected company in thefinancial services space.

HISTORY:1995 by Mr. Nirmal Jain (Chairman and Managing Director) asan independent business research and information provider .

SERVICES:Equity research, equities and derivatives trading, commoditiestrading, portfolio management services, mutual funds, lifeinsurance, fixed deposits, gov bonds and other small savingsinstruments to loan products and investment banking

NETWORK:2100 business locations (branches and sub-brokers) spreadacross more than 450 cities



OBJECTIVES OF THE STUDY

The present study focuses on the comparative analysis of mutual funds schemes performance with help of Sharpe Ratio &Treynor s Ratio.

To evaluate the schemes on the basis of risk and return bycalculating Beta, Standard Deviation & mean.To get the in depth knowledge of the performance evaluation of mutual fund.

To analyze the performance of various growth schemes of mutual fund.



RESEARCH METHDOLOGY

TOOL USED TO ANALYSIS THE PERFORMANCE

RISK ADJUSTED: TREYNOR S RATIO &SHARPE RATIO.SENSITIVITY: BETA.RISK AND RETURN: STANDARD DEVIATION &MEAN.COST EFFECTIVE: EXPENSE RATIO

SOURCES OF DATA:

The data has been collected from the secondary sources i.e.

FACT SHEETSANNUAL REPORTSOFFER DOCUMENTS



ANALYSIS OF MUTUAL FUND SCHEMES

1) EQUITY ORIENTED FUND (TAX PLAN)

2) INDEX FUND3) SECTORAL FUND4) EQUITY DIVERSIFIED FUND5) BALANCED FUND



EQUITY ORIENTED FUND (TAX PLAN)



INTERPRETATION

BETA: ICICI Prudential Fund is least volatile followed by SBIMAGNUM & RELIANCE Fund respectively. Now if market rise, ICICIPrudential Fund will rise at lower rate than other fund, but if marketfalls ICICI PRUDENTIAL Fund will fall at lower rate too.

SHARPE RATIO: Sharpe Ratio shows smart portfolio s composition.ICICI PRUDENTIAL is having the highest Sharpe Ratio of 0.14,followed by SBI Magnum Fund & Reliance Tax plan. Reliance Taxplan is having the least at 0.06 which refers this fund as high returnsbut with high risk.

TREYNOR RATIO: Treynor ratio is a risk-adjusted measure of returnbased on systematic risk. Greater the value of Treynor Ratio betteris the fund. Here again ICICI Prudential fund scores higher thanother funds.



FINDINGS

ICICI prudential tax plan is the best fund in terms of riskadjusted returns.ICICI prudential tax plan has given the maximum return

(40.40) SBI Magnum tax plan has given the minimum returnfor the period (28.44).ICICI prudential tax plan has been associated with maximumrisk (27.80) SBI Magnum tax plan has been associated withminimum risk (16.36).ICICI prudential tax plan is the least price sensitive to marketfluctuations having lowest BETA of (0.84).



INDEX FUND



INTERPRETATION

BETA: ICICI Prudential Index Fund & BIRLA Sun life Index Fund aremost volatile. Now if market rise, ICICI Prudential Index Fund &BIRLA Sun life Index Fund will rise at faster rate than other fund, butif market falls ICICI Prudential& Index Fund & BIRLA Sun life IndexFund will fall at faster rate too.

Sharpe ratio : Sharpe Ratio shows smart portfolio s composition.TATA Index Fund & BIRLA Sun life Index Fund are having the highestSharpe Ratio of 0.09. ICICI Prudential Index Fund is having the leastat 0.06 which refers this fund as high returns but with high risk.

TREYNOR RATIO: Treynor ratio is a risk-adjusted measure of returnbased on systematic risk. Greater the value of Treynor Ratio betteris the fund. Here TATA Index fund scores higher than other funds.



FINDINGS

TATA INDEX FUND is the best fund in terms of risk adjustedreturns.TATA INDEX FUND has given the maximum return (40.42), ICICI

PRUDENTIAL INDEX FUND has given the minimum return(35.35).BIRLA SUNLIFE INDEX FUND has been associated withmaximum risk (29.80), TATA INDEX FUND has been associated

with minimum risk (25.80).TATA INDEX FUND is the least price sensitive to marketfluctuations having BETA of (1.00).



INTERPRETATION

BETA: TATA Pharma Fund is most volatile. Now if market rise, TATAPharma Fund will rise at faster rate than other fund, but if marketfalls TATA Pharma Fund will fall at faster rate too.

Sharpe ratio : Sharpe Ratio shows smart portfolio s composition.ICICI Prudential FMCG Fund has the highest Sharpe Ratio of 0.36.TATA Pharma Fund is having the least at 0.30 which refers this fundas high returns but with high risk.

TREYNOR RATIO: Treynor ratio is a risk-adjusted measure of returnbased on systematic risk. Greater the value of Treynor Ratio betteris the fund. Here ICICI Prudential FMCG fund scores higher thanother funds



FINDINGS

ICICI PRUDENTIAL FMCG-GROWTH is the best fund in terms of risk adjusted returns.RELIANCE PHARMA FUND has given the maximum return(43.24), TATA PHARMA FUND has given the minimum return(41.72).TATA PHARMA FUND has been associated with maximum risk(30.26), ICICI PRUDENTIAL FMCG-GROWTH FUND has been

associated with minimum risk (28.70).ICICI PRUDENTIAL FMCG-GROWTH FUND is the least pricesensitive to market fluctuations having BETA of (0.93).



EQUITY DIVERSIFIED FUND



INTERPRETATION

BETA:. ICICI Prudential Discovery Fund is least volatile. Now if market rise ICICI Prudential Discovery Fund will rise at lower ratethan other fund, but if market falls ICICI Prudential Discovery Fundwill fall at lower rate too.

Sharpe ratio : Sharpe Ratio shows smart portfolio s composition.ICICI Prudential Discovery Fund has the highest Sharpe Ratio of 1.44. Reliance Growth Fund is having the least at 1.29 which refersthis fund as high returns but with high risk.

TREYNOR RATIO: Treynor ratio is a risk-adjusted measure of return

based on systematic risk. Greater the value of Treynor Ratio betteris the fund. Here Reliance Growth Fund scores higher than otherfunds.



FINDING

ICICI PRUDENTIAL DISCOVERY FUND is the best fund in terms of riskadjusted return on the basis of Sharpe ratio & RELIANCE GROWTHFUND is the best on the basis of Treynor ratio.

BIRLA SUNLIFE DYNAMIC PLAN has given the maximum return(42.24), ICICI PRUDENTIAL DISCOVERY FUND has given theminimum return (38.19).RELIANCE GROWTH FUND has been associated with maximum risk(27.54), ICICI PRUDENTIAL DISCOVERY FUND has been associated

with minimum risk (23.18).ICICI PRUDENTIAL DISCOVERY FUND is the least price sensitive.



BALANCED FUND



INTERPRETATION

BETA: SBI Magnum balanced Fund is most volatile. Now if marketrise will rise at faster rate than other fund, but if market falls SBIMagnum balanced Fund will fall at faster rate too.

SHARPE RATIO: Sharpe Ratio shows smart portfolio s composition.SBI Magnum balanced Fund has the highest Sharpe Ratio of 1.44.BIRLA Sunlife 95 is having the least at 0.09 which refers this fund ashigh returns but with high risk.

TREYNOR RATIO: Treynor ratio is a risk-adjusted measure of returnbased on systematic risk. Greater the value of Treynor Ratio betteris the fund. Here ICICI Prudential Balanced Fund scores higher thanother funds.



FINDINGS

SBI MAGNUM BALANCED FUND is the best fund in terms of risk adjusted return on the basis of Sharpe ratio & ICICIPRUDENTIAL BALANCED FUND is the best on the basis of

Treynor ratio.SBI MAGNUM BALANCED FUND has given the maximumreturn (40.20), BIRLA SUNLIFE95 has given the minimumreturn (20.29).SBI MAGNUM BALANCED FUND has been associated withmaximum risk (28.80), BIRLA SUNLIFE95 has been associatedwith minimum risk (0.83).BIRLA SUNLIFE95 is the least price sensitive.



RECOMMENDATIONS

In Tax plan the company should try to reduce its risk byimproving its standard deviation.The company should try to increase its returns in INDEXFund.

The fund is more volatile & should reduce its Beta in INDEXFund.It needs to improve its risk adjusted returns by improving itsSharpe ratio & Treynor ratio.

In the discovery fund (Equity diversified) it should improve itsrisk adjusted return by improving its Treynor ratio.The company needs to improve its returns.



The company should provide more range of services to itscustomer especially to the small time who want to invest theirearnings by the end of the day.

The company should emphasize on advertising its schemesand services.

The company should expand its business by opening morebranches.Increase area of working by spreading awareness amongpeople about mutual fund.

Company should diversify their investment throughout thedifferent sector and avoid keeping majority funds only in aparticular sector.



LIMITATION OF THE STUDY

The study includes time constraintsThe CRISIL rate may not be absolute standard in the industryto evaluate the performance of equity fund.

The chances of mathematical errors in the calculation cannotbe totally examined.The data used is secondary data and hence there is a chanceof making mistakes.

Historical data - Past performance may or may not indicatethe future performance.Assumption made may or may not be correct.



THANK YOU

asif see the future

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