final quant ppt

8/2/2019 Final Quant Ppt

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Comparison of mutual fundportfolios empirically

Neha Agarwal(1)

Abhishek Arora(3)

Mahima Arya(4)AbhishekSahay(26)

Sohin Savla(28)

Amit Agarwal


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Objective

To study the performance of 15 schemes of mutual fundsbased on risk-return relationship

Standard measure like mean return, beta and coefficient

of determination

The time-tested models of mutual funds performanceevaluation given by Sharpe, Treynor and Jensen have also

been applied


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The various measures of return / risk and portfolio performance

used are:-

Return

The return from a Mutual fund scheme () at time t is :

The Mean Return of the mutual fund scheme () is :

=1


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The return on the market (representative by a stock index)

at time t :

11 The mean Return of the market portfolio () over a periodof time :

=1


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Risk

The risk is calculated on the basis of the following:-

Beta (): i.e., funds volatility as regard market index

Standard Deviation (): i.e., funds volatility or variation

from the average expected return over a certain period

Co-efficient of Determination (R2): i.e., the extent to

which the movement in the fund can be explained by

corresponding benchmark index ( here, NSE Nifty )


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Sharpe Ratio

The Sharpe measure provides the reward to volatility

trade-off

Sharpe Measure Where,

= average return on mutual fund portfolio

= average risk free return= standard deviation of excess returns(over the sample period)


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Treynor Ratio

Treynor ratio is computed as the average return of the

portfolio in excess of the risk-free return divided by theportfolio's beta

where = beta risk value for the mutual fund portfolio


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Jenson Model

A risk adjusted performance measure

This measure involves evaluation of the returns that thefund has generated vs. the returns actually expected out of

the fund given the level of its systematic risk

Required return of a fund at a given level of risk (Bi) can

be calculated as:

Ri = Rf + Bi (Rm - Rf)

Where, Rm is average market return during the given

period


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MUTUAL FUND

SCHEMERETURN BETA SHARPE RATIO TREYNOR RATIO

Can equity tax saver Moderate High +ve under performer +ve under performerFranklin india

bluechipGood Low +ve over performer +ve under performer

Franklin india primaplus Good

Low

+ve over performer

+ve under performer

HDFC Top 200 Excellent High +ve over performer +ve under performerMagnum Global 200 Excellent High +ve over performer +ve under performerReliance growth fund Good High +ve over performer +ve under performerICICI Prudential tax

plan Excellent High +ve over performer +ve under performerICICI Prudential

powerPoor Low -ve under performer -ve under performer

ICICI prudential

growthGood Low +ve over performer +ve over performer

Reliance income fund

Poor

High

-ve under performer

-ve under performer

Birla income plus moderate Low -ve moderateperformer

-ve moderate

performerKotak Bond regular

planGood Low -ve over performer -ve over performer

ICICI prudential

incomegood Low -ve over performer -ve over performer

TATA income fund Poor Low -ve under performer -ve under performer

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