Performance Evaluation of Selected Open Ended (Growth) Mutual Fund During The Period of 2008-09.

A Thesis On
THE STUDY OF THE PERFORMANCE EVALUATION OF

SELECTED OPEN ENDED MUTUAL FUND SCHEMES
DURING THE PERIOD OF 2008-2009 IN INDIA.
By
Chandni Saha
Enrolment No-11ATPA047
Program- MBA, 2nd Year, Sem-1st
The ICFAI University, Tripura
2011-2013
THE STUDY OF THE PERFORMANCE EVALUATION OF

SELECTED OPEN ENDED MUTUAL FUND SCHEMES
DURING THE PERIOD OF 2008-2009 IN INDIA.
By
Chandni Saha
Enrolment No-11ATPA047
Program- MBA, 2nd Year, Sem-1st
THESIS
Submitted in partial fulfillment of the requirements for the award of the degree of
MBA
Of
The ICFAI University, Tripura
2011-2013
CERTIFICATE
This is to certify that the Thesis titled The study of the performance evaluation of selected open
ended mutual fund schemes during the period of 2008-2009 in India submitted by Chandni Saha.
ID No.11ATPA047 for the award of MBA Degree of the ICFAI University, Tripura.
______________________
Signature of Student in full
Name in Capital letters CHANDNI SAHA
Date:
_________________________
Signature of the Supervisor in full
TABLE OF CONTENTS
Contents
Page No
Acknowledgementi
List of Tables and Graphs.....ii
Abstract....iii
Chapter 1
Introduction...1-8
Chapter 2
Literature Review.9-12
Chapter 3
Methodology...13-15
Chapter 4
Empirical Analysis..16-26
Chapter 5
Findings27-29
Chapter 6
Conclusions and Suggestions..30
Appendices31-62
References.....63-64
Glossary.65
ACKNOWLEDGEMENT
An exchange of ideas generates a new object to work in a better way. Apart from the ability and
time devotion, guidance and co-operation are the two pillars for the success of the completion of
a thesis report.
A pleasure that accompany the successful completion of task would be incomplete without
mentioning the name of the people who made it possible and whose constant guidance and
encouragement served as a guiding light for the completion of the study.
I express my sincere gratitude to Dr. Shruti Nagar, the faculty guide for providing me an
opportunity to undergo this study. I would like to express my deep sense of gratitude to thank her
for giving me support and helping me during the thesis study.
Last but not the least; I would like to thank my parents and friends for their valuable support and
suggestions.
THANK YOU
LIST OF TABLES AND GRAPHS
TABLE NO.
1
TABLE NAME
Average return earned by the schemes
PAGE
16
Total risk of the schemes
17-18
Beta of the schemes
19
Sharpe ratio of the schemes
20-21
Treynor ratio of the schemes
22-23
Jensens measure of the schemes
24-25
GRAPH NO.
GRAPH NAME
PAGE
Total risk of the schemes
18
Beta of the schemes
20
ABSTRACT
This study has sought to examine the comparative performance of the open-ended growth
schemes of five companies-ICICI Prudential asset management company ltd., HDFC asset
management company ltd., Kotak Mahindra asset management company ltd., LIC Nomura asset
management company ltd., and SBI funds management private ltd. The study has been
conducted by considering the period of January 2008 to December 2009 when the country was
hit by recession and had been recovering. An open-ended fund is one that is available for
subscription throughout the year. These do not have a fixed maturity. Investors can conveniently
buy and sells at Net Asset Value (NAV) related prices. In this study, the daily net asset values of
the selected open-ended growth mutual fund schemes have been taken into account and the data
have been obtained from the websites of Association of Mutual Funds in India (AMFI), Bluechip
India etc. The data used is monthly closing NAVs.
This studys aim is to check the performance of selected mutual funds during the given
period, and to compare their performance with the suitable market index. It is observed that
HDFC Balanced Fund is risky with highest standard deviation 12.72756% which is more than
the market risk (12.53073%). LIC Nomura MF Income plus fund growth is least risky scheme
with lowest standard deviation 0.172695%. It was also observed that ICICI Prudential Discovery
Fund Growth scheme having highest beta of 0.673346122% and lowest beta in the case of HDFC
Arbitrage fund-Institutional -0.009409328%. The performance evaluation of those schemes
further evaluated using three models such as Treynors measure, Sharpes measure, Jensens
measure. According to those models most of the debt funds, few equity funds and only one
equity-debt fund are performed well.
Keywords: Mutual Fund, Performance, Recession, Sharpe model, Treynor model, Jensen
model.
CHAPTER 1: INTRODUCTION
A mutual fund is just the connecting bridge or a financial intermediary that allows a group
of investors to pool their money together with a predetermined investment objective. The mutual
fund will have a fund manager who is responsible for investing the gathered money into specific
securities (stocks or bonds). When investors invest in a mutual fund, they are buying units or
portions of the mutual fund and thus on investing becomes a shareholder or unit holder of the
fund. Mutual funds are considered as one of the best available investments as compare to others
they are very cost efficient and also easy to invest in, thus by pooling money together in a mutual
fund, investors can purchase stocks or bonds with much lower trading costs than if they tried to
do it on their own.
The origin of the mutual funds industry goes back to the time when mutual fund was
introduced by UTI in the year 1963 though the growth has been relatively slow; it accelerated
since 1987 when there were players outside the UTI, who entered the industry. In the past
decade, Indian mutual fund industry has seen a remarkable improvement both quality wise and
quantity wise. Before the end of the monopoly in market, the Assets Under Management (AUM)
was Rs.67 bn. There are 4 phases in the Indian Mutual Funds industry:
First Phase - 1964-87
Second Phase - 1987-1993 (Entry of Public Sector Funds)
Third Phase - 1993-2003 (Entry of Private Sector Funds)
Fourth Phase - since February 2003
Current scenario of Mutual fund industry in India
The Indian Mutual fund industry has witnessed considerable growth since its inception in
1963. The assets under management (AUM) had surged to Rs 4,173 bn in Mar-09 from just Rs
250 mn in Mar-65. The impressive growth in the Indian Mutual fund industry in recent years can
largely be attributed to various factors such as rising household savings, comprehensive
regulatory framework, favorable tax policies, introduction of several new products, investor
education campaign and role of distributors.
Besides, SEBI has introduced various regulatory measures in order to protect the interest
of small investors that augurs well for the long term growth of the industry. The tax benefits
allowed on mutual fund schemes also have helped mutual funds to evolve as the preferred form
of investment among the salaried income earners. The Indian Mutual fund industry that started
with traditional products like equity fund, debt fund and balanced fund has significantly
expanded its product portfolio. Today, the industry has introduced an array of products such as
liquid/money market funds, sector-specific funds, index funds, gilt funds, capital protection
oriented schemes, special category funds, insurance linked funds, exchange traded funds, etc. It
also introduced Gold ETF fund in 2007 with an aim to allow mutual funds to invest in gold or
gold related instruments. Further, the industry has launched special schemes to invest in foreign
securities. The wide variety of schemes offered by the Indian Mutual fund industry provides
multiple options of investment to common man.
With a strong growth in the AUM of domestic Mutual fund industry, the ratio of AUM to
GDP increased gradually from 4.7% in 2001 to 8.5% in 2009. The share of mutual funds in
households financial savings also witnessed a substantial increase to 7.7% in 2008 as against
1.3% in 2001. As per data released by the Association of Mutual Funds in India (AMFI), the
combined average asset under management (AUM) of 44 fund houses declined to Rs 664,824.02
crore during January- March 2012, from Rs 681,707.71 crore reported in October-December
2011.
Types of Mutual Funds
Wide variety of Mutual Fund Schemes exists to cater to the needs such as financial
position, risk tolerance and return expectations etc. The existing types of schemes in the Industry
are given below:
1. By Structure:
i.
Open ended funds
ii.
Close ended funds
iii. Interval funds
2. By Investment objectives:
i.
Growth funds
ii.
Income funds
iii. Balanced funds
iv.
Money market funds
3. Other Schemes:
i.
Tax Saving funds
ii.
Special funds
iii. Index funds
iv.
Sector Specific funds
Open ended Mutual Fund:
Open-ended Mutual Fund Schemes is one of the types of Mutual Funds in India. An Openended Mutual Fund does not restrict itself to a given set of number for the shares. In other words,
the number of shares remains non-confined and thereby technically it serves as an open ended
instrument. An open ended fund is one that is available for subscription throughout the year.
These do not have a fixed maturity. Investors can conveniently buy and sell units at Net Asset
Value (NAV) related prices. A majority of the Mutual Funds in India are open-ended. The Openended Mutual Fund Schemes in India are more common than the closed-ended Mutual Fund
Schemes.
Features of Open-ended Mutual Fund
These are the following characteristics of the Indian open-ended Mutual Funds:
This type of fund permits the investors to purchase the shares or sell the shares
directly, any time.
Based on the current NAV (Net Asset Value), this type of fund issues fresh shares to
the investors and redeem them once the investor makes a decision to sell the shares.
The open-ended Indian mutual fund schemes have high liquidity as the investors can
put and take out their many as and when they require.
The total assets of the open-ended Mutual Fund fluctuate with the in and out flow of
money.
The fund can issue limitless shares and individual share value remains unaffected by
the shares outstanding.
The net asset value (NAV) of the fund determines the value of each share.
Benefits of Open-ended Mutual Fund Schemes in India

Open ended Mutual Funds provide a number of benefits which are as follows:
These funds maintain a lot of flexibility. This is to say that one can draw your money out
any point of time.
The funds can be diversified under the various kinds of investment opportunities. This
way you can reap the fruits of different investment options.
Most of the open mutual funds do not charge any fees while transferring various funds
within the same family.
INTRODUCTION OF THE SCHEMES

This study is conducted on the basis of selected open ended growth schemes. These thirty
schemes are taken from five different companies. These companies are HDFC Asset
Management Company, ICICI Prudential Asset Management Company, Kotak Mahindra Asset
Management Company, LIC Nomura Asset Management Company and SBI Funds Management
Private ltd. These companies are very much known to the investors and their schemes are
selected based on their three years performance ranking. Details of those schemes are shown in a
tabular form:
NAME OF
FUND
NATURE INVESTMENT OBJECTIVES
INCEPTION CORPUS
THE
TYPE
OF
DATE
SCHEMES
SCHEMES
1.HDFC
Balanced Fund
Open
ended
Equity &
Debt
To generate capital appreciation

along with current income form a
combined portfolio of equity &
equity related and debt & money
market instruments.
20/7/2000
918.4957
(in Rs.
Crores)
2. HDFC
Arbitrage
fundInstitutional
Open
ended
Equity
28/9/2007
29.0688
(in Rs.
Crores)
3.HDFC
Capital builder
fund
Open
ended
Equity
To generate income through

arbitrage opportunities between
cash and derivative market and
arbitrage opportunities within the
derivative segment and by
deployment of surplus cash in
debt securities and money market
instruments.
To achieve capital appreciation in
fixed period of time by investing
predominantly in equity oriented
securities
31/12/1993
487.3766
(in Rs.
Crores)
4.HDFC high
interest fund
Open
ended
Debt
5. HDFC
equity fund
Open
ended
Equity
6. HDFC long
term advantage
fund
Open
ended
Equity
7.ICICI
Prudential
FMCG growth
Open
ended
Equity
8. ICICI
Prudential
technology
growth
Open
ended
9.ICICI
Prudential
Dynamic Plan
growth
Open
ended
27/3/1997
Equity
Open
ended
Equity &
Debt
To generate long term capital

appreciation from a portfolio that
is predominantly in equity and
equity related instruments.
To generate long term capital
appreciation through investments
made primarily in FMCG sector
that are fundamentally strong and
have established brands.
To generate long-term capital
appreciation for you from a
portfolio made up predominantly
of equity and equity-related
securities of technology intensive
companies.
10316.33
9 (in Rs.
Crores)
26/12/2000
869.5938
(in Rs.
Crores)
15/2/1999
183.37
(in Rs
crores)
7/1/2000
107.53
(in Rs
Crores)
7/10/2002
4,056.37
(in Rs
Crores)
20/9/1999
344.23
(in Rs
Crores)
Seeks to generate capital

appreciation by actively investing
in equity and equity related
securities. For defensive
considerations, the Scheme may
invest in debt, money market
instruments and derivatives.
Aims to invest in equity and debt

oriented securities so as to give
investor balanced returns
110.8114
(in Rs.
Crores)
24/12/1994
Aims at providing capital
appreciation through investments
predominantly in equity oriented
securities.
Equity
10.ICICI Pru
balanced
growth
Aims to generate regular income

by investing primarily in Fixed
Income Securities and at the same
time providing optimum balance
of Yield, Safety and Liquidity.
11. ICICI Pru

Infrastructure
Fund growth
Open
ended
Equity
12. ICICI
Prudential
Discovery
Fund Growth
13. Kotak
Contra Fund
Growth
14. Kotak 50
growth
Open
ended
Equity
Equity
Open
Ended
Equity
Open
Ended
15. Kotak bond

deposit growth
Debt
Open
Ended
16. Kotak
opportunities
fund growth
17. Kotak bond
regular plan
growth
18. Kotak
Equity
Arbitrage Fund
Growth
Equity
Open
Ended
Debt
Open
Ended
Open
Ended
Equity
To provide capital appreciation

and income distribution to unit
holders by investing
predominantly in equity/equity
related securities of the
companies belonging to
infrastructure development and
the balance in debt securities and
money market instruments
including call money.
18/7/2005
1,878.85
(in Rs
Crores)
To generate returns through a

combination of dividend income
and capital appreciation by
investing primarily in a welldiversified portfolio of value
stocks.
from a diversified portfolio of
equity and equity related
instruments.
from a portfolio of predominantly
securities.
To create a portfolio of debt and
money market instruments of
different maturities to spread the
risk across a wide maturity
horizon and different kinds of
issuers in the debt markets.
from a diversified portfolio of
securities.
To create a portfolio of debt
instruments such as bonds,
debentures, Government
Securities, money market
instruments etc.
and income by predominantly
investing in arbitrage
opportunities in the cash and
derivatives segment of the equity
market, and by investing the
9/7/2004
1,985.21
(Rs in
Crores)
2/6/2005
12/11/1998
74.5451
(in Rs.
Crores)
793.2806
(in Rs.
Crores)
20/11/1999
2112.951
7 (in Rs.
Crores)
27/7/2004
802.7580
(in Rs.
Crores)
20/11/1999
2112.951
7 (in Rs.
Crores)
12/9/2005
128.6021
(in Rs.
Crores)
19. LIC
Nomura bond
fund growth
Open
Ended
Debt
20. LIC
Nomura MF
Income plus
fund growth
Open
Ended
Debt
21. LIC
Nomura MF
Opportunities
fund growth
Open
Ended
Equity
22. LIC
Nomura MF
saving plus
fund growth
23. LIC
Nomura
Balanced plan
C growth
24. LIC
Nomura MF
Growth Fund
Growth
25. SBI
dynamic bond
fund growth
Open
Ended
Debt
Open
Ended
Equity and
Debt
Open
Ended
Equity
Open
Ended
Debt
balance in debt and money

market instruments.
To generate reasonable returns for
its Investors through Investment
primarily in fixed Income
securities
5/5/1999
111.9727
(in Rs.
Crores)
To provide reasonable possible

current income - consistent with
preservation of capital and
providing liquidity - from
investing in a diversified portfolio
of short-term money market and
debt securities.
To provide capital growth in
long-term with reasonable risk
levels by investing mainly in
companies which are in sectors
which have high growth potential
at that point of time.
To generate income by investing
quality short term debt securities.
28/5/2007
200.5354
(in Rs.
Crores)
31/1/2005
32.4855
(in Rs.
Crores)
29/5/2003
266.2799
(in Rs.
Crores)
To provide regular flow of

dividend and capital appreciation
especially when the unit are held
for a longer period.
To provide capital Growth by
investing in a mix of equity
instrument.
1/1/1991
19.1979
(in Rs.
Crores)
9/1/1994
93.8045
(in Rs.
Crores)
To actively manage a portfolio of

good quality debt as well as
Money Market Instruments so as
to provide reasonable returns and
liquidity to the unit holders.
15/12/2003
2,466.66
(in Rs.
Crores)
26. SBI
arbitrage
opportunities
fund growth
Open
Ended
Equity
To provide capital appreciation

and regular income for unit
holders by identifying profitable
arbitrage opportunities between
the spot and derivative market
segments as also through
investment of surplus cash in debt
and money market instruments.
15/9/2006
38.12 (in
Rs
Crores)
27. SBI
Magnum
balanced fund
growth
Open
Ended
Equity &
Debt
9/10/1995
363.86
(in Rs
Crores)
28. SBI
Magnum
comma fund
growth
Open
Ended
Equity
30/6/2005
388.40
(in Rs
Crores)
29. SBI
magnum
Income fund
growth
Open
Ended
Debt
6/10/1998
201.87(in
Rs
Crores)
30. SBI
Magnum Index
fund growth
Open
Ended
Equity
To provide investors long term

capital appreciation along with
the liquidity of an open-ended
scheme by investing in a mix of
debt and equity. The scheme will
invest in a diversified portfolio of
equities of high growth
companies and balance the risk
through investing the rest in a
relatively safe portfolio of debt.
To provide attractive returns to
the Magnum holders / Unit
holders by means of capital
appreciation through an actively
managed portfolio of debt, equity
and money market instruments.
To provide the investors an
opportunity to earn, in accordance
with their requirements, through
capital gains or through regular
dividends, returns that would be
higher than the returns offered by
comparable investment avenues
through investment in debt &
money market securities.
The scheme will invest in stocks
comprising the S&P CNX Nifty
index in the same proportion as in
the index with the objective of
achieving returns equivalent to
the Total Returns Index of S&P
CNX Nifty index by minimizing
the performance difference
between the benchmark index and
the scheme.
18/12/2001
36.32(in
Rs
Crores)
CHAPTER 2: LITERATURE REVIEW

In many countries of the world, the Performance evaluation of Mutual funds remained an
important topic of research in the area of investment. This is mainly due to its popularity, easy
access of data and importance as vehicle for investment in the stock market for individuals and
institutions. (Javed & Iqbal, 2008).
There are various measures suggested for performance evaluation of mutual funds.
Treynor (1965), Sharpe (1966) and Jensen (1968) provided some of the important contributions.
Teynor and Mazuy (1966) devised a test of ability of the investment managers to anticipate
market movements. The study used the investment performance outcomes of 57 investment
managers to find out evidence of market timing abilities and found no statistical evidence that
the investment managers of any of the sample funds had successfully outguessed the market. The
study exhibited that the investment managers had no ability to outguess the market as a whole
but they could identify under priced securities.
Sharpe (1966) developed a theoretical measure better known as reward to variability ratio
that considers both average return and risk simultaneously in its ambit. It tested efficacy through
a sample of 34 openended funds considering annual returns and standard deviation of annual
return risk surrogate for the period for 19541963. The average reward to variability ratio of 34
funds was considerably smaller than Dow Jones portfolio, and considered enough to conclude
that average mutual funds performance was distinctly inferior to an investment in Dow Jones
Portfolio.3.
Treynor (1965) advocated the use of Beta Coefficient instead of the total risk. He argues
that using only nave diversification, the unsystematic variability of returns of returns of the
individual assets in a port folio typically average out of zero. So he considers measuring a
portfolios return relative to its systematic risk more appropriate.
Jensen Michael C. (1967) conducted an empirical study of mutual funds during the
period 195464 for 115 mutual funds. His results indicate that these funds are not able to predict
security prices well enough to outperform a buythemarket and hold policy. His study ignores
the gross management expenses to be free. There was very little evidence that any individual
fund was able to do significantly better than which investors expected from mere random chance.
Rao S. Narayan and Ravindran M (2003) conducted this study based on the performance
evaluation of Indian mutual funds during the period of September 98-April 02(bear period) and
with the help of relative performance index, risk-return analysis, Treynors ratio, Sharpes ratio,
Sharpes measure, Jensens measure, and Famas measure. Mean monthly (logarithmic) return
and risk of the sample mutual fund schemes during the period were 0.59% and 7.10%,
respectively, compared to similar statistics of 0.14% and 8.57% for market portfolio. The results
of performance measures suggest that most of the mutual fund schemes were able to satisfy
investors expectations by giving excess returns over expected returns based on both premium
for systematic risk and total risk.
Panwar Sharad and Madhumathi Dr. R. conducted an empirical study used sample of
public-sector sponsored & private-sector sponsored mutual funds of varied net assets to
investigate the differences in characteristics of assets held, portfolio diversification, and variable
effects of diversification on investment performance for the period May, 2002 to May,2005. The
study found that public-sector sponsored funds do not differ significantly from private-sector
sponsored funds in terms of mean returns%.
Nafees Bilal, Shah Syed Muhammad Amir and Khan Safiullah (2011) conducted the
study which was about evaluating the performance of close and open end mutual funds in
Pakistan over five years ranging from June 2006 to June 2010. It provided guidance to the
investors on how risk-adjusted-performance evaluation of mutual funds can be done and how
they can use performance analysis at the time of investment decision making. The risk adjusted
performance of both types of mutual funds has been measured through traditional measures such
as Sharpe measure, Sortino measure, Treynor measure, Jensen differential measure and
information measure.
Kumar Dr. Vikas (2011) conducted an empirical study which was about evaluating the
performance of selected twenty open ended mutual funds schemes of five different companies.
Those companies perform better in comparison to benchmark index (BSE 100). In respect of
models suggested by Sharpe, Treynor and Jensons measures these schemes also perform better.
Thyagarajan Gomathy (2012) conducted a study based on performance evaluation of
Indian Mutual Fund Industry from 2002-2007 with special reference to Franklin Templeton,
HDFC and ICICI Prudential Mutual Funds. The idea behind performance evaluation of these
companies is to find out the risk adjusted return levels at which they are delivered in comparison
to their benchmark indices. It is evident from this study that with the growing risk appetite, rising
income, and increasing awareness, mutual funds in India are becoming a preferred investment
option compared to other investment vehicles. Overall the study has found the development and
growth of the Indian mutual funds to be satisfactory.
Roy Subrata and Ghosh Shantanu Kumar (2012) conducted a study based on the
comparative performance of the open-ended gilt schemes of three types of companies which are
separated according to their ownership styles (Public sector, Indian private sector & foreign
private sector). This study is related with financial recession that had been occurred in the year of
2008-2009 (January 2008 to February 2009). This study examined the risk-adjusted
performance, selectivity performance, diversification performance and market-timing
performance of the open-ended gilt mutual fund schemes in the period of recession. In this study,
Sharpe and Treynor measures have been applied to measure the risk-adjusted performance and
along with these, different coefficients have been estimated to examine the selectivity, markettiming and diversification performances of those selected open-ended gilt schemes. It has been
observed that the performance of the open-ended gilt schemes of different types of companies is
not satisfactory during the recession period.
Dhanda Sukhwinder Kaur, Batra Dr. G.S. and Anjum Dr. Bimal (2012) conducted the
study on the performance evaluation of selected open ended mutual funds during the period of
April 2009 to March 2011. This paper was an attempt to study the performance evaluation of
selected open ended schemes in terms of risk and return relationship. For this rate of return
method, Beta, Standard Deviation, Sharpe ratio and Treynor ratio were used. BSE-30 had been
used as a benchmark to study the performance of mutual funds in India. The findings of the study
revealed that only three schemes had performed better than benchmark.
A brief review of literature reveals that different authors have used different combinations
of variables for explaining performance of mutual funds. But the focus of almost all of the
studies remained the performance of mutual funds. None of the studies has evaluated
performance of the open-ended (growth) mutual funds in India during the recessionary period
(2008-2009).
Rao S. Narayan and Ravindran M (2003) had done their study on Indian mutual funds
during the period of September 98-April 02(bear period) which is not at all recent. Kumar Dr.
Vikas (2011) conducted his study on twenty open ended mutual funds schemes of five different
companies and used index BSE 100. Roy Subrata and Ghosh Shantanu Kumar (2012) conducted
their study based on the comparative performance of the open-ended gilt schemes of three types
of companies. Dhanda Sukhwinder Kaur, Batra Dr. G.S. and Anjum Dr. Bimal (2012) conducted
the study on the performance evaluation of selected open ended mutual funds during the period
of April 2009 to March 2011 and BSE 30 was used as index.
In view of these facts, the present study aims at evaluating performance of open-ended
(growth) mutual funds in India, and their performance during recessionary period which has not
been previously done in a similar manner. In this study five different companies open ended
(growth) mutual funds is used, 30 schemes are selected and also BSE 500 is used as benchmark
index. In this research, the basic models proposed by Sharpe (1966), Treynor (1965), and Jensen
(1967) have been applied. The results obtained from the application of those models on the data
would then be used to evaluate performance of the rapidly growing Indian Mutual Funds
industry. The results would help to identify the flaws and weaknesses of both individual funds
and the industry as a whole in recessionary period.
CHAPTER 3: METHODOLOGY
OBJECTIVES OF THE STUDY
1. To examine the funds sensitivity to the market fluctuation (2008-2009) in terms of total
risk and Beta.
2. To appraise the performance of open ended mutual funds.
LIMITATIONS OF THE STUDY
1. This study has undertaken only 30 open-ended Mutual fund growth schemes for the
specified period, covers five selected companies and only six open-ended growth funds.
2. To evaluate the performance of the open-ended Mutual fund schemes, Sharpes index,
Treynors index and Jensens measures are applied.
RESEARCH METHODOLOGY
Research methodology is a way to solve the research problem systematically. It may be
understand as a science of studying how research is done scientifically. It is necessary for the
research to know not only the research methods or techniques but also the methodology. They
need to know how to apply particular research technique, and also need to know which of these
methods or technique are relevant and which are not , what would they mean and indicate, and
why. Researchers also need to understand the assumption underlying various techniques and they
need to know the criteria by which they can decide.
1.
2.
3.
4.
5.
Data This study examines 30 open-ended schemes being launched by selected five
mutual funds namely LIC, HDFC, ICICI, Kotak Mahindra and SBI. These schemes
selected based on stratified sampling. Monthly Net Asset Value (NAV) data of those
schemes are used and the period of the data considered is from the Jan. 2008 to Dec
2009. Microsoft Excel is used for all the calculations.
Source of data Secondary data collected from various websites such as Bluechip India,
AMFI, and Value Research online and BSE India websites.
Population 4471(registered mutual funds schemes as per Bluechip India)
Sample Size 30 schemes
Sampling Method
i.
Stratified Sampling Method Stratified sampling is a probability sampling
technique wherein the researcher divides the entire population into different
subgroups or strata, then randomly selects the final subjects proportionally from
6.
the different strata. This study is using stratified sampling method. Because from
entire registered mutual funds population first select open ended growth schemes.
In this sampling each strata is made on the basis of equity schemes, debt schemes,
equity-debt schemes.
Variables
i.
Benchmark Index For this study, broad-500 shared base BSE National Index has
been used as a proxy for market index this is because BSE National index is
comparatively for broad based than BSE Sensex that is constituted of 30 shares
only where BSE 500 is constituted of 500 companies. Hence it would cover the
majority percentage of different scheme portfolios and therefore is expected to
provide better performance benchmark.
ii.
NAV (Net Asset Value) In the context of mutual funds, NAV per share is computed
once a day based on the closing market prices of the securities in the fund's portfolio. All
mutual funds' buy and sell orders are processed at the NAV of the trade date. However,
investors must wait until the following day to get the trade price. Monthly NAV can be
calculated from their average of daily NAV.
iii.
Risk Free Rate Risk free rate of return refers to that minimum return on
investment that has no risk of losing the investment over which it is earned. For
the present study, it has been marked as 6% (.06) per annum or 0.5% per month.
iv.
Alpha The intercept of characteristics regression line is alpha (). It indicates that
the stock return is independent of the market return. A positive value of alpha is
considered to be a healthy sign and leads to profitable return from the security.
7. Analyzing tools
i.
Total Risk The standard deviation is often referred to as a measure of total risk
because it captures the variation of possible outcomes about the expected value or
mean. Every investor prefers a portfolio with higher return and lower standard
deviation.
ii.
Beta Risk of a security is represented by the market risk of the portfolio of
securities in which this security is included. The market risk of the security reflects
its sensitivity to the market movements. The sensitivity of a security to the market
risk is known as beta ().
iii.
Sharpes measure This measure was developed by William F. Sharpe in 1966 to
determine risk adjusted performance such as the average excess return earned by
funds over per unit of risk, during time span taken for performance evaluation. It
tells whether returns of portfolio are due to smartness of management or due to

Where, Rp=
taking excess risk. The formula of Sharpe measure (Si) is: Si =

average return of portfolio; Rf= average risk free, p= standard deviation of
portfolio.
iv.
Treynor measure Treynor measure was developed by Jack Treynor. It measures
risk adjusted performance of fund over per unit of systematic risk. Treynors risk
adjusted performance indicates how much excess return has been earned by over
per unit of systematic risk. This measure is also known as reward to volatility. The

formula of Treynor measure (Tn) is:Tn =
Where, Rp= the observed average

v.
fund return; Rf= the average risk free return; p= coefficient as a measure of
systematic risk.
Jensens measure The absolute risk-adjusted measure, commonly known as
Jensens measure. The Jensens model identifies the intercepts at any point
including the origin. The Jensens measure is obtained by computing the regression
on the differences between the portfolio return and the risk free rate of return. The
formula is: Rp= p + *(Rm-Rf) Where, Rp= Average return of portfolio;
p=Intercept that measures the forecasting ability of portfolio manager.
CHAPTER 4: EMPIRICAL ANALYSIS

Different schemes launch in different dates. The parameters like average return, standard
deviation, Beta, Sharpe ratio, Treynor ratio, and Jensons measures have been calculated
separately for all the schemes.
TABLE 1: AVERAGE RETURN EARNED BY THE SCHEMES
NAME OF THE SCHEMES
AVERAGE RETURN (Rp%)
Equity Schemes
1. HDFC Arbitrage fund-Institutional
0.546517
2. HDFC Capital builder fund
0.074142
3. HDFC equity fund
0.889521
4. HDFC long term advantage fund
0.122962
5. ICICI Prudential FMCG growth
0.137986
6. ICICI Prudential technology growth
-0.14876
7. ICICI Prudential Dynamic Plan growth
0.91353
8. ICICI Pru Infrastructure Fund growth
-0.26751
9. ICICI Prudential Discovery Fund Growth
1.222781
10. Kotak Contra Fund Growth
0.093385
11. Kotak 50 growth
-0.26804
12. Kotak opportunities fund growth
-0.38935
13. Kotak Equity Arbitrage Fund Growth
0.522196
14. LIC Nomura MF Opportunities fund growth
-0.91111
15. LIC Nomura MF Growth Fund Growth
-0.19434
16. SBI arbitrage opportunities fund growth
0.478855
17. SBI Magnum comma fund growth
-0.14637
18. SBI Magnum Index fund growth
-0.20778
Debt Schemes
19. HDFC high interest fund
0.687555
20. Kotak bond deposit growth
0.778507
21. Kotak bond regular plan growth
0.801857
22. LIC Nomura bond fund growth
0.796332
23. LIC Nomura MF Income plus fund growth
0.63959
24. LIC Nomura MF saving plus fund growth
0.60951
25. SBI dynamic bond fund growth
-0.10455
26. SBI magnum Income fund growth
0.188215
Equity & Debt Schemes
27. HDFC Balanced Fund
1.211869
28. ICICI Pru balanced growth
-0.32001
29. LIC Nomura Balanced plan C growth

30. SBI Magnum balanced fund growth
-0.8588
0.079539
Table 1 shows the average return earned by the various schemes. For calculation of average
return earned by the schemes Growth in the value for each month over the previous month has
been divided by the value of the previous month. Then the average of the full series has been
taken. In equity schemes HDFC equity fund (0.889521%), ICICI Prudential Dynamic Plan
growth (0.91353%), ICICI Prudential Discovery Fund Growth (1.222781%) are the higher return
earners as against BSE 500 return (0.590992%). It could be seen here that 15 out of 18 the equity
schemes has underperform the market. In debt schemes HDFC high interest fund (0.687555%),
Kotak bond deposit growth (0.778507%), LIC Nomura bond fund growth (0.796332%), LIC
Nomura MF Income plus fund growth (0.63959%) and LIC Nomura MF saving plus fund
growth (0.60951%) are the higher return earner as against BSE 500. Out of 8 Debts schemes 6
schemes are performed well against the BSE 500 index. In Equity-Debt Schemes, only HDFC
Balanced fund (1.211869%) has performed well against the BSE 500 return. Out of the total of
30 schemes studied, 10 schemes showed average return higher than that of BSE 500 average
return out of which 3 are equity schemes, 6 are debt schemes and 1 is equity-debt schemes.
TABLE 2: TOTAL RISK OF THE SCHEMES
NAME OF THE SCHEMES
STANDARD DEVIATION (P%)
Equity Schemes
0.231445
9.605442
3. HDFC equity fund
10.35383
9.703623
7.516685
11.12624
8.926883
9.337198
11.46727
9.105566
11. Kotak 50 growth
8.535148
10.25347
0.183694
9.309096
10.44031
0.20424
10.14637
9.571803
Debt Schemes
2.226087
2.516996
2.503996
1.620675
0.172695
0.252703
0.436904
1.509285

12.72756
6.888669
7.100535
7.746002
Table 2 shows the standard deviation of selected schemes. It is the most common
expression to measure risk of the fund return. Higher the value of standard deviation of the fund
returns, greater will be the total risk carried by the fund. It is observed that the maximum
deviation of funds return is shown by HDFC Balanced Fund 12.72756% which is more than the
market risk (12.53073%). LIC Nomura MF Income plus fund growth is least risky scheme with
lowest standard deviation 0.172695%. Standard Deviation of benchmark BSE 500 index is
12.53073%.
Total risk is calculated, where total market risk=12.53073% and the funds risk are shown in
graph 1: Total risk of the schemes
14
12
10
8
6
4
2
0
Series1
TABLE 3: BETA OF THE SCHEMES

NAME OF THE SCHEMES
Equity Schemes
3. HDFC equity fund
BETA (%)
-0.009409328
0.551443607
0.601303343

11. Kotak 50 growth
Debt Schemes
0.559843791
0.341084917
0.655799284
0.529242703
0.580871939
0.673346122
0.520798754
0.503390259
0.605290094
-0.007170042
0.556653558
0.622350132
-0.009163128
0.595212279
0.587359793
0.039774668
0.038795784
0.037523761
0.030564371
-0.006723357
-0.003974943
0.005593724
0.032937768
0.425303072
0.415892631
0.387935729
0.464733148
Table 3 presents the systematic risk of 30 schemes. Considered for the purpose of this
study in all the scheme have beta less than 1 (i.e. market beta) implying thereby that these
schemes tended to hold portfolios that were less risky than the market portfolio. It was observed
that highest beta in the case of ICICI Prudential Discovery Fund Growth 0.673346122% and
lowest beta in the case of HDFC Arbitrage fund-Institutional -0.009409328%. When beta is
negative it indicates a negative or inverse relationship between stock return and market return. It
possible but quiet unlikely. It means if market goes down then that fund is likely to go up.
The systematic risk or beta is shown in the graph 2: Beta of the schemes
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
-0.1
BETA (%)
TABLE 4: SHARPE RATIO OF THE SCHEMES

NAME OF THE SCHEMES
AVERAGE
STANDARD
RETURN
DEVIATION
(Rp)%
(P)%
EQUITY SCHEMES
0.074142
9.605442
0.122962
9.703623
0.137986
7.516685
-0.14876
11.12624
5.ICICI Pru Infrastructure Fund growth
-0.26751
9.337198
6.Kotak Contra Fund Growth
7. Kotak 50 growth
12. LIC Nomura MF Opportunities fund
growth
13. LIC Nomura MF Growth Fund growth
DEBT SCHEMES
EQUITY & DEBT SCHEMES
SHARPE
RATIO(Si)
-0.0443351
-0.03886
-0.04816
-0.05831
-0.0822
0.093385
-0.26804
-0.38935
0.478855
-0.14637
-0.20778
-0.91111
9.105566
8.535148
10.25347
0.20424
10.14637
9.571803
9.309096
-0.04466
-0.08999
-0.08674
-0.10353
-0.0637
-0.07394
-0.15158
-0.19434
10.44031
-0.06651
-0.10455
0.188215
0.436904
1.509285
-1.38371
-0.20658
-0.32001
-0.8588
6.888669
7.100535
-0.11904
-0.19137

EQUITY SCHEMES
19.HDFC equity fund
23.HDFC Arbitrage fund-Institutional
DEBT SCHEMES
0.079539
7.746002
-0.05428
0.889521
0.91353
1.222781
0.522196
0.546517
10.35383
8.926883
11.46727
0.183694
0.231445
0.037621
0.046324
0.06303
0.12083
0.200985
0.687555
0.778507
0.801857
0.796332
0.60951
0.63959
2.226087
2.516996
2.503996
1.620675
0.252703
0.172695
0.084253
0.110651
0.12055
0.182845
0.433353
0.808305
1.211869
12.72756
0.055931
Table 4 depicts value of Sharpes reward to variability ratio. It is an excess return earned
over risk free return per unit of risk involved, i.e. per unit of standard deviation. Negative values
of the Sharpe index shows those schemes are not performing well during that period. Out of 30
schemes 18 schemes Sharpe index are negative. In terms of risk and return those schemes are
less risky as compare to the total market risk (12.53073%) but their returns are also less.
Positive value of the index shows good performance it could be seen that 12 out of 30
schemes have recorded better Sharpe index. In case of equity schemes, HDFC equity fund
(0.037621), ICICI Prudential Dynamic Plan growth (0.046324), ICICI Prudential Discovery
Fund Growth (0.06303), Kotak Equity Arbitrage Fund Growth (0.12083), HDFC Arbitrage
fund-Institutional (0.200985) are doing well. In terms of risk those schemes are less risky than
the market risk and out of five, three schemes such as HDFC equity fund, ICICI Prudential
Dynamic Plan growth, ICICI Prudential Discovery Fund growth schemes are having more return
than the market.
In case of debt schemes out of eight debt schemes, 6 schemes are doing well. Those
schemes Sharpe index were more than the market Sharpe index. Their risks and returns are also
more as compared to the market. Those schemes are such as HDFC high interest fund
(0.084253), Kotak bond deposit growth (0.110651), Kotak bond regular plan growth (0.12055),
LIC Nomura bond fund growth (0.182845), LIC Nomura MF saving plus fund growth
(0.433353), LIC Nomura MF Income plus fund growth (0.808305).
In case of equity-debt schemes, out of 4 only one scheme is performing well that is HDFC
balanced fund with Sharpe index 0.055931 which is more than the market Sharpe index
(0.007262). In terms of risk and return this scheme is more risky than the market but the return is
also high.
The larger the Sharpe ratio, better the fund has performed. From the above table it is found
that out of all the 30 schemes LIC Nomura MF income plus fund growth (0.808305) is having
highest Sharpe ratio. That means according to Sharpe index, this scheme is performed well as
compared to other schemes though few of those schemes are having more return. The reason is
that those funds managers took such a great risk to earn the higher returns and their risk adjusted
return was not the most desirable. Sharpe index can be used to rank the desirability of funds or
portfolios, but not the individual assets.
The Sharpe index is important from small investor point of view who seek diversification
through mutual funds, i.e. mutual funds are supposed to protect small investors against vagaries
of stock markets and the fund managers of these schemes has done well to protect them.
TABLE 5: TREYNOR RATIO OF THE SCHEMES
NAME OF THE SCHEMES
AVERAGE STANDARD
BETA ()%
RETURN
DEVIATION
(Rp)%
(P)%
EQUITY SCHEMES
0.074142
9.605442
0.551443607
0.546517
0.231445
-0.009409328
0.122962
9.703623
0.559843791
0.137986
7.516685
0.341084917
-0.14876
11.12624
0.655799284
-0.26751
9.337198
0.580871939
0.093385
9.105566
0.520798754
8. Kotak 50 growth
-0.26804
8.535148
0.503390259
-0.38935
10.25347
0.605290094
0.522196
0.183694
-0.007170042
-0.14637
10.14637
0.595212279
-0.20778
9.571803
0.587359793
-0.91111
9.309096
0.556653558
-0.19434
10.44031
0.622350132
DEBT SCHEMES
-0.10455
0.436904
0.005593724
0.188215
1.509285
0.032937768
0.63959
0.172695
-0.006723357
0.60951
0.252703
-0.003974943
-0.32001
6.888669
0.415892631
-0.8588
7.100535
0.387935729
0.079539
7.746002
0.464733148
EQUITY SCHEMES
22.HDFC equity fund
0.889521
10.35383
0.601303343
0.91353
8.926883
0.529242703
1.222781
11.46727
0.673346122
0.478855
0.20424
-0.009163128
DEBT SCHEMES
0.687555
2.226087
0.039774668
0.778507
2.516996
0.038795784
0.801857
2.503996
0.037523761
0.796332
1.620675
0.030564371
30. HDFC Balanced fund
1.211869
12.72756
0.425303072
TREYNOR
RATIO
(Tn)
-0.772261
-4.94371
-0.67347
-1.06136
-0.98927
-1.32131
-0.78075
-1.52573
-1.4693
-3.09561
-1.08595
-1.20502
-2.53499
-1.11568
-108.076
-9.46588
-20.762
-27.55
-1.97169
-3.50263
-0.90474
0.647795
0.781362
1.073416
2.307646
4.715439
7.178804
8.044413
9.695349
1.673792
Table 5 shows Treynor of the scheme it is the excess return over risk free return per unit of
systematic risk i.e. beta. In other words Treynors risk premium of the portfolio is the difference
between the average return and the riskless rate of return (6% per annum). The risk premium
depends on the systematic risk assumed in a portfolio. A higher Treynor Index as compared to
market indicates that investor who invested in mutual fund to form well diversified portfolio did
receive adequate return per unit of systematic risk undertaken.
Negative values of the Treynor index shows those schemes are not performing well during
that period. Out of 30 schemes 21 schemes Treynor ratios are negative. In terms of risk and
return those schemes are less risky as compare to the market and their systematic risk is less than
1 that means the funds have less volatility than the market. In case of rise or fall, their prices
show less fluctuation than the market but their returns are also less.
Positive value of the index shows good performance it could be seen that 9 out of 30
schemes have recorded better Treynor index. In case of equity schemes, HDFC equity fund
(0.647795), ICICI Prudential Dynamic Plan growth (0.781362), ICICI Prudential Discovery
Fund Growth (1.073416), SBI arbitrage opportunities fund growth (2.307646) are doing well. In
terms of risk those schemes are less risky than the market risk and out of four, three schemes
such as HDFC equity fund, ICICI Prudential Dynamic Plan growth, ICICI Prudential Discovery
Fund growth schemes are having more return than the market. SBI arbitrage opportunities fund
growth has the highest Treynor ratio in case of equity schemes, and in terms of risk and return it
is less risky but return is also less.
In case of debt schemes out of eight debt schemes, 4 schemes are doing well. Those
schemes are having positive Treynor ratio. Their risks and returns are also more as compared to
the market. Those schemes are such as HDFC high interest fund (4.715439), Kotak bond deposit
growth (7.178804), Kotak bond regular plan growth (8.044413), and LIC Nomura bond fund
growth (9.695349).
balanced fund with Treynor ratio 1.673792. In terms of risk and return this scheme is more risky
than the market but the return is also high.
The larger the Treynor ratio, better the fund has performed. From the above table it is
found that out of all the 30 schemes LIC Nomura MF bond fund growth (9.695349) is having
highest Treynor ratio. According to Treynor index, this scheme is performed well as compared to
other schemes though few of those schemes are having more return and its systematic risk is less
than other schemes. It means this schemes price shows less fluctuation than the market or has
less volatility than the market.
Here, out of all the schemes only 9 schemes are recorded positive value indicating there by
that the schemes provided adequate returns as against the level of risk involved in the
investment.
TABLE 5: JENSEN MEASURE OF THE SCHEMES
ALPHA()%
JENSENS
NAME OF THE SCHEMES
BETA ()%
MEASURE
Rp= + (Rm-Rf)
EQUITY SCHEMES
0.551443607
-0.25175701
-0.20158006
0.559843791
-0.2079
-0.15696
0.341084917
-0.06359
-0.03256

7. Kotak 50 growth
DEBT SCHEMES
EQUITY SCHEMES
20.HDFC equity fund
DEBT SCHEMES
30. HDFC Balanced fund
0.655799284
0.580871939
0.520798754
0.503390259
0.605290094
0.595212279
0.587359793
0.556653558
0.622350132
-0.53633
-0.6108
-0.2144
-0.56554
-0.74707
-0.49813
-0.55491
-1.24009
-0.56215
-0.47666
-0.55795
-0.16701
-0.51973
-0.692
-0.44398
-0.50146
-1.18944
-0.50552
0.005593724
-0.10785
-0.10735
0.415892631
0.387935729
0.464733148
-0.5658
-1.08806
-0.19511
-0.52796
-1.05276
-0.15283
-0.009163128
-0.007170042
-0.009409328
0.601303343
0.529242703
0.673346122
0.48427
0.526433
0.552078
0.534156
0.600752
0.824839
0.48436
0.525781
0.551222
0.58887
0.648909
0.886108
0.032937768
-0.003974943
-0.006723357
0.039774668
0.038795784
0.030564371
0.037523761
0.168749
0.611859
0.643564
0.664048
0.755579
0.778269
0.77968
0.171746
0.611497
0.642952
0.667668
0.759109
0.78105
0.783095
0.425303072
0.960518
0.999217
Table 5 shows the Jensons Measures. It is the regression of excess return of the scheme
with excess return of the market, acting as dependent and independent variables respectively.
Jensen index compares the actual or realized return of the portfolio with the calculated or
predicted return. Better performance of the fund depends on the predictive ability of the
managerial personnel of the fund.
Negative value of alpha posted by the scheme indicates that the return from the fund is not
adequate to compensate the risk taken. This position may change according to the market
sentiments. Negative values of the Jensen index shows those schemes are not performing well
during that period. Out of 30 schemes 16 schemes ratios are negative. In terms of systematic risk
beta is less than 1 that means the funds have less volatility than the market. In case of rise or fall,
their prices show less fluctuation than the market but their returns are also less.
Positive value of the index shows good performance, it could be seen that 14 out of 30
schemes have recorded better Jensens index. Higher positive value of alpha posted by the
scheme indicates its better performance. In case of equity schemes, SBI arbitrage opportunities
fund growth (0.483436), Kotak Equity Arbitrage Fund Growth (0.525781), HDFC Arbitrage
fund-Institutional (0.551222), HDFC equity fund (0.58887), ICICI Prudential Dynamic Plan
growth (0.648909), ICICI Prudential Discovery Fund Growth (0.886108) are doing well. In
terms of risk those schemes are less risky than the market risk and out of six, three schemes such
as HDFC equity fund, ICICI Prudential Dynamic Plan growth, ICICI Prudential Discovery Fund
growth schemes are having more return than the market. ICICI Prudential Discovery Fund
Growth has the highest Jensen ratio and the value of alpha is also high in case of equity schemes,
In terms of risk and return this scheme is less risky and return is high as compared to the market.
In case of debt schemes out of eight debt schemes, seven schemes are doing well. Those
schemes are having positive Jensens measure. Their risks and returns are also more as compared
to the market. Those schemes are such as SBI magnum Income fund growth (0.171746), LIC
Nomura MF saving plus fund growth (0.611497), LIC Nomura MF Income plus fund growth
(0.642952), HDFC high interest fund (0.667668), Kotak bond deposit growth (0.759109), LIC
Nomura bond fund growth (0.78105), Kotak bond regular plan growth (0.783095).
balanced fund with Jensen ratio 0.999217. In terms of risk and return this scheme is more risky
than the market but the return is also high.
The larger the Jensen ratio, better the fund has performed. From the above table it is found
that out of all 30 schemes Kotak bond regular plan growth (0.783095) is having highest ratio. So
this scheme is performed well as compared to other schemes though few of those schemes are
having more return. Its systematic risk is less than zero means it has inverse relationship with the
market. Higher Positive value of Jensons measures indicates good market timing ability of fund
managers as regard investment in securities.
CHAPTER 5: FINDINGS
EQUITY SCHEME
i. As far as the equity schemes are concerned, ICICI Prudential Discovery Fund Growth is at the
top with highest average monthly return (1.222781%) followed by ICICI Prudential Dynamic
Plan growth (0.91353%), HDFC equity fund (0.889521%) which are more than the average
market return 0.590992%.
ii. Calculation of total risk as measured by standard deviation shows that all the equity schemes
are less risky than the total market risk (12.53073%). The least risky scheme with lowest
standard deviation is LIC Nomura MF Income plus fund growth (0.172695%).
iii. Calculation of systematic risk as measured by beta shows that out of 18, 15 equity schemes have
low systematic risk as beta less than 1 and remaining 3 schemes have beta less than 0. ICICI
Prudential Discovery Fund Growth has highest beta (0.673346122%) and HDFC Arbitrage fundInstitutional has lowest beta (-0.009409328%).
iv. As per Sharpe ratio HDFC Arbitrage fund-Institutional (0.200985) maintain 1st Rank followed
by Kotak Equity Arbitrage Fund Growth (0.12083), ICICI Prudential Discovery Fund Growth
(0.06303), ICICI Prudential Dynamic Plan growth (0.046324) and lowest Sharpe ratio is found in
the case of HDFC equity fund (0.037621).
v. As per Treynor Ratio SBI arbitrage opportunities fund growth (2.307646) is having highest ratio
followed by ICICI Prudential Discovery Fund Growth (1.073416), ICICI Prudential Dynamic
Plan growth (0.781362) and lowest Treynor ratio is found in the case of HDFC equity fund
(0.647795).
vi. As per Jensons alpha ICICI Prudential Discovery Fund Growth (0.824839) is performed well
followed by ICICI Prudential Dynamic Plan growth (0.600752), HDFC Arbitrage fundInstitutional (0.552078), HDFC equity fund (0.534156), Kotak Equity Arbitrage Fund Growth
(0.526433), and lowest Jensons alpha is found in the case of SBI arbitrage opportunities fund
growth (0.483436).
DEBT SCHEME
i. As far as the debt schemes are concerned, Kotak bond regular plan growth is at the top with
highest average monthly return (0.801857%) followed by LIC Nomura bond fund growth
(0.796332%), Kotak bond deposit growth (0.778507%), HDFC high interest fund (0.687555%),
LIC Nomura MF Income plus fund growth (0.63959%), LIC Nomura MF saving plus fund
growth (0.60951%).
ii. Calculation of total risk as measured by standard deviation shows that all the debt schemes are less
risky scheme as compared to the market. The least risky scheme with lowest standard deviation is
LIC Nomura MF Income plus fund growth (0.172695%).
iii. Calculation of systematic risk as measured by beta shows that out of 8 debt schemes 6 are found
low systematic risk as beta less than 1, remaining are less than 0. HDFC high interest fund has
highest beta (0.039774668%) followed by Kotak bond deposit growth (0.038795784%), Kotak bond
regular plan growth (0.037523761%), SBI magnum income fund growth (0.03293724%), LIC
Nomura bond fund growth (0.030564371%), SBI dynamic bond fund growth (0.005593724%).
iv. As per Sharpe ratio LIC Nomura MF Income plus fund growth (0.808305) maintain 1st Rank
followed by LIC Nomura MF saving plus fund growth (0.433353), LIC Nomura bond fund
growth (0.182845), Kotak bond regular plan growth (0.12055), Kotak bond deposit growth
(0.110651) and lowest Sharpe ratio found in the case of HDFC high interest fund (0.084253).
vi. As per Treynor Ratio LIC Nomura bond fund growth (9.695349) is the highest ratio, followed by
Kotak bond regular plan growth (8.044413), Kotak bond deposit growth (7.178804), and HDFC high
interest fund (4.715439).
vii. As per Jensons alpha Kotak bond regular plan growth (0.77968) is performed well followed
by LIC Nomura bond fund growth (0.778269), Kotak bond deposit growth (0.755579), HDFC
high interest fund (0.664048), LIC Nomura MF Income plus fund growth (0.643564), LIC
Nomura MF saving plus fund growth (0.611859), and lowest Jensons alpha found in the case of
SBI magnum Income fund growth (0.168749).
EQUITY & DEBT SCHEME
i. As far as the equity-debt schemes are concerned, HDFC balanced fund is at the top with highest
average monthly return (1.211869%) followed by SBI Magnum balanced fund growth
(0.079539%).
ii. Calculation of total risk as measured by standard deviation shows that HDFC balanced fund is the
most risky scheme with highest standard deviation (12.72756%) and other 3 schemes are less risky as
compared to the market.
iii. Calculation of systematic risk as measured by beta shows that all the equity-debt schemes are
found low systematic risk as beta less than 1, SBI Magnum balanced fund growth
(0.464733148%) is followed by HDFC Balanced Fund (0.425303072%), ICICI Pru balanced
growth (0.415892631%), LIC Nomura Balanced plan C growth (0.387935729%).
iv. As per Sharpe index only HDFC balanced fund is performing well and has positive ratio of
0.055931.
v. As per Treynor index only HDFC balanced fund is performing well and has positive ratio of
1.673792.
vi. As per Jensons alpha only HDFC balanced fund is performing well and has positive ratio of
0.960518.
Out of the total 30 schemes studied, nine schemes (30%) showed an average return higher
than in comparison to the market return while the remaining 21 schemes (70%) generated lower
returns than that of the market. The top five performers are ICICI pru discovery fund growth,
HDFC balanced fund, ICICI Prudential Dynamic Plan growth, HDFC equity fund, Kotak bond
regular plan growth.
Only HDFC balanced fund schemes has total risk which is more than the market. Out of 30
schemes only 5 schemes are having beta less than 0 and remaining 25 schemes are having beta less
than 1, means less volatile than the market.
The Sharpe ratio is important from small inventors point of view who see diversification
through mutual funds, i.e. mutual funds are supposed to protect small investors against vagaries
of stock market and the fund managers of these schemes have done well to protect them. LIC
Nomura MF Income plus fund growth, LIC Nomura MF saving plus fund growth, HDFC
Arbitrage fund-Institutional, Kotak Equity Arbitrage Fund Growth and Kotak bond regular
plan growth have performed better than the other schemes.
Treynor ratio is the excess return earn over risk free return per unit of systematic risk i.e.
beta. LIC Nomura bond fund growth, Kotak bond regular plan growth, Kotak bond deposit
growth, HDFC high interest fund, SBI arbitrage opportunities fund growth indicate that investors
who invested in these schemes to form well diversified portfolio did receive adequate return per
unit of systematic risk undertaking.
Jensens measure is the regression of excess return of the scheme with excess return of the
market. Higher positive value of alpha posted by the schemes indicates its better performance.
The analysis of the schemes shows ICICI Prudential Discovery Fund Growth, Kotak bond
regular plan growth, LIC Nomura bond fund growth, Kotak bond deposit growth, HDFC high
interest fund are the five schemes having highest positive alpha.
CHAPTER 6: CONCLUSIONS AND SUGGESTIONS
CONCLUSIONS
The analysis of the open ended (growth) schemes shows that out of thirty, ten schemes
performed better in comparison to benchmark index BSE-500 index in terms of monthly average
return and only one scheme HDFC balanced fund was risky during that period as compared to
the market and other schemes are less risky than benchmark. In terms of systematic risk out of
thirty schemes twenty five schemes had less volatility than the market and remaining five
schemes had inverse relationship between fund return and market return.
In respect of models suggested by Sharpe measures out of thirty, twelve schemes were
performed better. In respect of models suggested by Treynor measures only nine schemes were
performed well. In respect of models suggested by Jensens measures, fourteen schemes were
performing well.
SUGGESTIONS
After go through all these analysis I can suggest investors who are risk taker they can
invest on HDFC balanced fund and ICICI pru discovery fund growth as their risk is high as well
as return is also high. Although in recessionary period (2008-2009) those schemes were
performed well. These schemes were showed less fluctuation than the market during that period.
In case of risk averse investors they can invest on schemes such as LIC Nomura bond
fund growth, LIC Nomura MF Income plus fund growth, LIC Nomura MF saving plus fund
growth, Kotak bond deposit growth, Kotak bond regular plan growth as those schemes were less
risky but provided more return than the market during that period.
According to Sharpe measure small investors can invest on LIC Nomura MF Income plus
fund growth, LIC Nomura MF saving plus fund growth, HDFC Arbitrage fund-Institutional,
Kotak Equity Arbitrage Fund Growth and Kotak bond regular plan growth as they performed
better than the other schemes during that period.
According to Treynor measure small investors can invest on LIC Nomura bond fund
growth, Kotak bond regular plan growth, Kotak bond deposit growth, HDFC high interest fund,
SBI arbitrage opportunities fund growth.
According to Jensens measure the different values of alpha or different return indicate the
performance of the portfolio managers of the above mentioned portfolios. So investors can prefer
those schemes which were having positive Jensens alpha during recessionary period.
APPENDICES
To achieve the objectives the applied management tools are average return, total risk, beta and
the three models for evaluating the performance of those schemes during 2008-2009 are Sharpe
ratio, Treynor ratio and Jensens measure. The using formulae are shown below:
Rm= Market index return

Rs= Mutual fund return

=

!
SD = Standard deviation =
m2= Variance of market return

=
!

CoVpm= Covariance of stock and market return

=
' ()() (*(*+
/0
Sharpe Ratio= Si =
Treynor Ratio= Tn =
Jensens Measure= Rp= p + *(Rm-Rf)
!
' 12312 14314+

5
143146
5

CALCULATION
BSE 500
Close price
7,160.03
7,108.12
6,157.27
6,885.03
6,474.97
5,215.37
5,525.77
5,631.51
4,897.59
3,570.07
3,295.60
3,596.85
3,426.76
3,232.11
3,523.53
4,140.42
5,520.25
5,492.03
5,940.38
6,044.61
6,552.75
6,142.43
6,584.98
6,842.25
Rm
Rm-Rmavg
(Rm-Rmavg)2
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.228532
-6.5468121
-20.044364
5.3606471
1.3225875
-13.623376
-27.696568
-8.2790765
8.5499839
-5.319852
-6.2712847
8.4254091
16.916735
32.734854
-1.1022007
7.5726561
1.1636096
7.8155057
-6.8527905
6.6138113
3.3159295
1.731826912
195.1035376
126.0799292
42.86074837
401.776527
28.73653745
1.749237639
185.5963693
767.0999013
68.54310825
73.10222401
28.30082489
39.3290123
70.98751791
286.1759109
1071.570678
1.214846422
57.34511986
1.353987235
61.0821294
46.96073719
43.74250024
10.9953886
Rmavg=
Sum of (Rm-Rmavg)2=
Variance=
Standard deviation=
Sharpe ratio=
0.590992
3611.439
157.0191
12.53073
0.007262
HDFC Asset Management Company

NAV
39.883
37.601
34.403
35.137
35.817
33.415
31.684
34.013
33.464
27.693
25.264
25.316
35.596
25.087
24.597
28.288
32.449
35.998
36.404
37.712
39.705
41.487
42.329
43.889
Rs
-5.7217361
-8.5050929
2.13353487
1.9352819
-6.7063126
-5.1803082
7.35071329
-1.6140887
-17.245398
-8.7711696
0.20582647
40.6067309
-29.52298
-1.9532029
15.005895
14.7094174
10.9371629
1.12784044
3.59301176
5.28478999
4.48809974
2.02955143
3.68541662
27.8729835
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
Rs-Rsavg
-6.9336
-8.50509
0.921666
0.723413
-7.91818
-6.39218
6.138844
-2.82596
-18.4573
-9.98304
-1.00604
39.39486
-30.7348
-3.16507
13.79403
13.49755
9.725294
-0.08403
2.381143
4.072921
3.276231
0.817683
2.473548
(Rs-Rsavg)2
Rm
Rm-Rmavg
(Rs-Rsavg)*(Rm-Rmavg)
48.07487728
72.33660608
0.849468247
0.523326437
62.69759817
40.859928
37.68541112
7.986036243
340.670701
99.66105687
1.012121264
1551.955158
944.6309405
10.01767889
190.2751582
182.1838174
94.58134501
0.007060774
5.669841548
16.5886866
10.73368882
0.668604796
6.118438563
3725.78755
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.228532
-6.5468121
-20.044364
5.3606471
1.3225875
-13.623376
-27.696568
-8.2790765
8.5499839
-5.319852
-6.2712847
8.4254091
16.916735
32.734854
-1.1022007
7.5726561
1.1636096
7.8155057
-6.8527905
6.6138113
3.3159295
9.124547457
118.7986858
10.3489563
-4.736049276
158.7149119
-34.26620567
8.119158797
38.49908222
511.2029549
82.65033944
-8.601646083
-209.5748342
192.7469893
-26.66702382
233.3498805
441.8402843
-10.71922612
-0.636318275
2.770720678
31.83193839
-22.45132379
5.407998286
8.202110072
1535.955931
1.211869
161.9908
12.72756
0.425303072
0.960518
0.055931
1.673792
0.999217

NAV
10.196
10.313
10.365
10.417
10.474
10.541
10.589
10.638
10.721
10.837
10.904
10.992
11.075
11.139
11.179
11.219
11.268
11.308
11.356
11.391
11.425
11.485
11.533
11.557
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
1.147509
0.504218
0.501688
0.547182
0.639679
0.455365
0.462744
0.780222
1.081989
0.618252
0.807043
0.755095
0.577878
0.359099
0.357814
0.436759
0.354988
0.424478
0.308207
0.298481
0.525164
0.417936
0.208098
12.56989
0.600992
-0.0423
-0.04483
0.000666
0.093162
-0.09115
-0.08377
0.233705
0.535472
0.071735
0.260526
0.208578
0.031361
-0.18742
-0.1887
-0.10976
-0.19153
-0.12204
-0.23831
-0.24804
-0.02135
-0.12858
-0.33842
0.361191255
0.001789202
0.0020096
4.42965E-07
0.008679209
0.008308718
0.007017845
0.054617986
0.286729927
0.00514596
0.06787398
0.043504649
0.000983523
0.035125609
0.035608889
0.012046789
0.036683495
0.014893442
0.05679157
0.061521697
0.000455943
0.016532944
0.114527037
1.232039709
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.2285319
-6.5468121
-20.044364
5.36064711
1.32258748
-13.623376
-27.696568
-8.2790765
8.54998386
-5.319852
-6.2712847
8.42540906
16.9167346
32.7348542
-1.1022007
7.57265606
1.16360957
7.8155057
-6.8527905
6.61381132
3.31592952
-0.790898689
0.590829581
-0.503358917
-0.004357269
-1.867378475
-0.488634607
-0.110796561
-3.183849851
-14.83072818
-0.593902449
2.22749611
-1.10960238
-0.196674824
-1.579075607
-3.19224156
-3.592907702
0.211103797
-0.924157017
-0.277299586
-1.93852425
0.146326405
-0.850407137
-1.122171678
-33.98121085
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.074141745
92.26451101
9.60544174
-0.009409328
0.552078
0.200985
-4.94371
0.551222

NAV
99.716
87.317
76.517
76.591
77.301
70.395
65.017
69.985
67.643
52.816
47.153
46.57
46.401
44.94
43.346
51.053
60.048
68.569
71.273
76.205
81.141
86.033
88.199
91.042
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-12.4343
-12.3687
0.096711
0.927002
-8.93391
-7.63975
7.641078
-3.34643
-21.9195
-10.7221
-1.2364
-0.36289
-3.14864
-3.54695
17.78019
17.61895
14.19031
3.943473
6.919871
6.477265
6.029011
2.517639
3.223393
1.70526
-12.5084552
-12.44286719
0.022568789
0.852860122
-9.008049457
-7.713888887
7.566936742
-3.420573124
-21.99363083
-10.7962714
-1.310542399
-0.437036313
-3.222780783
-3.621093236
17.70604558
17.54480327
14.11617267
3.869331253
6.845729735
6.403123526
5.954869482
2.443496835
3.14925081
156.46145
154.82494
0.0005094
0.7273704
81.144955
59.504082
57.258532
11.70032
483.7198
116.55948
1.7175214
0.1910007
10.386316
13.112316
313.50405
307.82012
199.26633
14.971724
46.864016
40.999991
35.460471
5.9706768
9.9177807
2122.0838
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.31598895
-13.9679468
11.2285319
-6.54681208
-20.044364
5.36064711
1.32258748
-13.6233758
-27.6965684
-8.27907653
8.54998386
-5.31985196
-6.27128474
8.42540906
16.9167346
32.7348542
-1.10220072
7.57265606
1.16360957
7.8155057
-6.85279047
6.61381132
3.31592952
16.4609888
173.8013069
0.253414373
-5.583514944
180.560622
-41.35143618
10.00793579
46.59975325
609.1481006
89.38315722
-11.20511636
2.324968486
20.21097595
-30.50919178
299.5284747
574.3265768
-15.55885565
29.30111477
7.965756642
50.04364844
-40.80747282
16.16082704
10.44269374
1991.504728
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.074141745
92.26451101
9.60544174
0.551443607
-0.25175701
-0.0443351
-0.77226075
-0.20158006

NAV
26.436
26.641
26.588
26.425
26.684
26.554
26.285
26.411
26.68
26.687
27.064
29.615
30.174
29.356
29.121
30.221
30.381
30.248
30.47
30.221
30.231
30.273
30.689
30.781
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
0.775458
-0.19894
-0.61306
0.980132
-0.48718
-1.01303
0.479361
1.018515
0.026237
1.412673
9.425805
1.887557
-2.71094
-0.80052
3.777343
0.529433
-0.43777
0.733933
-0.8172
0.03309
0.13893
1.374162
0.299782
15.81377
0.087903
-0.8865
-1.30061
0.292577
-1.17474
-1.70059
-0.20819
0.33096
-0.66132
0.725118
8.73825
1.200002
-3.3985
-1.48807
3.089788
-0.15812
-1.12533
0.046378
-1.50475
-0.65447
-0.54862
0.686607
-0.38777
0.00772689
0.78587602
1.69159555
0.08560156
1.38001016
2.89198953
0.0433448
0.10953453
0.43734166
0.52579587
76.3570217
1.44000474
11.54979
2.21436062
9.54678869
0.02500251
1.26636449
0.0021509
2.26427933
0.428325
0.30098914
0.47142888
0.15036815
113.975691
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.315989
-13.96795
11.228532
-6.546812
-20.04436
5.3606471
1.3225875
-13.62338
-27.69657
-8.279077
8.5499839
-5.319852
-6.271285
8.4254091
16.916735
32.734854
-1.102201
7.5726561
1.1636096
7.8155057
-6.85279
6.6138113
3.3159295
-0.115678988
12.38253574
-14.60398051
-1.915449557
23.54688276
-9.11623637
-0.275354979
-4.508792581
18.31624262
-6.003306032
74.71190069
-6.38383287
21.31294991
-12.53762194
52.26912042
-5.176095008
1.240338005
0.351203262
-1.750944118
-5.114978308
3.759610575
4.541087763
-1.285829012
143.6437715
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.687555
4.955465
2.226087
0.039774668
0.664048
0.084253
4.715439
0.667668
5. HDFC equity fund

NAV
209.47
186.23
168.347
170.39
174.45
158.592
145.089
157.662
155.353
121.432
106.704
107.95
106.764
101.961
99.828
121.819
148.136
171.975
175.906
185.839
200.023
214.795
222.016
227.37
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-11.0947
-9.60264
1.213565
2.382769
-9.09028
-8.5143
8.665716
-1.46453
-21.8348
-12.1286
1.167716
-1.09866
-4.49871
-2.09198
22.02889
21.60336
16.09264
2.285797
5.646766
7.632413
7.385151
3.36181
2.411538
20.45899
-11.9842
-10.4922
0.324044
1.493248
-9.97981
-9.40382
7.776194
-2.35405
-22.7243
-13.0181
0.278195
-1.98818
-5.38823
-2.9815
21.13937
20.71384
15.20312
1.396276
4.757245
6.742892
6.495629
2.472289
1.522017
143.6207805
110.0854881
0.105004229
2.229788583
99.59650839
88.43187058
60.46919697
5.541535659
516.3942848
169.4714484
0.077392469
3.952852016
29.03300861
8.889328075
446.8728968
429.0632126
231.1349586
1.949586879
22.63137625
45.4665888
42.19320168
6.112212005
2.316534617
2465.639056
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.2285319
-6.5468121
-20.044364
5.36064711
1.32258748
-13.623376
-27.696568
-8.2790765
8.54998386
-5.319852
-6.2712847
8.42540906
16.9167346
32.7348542
-1.1022007
7.57265606
1.16360957
7.8155057
-6.8527905
6.61381132
3.31592952
15.77105998
146.5539769
3.638533463
-9.776011834
200.0388443
-50.41057192
10.28469714
32.07006234
629.3854184
107.7780118
2.378562934
10.57681297
33.79111648
-25.1203371
357.6090859
678.0645676
-16.75689343
10.57351849
5.535575358
52.69910873
-44.51318743
16.35125179
5.046899872
2171.570103
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.889521
107.2017
10.35383
0.601303343
0.534156
0.037621
0.647795
0.58887

NAV
122.88
110.378
97.602
98.931
102.019
92.835
85.797
93.057
89.191
69.136
61.301
59.797
59.628
57.582
55.563
65.546
77.786
89.898
92.336
97.903
103.557
108.673
110.131
113.272
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-10.1742
-11.5748
1.361652
3.121367
-9.00224
-7.58119
8.461834
-4.15444
-22.4855
-11.3327
-2.45347
-0.28262
-3.43127
-3.5063
17.96699
18.67391
15.57093
2.711962
6.029068
5.775104
4.940274
1.34164
2.852058
2.828126
-10.2971
-11.6977
1.23869
2.998405
-9.12521
-7.70415
8.338872
-4.2774
-22.6084
-11.4557
-2.57643
-0.40558
-3.55424
-3.62927
17.84403
18.55095
15.44796
2.589
5.906106
5.652142
4.817312
1.218678
2.729096
106.030591
136.836942
1.53435394
8.99043498
83.2693972
59.3539958
69.5367915
18.2961934
511.14041
131.233005
6.63798808
0.1644991
12.6325929
13.1715722
318.409421
344.137612
238.639572
6.70292325
34.882085
31.9467083
23.206499
1.48517506
7.44796494
2165.68673
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.228532
-6.5468121
-20.044364
5.3606471
1.3225875
-13.623376
-27.696568
-8.2790765
8.5499839
-5.319852
-6.2712847
8.4254091
16.916735
32.734854
-1.1022007
7.5726561
1.1636096
7.8155057
-6.8527905
6.6138113
3.3159295
13.55089041
163.393303
13.90867486
-19.62999673
182.9089642
-41.2992533
11.02888812
58.27269576
626.1755009
94.84259626
-22.02842917
2.157651548
22.28962542
-30.5780512
301.8627274
607.262525
-17.02675629
19.60560984
6.87240117
44.1743474
-33.01203268
8.060103622
9.049489972
2021.841476
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.122962
94.16029
9.703623
0.559843791
-0.2079
-0.03886
-0.67347
-0.15696
ICICI Prudential Asset Management Company

NAV
53.969
48.781
45.307
48.097
48.587
45.304
39.416
41.499
39.893
32.329
30.611
31.096
31.482
31.253
29.987
32.498
34.093
37.219
40.837
45.256
46.386
49.282
51.017
52.06
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
-9.61293
-7.12163
6.157989
1.018775
-6.75695
-12.9966
5.284656
-3.86997
-18.9607
-5.31411
1.584398
1.241317
-0.7274
-4.05081
8.373629
4.907994
9.169038
9.720842
10.82107
2.496906
6.243263
3.520555
2.044417
3.173681
-9.75091
-7.25961
6.020003
0.880788
-6.89494
-13.1346
5.14667
-4.00796
-19.0987
-5.4521
1.446412
1.103331
-0.86539
-4.1888
8.235642
4.770008
9.031051
9.582855
10.68308
2.35892
6.105277
3.382569
1.90643
95.0802866
52.7019573
36.2404323
0.77578822
47.5401645
172.518532
26.4882103
16.0637347
364.760574
29.7253989
2.09210656
1.21733943
0.74889281
17.5460226
67.8258061
22.7529781
81.5598909
91.8311168
114.128262
5.56450516
37.2744061
11.4417732
3.63447694
1299.51266
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.137986
56.50055
7.516685
0.341084917
-0.06359
-0.04816
-1.06136
-0.03256
Rm-Rmavg
-1.3159889
-13.967947
11.228532
-6.5468121
-20.044364
5.3606471
1.3225875
-13.623376
-27.696568
-8.2790765
8.5499839
-5.319852
-6.2712847
8.4254091
16.916735
32.734854
-1.1022007
7.5726561
1.1636096
7.8155057
-6.8527905
6.6138113
3.3159295
12.83209255
101.4018654
67.59579231
-5.766356201
138.2046388
-70.41012193
6.806921072
54.60193072
528.9686192
45.13835658
12.36679597
-5.869557912
5.4270816
-35.2923305
139.3201775
156.1455225
-9.954031425
72.56766772
12.43093761
18.43615536
-41.83818337
22.37167331
6.321588905
1231.807236

NAV
16.254
14.551
12.681
13.211
13.968
12.835
11.739
11.67
10.711
7.458
6.444
6.288
6.154
5.892
5.748
6.723
7.824
8.976
9.607
10.994
11.999
12.173
12.685
13.49
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-10.4774
-12.8514
4.179481
5.730073
-8.1114
-8.53915
-0.58778
-8.21765
-30.3706
-13.5961
-2.42086
-2.13104
-4.25739
-2.44399
16.96242
16.37662
14.72393
7.029857
14.43739
9.14135
1.450121
4.20603
6.346078
-3.42148
-10.3287
-12.7026
4.328241
5.878833
-7.96264
-8.39039
-0.43902
-8.06889
-30.2219
-13.4474
-2.2721
-1.98228
-4.10863
-2.29523
17.11118
16.52538
14.87269
7.178617
14.58615
9.29011
1.598881
4.35479
6.494838
106.681236
161.355802
18.7336716
34.560683
63.4035948
70.3986562
0.1927423
65.1070189
913.362451
180.831984
5.16242277
3.9294467
16.8808693
5.26808902
292.792541
273.088106
221.196802
51.5325485
212.755756
86.3061416
2.55642012
18.9641941
42.1829219
2847.2441
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.315989
-13.96795
11.228532
-6.546812
-20.04436
5.3606471
1.3225875
-13.62338
-27.69657
-8.279077
8.5499839
-5.319852
-6.271285
8.4254091
16.916735
32.734854
-1.102201
7.5726561
1.1636096
7.8155057
-6.85279
6.6138113
3.3159295
13.59240358
177.4291064
48.59979412
-38.487618
159.6060028
-44.97792371
-0.580647984
109.925549
837.042559
111.3318743
-19.4263889
10.54545319
25.76641065
-19.33826682
289.4653213
540.9558272
-16.39268566
54.36120096
16.97258312
72.60690675
-10.95679576
28.80175803
21.5364254
2368.378849
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
-0.14876
123.7932
11.12624
0.655799284
-0.53633
-0.05831
-0.98927
-0.47666

NAV
88.092
79.216
72.167
75.283
78.348
70.553
65.974
71.481
68.686
52.854
47.747
48.807
49.489
48.1
46.88
54.806
62.338
69.754
70.994
75.884
80.568
83.57
85.36
89.402
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-10.0758
-8.89845
4.317763
4.071304
-9.9492
-6.49016
8.347228
-3.91013
-23.0498
-9.66247
2.220035
1.397341
-2.80668
-2.53638
16.907
13.74302
11.89644
1.777676
6.887906
6.172579
3.726045
2.141917
4.735239
10.96236
-10.9894
-9.81198
3.404233
3.157774
-10.8627
-7.40369
7.433698
-4.82366
-23.9634
-10.576
1.306505
0.483811
-3.72021
-3.44991
15.99347
12.82949
10.98291
0.864146
5.974376
5.259049
2.812515
1.228387
3.821709
120.766028
96.2750455
11.5888026
9.97153884
117.998923
54.8145703
55.2598625
23.2676948
574.242184
111.851699
1.70695489
0.23407271
13.839994
11.901896
255.790976
164.595837
120.624216
0.74674814
35.6931697
27.6575992
7.91024147
1.50893469
14.6054601
1832.85245
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.31598895
-13.9679468
11.2285319
-6.54681208
-20.044364
5.36064711
1.32258748
-13.6233758
-27.6965684
-8.27907653
8.54998386
-5.31985196
-6.27128474
8.42540906
16.9167346
32.7348542
-1.10220072
7.57265606
1.16360957
7.8155057
-6.85279047
6.61381132
3.31592952
14.46187597
137.0532814
38.22453934
-20.67335525
217.7365325
-39.68854939
9.831715587
65.71453166
663.7025861
87.55948317
11.17059527
-2.573800856
23.33052281
-29.06692376
270.5572314
419.9715141
-12.10536647
6.543879713
6.951841202
41.10212957
-19.27357702
8.124320029
12.6725179
1911.327525
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.91353
79.68924
8.926883
0.529242703
0.600752
0.046324
0.781362
0.648909

NAV
44.856
41.363
37.863
37.869
38.531
35.141
32.923
34.405
32.887
26.241
24.916
25.807
26.007
25.58
25.269
28.013
30.819
33.597
34.061
35.113
36.73
37.834
38.296
39.337
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-7.78714
-8.46167
0.015847
1.748132
-8.79811
-6.31172
4.501412
-4.41215
-20.2086
-5.04935
3.576015
0.774984
-1.64187
-1.21579
10.85916
10.01678
9.01392
1.381076
3.088576
4.605132
3.005717
1.221124
2.7183
-7.36022
-7.46713
-8.14166
0.335856
2.068141
-8.4781
-5.99171
4.821422
-4.09214
-19.8886
-4.72934
3.896025
1.094993
-1.32186
-0.89578
11.17917
10.33679
9.33393
1.701085
3.408586
4.925142
3.325727
1.541133
3.038309
55.758053
66.2866125
0.11279937
4.27720836
71.8781974
35.9005419
23.2461096
16.7456084
395.555753
22.3666633
15.1790106
1.19900988
1.74730351
0.80242902
124.973731
106.849176
87.1222408
2.89369105
11.6184581
24.2570195
11.0604598
2.37509223
9.23132235
1091.43649
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.315989
-13.96795
11.228532
-6.546812
-20.04436
5.3606471
1.3225875
-13.62338
-27.69657
-8.279077
8.5499839
-5.319852
-6.271285
8.4254091
16.916735
32.734854
-1.102201
7.5726561
1.1636096
7.8155057
-6.85279
6.6138113
3.3159295
9.826662541
113.7222608
3.77117173
-13.53973233
169.9381432
-32.11942197
6.376752304
55.74875892
550.8455132
39.15457351
33.31095067
-5.825201174
8.289735903
-7.54734683
189.1149687
338.3732312
-10.28786385
12.88173358
3.966263228
38.49247201
-22.79051003
10.19276568
10.07481893
1501.9707
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
-0.32001
47.45376
6.888669
0.415892631
-0.5658
-0.11904
-1.97169
-0.52796

NAV
33.34
29.808
27.028
27.577
28.189
24.837
23.159
25.133
23.782
17.937
15.887
16.635
16.752
16.597
16.322
19.264
22.385
24.496
24.393
25.862
27.044
27.6
27.348
28.229
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-10.5939
-9.32636
2.031227
2.219241
-11.8912
-6.75605
8.523684
-5.3754
-24.5774
-11.4289
4.708252
0.703336
-0.92526
-1.65693
18.02475
16.2012
9.430422
-0.42048
6.022219
4.570412
2.055909
-0.91304
3.221442
-6.15276
-10.3264
-9.05884
2.298738
2.486752
-11.6237
-6.48854
8.791195
-5.10789
-24.3099
-11.1614
4.975763
0.970848
-0.65775
-1.38941
18.29226
16.46872
9.697934
-0.15297
6.289731
4.837924
2.32342
-0.64553
3.488954
106.633914
82.0626542
5.2841975
6.18393569
135.109282
42.1011264
77.2851176
26.0905555
590.971244
124.576373
24.7582214
0.94254526
0.43263676
1.93047289
334.606894
271.218596
94.0499146
0.02339843
39.5607142
23.4055043
5.39828168
0.41671171
12.1727967
2005.21509
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.2285319
-6.5468121
-20.044364
5.36064711
1.32258748
-13.623376
-27.696568
-8.2790765
8.54998386
-5.319852
-6.2712847
8.42540906
16.9167346
32.7348542
-1.1022007
7.57265606
1.16360957
7.8155057
-6.8527905
6.61381132
3.31592952
13.58938861
126.5334507
25.81145573
-16.28029827
232.9887084
-34.7827629
11.62712504
69.58672555
673.3008116
92.40590797
42.54269672
-5.164766062
4.12494563
-11.70638624
309.4453631
539.1010065
-10.68906929
-1.158354724
7.318791023
37.81081912
-15.92191217
-4.269427601
11.56912397
2097.783342
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
-0.26751
87.18326
9.337198
0.580871939
-0.6108
-0.0822
-1.32131
-0.55795

NAV
34.669
29.9
26.654
27.622
28.568
25.743
23.917
25.671
24.387
17.938
15.935
16.329
16.788
16.195
15.594
19.147
23.139
27.171
28.339
32.419
35.584
36.538
36.78
39.369
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-13.7558
-10.8562
3.631725
3.424806
-9.88869
-7.09319
7.333696
-5.00175
-26.4444
-11.1662
2.472545
2.81095
-3.53228
-3.71102
22.7844
20.84922
17.42513
4.298701
14.39712
9.762793
2.68098
0.662324
7.039152
28.12396
-14.9786
-12.079
2.408944
2.202026
-11.1115
-8.31597
6.110915
-6.22453
-27.6672
-12.389
1.249764
1.588169
-4.75507
-4.9338
21.56162
19.62644
16.20235
3.07592
13.17434
8.540013
1.458199
-0.56046
5.816371
224.358028
145.901469
5.80301279
4.84891663
123.464707
69.1553757
37.3432816
38.7448196
765.473837
153.487817
1.56190999
2.52228111
22.6106498
24.3424087
464.903609
385.197087
262.516005
9.46128435
173.56323
72.9318167
2.12634572
0.31411158
33.8301713
3024.46217
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.228532
-6.5468121
-20.044364
5.3606471
1.3225875
-13.623376
-27.696568
-8.2790765
8.5499839
-5.319852
-6.2712847
8.4254091
16.916735
32.734854
-1.1022007
7.5726561
1.1636096
7.8155057
-6.8527905
6.6138113
3.3159295
19.71165316
168.7183827
27.04890833
-14.41624763
222.7222964
-44.57898656
8.082219609
84.79916188
766.2864376
102.5696448
10.68546181
-8.44882453
29.82037099
-41.56930564
364.7522635
642.4686012
-17.85823703
23.29288486
15.32978793
66.74451785
-9.992735479
-3.706754094
19.28667623
2431.748178
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
1.222781
131.4984
11.46727
0.673346122
0.824839
0.06303
1.073416
0.886108
Kotak Mahindra Asset Management Company

NAV
21.048
18.556
16.052
16.476
17.106
15.268
14.003
15.252
14.573
11.625
10.711
10.787
10.597
10.528
10.309
11.917
13.769
15.68
15.605
16.731
17.709
18.484
18.789
19.508
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-11.8396
-13.4943
2.641415
3.823744
-10.7448
-8.2853
8.919517
-4.45188
-20.2292
-7.86237
0.709551
-1.76138
-0.65113
-2.08017
15.59802
15.54082
13.879
-0.47832
7.215636
5.845437
4.376306
1.650076
3.826707
2.147852
-11.933
-13.5877
2.548031
3.730359
-10.8382
-8.37869
8.826132
-4.54526
-20.3226
-7.95575
0.616166
-1.85476
-0.74451
-2.17355
15.50464
15.44744
13.78562
-0.5717
7.122251
5.752052
4.282921
1.556691
3.733322
142.3962405
184.6248423
6.492459554
13.91557642
117.465556
70.2024037
77.90061263
20.65938882
413.007089
63.29396549
0.379660606
3.440150659
0.554298942
4.724328508
240.3937459
238.6233765
190.0432825
0.326842264
50.72646128
33.08609921
18.34341193
2.423286452
13.93769495
1906.960774
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.315989
-13.96795
11.228532
-6.546812
-20.04436
5.3606471
1.3225875
-13.62338
-27.69657
-8.279077
8.5499839
-5.319852
-6.271285
8.4254091
16.916735
32.734854
-1.102201
7.5726561
1.1636096
7.8155057
-6.85279
6.6138113
3.3159295
15.70368242
189.7918856
28.61064209
-24.42195773
217.2438794
-44.91518678
11.67333216
61.92178581
562.865612
65.866267
5.268209814
9.86707157
4.669050213
-18.31306513
262.2878175
505.6696683
-15.19451881
-4.329296573
8.287519595
44.95519318
-29.34995991
10.29565968
12.37943344
1880.832725
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.093385
82.91134
9.105566
0.520798754
-0.2144
-0.04466
-0.78075
-0.16701
14. Kotak 50 growth

NAV
108.064
97.8
86.816
87.626
90.434
81.475
75.066
80.192
77.253
60.812
55.048
55.632
54.843
53.828
52.427
59.673
69.029
77.236
77.345
81.586
86.685
90.719
91.338
93.172
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-9.49808
-11.2311
0.933008
3.204528
-9.90667
-7.86622
6.828657
-3.66495
-21.282
-9.47839
1.060892
-1.41825
-1.85074
-2.60273
13.82112
15.67878
11.88921
0.141126
5.483225
6.249847
4.653631
0.682327
2.007927
-6.16486
-9.23004
-10.963
1.201045
3.472566
-9.63863
-7.59818
7.096695
-3.39692
-21.014
-9.21036
1.32893
-1.15021
-1.5827
-2.3347
14.08916
15.94682
12.15724
0.409163
5.751262
6.517884
4.921668
0.950364
2.275964
85.19359995
120.1883896
1.442509184
12.05871208
92.90328411
57.73232918
50.36307632
11.53904383
441.5875283
84.83064152
1.766053908
1.322985787
2.504940119
5.450811662
198.5044296
254.301068
147.7985643
0.167414522
33.07701242
42.48281295
24.22281847
0.903191814
5.180011675
1675.521229
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.2285319
-6.5468121
-20.044364
5.36064711
1.32258748
-13.623376
-27.696568
-8.2790765
8.54998386
-5.319852
-6.2712847
8.42540906
16.9167346
32.7348542
-1.1022007
7.57265606
1.16360957
7.8155057
-6.8527905
6.61381132
3.31592952
12.14662789
153.1312509
13.48597256
-22.73423463
193.2003075
-40.73115809
9.385999612
46.27747443
582.0152484
76.25323498
11.36232672
6.118953266
9.925564003
-19.67078012
238.3425811
522.0168273
-13.39972227
3.09845217
6.692223291
50.94056024
-33.72716134
6.285528471
7.54693589
1817.963012
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
-0.26804
72.84875
8.535148
0.503390259
-0.56554
-0.08999
-1.52573
-0.51973

NAV
51.335
44.878
38.595
39.082
40.762
36.138
32.602
34.782
32.688
24.429
22.449
22.887
22.418
21.705
21.109
24.475
29.203
34.128
34.091
36.149
38.48
39.879
40.244
41.397
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-12.5782
-14.0002
1.261821
4.298654
-11.3439
-9.78471
6.686706
-6.02036
-25.2662
-8.10512
1.951089
-2.0492
-3.18048
-2.74591
15.94581
19.31767
16.86471
-0.10842
6.036784
6.448311
3.635655
0.915269
2.865023
-8.95509
-12.1888
-13.6108
1.651173
4.688006
-10.9545
-9.39536
7.076058
-5.631
-24.8768
-7.71577
2.340441
-1.65985
-2.79113
-2.35656
16.33516
19.70702
17.25406
0.280936
6.426136
6.837663
4.025007
1.304621
3.254375
148.567118
185.254595
2.72637342
21.9774001
120.002097
88.2728324
50.0705997
31.7082003
618.85522
59.5330927
5.47766409
2.75508996
7.79039609
5.55337132
266.837353
388.366754
297.702502
0.07892531
41.2952209
46.7536356
16.2006794
1.70203479
10.5909581
2418.07211
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.315989
-13.96795
11.228532
-6.546812
-20.04436
5.3606471
1.3225875
-13.62338
-27.69657
-8.279077
8.5499839
-5.319852
-6.271285
8.4254091
16.916735
32.734854
-1.102201
7.5726561
1.1636096
7.8155057
-6.85279
6.6138113
3.3159295
16.04034081
190.1152989
18.54025264
-30.69149416
219.5769244
-50.36522169
9.358705981
76.71327689
689.0020163
63.87944285
20.0107328
8.830136951
17.50395909
-19.85497535
276.3375158
645.106523
-19.01743461
2.127435416
7.477513088
53.43979436
-27.58252791
8.628514203
10.79127889
2185.968009
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
-0.38935
105.1336
10.25347
0.605290094
-0.74707
-0.08674
-1.4693
-0.692

NAV
20.352
20.453
20.254
20.075
20.206
20.169
20.103
20.183
20.335
20.465
20.642
22.947
23.694
23.124
22.899
23.605
23.756
23.682
23.885
23.698
23.723
23.749
24.051
24.16
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
0.496266
-0.97296
-0.88378
0.652553
-0.18311
-0.32723
0.397951
0.753109
0.639292
0.864891
11.16655
3.255327
-2.40567
-0.97302
3.083104
0.639695
-0.3115
0.857191
-0.78292
0.105494
0.109598
1.271632
0.453204
17.90567
-0.28224
-1.75147
-1.66228
-0.12595
-0.96162
-1.10574
-0.38056
-0.0254
-0.13922
0.086384
10.38805
2.47682
-3.18418
-1.75152
2.304597
-0.13881
-1.09001
0.078684
-1.56143
-0.67301
-0.66891
0.493125
-0.3253
0.07966031
3.06764616
2.76318596
0.01586451
0.92471541
1.22266576
0.14482345
0.00064507
0.01938094
0.00746219
107.911506
6.13463821
10.1389999
3.06783058
5.3111662
0.01926886
1.18811649
0.00619114
2.43804947
0.45294674
0.44743929
0.24317244
0.1058225
145.711198
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.228532
-6.5468121
-20.044364
5.3606471
1.3225875
-13.623376
-27.696568
-8.2790765
8.5499839
-5.319852
-6.2712847
8.4254091
16.916735
32.734854
-1.1022007
7.5726561
1.1636096
7.8155057
-6.8527905
6.6138113
3.3159295
0.371426812
24.46443577
-18.66500174
0.824599694
19.27508611
-5.92749361
-0.503319603
0.346010043
3.855790259
-0.715179462
88.81762835
-13.1763167
19.96889715
-14.75729238
38.98625173
-4.544001459
1.20140712
0.595845381
-1.816889612
-5.259938329
4.583893439
3.261436884
-1.078684154
140.1085917
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.778507
6.335269
2.516996
0.038795784
0.755579
0.110651
7.178804
0.759109

NAV
21.711
21.838
21.639
21.459
21.613
21.588
21.531
21.628
21.805
21.957
22.157
24.639
25.404
24.832
24.591
25.349
25.513
25.431
25.649
25.439
25.456
25.479
25.799
25.913
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
0.584957
-0.91126
-0.83183
0.717648
-0.11567
-0.26404
0.450513
0.818384
0.697088
0.910871
11.20188
3.104834
-2.25161
-0.97052
3.082429
0.646968
-0.3214
0.857222
-0.81875
0.066827
0.090352
1.255936
0.441878
18.4427
-0.2169
-1.71311
-1.63369
-0.08421
-0.91753
-1.06589
-0.35134
0.016527
-0.10477
0.109015
10.40002
2.302977
-3.05347
-1.77238
2.280572
-0.15489
-1.12326
0.055365
-1.6206
-0.73503
-0.7115
0.45408
-0.35998
0.04704548
2.93475358
2.66893666
0.00709116
0.8418572
1.13612622
0.1234422
0.00027314
0.0109765
0.01188418
108.160434
5.3037038
9.32368246
3.14132572
5.20100815
0.02399039
1.26171621
0.00306527
2.62635088
0.54026927
0.50623888
0.2061883
0.12958492
144.209945
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.228532
-6.5468121
-20.044364
5.3606471
1.3225875
-13.623376
-27.696568
-8.2790765
8.5499839
-5.319852
-6.2712847
8.4254091
16.916735
32.734854
-1.1022007
7.5726561
1.1636096
7.8155057
-6.8527905
6.6138113
3.3159295
0.285437616
23.92866076
-18.3439185
0.551300718
18.39126046
-5.713872028
-0.464682417
-0.225152664
2.901736698
-0.902540281
88.92001059
-12.25149756
19.14918333
-14.93301428
38.57982949
-5.070246517
1.238059537
0.419259048
-1.885748011
-5.744632051
4.875792357
3.003196937
-1.193665154
135.5147581
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.801857
6.269998
2.503996
0.037523761
0.77968
0.12055
8.044413
0.783095

NAV
11.995
12.112
12.172
12.214
12.263
12.339
12.388
12.443
12.534
12.642
12.715
12.798
12.899
12.986
13.053
13.098
13.159
13.217
13.289
13.333
13.374
13.434
13.487
13.521
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
0.975406
0.495376
0.345054
0.401179
0.61975
0.397115
0.443978
0.731335
0.861656
0.57744
0.652772
0.789186
0.674471
0.51594
0.344748
0.46572
0.440763
0.544753
0.331101
0.307508
0.448632
0.394521
0.252095
12.0105
0.453211
-0.02682
-0.17714
-0.12102
0.097555
-0.12508
-0.07822
0.209139
0.339461
0.055245
0.130577
0.26699
0.152275
-0.00626
-0.17745
-0.05648
-0.08143
0.022557
-0.19109
-0.21469
-0.07356
-0.12767
-0.2701
0.205399974
0.000719269
0.031379096
0.014645043
0.009516937
0.015645217
0.006117999
0.043739208
0.115233509
0.003051966
0.017050258
0.071283729
0.023187739
3.91305E-05
0.031487561
0.003189507
0.006631285
0.000508831
0.036517211
0.046090934
0.005411663
0.016300731
0.072954589
0.776101386
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.2285319
-6.5468121
-20.044364
5.36064711
1.32258748
-13.623376
-27.696568
-8.2790765
8.54998386
-5.319852
-6.2712847
8.42540906
16.9167346
32.7348542
-1.1022007
7.57265606
1.16360957
7.8155057
-6.8527905
6.61381132
3.31592952
-0.596420323
0.374609082
-1.989038515
0.792273631
-1.955423682
-0.670514252
-0.103449668
-2.849182012
-9.401894121
-0.457374253
1.116428126
-1.420347965
-0.954961192
-0.052704618
-3.001829681
-1.848724571
0.089755186
0.170818591
-0.222359704
-1.677895234
0.504118728
-0.844413843
-0.895636116
-25.89416641
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.522196
0.033744
0.183694
-0.007170042
0.526433
0.12083
-3.09561
0.525781
LIC Nomura Asset Management Company

NAV
21.503
21.505
21.641
21.938
22.039
22.079
22.052
22.173
22.329
22.395
22.592
24.193
24.452
24.236
24.279
25.263
25.182
25.092
25.29
25.289
25.376
25.421
25.696
25.732
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
0.009301
0.632411
1.372395
0.460388
0.181496
-0.12229
0.548703
0.703558
0.29558
0.879661
7.086579
1.070558
-0.88336
0.177422
4.052885
-0.32063
-0.3574
0.789096
-0.00395
0.344023
0.177333
1.081783
0.1401
18.31564
-0.78703
-0.16392
0.576063
-0.33594
-0.61484
-0.91862
-0.24763
-0.09277
-0.50075
0.083328
6.290247
0.274225
-1.6797
-0.61891
3.256553
-1.11696
-1.15373
-0.00724
-0.80029
-0.45231
-0.619
0.285451
-0.65623
0.61941814
0.02687015
0.33184829
0.11285829
0.37802307
0.84386343
0.06132021
0.00860699
0.25075307
0.00694362
39.5672083
0.07519954
2.82137721
0.38304987
10.6051372
1.24759797
1.33109381
5.2361E-05
0.64045829
0.20458357
0.38316017
0.08148201
0.43064125
60.4115468
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.2285319
-6.5468121
-20.044364
5.36064711
1.32258748
-13.623376
-27.696568
-8.2790765
8.54998386
-5.319852
-6.2712847
8.42540906
16.9167346
32.7348542
-1.1022007
7.57265606
1.16360957
7.8155057
-6.8527905
6.61381132
3.31592952
1.035724385
2.289642299
6.468338927
2.199361441
12.32399271
-4.924399755
-0.327511253
1.263893215
13.86912604
-0.689882142
53.78151096
-1.458838285
10.5338492
-5.214571852
55.09024233
-36.56349816
1.271642461
-0.054796643
-0.931220889
-3.535024762
4.241872726
1.887915964
-2.176021116
110.3813478
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.796332
2.626589
1.620675
0.030564371
0.778269
0.182845
9.695349
0.78105

NAV
23.579
20.848
18.012
17.729
18.104
15.776
14.85
15.99
15.248
11.802
10.634
10.804
10.797
10.526
10.195
11.95
13.895
15.606
15.375
15.997
16.828
17.132
16.693
17.225
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-11.5823
-13.6032
-1.57117
2.115179
-12.859
-5.86968
7.676768
-4.6404
-22.5997
-9.89663
1.598646
-0.06479
-2.50996
-3.14459
17.21432
16.27615
12.31378
-1.4802
4.045528
5.194724
1.806513
-2.56246
3.186965
-20.9556
-10.6712
-12.6921
-0.66006
3.026291
-11.9479
-4.95856
8.58788
-3.72929
-21.6886
-8.98552
2.509758
0.846322
-1.59884
-2.23348
18.12543
17.18726
13.22489
-0.56909
4.956641
6.105836
2.717625
-1.65134
4.098077
113.875102
161.089679
0.43568229
9.15843695
142.752894
24.5873472
73.7516848
13.9075876
470.394189
80.7394844
6.29888666
0.71626028
2.55630225
4.98844141
328.531328
295.402012
174.897831
0.32386057
24.5682889
37.2812387
7.38548776
2.72693631
16.7942353
1993.1632
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.315989
-13.96795
11.228532
-6.546812
-20.04436
5.3606471
1.3225875
-13.62338
-27.69657
-8.279077
8.5499839
-5.319852
-6.271285
8.4254091
16.916735
32.734854
-1.102201
7.5726561
1.1636096
7.8155057
-6.85279
6.6138113
3.3159295
14.04321783
177.2827297
-7.411531034
-19.81255818
239.4885422
-26.58110654
11.3582227
50.80548953
600.6990393
74.39176849
21.45839285
-4.50230571
10.0268062
-18.81799867
306.6231433
562.6225502
-14.57648807
-4.309503821
5.767594781
47.72019956
-18.62331736
-10.92167624
13.58893461
2010.320146
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
-0.91111
86.65927
9.309096
0.556653558
-1.24009
-0.15158
-2.53499
-1.18944

NAV
10.526
10.603
10.678
10.76
10.837
10.914
11.001
11.087
11.181
11.285
11.379
11.476
11.569
11.641
11.706
11.768
11.823
11.878
11.942
11.994
12.039
12.094
12.141
12.188
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
0.731522
0.707347
0.767934
0.715613
0.710529
0.797141
0.781747
0.84784
0.930149
0.832964
0.852447
0.810387
0.622353
0.558371
0.529643
0.467369
0.465195
0.538811
0.435438
0.375188
0.456849
0.388622
0.387118
14.71058
0.091932
0.067757
0.128344
0.076023
0.070938
0.157551
0.142157
0.208249
0.290559
0.193374
0.212857
0.170797
-0.01724
-0.08122
-0.10995
-0.17222
-0.1744
-0.10078
-0.20415
-0.2644
-0.18274
-0.25097
-0.25247
0.008451417
0.00459096
0.016472109
0.005779501
0.005032255
0.024822296
0.020208544
0.043367836
0.084424536
0.03739341
0.04530816
0.029171458
0.000297132
0.006596539
0.012088439
0.029660148
0.030413754
0.010156429
0.041678205
0.06990882
0.033394558
0.062984886
0.063742275
0.685943666
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.2285319
-6.5468121
-20.044364
5.36064711
1.32258748
-13.623376
-27.696568
-8.2790765
8.54998386
-5.319852
-6.2712847
8.42540906
16.9167346
32.7348542
-1.1022007
7.57265606
1.16360957
7.8155057
-6.8527905
6.61381132
3.31592952
-0.120980957
-0.946420891
1.441111499
-0.497708475
-1.421914885
0.844574944
0.188014749
-2.837060623
-8.047487363
-1.600956128
1.819925075
-0.908612303
0.10810137
-0.684303984
-1.859951618
-5.63763648
0.192218731
-0.76316552
-0.237553693
-2.066441291
1.252291127
-1.659854325
-0.837180438
-24.28099148
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.63959
0.029824
0.172695
-0.006723357
0.643564
0.808305
-20.762
0.642952

NAV
12.547
12.701
12.815
12.9
12.981
13.062
13.046
13.146
13.245
13.318
13.395
13.514
13.643
13.737
13.826
13.91
13.982
14.054
14.131
14.193
14.249
14.314
14.373
14.428
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
1.227385
0.897567
0.663285
0.627907
0.623989
-0.12249
0.766518
0.753081
0.551151
0.578165
0.888391
0.954566
0.688998
0.647885
0.607551
0.517613
0.514948
0.547887
0.438752
0.394561
0.456172
0.412184
0.382662
14.01873
0.617875
0.288057
0.053775
0.018397
0.014479
-0.732
0.157009
0.143571
-0.05836
-0.03134
0.278881
0.345056
0.079488
0.038375
-0.00196
-0.0919
-0.09456
-0.06162
-0.17076
-0.21495
-0.15334
-0.19733
-0.22685
0.3817698
0.08297702
0.00289179
0.00033846
0.00020964
0.5358277
0.02465172
0.02061263
0.00340571
0.0009825
0.07777483
0.11906353
0.00631838
0.00147268
3.8369E-06
0.00844498
0.00894197
0.0037974
0.02915834
0.04620312
0.02351237
0.03893752
0.05145995
1.46875588
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.228532
-6.5468121
-20.044364
5.3606471
1.3225875
-13.623376
-27.696568
-8.2790765
8.5499839
-5.319852
-6.2712847
8.4254091
16.916735
32.734854
-1.1022007
7.5726561
1.1636096
7.8155057
-6.8527905
6.6138113
3.3159295
-0.813116974
-4.023569296
0.603818911
-0.120442843
-0.290224441
-3.924007244
0.207657702
-1.955921457
1.616328095
0.259506931
2.38443137
-1.835645951
-0.498493252
0.323329041
-0.033136694
-3.008220965
0.104226318
-0.466650388
-0.198695785
-1.679935944
1.050789343
-1.305076447
-0.752211539
-14.35526151
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.60951
0.063859
0.252703
-0.003974943
0.611859
0.433353
-27.55
0.611497

NAV
68.761
58.789
51.327
52.359
54.017
48.585
46.401
49.016
47.653
39.508
37.263
38.045
38.394
38.061
37.731
40.774
44.551
48.986
48.482
49.257
51.082
51.546
50.441
53.03
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-14.5024
-12.6929
2.010638
3.1666
-10.0561
-4.49521
5.635654
-2.78072
-17.0923
-5.68239
2.098596
0.917335
-0.86732
-0.86703
8.064986
9.263256
9.954883
-1.02887
1.598531
3.705057
0.908343
-2.14372
5.132729
-19.7523
-13.6436
-11.8341
2.869434
4.025396
-9.1973
-3.63642
6.494451
-1.92193
-16.2335
-4.8236
2.957393
1.776131
-0.00853
-0.00823
8.923783
10.12205
10.81368
-0.17007
2.457328
4.563854
1.76714
-1.28492
5.991526
186.148103
140.044837
8.23365284
16.203816
84.5902701
13.223536
42.1778933
3.69380763
263.527062
23.2670869
8.74617349
3.15464238
7.27E-05
6.7777E-05
79.6339014
102.455948
116.935669
0.02892341
6.03846077
20.8287607
3.12278381
1.65101872
35.8983825
1159.60487
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.31598895
-13.9679468
11.22853193
-6.54681208
-20.044364
5.360647111
1.322587479
-13.6233758
-27.6965684
-8.27907653
8.54998386
-5.31985196
-6.27128474
8.425409065
16.91673464
32.73485418
-1.10220072
7.572656064
1.163609571
7.815505704
-6.85279047
6.613811325
3.315929523
17.95484041
165.2974386
32.21953393
-26.35351364
184.3539664
-19.49355371
8.589479527
26.18314886
449.6127035
39.93492773
25.28566262
-9.448755556
0.053471851
-0.069363715
150.9612675
331.3439145
-11.91884556
-1.287872755
2.859370351
35.6688247
-12.1098402
-8.498216674
19.86747758
1401.006066
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
-0.8588
50.4176
7.100535
0.387935729
-1.08806
-0.19137
-3.50263
-1.05276

NAV
14.037
11.859
10.418
10.592
10.636
9.554
9.144
9.764
9.349
7.176
6.425
6.521
6.551
6.309
6.085
7.389
8.963
10.453
10.414
10.845
11.386
11.718
11.496
11.831
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-15.5161
-12.1511
1.670186
0.415408
-10.173
-4.2914
6.780402
-4.25031
-23.2431
-10.4654
1.494163
0.460052
-3.69409
-3.55048
21.42975
21.30194
16.6239
-0.3731
4.138659
4.988474
2.915862
-1.89452
2.914057
-4.46987
-15.3218
-11.9568
1.864528
0.60975
-9.97866
-4.09705
6.974744
-4.05597
-23.0488
-10.2711
1.688505
0.654394
-3.49975
-3.35614
21.62409
21.49628
16.81824
-0.17876
4.333002
5.182816
3.110204
-1.70018
3.108399
234.757369
142.964273
3.47646554
0.37179491
99.5735625
16.7858536
48.6470604
16.450854
531.246517
105.495461
2.85105063
0.42823172
12.2482535
11.2636852
467.601151
462.089939
282.853206
0.03195393
18.7749021
26.8615814
9.67336646
2.89060941
9.66214486
2506.99929
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.228532
-6.5468121
-20.044364
5.3606471
1.3225875
-13.623376
-27.696568
-8.2790765
8.5499839
-5.319852
-6.2712847
8.4254091
16.916735
32.734854
-1.1022007
7.5726561
1.1636096
7.8155057
-6.8527905
6.6138113
3.3159295
20.16331145
167.0114831
20.93591482
-3.991917844
200.0157997
-21.96286205
9.224709703
55.25593874
638.3722666
85.03520921
14.43669429
-3.48128005
21.94793181
-28.27686431
365.8089466
703.6775039
-18.53707649
-1.353662343
5.041922037
40.50632778
-21.31357361
-11.24466464
10.30723229
2247.579291
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
-0.19434
109
10.44031
0.622350132
-0.56215
-0.06651
-1.11568
-0.50552
SBI Funds Management Private ltd.

NAV
10.964
10.931
10.927
10.886
10.895
10.796
10.617
10.571
10.576
10.568
10.559
10.543
10.521
10.506
10.532
10.56
10.565
10.573
10.585
10.597
10.607
10.618
10.643
10.701
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-0.30099
-0.03659
-0.37522
0.082675
-0.90867
-1.65802
-0.43327
0.047299
-0.07564
-0.08516
-0.15153
-0.20867
-0.14257
0.247478
0.265856
0.047348
0.075722
0.113497
0.113368
0.094366
0.103705
0.235449
0.544959
-2.40461
-0.19644
0.067955
-0.27067
0.187223
-0.80413
-1.55347
-0.32872
0.151848
0.028905
0.019386
-0.04698
-0.10412
-0.03802
0.352026
0.370405
0.151897
0.18027
0.218045
0.217916
0.198915
0.208253
0.339998
0.649507
0.03858738
0.0046179
0.07326172
0.03505258
0.64661761
2.41327884
0.10805622
0.02305768
0.00083552
0.0003758
0.00220723
0.01084117
0.0014458
0.12392228
0.1371997
0.02307264
0.03249729
0.04754361
0.04748752
0.03956704
0.04336949
0.11559835
0.42185995
4.39035332
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.31598895
-13.9679468
11.22853193
-6.54681208
-20.044364
5.360647111
1.322587479
-13.6233758
-27.6965684
-8.27907653
8.54998386
-5.31985196
-6.27128474
8.425409065
16.91673464
32.73485418
-1.10220072
7.572656064
1.163609571
7.815505704
-6.85279047
6.613811325
3.315929523
0.258508533
-0.949194078
-3.039215674
-1.225715972
16.11818153
-8.327621369
-0.434759719
-2.068676265
-0.800579599
-0.16049471
-0.401688196
0.553907894
0.238457212
2.965962786
6.266039275
4.972320304
-0.198693789
1.651179633
0.253569504
1.554618713
-1.427117169
2.248679804
2.153720978
20.20138963
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
-0.10455
0.190885
0.436904
0.005593724
-0.10785
-1.38371
-108.076
-0.10735

NAV
11.216
11.32
11.366
11.411
11.453
11.521
11.569
11.618
11.69
11.797
11.896
11.965
12.056
12.114
12.142
12.179
12.221
12.269
12.324
12.361
12.391
12.445
12.489
12.518
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
0.927247
0.40636
0.395918
0.368066
0.593731
0.416631
0.423546
0.619728
0.915312
0.839196
0.580027
0.760552
0.481088
0.231138
0.304727
0.344856
0.392767
0.448284
0.300227
0.242699
0.4358
0.353556
0.232204
11.01366
0.448392
-0.07249
-0.08294
-0.11079
0.114876
-0.06222
-0.05531
0.140873
0.436457
0.360342
0.101172
0.281697
0.002234
-0.24772
-0.17413
-0.134
-0.08609
-0.03057
-0.17863
-0.23616
-0.04305
-0.1253
-0.24665
0.20105543
0.00525543
0.00687856
0.01227417
0.01319653
0.00387186
0.00305909
0.01984528
0.19049514
0.12984611
0.01023581
0.07935312
4.9886E-06
0.06136382
0.03032033
0.01795569
0.00741118
0.00093455
0.0319078
0.05576962
0.0018537
0.01569986
0.06083642
0.95942449
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.2285319
-6.5468121
-20.044364
5.36064711
1.32258748
-13.623376
-27.696568
-8.2790765
8.54998386
-5.319852
-6.2712847
8.42540906
16.9167346
32.7348542
-1.1022007
7.57265606
1.16360957
7.8155057
-6.8527905
6.61381132
3.31592952
-0.590078979
1.012596792
-0.931261808
0.725313728
-2.302619504
-0.333562205
-0.073151071
-1.919169437
-12.08837471
-2.983296204
0.865020306
-1.498585623
-0.014006988
-2.08711888
-2.945666184
-4.386432608
0.094886469
-0.231499499
-0.20785272
-1.845678036
0.295043917
-0.828704595
-0.817875354
-33.0920732
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.478855
0.041714
0.20424
-0.009163128
0.48427
-0.10353
2.307646
0.483436

NAV
49.233
44.935
41.065
41.355
41.809
38.341
35.857
37.809
36.389
30.07
28.068
28.279
28.343
27.602
27.063
31.523
36.519
40.767
40.564
42.353
44.392
45.543
45.468
46.809
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-8.72992
-8.61244
0.706197
1.097812
-8.29486
-6.4787
5.443846
-3.75572
-17.3651
-6.6578
0.751746
0.226316
-2.6144
-1.95276
16.48007
15.84875
11.6323
-0.49795
4.410315
4.814299
2.59281
-0.16468
2.949327
1.829407
-8.80946
-8.69198
0.626658
1.018272
-8.3744
-6.55824
5.364307
-3.83526
-17.4447
-6.73734
0.672206
0.146777
-2.69394
-2.0323
16.40053
15.76921
11.55276
-0.57749
4.330775
4.734759
2.51327
-0.24422
2.869788
77.606521
75.5505095
0.39270035
1.03687831
70.130645
43.0105601
28.7757893
14.7092112
304.316764
45.3917218
0.45186137
0.02154347
7.25732112
4.1302289
268.977241
248.667856
133.4663
0.33349607
18.7556134
22.4179471
6.3165266
0.05964289
8.23568079
1380.01256
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.2285319
-6.5468121
-20.044364
5.36064711
1.32258748
-13.623376
-27.696568
-8.2790765
8.54998386
-5.319852
-6.2712847
8.42540906
16.9167346
32.7348542
-1.1022007
7.57265606
1.16360957
7.8155057
-6.8527905
6.61381132
3.31592952
11.59314718
121.4091086
7.036450237
-6.66643685
167.8596049
-35.15643
7.094765239
52.24917414
483.1576962
55.77893597
5.747353415
-0.780831561
16.89447459
-17.12292902
277.4433399
516.2026573
-12.7334621
-4.37314215
5.039331417
37.00453953
-17.22291339
-1.615218039
9.51601338
1678.355229
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.079539
60.00055
7.746002
0.464733148
-0.19511
-0.05428
-0.90474
-0.15283

NAV
27.201
24.231
21.423
21.573
22.264
20.182
18.317
19.595
17.979
13.283
11.732
11.799
11.993
11.815
11.766
14.024
16.325
18.435
18.182
19.708
20.836
21.346
21.391
23.242
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-10.9187
-11.5885
0.700182
3.203078
-9.35142
-9.24091
6.977125
-8.247
-26.1194
-11.6766
0.571088
1.644207
-1.4842
-0.41473
19.19089
16.40759
12.92496
-1.37239
8.392916
5.723564
2.447687
0.210812
8.653172
-3.36649
-10.7723
-11.4421
0.846551
3.349447
-9.20505
-9.09454
7.123494
-8.10063
-25.973
-11.5302
0.717457
1.790576
-1.33783
-0.26836
19.33726
16.55396
13.07133
-1.22602
8.539285
5.869933
2.594056
0.357182
8.799541
116.0435
130.9215
0.716649
11.2188
84.73295
82.71063
50.74417
65.62025
674.5963
132.9457
0.514744
3.206164
1.789789
0.072016
373.9296
274.0335
170.8597
1.503125
72.91939
34.45612
6.729126
0.127579
77.43193
2367.823
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.3159889
-13.967947
11.228532
-6.5468121
-20.044364
5.3606471
1.3225875
-13.623376
-27.696568
-8.2790765
8.5499839
-5.319852
-6.2712847
8.4254091
16.916735
32.734854
-1.1022007
7.5726561
1.1636096
7.8155057
-6.8527905
6.6138113
3.3159295
14.17628951
159.822529
9.505528782
-21.92820149
184.5093733
-48.75261124
9.42144446
110.357961
719.3627546
95.4594893
6.13424508
-9.525601542
8.389911739
-2.261023788
327.1232673
541.8913453
-14.40723042
-9.284229157
9.936394185
45.87649742
-17.77652217
2.362331882
29.17865842
2149.572601
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
-0.14637
102.9488
10.14637
0.595212279
-0.49813
-0.0637
-1.08595
-0.44398

NAV
21.144
21.209
21.005
20.683
20.775
20.668
20.47
20.533
20.549
20.408
20.547
21.734
21.925
21.351
21.213
21.621
21.678
21.578
21.775
21.694
21.73
21.825
22.024
22.022
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
0.307416
-0.96186
-1.53297
0.44481
-0.51504
-0.958
0.307767
0.077923
-0.68616
0.681105
5.776999
0.878807
-2.61802
-0.64634
1.923349
0.263633
-0.4613
0.912967
-0.37199
0.165945
0.437184
0.911798
-0.00908
4.328949
0.119201
-1.15007
-1.72118
0.256595
-0.70326
-1.14622
0.119552
-0.11029
-0.87438
0.49289
5.588784
0.690592
-2.80623
-0.83455
1.735134
0.075417
-0.64951
0.724752
-0.5602
-0.02227
0.248968
0.723583
-0.1973
0.014209
1.322663
2.962473
0.065841
0.494571
1.313815
0.014293
0.012164
0.76454
0.242941
31.23451
0.476918
7.874933
0.696482
3.010689
0.005688
0.421866
0.525265
0.313826
0.000496
0.061985
0.523573
0.038926
52.39266
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.315989
-13.96795
11.228532
-6.546812
-20.04436
5.3606471
1.3225875
-13.62338
-27.69657
-8.279077
8.5499839
-5.319852
-6.271285
8.4254091
16.916735
32.734854
-1.102201
7.5726561
1.1636096
7.8155057
-6.85279
6.6138113
3.3159295
-0.156866709
16.06413059
-19.3263642
-1.67987636
14.0963454
-6.14446966
0.158118344
1.502547255
24.2173245
-4.080676194
47.78401204
-3.673848326
17.5986746
-7.031466737
29.3527964
2.468777318
0.715892984
5.48829553
-0.651855723
-0.174056681
-1.706128479
4.785642819
-0.654220262
118.9527284
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
0.188215
2.277942
1.509285
0.032937768
0.168749
-0.20658
-9.46588
0.171746

NAV
50.749
45.904
41.941
43.031
43.885
38.695
35.564
37.884
36.087
27.868
24.327
24.816
24.384
24.06
23.804
28.715
33.817
37.881
37.116
39.154
41.522
42.568
42.266
43.456
Rs
Rs-Rsavg
(Rs-Rsavg)2
Rm
Rm-Rmavg
-9.54699
-8.63323
2.598889
1.984616
-11.8264
-8.09148
6.523451
-4.74343
-22.7755
-12.7063
2.010112
-1.74081
-1.32874
-1.06401
20.63099
17.76772
12.01762
-2.01948
5.490893
6.047913
2.519146
-0.70945
2.815502
-4.77899
-9.3392
-8.42545
2.806671
2.192398
-11.6186
-7.8837
6.731233
-4.53565
-22.5677
-12.4985
2.217894
-1.53303
-1.12096
-0.85622
20.83877
17.9755
12.22541
-1.8117
5.698675
6.255695
2.726928
-0.50167
3.023284
87.2207345
70.9882515
7.8774015
4.80660776
134.991457
62.1527684
45.3094931
20.5720785
509.302562
156.213699
4.91905468
2.35018221
1.25654724
0.73312069
434.254267
323.118571
149.460558
3.2822572
32.4749012
39.1337243
7.43613879
0.25167393
9.14024493
2107.24629
-0.725
-13.377
11.81952
-5.95582
-19.4534
5.951639
1.913579
-13.0324
-27.1056
-7.68808
9.140976
-4.72886
-5.68029
9.016401
17.50773
33.32585
-0.51121
8.163648
1.754602
8.406498
-6.2618
7.204803
3.906922
-1.315989
-13.96795
11.228532
-6.546812
-20.04436
5.3606471
1.3225875
-13.62338
-27.69657
-8.279077
8.5499839
-5.319852
-6.271285
8.4254091
16.916735
32.734854
-1.102201
7.5726561
1.1636096
7.8155057
-6.85279
6.6138113
3.3159295
12.29028947
117.6862736
31.51479373
-14.35321587
232.8870941
-42.26174816
8.90264403
61.79080097
625.0487538
103.4764343
18.9629596
8.155494788
7.029847929
-7.214043117
352.5239147
588.4253451
-13.47485154
-13.71938163
6.631033231
48.89142265
-18.68706932
-3.317958219
10.02499601
2121.21383
Return=
Variance=
Sd=
Beta=
Alpha=
Sharpe ratio=
Treynor ratio=
Jensens measure=
-0.20778
91.6194
9.571803
0.587359793
-0.55491
-0.07394
-1.20502
-0.50146
REFERENCES
Fischer Donald E., Jordan Ronald J. (2009): Security Analysis and Portfolio
Management, Published by Dorling Kindersley(India) Private limited, Sixth Edition
Jensen M C (1968), The Performance of Mutual Funds in the period 1945-1964,
Journal of Finance, Vol 23, No 2, pp 389-416.
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GLOSSARY
ALPHA- The intercept of characteristics regression line is alpha ().
BETAThe sensitivity of a security to the market risk is known as beta ().
JENSENS MEASURE- The absolute risk-adjusted measure, commonly known as Jensens
Measure.
MUTUAL FUND- A mutual fund is just the connecting bridge or a financial intermediary that
allows a group of investors to pool their money together with a predetermined investment
objective.
NAV- It is the value of each unit in the mutual fund at a specific point of time.
OPEN ENDED MUTUAL FUND- It is the fund which does not have any fixed maturity period.
RISK FREE RATE OF RETURN- Risk free rate of return refers to that minimum return on
investment that has no risk of losing the investment over which it is earned.
SHARPE INDEX- It measures the risk premium of the portfolio relative to the total amount of
risk in the portfolio.
STANDARD DEVIATION- The standard deviation is often referred to as a measure of total
risk.
SYSTEMATIC RISK- It is the risk inherent to the whole market.
TOTAL RISK- It is the combination of systematic risk and unsystematic risk.
TREYNOR INDEX- It is the excess return over risk free return per unit of systematic risk i.e.
Beta.

Performance Evaluation of Selected Open Ended (Growth) Mutual Fund During The Period of 2008-09.

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A Thesis On

THE STUDY OF THE PERFORMANCE EVALUATION OF

The ICFAI University, Tripura

THE STUDY OF THE PERFORMANCE EVALUATION OF

LIST OF TABLES AND GRAPHS

Total risk of the schemes

Beta of the schemes

Sharpe ratio of the schemes

Treynor ratio of the schemes

Jensens measure of the schemes

Total risk of the schemes

Beta of the schemes

Benefits of Open-ended Mutual Fund Schemes in India

INTRODUCTION OF THE SCHEMES

To generate capital appreciation

To generate income through

To generate long term capital

Seeks to generate capital

Aims to invest in equity and debt

Aims to generate regular income

11. ICICI Pru

15. Kotak bond

To provide capital appreciation

To generate returns through a

balance in debt and money

To provide reasonable possible

To provide regular flow of

To actively manage a portfolio of

To provide capital appreciation

To provide investors long term

CHAPTER 2: LITERATURE REVIEW

CHAPTER 4: EMPIRICAL ANALYSIS

29. LIC Nomura Balanced plan C growth

26. SBI magnum Income fund growth

Equity & Debt Schemes

TABLE 3: BETA OF THE SCHEMES

4. HDFC long term advantage fund

TABLE 4: SHARPE RATIO OF THE SCHEMES

18. SBI Magnum balanced fund growth

4. ICICI Prudential technology growth

Rs= Mutual fund return

m2= Variance of market return

CoVpm= Covariance of stock and market return

' ()() (*(*+

Jensens Measure= Rp= p + *(Rm-Rf)

' 12312 14314+

HDFC Asset Management Company

2. HDFC Arbitrage fund-Institutional

3. HDFC Capital builder fund

4. HDFC high interest fund

5. HDFC equity fund

6. HDFC long term advantage fund

ICICI Prudential Asset Management Company

8. ICICI Prudential technology growth

9. ICICI Prudential Dynamic Plan growth

10. ICICI Pru balanced growth

11. ICICI Pru Infrastructure Fund growth

12. ICICI Prudential Discovery Fund Growth

Kotak Mahindra Asset Management Company

14. Kotak 50 growth

15. Kotak opportunities fund growth

16. Kotak bond deposit growth

17. Kotak bond regular plan growth

' ()() ((+

' 12312 14314+