Wealth Management Assignment

Submitted by: Himanshu Bajaj(079/2018)

Mutual fund selected: SBI Small Cap Fund Direct Plan Growth
Category: India fund SmallCap
Category Index: S&P BSE SmallCap TR INR

Background
This is an equity-oriented portfolio with 87.65% investment in equity and remaining as cash
holdings. There is a total of 46 stocks in the portfolio with major stocks lying in the
industrials and consumer cyclical sectors.
Current NAV: 57.74
Total assets: 29.1Bn
Risk: Above average as compared to category.
Return: High as compared to the category.
The fund has provided an annualised return of 17.09% and 15.19% in the last 5 years and 3
years respectively, which is significantly higher as compared to both the category as well as
the index.

Analysis of risk measures

• 3Y Alpha: 10.31.
Alpha shows how much extra return the fund is generating from its expected returns.
This fund has an alpha of 10.31, which means this has higher return by 10.31%, the
category alpha stands at 1.45, which shows that the fund is outperforming the index
by a huge margin.

• Beta: 0.89
Beta shows the volatility of the fund with respect to the index. This fund has a beta of
0.89 which shows that it is less volatile as compared to the market. The category beta
is of 0.82, so the fund is at par with the category.

• R2: 86.89
R2 shows that how much of the fund’s movement is explained by the index
movements. Higher number indicates that much of movement is being explained, te
category R2 is 87 which is almost equal to the fund’s.
 • Sharpe Ratio: 0.50
Sharpe ratio compares the performance of the fund with that of risk free
securities(govt sec). This fund’s category has a sharpe ratio of 0.05 and the index has
a sharpe ratio of -0.03, hence we can see that the fund is performing better than the
category and the index.

• Capture ratios:
Upside: 117
Downside: 81
Capture ratios show that how much of the increase and decrease in the index is
captured by the fund, this fund has an upside of 117 as compared to category upside
of 87, and fund has a downside ratio of 82 as compared to category downside of 80.
So we can see that the fund is better in both the aspects as compared to the category.

Source : https://www.morningstar.in/mutualfunds/f00000pdtt/sbi-small-cap-fund-direct-plan-
growth/overview.aspx