Project

(Term IX)

Security Research & Portfolio

Management
(Mutual Fund assessment)
Project done by Group - 1
IMT Ghaziabad PT2017-20 Batch
 
Lakshmi Srinivasan(17PT-008)
Sachin Raswant (17PT-013)
Bhupendra Singh Chaudhary
 Key Performance Metrix
SR.NO DESCRIPTION HDFC ICICI

HDFC 1 AVERAGE RETURN 9.85% 10.95%

Equity(g) 2 RISK(STD.DEV) 18.99% 15.20%
fund VS
ICICI 3 BETA 1.1 0.89
Prudential 4 SHARPE RATIO 0.18 0.29
Blue-chip(g)
fund 5 TREYNOR RATIO 0.03 0.05
6 JENSEN ALPHA -0.03 -0.01
7 M2 -0.002 0.001
8 INFORMATION RATIO -0.16 0.43
9 SORTINO RATIO 0.62 0.88
 Absolute Return HDFC VS ICICI HDFC VS S&P BSE 500 TRI
0.4
40.00%
0.35
35.00% 0.3
0.25
30.00%
0.2
25.00% 0.15
20.00% 0.1
0.05
15.00%
0
10.00% -0.0542005 42370 42736 43101 43466

5.00% -0.1

0.00%
42370 42736 43101 43466
-5.00%

-10.00%

RETURNS(HDFC) RETURNS(ICICI)
RETURNS(HDFC) RET. S&P BSE 500 TRI
MEAN 9.85% 10.95%
HDFC VS ICICI
ICICI VS BSE 100 TRI
1.00
0.4
0.35 0.80
0.3 0.60
0.25
0.40
0.2
0.15 0.20
0.1 0.00
0.05 Sharpe Ratio Treynor Ratio Jensen Alpha M2 Information Sortino Ratio
Ratio
-0.20
0
42005
-0.05 42370 42736 43101 43466 -0.40

RETURNS(ICICI) RET. S&P BSE 100 TRI HDFC ICICI

 COMPARISON
SHARPE RATIO TREYNOR RATIO JENSEN
JENSEN ALPHA
ALPHA
A Treynor Ratio of 0.03 for HDFC A
A Jensen
Jensen Alpha
Alpha ofof (-0.03)
(-0.03) for
for HDFC
HDFC
A Sharpe Ratio of 0.18 for HDFC
shows it has generated 0.03 or 3% shows
shows itit is
is not
not earning
earning enough
enough
shows it gives 0.18 for every Re.1 return,
Worth of risk after adjusting risk extra return against Risk free rate. return, given
given the
the risk
risk it
it is
is taking
taking
(beta
(beta –– 1.10)
1.10) while
while ICICI
ICICI Jensen
Jensen
free rate. Whereas for ICICI it is Whereas ICICI has generated 0.05 Alpha
or 5% which makes it superior if Alpha is
is (-0.01),
(-0.01), which
which isis marginally
marginally
0.29 making it superior, if Sharpe better
better than
than HDFC
HDFC (AVG.
(AVG. return
return
Ratio is considered. Treynor Ratio is considered above
above oror below
below thethe CAPM
CAPM model)
model)
INFORMATION RATIO
MODIGILIANI (M2) SORTINO RATIO
Information Ratio of (-0.16) for
M2
M2 of
of -- .002
.002 in
in HDFC
HDFC shows,
shows, it
it is
is not
not HDFC is showing that it is not A Sortino Ratio of 0.62 of HDFC
performing
performing well
well against
against the
the performing well in comparison to while that of ICICI is 0.88, which
benchmark
benchmark with
with the
the given
given amt.
amt. ofof benchmark while ICICI with IR of means it is better given its
risk.
risk. While
While ICICI
ICICI with
with M2
M2 of
of .001
.001 isis 0.43. Which is a much better downside deviation or the bad
better
better in
in comparison
comparison risk it is taking
trade-off
Note : The analysis is compiled using the information available on
public platform. We advise the users to consult certified experts
before making any investment decisions