performance analysis of selected mutual fund schemes
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DESCRIPTIONPerformance analysis of selected mutual fund schemes through various statistical tools like alpha,beta,treynor ratio and sharpe ratio
- 1. Presented By: Gagandeep Kumar CUN120550014
2. INTRODUCTION Incorporated on August 1994 by the name of HDFC Bank Limited, with its registered office in Mumbai HDFC Bank commenced operations as a Scheduled Commercial Bank in January 1995. The Housing Development Finance Corporation (HDFC) was amongst the first to receive an 'in principle' approval from the Reserve Bank of India (RBI) to set up a bank in the private sector, as part of the RBI's liberalization of the Indian Banking Industry in 1994. 3. Date of Incorporation : 1994 Registered Office : HDFC Bank House,Senapati Bapat Marg, Lower Parel, Mumbai 400 013. Tel.No.: 022 - 66521000 Public Issue Date : December 31, 1995 BSE Code : 500180 NSE Code : HDFCBANK Web URL : http://www.hdfcbank.com Logo : CORPORATE PROFILE 4. BOARD OF DIRECTORS Director Name Designation C M Vasudev Non Executive Chairman Aditya Puri Managing Director Harish Engineer Executive Director Paresh Sukthankar Executive Director Anami N Roy Director Ashim Samanta Director Bobby Parikh Director Partho Datta Director Renu Karnad Director Pandit Palande Director Sanjay Dongre Company Secretary 5. Merger and Amalgamation In a milestone transaction in the Indian banking industry, Times Bank Limited was merged with HDFC Bank Ltd., effective February 26, 2000. With this, HDFC and Times became the first two private banks in the New Generation Private Sector Banks to have gone through a merger. During the year ended March 31, 2009, the RBI accorded its consent to the Scheme of Amalgamation of Centurion Bank of Punjab (CBP) with HDFC Bank. Pursuant to the order of amalgamation the operations of both Banks were merged with effect from May 23, 2008. 6. Mission and Business Strategy Our mission is to be "a World Class Indian Bank", benchmarking ourselves against international standards and best practices in terms of product offerings, technology, service levels, risk management and audit & compliance. The objective is to build sound customer franchises across distinct businesses so as to be a preferred provider of banking services for target retail and wholesale customer segments, and to achieve a healthy growth in profitability, consistent with the Bank's risk appetite. We are committed to do this while ensuring the highest levels of ethical standards, professional integrity, corporate governance and regulatory compliance. Our business strategy emphasizes the following : Increase our market share in Indias expanding banking and financial services industry by following a disciplined growth strategy focusing on quality and not on quantity and delivering high quality customer service. Leverage our technology platform and open scaleable systems to deliver more products to more customers and to control operating costs. Maintain our current high standards for asset quality through disciplined credit risk management. Develop innovative products and services that attract our targeted customers and address inefficiencies in the Indian financial sector. Continue to develop products and services that reduce our cost of funds. Focus on high earnings growth with low volatility. 7. HDFC Mutual Fund HDFC Asset Management Company Ltd (AMC) was incorporated under the Companies Act, 1956, on December 10, 1999, and was approved to act as an Asset Management Company for the HDFC Mutual Fund by SEBI vide its letter dated July 3, 2000. The registered office of the AMC is situated at Ramon House, 3rd Floor, H.T. Parekh Marg, 169, Backbay Reclamation, Churchgate, Mumbai - 400 020. The paid up capital of the AMC is Rs. 25.169 crore. 8. Mutual Fund Process 9. HDFC 20 Branch HDFC opened its branch in sector 20 on 31st march,2012 Branch Address SCO 25 SECTOR 20D CHANDIGARH Name Designation Ashish Ahuja Branch Manager Nitin Gupta PB Authorizer Bhavna Khosla Internal operations(Cashier) Gauravjeet Singh PB Welcome Harvinder Singh PB Sales Financial Information: CASA value 4.374cr Current Account 1.69cr Saving Account 2.68cr Total liabilities 7.81cr 10. Performance Analysis of selected Mutual fund schemes 11. NEED OF THE STUDY Need of the study is to check the performance of the selected mutual fund scheme which will further help the investors who are willing to invest in the mutual fund. Adding to this,further need is to evaluate the best scheme of the period which has outperformed the market. 12. OBJECTIVES OF THE STUDY Indian mutual fund industry is featured by a schemes consisting of varying portfolio mix, investment objectives and expertise of professional fund management. For the small investor, choosing a suitable one is therefore a complex decision. This present study has the objective of finding out the necessary facts rearding performance of selected growth- oriented and open-ended schemes, which can benefit the investors and fund managers. The specific objectives of the study are: To analysis the financial performance of selected mutual fund schemes through the statistical parameters (Standard Deviation, Beta and Alpha) and ratio analysis (Sharpe Ratio, Treynor Ratio) To compare the performance of selected mutual fund schemes Anlaysis will help the investors for investing in mutual fund and understand the performance of mutual fund schemes 13. DATA COLLECTION SECONDARY DATA The fact sheets are issued by the AMC updated periodically on the various information of the schemes. It involves portfolio of the scheme, sectoral allocation, performance compared to their benchmarks over a period of time and portfolio turnover ratio etc acted as a complete profile about the facts and features of the various schemes of the AMC. The monthly edition magazine on mutual fund named insight to mutual funds and newspaper helped me to collect data on the current situation of the mutual fund industry, the recent changes taken place and emerging sectors for the investment of the funds. And finally, through surfing the internet data had been collected through accessing various websites such as www.mutualfundindia.com, www.amfiindia.com,www.moneycontrol.com, 14. Research Methodology Return Risk free rate of return Beta Sharpe Ratio Treynor Ratio Jensen Alpha 15. FRAME WORK COMPANY NAME MUTUAL FUND SCHEME HDFC MUTUAL FUND HDFC TOP 200 (G) OPTION HDFC TOP 200 (D) OPTION HDFC MIDCAP(D) OPTION HDFC MIDCAP(G) OPTION RELIANCE MUTUAL FUND RELIANCE TOP 200(G) OPTION RELIANCE TOP200(D) OPTION BIRLA SUN LIFE BIRLA SUNLIFE TOP 100(G) OPTION MUTUAL FUND BIRLA SUNLIFE TOP 100(D) OPTION BIRLA SUNLIFE MIDCAP(D) OPTION BIRLA SUNLIFE MIDCAP(G) OPTION 16. PERFORMANCE ANALYSIS BASED ON STATISTICS PARAMETERS 17. Table 1 EQUITY DIVERSIFIED SCHEMES Name of Scheme Alpha () Beta () HDFC Top MIDCAP Fund - Growth Option 0.05745786 0.295 HDFC Top 200 Fund - Growth Option 0.207463865 0.975 Birla Sun Life MIDCAP Fund - Growth Option 0.082016942 -0.007 Birla Sun Life Top 100 Fund -Growth Option 0.039529881 0.508 Reliance Top 200 Fund- Growth Option 0.042760939 0.469 18. Table 2 Debt Schemes Analysis Name of Scheme Alpha ( ) Beta () Reliance Top 200 Fund- Dividend Option 0.047191439 0.442 Birla Sun Life Top 100 Fund - Dividend Option 0.052444375 0.382 HDFC Top 200 Fund - Dividend Option 0.04468159 0.478 HDFC Top MIDCAP Fund - Dividend Option 0.046839625 0.43529634 Birla Sun Life MIDCAP Fund - Dividend Option 0.063791594 0.238 19. PERFORMANCE ANALYSIS BASED ON RATIO ANALYSIS AND RANKING 20. Table No. 3 EQUITY DIVERSIFIED SCHEMES Name of Scheme Treynor Ratio Rank HDFC Top MIDCAP Fund - Growth Option -0.0017696 4 HDFC Top 200 Fund - Growth Option -0.00042 5 Birla Sun Life MIDCAP Fund -Growth Option 0.155904828 1 Birla Sun Life Top 100 Fund -Growth Option 0.001481 2 Reliance Top 200 Fund-Growth Option 0.000734159 3 21. Table 4 DEBT SCHEMES ANALYSIS Name of Scheme Treynor Ratio Rank Reliance Top 200 Fund- Dividend Option -0.00422383 1 Birla Sun Life Top 100 Fund Dividend Option -0.00622 4 HDFC Top 200 Fund - Dividend Option -0.00479 3 HDFC Top MIDCAP Fund - Dividend Option -0.00461789 2 Birla Sun Life MIDCAP Fund -Dividend Option -0.00976 5 22. PERFORMANCE ANALYSIS BASED ON RATIO ANALYSIS AND RANKING 23. Table 5 EQUITY DIVERSIFIED SCHEMES Name of Scheme Sharpe Ratio Rank HDFC Top MIDCAP Fund - Growth Option -0.51342 4 HDFC Top 200 Fund - Growth Option -0.323090317 2 Birla Sun Life MIDCAP Fund - Growth Option -0.912223604 5 Birla Sun Life Top 100 Fund - Growth Option 0.34565195 3 Reliance Top 200 Fund-Growth Option 0.221700654 1 24. Table 6 Debt Schemes Analysis Name of Scheme Sharpe Ratio Rank Reliance Top 200 Fund- Dividend Option -1.119377322 1 Birla Sun Life Top 100 Fund - Dividend Option -1.524831813 4 HDFC Top 200 Fund - Dividend Option -1.409265691 3 HDFC Top MIDCAP Fund - Dividend Option -1.38445 2 Birla Sun Life MIDCAP Fund - Dividend Option -1.98283 5 25. PERFORMANCE ANALYSIS AND COMPARISON BETWEEN SCHEMES AND MARKET TREYNOR RATIO 26. Table 7 EQUITY DIVERSIFIED SCHEMES Name of Scheme Treynor Ratio Market Treynor Ratio HDFC Top MIDCAP Fund - Growth Option -0.0017696 0.00340718 HDFC Top 200 Fund - Growth Option -0.00042 0.001033 Birla Sun Life MIDCAP Fund -Growth Option 0.155904828 -0.145844212 Birla Sun Life Top 100 Fund -Growth Option 0.001481 0.001981 Reliance Top 200 Fund-Growth Option 0.000734159 0.002143508 27. Table 8 DEBT SCHEMES ANALYSIS Name of Scheme Treynor Ratio Market Treynor Ratio Reliance Top 200 Fund- Dividend Option -0.00422383 0.0022792 Birla Sun Life Top 100 Fund Dividend Option -0.00622 0.002636 HDFC Top 200 Fund - Dividend Option -0.00479 0.002103 HDFC Top MIDCAP Fund - Dividend Option -0.00461789 0.00173718 Birla Sun Life MIDCAP Fund - Dividend Option -0.00976 0.004223 28. PERFORMANCE ANALYSIS AND COMPARISON BETWEEN SCHEMES AND MARKET SHARPE RATIO 29. Table 9 EQUITY DIVERSIFIED SCHEMES Name of Scheme Sharpe Ratio Market Sharpe Ratio HDFC Top MIDCAP Fund - Growth Option -0.51342 0.851858 HDFC Top 200 Fund - Growth Option -0.