Vol-3 Issue-6 2017 IJARIIE-ISSN(O)-2395-4396

COMPARATIVE ANALYSIS ON MUTUAL

FUND SCHEME
A. Ramakrishna1
1
Student, University College of commerce & Business Management, Osmania University, Telangana,
India

ABSTRACT
In this paper the investigation and performance analysis of four mutual fund investable growth oriented equity
schemes for the period of five years of transition economy. Monthly NAV of different schemes have been used to
calculate the returns from the fund schemes. The Alpha & Beta analysis, Co-efficient of Determination and the
Sharpe’s Ratio and Treynor’s Ratio reveals are used to investigate the performance analysis of the four investors so
proposed Sundaram BNP Paribas, HDFC , BIRLA and ICICI Prudential. He analysis has presented by balance
Fun, giving highest returns over the risk free returns after taking the market risk in to account. On the other hand
Growth fund is giving the lowest returns.

Keyword : - Mutual funds, performance evaluation, Sharpe measure, Treynor measure.

1. Introduction
A mutual fund is a form of collective investment. It is a pool of money collected from various investors which is
invested according to the stated investment objective. The fund manager is the person who invests the money in
different types of securities according to the predetermined objectives. The portfolio of a mutual fund is decided
taking into consideration this investment objective. Mutual fund investors are like shareholders and they own the
fund. The income earned through these investments and the capital appreciation realized by the scheme is shared by
its unit holders in proportion to the number of units owned by them. The value of the investments can go up or
down, changing the value of the investors holding. Mutual funds are one of the best investments ever created
because they are very cost efficient and very easy to invest in.

Fig.1: cycle of process

The investment in securities through mutual funds is spread across wide range of industries and sectors and thus the
risk is reduced. Diversification reduces the risk because all stocks may not move in the same direction at the same
time. Various fund houses issue units to the investors in accordance with the quantum of money invested by them.
Investors of mutual funds are known as unit holders.
In India a mutual fund is required to be registered with Securities Exchange Board of India [SEBI] which regulates
the securities market.
Advantages of investing in mutual funds:

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There are several that can be attributed to the growing popularities and suitability of mutual funds as an investment
vehicle especially for retail investors.
Professional management:
Mutual funds provide the services of experienced and skilled professionals, backed by a dedicated investment
research team that analysis the performance and prospects of companies and selects suitable investments to achieve
the objectives of the scheme.

Fig.2 MF selection process

Diversification: Mutual funds invest in a number of companies across a broad cross- section of industries and
sectors. This diversification reduces the risk because seldom do all stocks decline at the sane time and in the same
proportion. You achieve this diversification through a mutual fund with far less money than you can do on your
own.
Convenient administration: Investing in a mutual fund reduces paperwork and helps you avoid many problems
such as bad deliveries, delayed payment and follow up with brokers and companies. Mutual funds save your time
and make investing easy and convenient.
Return potential: Over a medium to long term, mutual funds have the potential to provide a higher return as they
invest in a diversified basket of selected securities.
Low costs: Mutual funds are a relatively less expensive way to invest compared to directly investing in the capital
markets because the benefits of scale in brokerage, custodial and other fees translate into lower costs for investors.
Liquidity: In open ended schemes, the investors get the money back promptly at net asset value related prices from
the mutual fund. In closed end schemes, the units can be sold on a stock exchange at the prevailing market price or
the investor can avail of the facility of direct repurchase at NAV related prices by mutual fund.
Transparency: You get regular information on the value of your investment in addition to disclosure on the specific
investments made by your scheme, the proportion invested in each class of assets and the fund manager’s
investment strategy and outlook.
Flexibility: Through features such as regular investment plans, regular withdrawal plans and dividend reinvestment
plans, you can systematically invest or withdraw funds according to your needs and convenience.
Affordability: Investors individually may lack sufficient funds to invest in high-grade stocks. A mutual fund
because of its large corpus allows even a small investor to take the benefit of its investment strategy.
Choice of schemes: Mutual funds offer a family of schemes to suit your varying needs over a lifetime.
Importance of Mutual Fund: Small investors face a lot of problems in the share market, limited resources, lack of
professional advice, lack of information etc. Mutual funds have come as a much needed help to these investors. It is
a special type of institutional device or an investment vehicle through which the investors pool their savings which
are to be invested under the guidance of a team of experts in wide variety of portfolios of corporate securities in such
a way, so as to minimize risk, while ensuring safety and steady return on investment. It forms an important part of
the capital market, providing the benefits of a diversified portfolio and expert fund management to a large number,
particularly small investors. Now days, mutual fund is gaining its popularity due to the following reasons.

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With the emphasis on increase in domestic savings and improvement in deployment of investment through markets,
the need and scope for mutual fund operation has increased tremendously. The basic purpose of reforms in the
financial sector was to enhance the generation of domestic (Tripathy, Mutual Fund in India: A Financial Service in
Capital . . . 87) resources by reducing the dependence on outside funds. This calls for a market based institution
which can tap the vast potential of domestic savings and chanalise them for profitable investments. Mutual funds are
not only best suited for the purpose but also capable of meeting this challenge. An ordinary investor who applies for
share in a public issue of any company is not assured of any firm allotment. But mutual funds who subscribe to the
capital issue made by companies get firm allotment of shares. Mutual fund latter sell these shares in the same market
and to the Promoters of the company at a much higher price. Hence, mutual fund creates the investors’ confidence.
The phyche of the typical Indian investor has been summed up by Mr. S. A. Dave, Chairman of UTI, in three words;
Yield, Liquidity and Security. The mutual funds, being set up in the public sector, have given the impression of
being as safe a conduit for investment as bank deposits. Besides, the assured returns promised by them have
investors had great appeal for the typical Indian investor.
As mutual funds are managed by professionals, they are considered to have a better knowledge of market behaviors.
Besides, they bring a certain competence to their job. They also maximize gains by proper selection and timing of
investment. Another important thing is that the dividends and capital gains are reinvested automatically in mutual
funds and hence are not fritted away. The automatic reinvestment feature of a mutual fund is a form of forced saving
and can make a big difference in the long run.
The mutual fund operation provides a reasonable protection to investors. Besides, presently all Schemes of mutual
funds provide tax relief under Section 80 L of the Income Tax Act and in addition, some schemes provide tax relief
under Section 88 of the Income Tax Act lead to the growth of importance of mutual fund in the minds of the
investors. As mutual funds creates awareness among urban and rural middle class people about the benefits of
investment in capital market, through profitable and safe avenues, mutual fund could be able to make up a large
amount of the surplus funds available with these people. The mutual funds attracts foreign capital flow in the
country and secure profitable investment avenues abroad for domestic savings through the opening of off shore
funds in various foreign investors. Lastly another notable thing is that mutual funds are controlled and regulated by
S E B I and hence are considered safe. Due to all these benefits the importance of mutual fund has been increasing.
2. Methodology
Data collection: The data required for the study may be collected either from primary sources or from secondary
sources. A major portion of the data in this study has been collected through secondary sources of data.
Secondary data sources include:
 Published material and annual reports of mutual fund companies
 Other published material of mutual funds.
 Research based online portals.
 Unpublished sources also.
Sample Profile: The sample required for the study has been selected through random sampling method from the
available list of mutual fund schemes in the market. Broadly the sample of 12 mutual fund schemes includes equity
funds, debt funds and balanced funds.
The study has taken three broad categories of funds
 Equity Funds
 Debt funds
 Balanced fund

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Equity Funds:
1. Birla Advantage Fund – Growth
2. HDFC Equity Fund – Growth
3. ICICI Prudential Dynamic Plan – Growth
4. Sundaram BNP Paribas growth fund- Growth
Debt funds:
1. Birla Bond Index Fund – Growth
2. HDFC High Interest Fund – Growth
3. ICICI Prudential Blended Plan - Option B – Growth
4. Sundaram BNP Paribas fund- Growth
Balanced fund:
1. Birla Balance Fund – Growth
2. HDFC Balanced Fund – Growth
3. ICICI Prudential Balanced – Growth
4. Sundaram BNP Paribas balanced- Growth
For the purpose of estimating the performance of schemes in terms of returns, NAV of the schemes are taken into
consideration. As data relating to NAV is available more frequently than any other data it is taken as the basis for
estimation.
Period of the Study: The study covered a period of 3 years from 2005 to 2008 to assess the performance of the
schemes in terms of returns.
Tools & Methods: Beta: It describes the relationship between the stock’s return and the index returns. The beta value
may be interpreted in the following manner, ‘a 1% change in Nifty index would cause a 1.042% (beta) change in the
particular fund. It is the slope of characteristic regression line. It signifies that a fund with a beta of more than 1 will
rise more than the market and also fall more than market. Thus, if one likes to beat the market on the upside, it is
best to invest in a high-beta fund. But one must keep in mind that such a fund will also fall more than the market on
the way down. So, over an entire cycle, returns may not be much higher than the market. Similarly, a low-beta fund
will rise less than the market on the way up and lose less on the way down. When safety of investment is important,
a fund with a beta of less than one is a better option. Such a fund may not gain more than the market on the upside,
but it will protect returns better when market falls.
Where,
β = nΣxy – (Σx)( Σy) n – Number of days
nΣx2 – (Σx)2 x – Returns of the index
y – Returns of the fund
Alpha: It indicates that the stock return is independent of the market return. If the portfolio is well diversified, the
alpha value would turn out to be zero. The intercept of characteristic regression line is alpha. Alpha shows whether
the particular fund has produced returns justifying the risks it is taking by comparing its actual return to the one
'predicted' by the beta. Alpha can be seen as a measure of a fund manager's performance. This is what the fund has
earned over and above (or under) what it was expected to earn. Thus, this is the value added (or subtracted) by the
fund manager's investment decisions. This can be clearly seen from the fact that Index funds always have—or
should have, if they track their index perfectly—an alpha of zero. Thus, a passive fund has an alpha of zero and an
active fund's alpha is a measure of what the fund manager's activity has contributed to the fund's returns. On the
whole a positive alpha implies that a fund has performed better than expected, given its level of risk. So higher the
alpha better are returns.
α = y - βx
Where,
y – Mean value of returns of the fund
x – Mean value of returns of the index
β – Beta value of the fund
Correlation Co-efficient: It measures the nature and the extent of relationship between the stock market index
returns and a fund’s return in a particular period.
r= nΣxy – (Σx)( Σy) .

√nΣx2 – (Σx)2 √nΣy2 – (Σy)2

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Co-efficient of Determination: The square of correlation of co-efficient is the co-efficient of determination. It gives
the percentage variation in the stock’s return explained by the variation in the market return.
Treynor’s Ratio: The Treynor Ratio, named after Jack L. Treynor, one of the fathers of modern portfolio theory,
helps analyze returns in relation to the market risk of the fund. The Ratio, also known as the reward-to-volatility
ratio, provides a measure of performance adjusted for market risk. Higher the Treynor Ratio, the better the
performance under analysis. It is a ratio that helps the portfolio managers to determine the excess return generated as
the difference between the fund’s return and the risk free return. The excess return to beta ratio measures the
additional return on a fund per unit of systematic risk. Ranking of the funds is done based on this ratio.

Where, R – Return on investment. T = R – RFR

RFR – Risk Free Return β

Sharpe’s Ratio: Sharpe’s ratio is similar to treynor’s ratio the difference being, instead of beta here we take standard
deviation. As standard deviation represents the total risk experienced by the fund, it reflects the returns generated by
undertaking all possible risks. A higher Sharpe’s ratio is better as it represents a higher return generated per unit of
risk.
S = R – RFR
Return σ

A return is a measurement of how much an investment has increased or decreased in value over any given time
period. In particular, an annual return is the percentage by which it increased or decreased over any twelve-month
period.
Formula: (P1-p0)/P0
Mean: The mean average is a quick mathematical measure of a number of data points as a unit. It will tell you
important information about a group of data in your business. It is almost a summary of all the data in your dataset.
Mean: Mean = Sum of X values / N (Number of values).
Standard Deviation: The degree that a single value in a group of values varies from the mean (average) of the
distribution. Standard deviation is a statistical measure that uses past performance of an investment or portfolio to
determine the potential range of future performance and assess the probability of that performance. Standard
deviations can be calculated for an individual security or for the entire portfolio

Variance: Variance: Variance = s2

Jensen Ratio (JR): A risk-adjusted performance measure that represents the average return on a portfolio over and
above that predicted by the capital asset pricing model (CAPM), given the portfolio's beta and the average market
return. This is the portfolio's alpha. In fact, the concept is sometimes referred to as "Jensen's alpha."
α
Jensen Ratio (JR) = -----------------
β
Data Processing and Analysis: Data is processed with the help of Microsoft Excel and SPSS (Statistical Package for
Social Sciences). The NAVs for six months of all the funds and their benchmarks were entered into the spreadsheet
and the above mentioned tools were used to get the final values for the comparative analysis and interpretations.
Limitations of the Study:
The present study has the following limitations
 The study has been restricted to only a few schemes.
 The data is analyzed for a limited period of 3 years.
3. Results and Analysis
Asset allocation strategies of various select mutual fund schemes are presented in the following tables.
Equity Funds:
Sundaram BNP Paribas Growth Fund (G):
Investment Investment Plan Growth
Information Asset Size (Rs cr) 26.05 (Jul-31-2008)
Fund type Open-Ended Min .Investment Rs 5,000

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Last Dividend N.A. Debt 73.87

Bonus N.A. Mutual Funds N.A
Money Market 0.00
Asset Allocation Percentage held Cash / Call 26.13
Equity 0.00
SCHEME PERFORMANCE:
Asset Allocation(% ) Sundaram BNP
1month 3month 6month 1year
Paribas Growth fund
-0.05635 0.06 0.362075 -0.16089

0%
26%
Equity
Debt
0% Mutual Funds
Money Market
Cash / Call
74%

Birla Advantage Fund – Growth

Investment information
Fund Type Open- Ended
Investment Plan Growth Asset Allocation (%) Percentage held
Asset Size (RS cr) 433.61(May-30-2008) Equity 84.89
Min .Investment Rs. 5,000 Debt 0.00
Last Dividend N.A Money Market 0.00
Bonus N.A Cash / Call 15.10

Asset Allocation (%) of Birla Advantage Fund (G)

1 month 3 months 6 months 1 yrs*
-0.00779 0.352075 -0.02593 -0.15439
15%

Equity
Cash / Call

85%

HDFC Equity Fund – Growth

Investment Information Asset Allocation (%) Percentage held
Fund Type Open- Ended Equity 98.51
Investment Plan Growth Debt 0.00
Asset Size(Rs cr) 4,030.92(May-30-2008) Mutual fund N.A
Min. Investment Rs.5,000 Mutual Market 1.85
Last Dividend N.A Cash / Call -0.36
Bonus N.A

1 month 3 months 6 months 1 yrs*

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Asset Allocation (% ) of HDFC Equity Fund (G) 0.080941 0.151203 0.136557 -0.08444

2% 0%

Equity
Money Market
Cash / Call

98%

ICICI Prudential Dynamic Plan – Growth

Investment Information Asset Allocation(%) Percentage held
Fund Type Open-Ended Equity 85.24
Investment Type Growth Debt 3.78
Investment Plan 1,783.12(May-30-2008) Mutual Fund N.A
Asset Size (Rs cr) Rs. 5,000 Money Market 0.00
Last Dividend N.A Cash / Call 11.01
Bonus N.A

Asset Allocation (% ) of ICICI Pru Dynamic Plan (G)

1 month 3 months 6 months 1 yrs*

11%
4% 0.091597 0.119449 0.082544 -0.06898
Equity
Debt
Cash / Call

85%

(EQUITY FUND ONE MONTH COMPARISON OF RETURN)

Company Name and Fund Absolute return Mean return Standard Deviation Variance
0.00285 (0.28%) 0.011736
HDFC Equity Fund Growth 0.080941 0.000137733
-0.31817 (-31.81%) 1.102299 1.215063085
Birla Advantage Fund Growth -0.00779
ICICI Prudential Dynamic Plan 0.003216 (0.32%) 0.012989
0.091597 0.000168714
Growth
-0.00249(0.25%) 0.018029
Sundaram BNP Paribas Growth -0.05635 0.000325

ONE MONTH OF EQUITY FUND

SIX MONTH OF EQUITY FUND
0.15
0.6
0.1 Sundaram BNP 0.4 Sundaram BNP
paribas-growth 0.2 paribas-growth
0.05
ICICI Purdential 0 ICICI Purdential
VALUE
VALUE

0 Dynamic plan-growth -0.2 1 21 41 61 81 101 121 141 161 181 Dynamic plan-growth
-0.4 Birla Advantage fund -
-0.05 1 4 7 10 13 16 19 22 25 28 Birla Advantage fund
growth
-growth -0.6
-0.1 -0.8 HDFC Equity Fund -
HDFC Equity Fund - Growth
-1
-0.15 Growth
-1.2
-0.2 TIME PERIOD OF NAV
TIME PERIOD OF NAV

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FINDINGS: From the above table we can see that ICICI Prudential Dynamic Plan - Growth fund is giving the
highest absolute return over 1 months (0.091597) while it is highest in term of fluctuation of returns
(variance=0.000168714). HDFC Equity Fund - Growth is having the minimum fluctuation in return generated
(variance=0. 0.000137733).
SUGGESTIONS:
a) For investor with high risk appetite go for: Sundaram BNP Paribas - Growth
b) For investor with moderate risk appetite: Go for ICICI Prudential Dynamic Plan - Growth
c) For investor with low risk appetite: HDFC Equity Fund – Growth
(EQUITY FUND SIX MONTHS COMPARISON OF RETURN)
Company Name and Fund Absolute return Mean return Standard Deviation Variance
HDFC Equity Fund - Growth 0.136557 0.000897 0.018978 0.0003601
Birla Advantage Fund - Growth -0.02593 0.01695 1.020131 1.0406672

ICICI Prudential Dynamic Plan - 0.082544 0.000628 0.019227 0.0003696

Growth IC
Sundaram BNP Paribas Growth 0.362075 0.001909 0.024218 0.000586

FINDINGS: From the above table we can see that Sundaram BNP Paribas Growth fund is giving the highest
absolute return over 6 months (0.362075) while it is highest in term of fluctuation of returns (variance=0.000586).
HDFC Equity Fund - Growth is also having the less fluctuation in return generated (variance=0.0003601).
SUGGESTIONS:
a) For investor with high risk appetite go for: Birla Advantage Fund - Growth
b) For investor with moderate risk appetite: Go for HDFC Equity Fund – Growth
c) For investor with low risk appetite: Sundaram BNP Paribas Growth
Sundaram BNP Paribas fund (Growth)
DATE S&P RETURN NAV RETURN X2 Y2 XY (Y-Y1) (Y-Y)2
CNX (X) (Y)
NIFTY
1-jun-05 2087.55 34.5129
3-Oct-05 2630.05 25.9874 43.6832 26.57064 675.345 705.9992 690.502 15.62798424 244.2339

1-Feb-06 2971.55 12.98454 51.9849 19.00433 168.5984 361.1646 246.7626 8.061670825 64.99054

1-Jun-06 2962.25 -0.31297 53.2689 2.469948 -0.097949 6.100643 -0.77301 - 71.78685

8.472712356

3-Oct-06 3569.6 20.503 61.1365 14.76959 420.3728 218.1409 302.8209 3.826933155 14.64542

1-Feb-07 4137.2 15.90094 70.6645 15.5848 252.8399 242.8859 247.813 4.642137592 21.54944

1-Jun-07 4297.05 3.863724 75.7267 7.16371 14.92837 51.31874 27.6786 -3..7789501 14.28046

1-Oct-07 5068.95 17.96349 88.6473 17.06215 322.6869 291.1168 306.4956 6.119485488 37.4481

1-Feb-08 5317.25 4.89845 94.3535 6.43697 23.99482 41.43458 31.53118 -4.505690 20.30125

2-Jun-08 4739.6 -10.8637 84.3726 -10.5782 118.0199 111.8983 114.9184 -1.5208581 463.1473

TOTAL 90.92488 98.48394 1996.884 2030.06 1967.749 3.72651E-09 952.3833

CALCULATION OF ABOVE TABLE

Beta Alfa Standard Coefficient of Sharpe Treynor Jensen
Deviation determination ratio (SR) Ratio (TR Ratio (JR)
0.9022 1.82595 10.2869 0.9599 8.65022 98.62995 2.0261
Note (I have taken RF benchmark 9.5 the fixed deposit of bank interest, the days duration is 3 year)

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Birla Advantage Fund – Growth

DATE S&P RETURN NAV RETURN X2 Y2 XY (Y-Y1) (Y-Y)2
CNX (X) (Y)
NIFTY
1-jun-05 2087.55 66.86
3-Oct-05 2630.05 25.9874 26.57064
84.34 26.14418 683.5182 679.4194 16.0414177 257.3271
1-Feb-06 2971.55 12.98454 19.00433
98.4 16.67062 277.9095 216.4604 6.56785892 43.13677
1-Jun-06 2962.25 -0.31297 2.469948
96.08 -2.35772 5.55886 0.737892 -12.4604836 155.2637
3-Oct-06 3569.6 20.503 14.76959
111.36 15.90341 252.9186 326.0676 5.80065382 33.64758
1-Feb-07 4137.2 15.90094 15.5848
129.21 16.02909 256.9319 254.8777 5.92633483 35.12144
1-Jun-07 4297.05 3.863724 7.16371
132.97 2.909991 8.46805 11.2434 -7.19276851 51.73592
1-Oct-07 5068.95 17.96349 17.06215
153.95 15.778 248.9451 283.4278 5.67523504 32.20829
1-Feb-08 5317.25 4.89845 6.43697
159.08 3.332251 11.10389 16.32286 -6.77050927 45.8398
2-Jun-08 4739.6 -10.8637 -10.5782
139.97 -12.01 144.3079 130.5037 -22.1155837 489.099
Total 0.92488 82.397 98.48394 1889.662 1919.061 82.3969994 1143.38

CALCULATION OF ABOVE TABLE

Beta Alfa Standard Coefficient of Sharpe ratio Treynor Jensen Ratio
Deviation determination (SR) Ratio (TR (JR)
1.008 -1.025 11.2713 0.9392 4.78116 53.4623 -1.0168
Note (I have taken RF benchmark 9.5 the fixed deposit of bank interest, the days duration is 3 year)

HDFC Equity Fund – Growth

DATE S&P RETUR NAV RETURN X2 Y2 XY (Y-Y1) (Y-Y)2
CNX N (X) (Y)
NIFTY
1-jun-05 2087.55 71.78
3-Oct-05 2630.05 25.9874 26.57064
94.324 31.40708 986.4045 816.1883 21.304313 453.8738
1-Feb-06 2971.55 12.98454 19.00433
112.483 19.25173 370.629 249.9749 9.14896809 83.70362
1-Jun-06 2962.25 -0.31297 2.469948
112.327 -0.13869 0.019234 0.043405 -10.2414476 104.8872
3-Oct-06 3569.6 20.503 14.76959
132.634 18.07847 326.831 370.6627 7.97570733 63.61191
1-Feb-07 4137.2 15.90094 15.5848
152.415 14.91397 222.4266 237.1462 4.81121379 23.14778
1-Jun-07 4297.05 3.863724 7.16371
161.903 6.225109 38.75198 24.0521 -3.87765092 15.03618
1-Oct-07 5068.95 17.96349 17.06215
184.165 13.75021 189.0682 247.0017 3.64744846 13.30388
1-Feb-08 5317.25 4.89845 6.43697
191.075 3.75207 14.07803 18.37933 -6.35068985 40.33126
2-Jun-08 4739.6 -10.8637 -10.5782
167.237 -12.4757 155.6438 135.5326 -22.5784894 509.7882
TOTAL 0.92488 94.76422 98.4839 2303.85 2098.98 94.764217 1307.68

CALCULATION OF ABOVE TABLE

Beta Alfa Standard Coefficient of Sharpe ratio Treynor Jensen Ratio
Deviation determination (SR) Ratio (TR (JR)

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1.059 -0.16 12.00 0.96700 5.522 62.5722 -0.152

Note (I have taken RF benchmark 9.5 the fixed deposit of bank interest, the days duration is 3 year)

ICICI Prudential Dynamic Plan – Growth

DATE S&P RETURN NAV RETURN X2 Y2 XY (Y-Y1) (Y-Y)2
CNX (X) (Y)
NIFTY
1-jun-05 2087.55 28.7764
3-Oct-05 2630.05 25.9874 26.57064
38.8002 34.83341 1213.366 905.2297 24.73064 611.6046
1-Feb-06 2971.55 12.98454 19.00433
44.1348 13.7489 189.0322 178.5232 3.646138 13.29432
1-Jun-06 2962.25 -0.31297 2.469948
48.7833 10.5325 110.9337 -3.29634 0.429745 0.184681
3-Oct-06 3569.6 20.503 14.76959
55.6132 14.00049 196.0137 287.0519 3.897728 15.19228
1-Feb-07 4137.2 15.90094 15.5848
68.1413 22.52721 507.475 358.2038 12.42445 154.3669
1-Jun-07 4297.05 3.863724 7.16371
70.0892 2.858619 8.171701 11.04491 -7.24414 52.47758
1-Oct-07 5068.95 17.96349 17.06215
77.9361 11.19559 125.3413 201.1118 1.092831 1.194279
1-Feb-08 5317.25 4.89845 6.43697
81.6861 4.811634 23.15182 23.56955 -5.29113 27.99601
2-Jun-08 4739.6 -10.8637 -10.5782
74.5291 -8.76159 76.76543 95.18326 -18.8643 355.8636
TOTAL 90.92488 105.7468 98.48394 2450.251 2056.622 14.82191 1232.174

CALCULATION OF ABOVE TABLE

Beta Alfa Standard Coefficient of Sharpe Treynor Jensen
Deviation determination ratio (SR) Ratio (TR Ratio (JR)
0.9173 2.482 11.7 0.87065 6.6017 84.203 2.705
Note (I have taken RF benchmark 9.5 the fixed deposit of bank interest, the days duration is 3 year)

Findings and Suggestions:

Company’s Beta Alfa Standard Coefficient of Sharpe Treynor Jensen
Name Deviation determination ratio Ratio (TR Ratio
(SR) (JR)
ICICI Prudential 0.9173 2.482 11.7 0.87065 6.6017 84.203 2.705
dynamic plan-
Growth
HDFC equity fund- 1.059 -0.16 12.00 0.96700 5.522 62.572 -0.152
Growth
Birla advantage 1.008 -1.025 11.2713 0.9392 4.78116 53.462 -1.0168
fund-Growth
Sundaram BNP 0.9022 1.82595 10.2869 0.9599 8.65022 98.62995 2.0261
Paribas-Growth

Alpha & Beta:The above table shows that ICICI Prudential dynamic plan-Growth fund is comparatively more
volatile with a beta of , 0.9173 though compared to the market all the funds are safer to invest. And also the alpha
values of few funds are positive and few funds are negative. ICICI Prudential dynamic plan-Growth is showing an
alpha of 2.482 which suggests that the fund is well diversified and quite efficient in reducing the impact of market
risk.
Co-efficient of Determination:
All company is having positive co- efficient of determination
Sharpe’s Ratio & Treynor’s Ratio: Sharp In the above table, the Treynor’s ratio for Birla Advantage Fund -
Growth followed by ICICI Prudential Dynamic Plan - Growth and then HDFC Equity Fund - Growth. It suggests
that Birla Advantage Fund - Growth is giving highest returns over the risk free returns after taking the market risk in

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to account. On the other hand HDFC equity fund-Growth is giving the lowest returns. The sharpe’s ratio of Birla
Advantage Fund - Growth fund highest suggesting that after taking the total risk in to consideration the fund is
giving good return return over and above the risk free returns.
From the above it can be suggested that HDFC equity fund-Growth can be ruled out of investment decision
alternative. Among the other three funds Birla is giving higher returns taking lower risk as compared to Sundaram
BNP Paribas-Growth and ICICI, and HDFC which is giving lower returns.
Debt Fund.
Sundaram BNP Paribas Bond Saver (G):
Investment Information Asset Allocation(%) Percentage held
Fund Type Open-Ended Equity 0.00
Investment Plan Growth Debt 73.87
Asset Size(Rs cr) 26.05(jul-31-2008) Mutual Funds N.A.
Min. Investment Rs 5,000 Money Market 0.00
Last Dividend N.A. Cash/Call 26.13
Bonus N.A.
Asset Allocation(% ) Sundaram BNP
paribas Bond Saver(Growth)

0%
26%
Equity
Debt
0% Mutual Funds
Money Market 1 month 3 months 6 months 1 year
Cash/Call
74% -0.007171 0.005541 -0.02451 -0.06966

ICICI Prudential Blended Plan - Option B – Growth:

Investment Information
Fund Type Open-Ended
Investment Plan Growth Asset Allocation(%) Percentage held
Asset Size(Rs cr) 16.90(May-30-2008) Equity 0.00
Min .Investment Rs. 5,000 Debt 82.13
Last Dividend N.A Money Market 0.00
Bonus N.A Cash / Call 17.87

Asset Allocation (% ) of ICICI Pru Blended Plan - B

(G)

1 month 3 months 6 months 1 yrs*

18% -0.00901 -0.02317 -0.06014 -0.11939
Debt

Cash / Call

82%

HDFC High Interest Fund – Growth:

Investment Information
Fund Type Open-Ended Asset Allocation (%) Percentage held
Investment Plan Growth Equity 0.00
Asset Size (Rs cr) 42.74(May-30-2008) Debt 67.72
Min . Investment Rs,5000 Money Market 28.76
Last Dividend N.A Cash / Call 3.52
Bonus N.A

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Asset Allocation (% ) of HDFC High Interest Fund

(G)

4%
29%
Debt 1 month 3 months 6 months 1 yrs*
Money Market
Cash / Call 0.004217 0.005554 -0.04516 -0.07683
67%

Birla Bond Index Fund – Growth:

Investment Information
Fund Type Open-Ended Asset Allocation (%) Percentage held
Investment Plan Growth Equity 0.00
Asset Size(Rs cr) 0.35(May-30-2008) Debt 33.40
Min . Investment Rs.25,000 Money Market 0.00
Last Dividend N.A Cash / Call 66.60
Bonus N.A
\
Asset Allocation (% ) of Birla Bond Index Fund -
Plan A

33%

Debt 1 month 3 months 6 months 1 yrs*

Cash / Call

67% -0.00418 -0.0157 -0.03895 -0.07688

(DEBT FUND ONE MONTH COMPARISON OF RETURN)

Company Name and Fund Absolute Mean return Standard deviation Variance
return
Birla Bond Index Fund – Growth -0.00418 -0.00015 0.000256 0.000000065
HDFC High Interest Fund – Growth 0.004217 0.000151 0.000831 0.00000069
ICICI Prudential Blended Plan - -0.00901 -0.00032 0.000202 0.00000004
Option B – Growth
Sundaram BNP paribas bond saver- -0.007171 -0.00021 0.001614 0.00000260
Growth

ONE MONTH DEBT FUND SIX MONTH OF DEBT FUND

0.008 0.01
Birla bond index fund- Birla bond index fund
growth 0.008
0.006
0.006
0.004
HDFC high interest 0.004 HDFC High Interest
VALUE
VALUE

0.002 fund -growth 0.002 Fund - Growth

0 0
ICICI prudential ICICI Prudential
1 4 7 10 13 16 19 22 25 28 31 -0.002 1 22 43 64 85 106 127 148 169
-0.002 blended plan option Blended Plan - Option
B-growth -0.004 B - Growth
-0.004 -0.006
Sundaram paribas Sundaram BNP
-0.006 balance fund-growth -0.008 Paribas Bond Saver -
Growth
TIME PIREOD OF NAV TIME PERIOD OF NAV

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FINDINGS: From the above table we can see that HDFC High Interest Fund – Growth fund is giving the highest
absolute return over 1 months (0.004217) while it is highest in term of fluctuation of returns (variance=0.00000069).
ICICI Prudential Blended Plan - Option B - Growth is having the minimum fluctuation in return generated
(variance=0.00000004).
SUGGESTIONS: a) For investor with high risk appetite go for Sundaram BNP Paribas bond saver-Growth b)For
investor with moderate risk appetite: Go for HDFC High Interest Fund - Growth c)For investor with low risk
appetite: ICICI Prudential Blended Plan - Option B – Growth
(DEBT FUND SIX MONTHS COMPARISON OF RETURN)
Company Name and Fund Absolute return Mean Standard Deviation Variance

Birla Bond Index Fund – Growth -0.03895 -0.00022 0.000366 0.000000133

HDFC High Interest Fund – Growth -0.04516 -0.00026 0.001262 0.000001592
ICICI Prudential Blended Plan - Option B -0.06014 -0.00035 0.000832 0,000000692
– Growth
Sundaram BNP Paribas balance fund -0.02451 -0.00013 0.001223 0.0000015
Growth

FINDINGS: From the above table we can see that Sundaram BNP Paribas balance fund-Growth is giving the
highest absolute return over 1 months (-0.02451) while it is highest in term of fluctuation of returns
(variance=0.0000015). Birla Bond Index Fund - Growth is having the minimum fluctuation in return generated
(variance=0.000000133).
SUGGESTIONS: a)For investor with high risk appetite go for HDFC High Interest Fund – Growth
b)For investor with moderate risk appetite: Go for ICICI Prudential Blended Plan - Option B – Growth
c)For investor with low risk appetite: Sundaram BNP Paribas balance fund-Growth .
Sundaram BNP Paribas Bond Saver (G):
DATE S&P CNX RETURNS NAV RETURNS X2 Y2 XY (Y-Y1) (Y-Y1)2
NIFTY (X) (Y)
1-jun-05 2087.55 34.5129
3-Oct-05 2630.05 25.9874 43.6832 26.57064 675.345 1.505626 31.88757 -.353162308 0.124724
1-Feb-06 2971.55 12.98454 51.9849 19.00433 168.5984 0.322985 7.379349 -.011884046 1.023909
1-Jun-06 2962.2 -0.31297 53.268 2.469948 -0.09949 0.41693 -0.20208 -0.9349701 0.87328
3-Oct-06 3569.6 20.503 61.1365 14.76959 420.3728 3.385804 37.72665 0.259853393 0.067524
1-Feb-07 4137.2 15.90094 70.6645 15.5848 252.8399 1.859393 21.68246 -.21660618 0.046918
1-Jun-07 4297.05 3.863724 75.7267 7.16371 14.92837 2.222212 5.759686 -.08949351 0.008009
1-Oct-07 5068.95 17.96349 88.6473 17.06215 322.6869 4.148884 36.58948 0.456679074 0.208556

1-Feb-08 5317.25 4.89845 94.3535 6.43697 23.99482 17.35638 20.40743 2.58589722 6.686864
2-Jun-08 4739.6 -10.8637 84.3726 -10.5782 118.0199 0.780423 -9.59716 -0.6967866 0.48551
TOTAL 90.92488 98.48394 1996.884 31.99864 151.6334 -3.75638 9.525301

CALCULATION OF ABOVE TABLE:

Beta Alfa Standard Coefficient of Sharpe Treynor Jensen
Deviation determination ratio (SR) Ratio (TR Ratio (JR)
-0.78209 19.5008 1.02877 -0.794198 86.4955 -113.7771 -24.9342
Note (I have taken RF benchmark 9.5 the fixed deposit of bank interest, the days duration is 3 year)

Birla Bond Index Fund – Growth:

DATE S&P RETURNS NAV RETURNS X2 Y2 XY (Y-Y1) (Y-Y1)2
CNX (X) (Y)
NIFTY
1-jun-05 2087.55
10.7207
3-Oct-05 2630.05 25.9874 10.9312 1.963491 675.345 3.855298 51.02603 -8.13927 66.24776
1-Feb-06 2971.55 12.98454 11.0239 0.848031 168.5984 0.719157 11.0113 -9.25473 85.65

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1-Jun-06 2962.25 -0.31297 11.1885 1.49319 -0.097949 2.229406 -0.4673 -8.60964 74.12591
3-Oct-06 3569.6 20.503 11.3934 1.831345 420.3728 3.353823 37.54805 -8.27142 68.41631
1-Feb-07 4137.2 15.90094 252.8399
11.5874 1.70274 2.899324 27.07517 -8.40002 70.56033
1-Jun-07 4297.05 3.863724 11.7673 1.552548 14.92837 2.410407 5.998619 -8.55021 73.10612
1-Oct-07 5068.95 17.96349 12.0175 2.126231 322.6869 4.520859 38.19453 -7.97653 63.62501
1-Feb-08 5317.25 4.89845 12.2912 2.277512 23.99482 5.187061 11.15628 -7.82525 61.23451
2-Jun-08 4739.6 -10.8637 12.4884 1.6044 118.0199 2.574099 -17.4297 -8.49836 72.22212
Total 90.92488 15.39942 1996.884 27.74943 164.113 75.5254 635.1881

CALCULATION OF ABOVE TABLE

Beta Alfa Standard Coefficient of Sharpe ratio Treynor Jensen Ratio
Deviation determination (SR) Ratio (TR (JR)
0.00792 1.631 8.4009 0.220977 -1.559 -1654.1 10.10

Note (I have taken RF benchmark 9.5 the fixed deposit of bank interest, the days duration is 3 year)

HDFC High Interest Fund – Growth:

DATE S&P RETURNS NAV RETURNS X2 Y2 XY (Y-Y1) (Y-Y1)2
CNX (X) (Y)
NIFTY
1-jun-05 2087.55 23.3
3-Oct-05 2630.05 25.9874 23.6829 1.643348 675.345 2.700591 24.34405 -8.45942 71.56173
1-Feb-06 2971.55 12.98454 23.7776 0.399867 168.5984 0.159893 12.58468 -9.70289 94.14614
1-Jun-06 2962.25 -0.31297 23.9594 0.764585 -0.097949 0.58459 -1.07755 -9.33817 87.20151
3-Oct-06 3569.6 20.503 24.3507 1.633179 420.3728 2.667275 18.86982 -8.46958 71.73379
1-Feb-07 4137.2 15.90094 24.4876 0.562201 252.8399 0.316071 15.33874 -9.54056 91.02226
1-Jun-07 4297.05 3.863724 24.5243 0.149872 14.92837 0.022462 3.713852 -9.95289 99.05998
1-Oct-07 5068.95 17.96349 25.3735 3.462688 322.6869 11.99021 14.5008 -6.64007 44.09056
1-Feb-08 5317.25 4.89845 26.6556 5.05291 23.99482 25.53189 -0.15446 -5.04985 25.50099
2-Jun-08 4739.6 -10.8637 26.6776 0.082534 118.0199 0.006812 -10.9462 -10.0202 100.4049
TOTAL 90.92488 13.75118 1996.884 43.9798 77.17369 -77.1737 684.7219

CALCULATION OF ABOVE TABLE

Beta Alfa Standard Coefficient of Sharpe ratio Treynor Jensen
Deviation determination (SR) Ratio (TR Ratio (JR)
-0.0519 2.051 8.722 -0.3572 -1.757 295.2 -39.52

Note (I have taken RF benchmark 9.5 the fixed deposit of bank interest, the days duration is 3 year)

ICICI Prudential Blended Plan - Option B – Growth:

DATE S&P RETURNS NAV RETURNS X2 Y2 XY (Y-Y1) (Y-Y1)2
CNX (X) (Y)
NIFTY
1-jun-05 2087.55 10.0197
3-Oct-05 2630.05 25.9874 10.212 1.919219 675.345 3.683402 49.87552 -8.18355 66.97041
1-Feb-06 2971.55 12.98454 10.3942 1.784175 168.5984 3.183282 23.16671 -8.31858 69.19885
1-Jun-06 2962.25 -0.31297 10.6886 2.832349 -0.097949 8.0222 -0.88643 -7.27041 52.85888
3-Oct-06 3569.6 20.503 10.8771 1.763561 420.3728 3.110148 36.15829 -8.3392 69.54224
1-Feb-07 4137.2 15.90094 11.1269 2.296568 252.8399 5.274225 36.51759 -7.80619 60.93663
1-Jun-07 4297.05 3.863724 11.414 2.580233 14.92837 6.657605 9.969311 -7.52253 56.58841
1-Oct-07 5068.95 17.96349 11.8158 3.520238 322.6869 12.39208 63.23575 -6.58252 43.32959
1-Feb-08 5317.25 4.89845 12.2543 3.711133 23.99482 13.7725 18.1788 -6.39163 40.8529
2-Jun-08 4739.6 -10.8637 12.5064 2.057237 118.0199 4.232224 -22.3492 -8.04552 64.73044
TOTAL 90.92488 22.46471 1996.884 60.32767 213.8663 -68.460 525.0083

CALCULATION OF ABOVE TABLE

Beta Alfa Standard Coefficient of Sharpe ratio Treynor Jensen Ratio

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Deviation determination (SR) Ratio (TR (JR)

-0.0129 2.626 7.6376 -0.20696 -0.790 -465.66 -202.62
Note (I have taken RF benchmark 9.5 the fixed deposit of bank interest, the days duration is 3 year)

Findings and Suggestions:

Company’s Beta Alfa Standard Coefficient Sharpe Treynor Jensen
Name Deviation of ratio (SR) Ratio (TR Ratio (JR)
determinati
on
ICICI Prudential -0.0129 2.626 7.6376 -0.20696 -0.790 -465.66 -202.62
Blended plan option-
B-Growth
HDFC high interest -0.0519 2.051 8.722 -0.3572 -1.757 295.2 -39.52
fund-Growth
Birla Bond index 0.00792 1.631 8.4009 0.220977 -1.559 -1654.1 10.10
fund-Growth
Sundaram BNP -0.78209 19.5008 1.02877 -0.794198 86.4955 -113.7771 -24.9342
Paribas Bond Saver-
Growth

4. CONCLUSIONS
In this paper the comparative analysis mutual funds scheme has presented. Alpha & Beta deploys HDFC Balanced
Fund - Growth fund is comparatively more volatile with a beta of 1.3386, though compared to the market all the
funds are safer to invest and they are having less volatility also. And also the alpha values of all the funds are
negative expected Sundaram BNP Paribas Balance Fund which shows that the funds are giving returns not justifying
the risk taken. Sundaram BNP Paribas Balance Fund is showing an alpha of 0.9040 which suggests that the fund is
well diversified and quite efficient in reducing the impact of market risk. Co-efficient of Determination determines
that all company is having positive co- efficient of determination. The Sharpe’s Ratio and Treynor’s Ratio reveals
that the Treynor’s ratio for Sundaram BNP Paribas Balance Fund is the highest followed by HDFC and then BIRLA.
It suggests that Sundaram BNP Paribas Balance Fund is giving highest returns over the risk free returns after taking
the market risk in to account. On the other hand ICICI Prudential Balanced - Growth fund is giving the lowest
returns. The Sharpe’s ratio of Sundaram BNP Paribas Balance Fund is highest suggesting that after taking the total
risk in to consideration the fund is giving good return over and above the risk free returns. From the above it can be
suggested that Sundaram BNP Paribas Balance Fund can be ruled out of investment decision alternative. Among the
other three funds.

5. REFERENCES

[1]. Agrawal, D. (2006). Measuring Performance of Indian Mutual Funds. Prabandhan , 179-185.
[2]. Guha, S. (2008). Performance of Indian Equity Mutual Funds vis-a-vis their Style Benchmarks. The ICFAI
Journal of Applied Finance , 49-81.
[3]. [Link], S. P. (2005). Characteristics & performance evaluation of selected Mutual Funds in India
9th Indian Institute of Capital Market Conference.
[4]. www researchersworld com vol.3 issue.3/[Link]
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