Performance analysis of selected mutual fund schemes through various statistical tools like alpha,beta,treynor ratio and sharpe ratio

1. Presented By:
Gagandeep Kumar
CUN120550014

3. 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.

4. 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

5. 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

6. 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.

7. 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 India’s 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.

8. 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.

9. Mutual Fund Process

10. 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

11. Performance Analysis of selected Mutual
fund schemes

12. 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.

13. 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

14. 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,

15. Research Methodology
Return
Risk free rate of return
Beta
Sharpe Ratio
Treynor Ratio
Jensen Alpha

16. 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

17. PERFORMANCE ANALYSIS BASED ON
STATISTICS PARAMETERS

18. Table 1
EQUITY DIVERSIFIED SCHEMES
Name of Scheme Alpha (α) Beta (β)
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

19. Table 2
Debt Schemes Analysis
Name of Scheme Alpha (α ) Beta (β)
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

20. PERFORMANCE ANALYSIS BASED ON
RATIO ANALYSIS AND RANKING

21. 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

22. 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

23. PERFORMANCE ANALYSIS BASED ON
RATIO ANALYSIS AND RANKING

24. 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

25. 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

26. PERFORMANCE ANALYSIS AND
COMPARISON BETWEEN SCHEMES
AND MARKET TREYNOR RATIO

27. 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

28. 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

29. PERFORMANCE ANALYSIS AND
COMPARISON BETWEEN SCHEMES
AND MARKET SHARPE RATIO

30. 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 -0.323090317 0.851858
Birla Sun Life MIDCAP Fund -Growth
Option
-0.912223604 0.851858
Birla Sun Life Top 100 Fund -Growth
Option
0.34565195 0.851858
Reliance Top 200 Fund-Growth Option 0.221700654 0.851858

31. Table 10
DEBT SCHEMES ANALYSIS
Name of Scheme Sharpe Ratio Market Sharpe
Ratio
Reliance Top 200 Fund- Dividend
Option
-1.119377322 0.851858
Birla Sun Life Top 100 Fund –
Dividend Option
-1.524831813 0.851858
HDFC Top 200 Fund - Dividend
Option
-1.409265691 0.851858
HDFC Top MIDCAP Fund - Dividend
Option
-1.38445 0.851858
Birla Sun Life MIDCAP Fund -
Dividend Option
-1.98283 0.851858

32. CONCLUSION
This study creates awareness among the investor community thereby before
Choosing the mutual fund schemes,the investor should undergo fact sheet
thoroughly and he has to choose the best one.
Among the schemes that were analysed,Out of Equity Schemes HDFC TOP
200(G) has topped the list with the good returns and a beta value of .97 which
shows the higher risk as well as higher returns too.Scheme has ranked 2 in
sharpe ratio and 5th in treynor ratio.So this scheme is the preferred and
recommended one for the investors based on the past performance analysis
Using treynors,sharpe and regression statistics.
Even alpha value shows the 20% much return as compare to the expected
return. Out of debt schemes,again HDFC TOP 200(D) has outperformed last
year with the highest beta Value among the other schemes.With the 3 rank in
the treynor ratio and 3 in sharpe ratio the scheme have still outperformed the
market index.With the beta value .47 its is less risky as compare to other
schemes over the period.

33. Thank You