Risk Return Analysis of Equity Mutual Funds

Risk Return Analysis of Indian Mutual
Funds (Equity Schemes only)
Subject: Financial Management
By,
Pritesh Keniya
Roll no: 12-15-26
Stream: MFM
INDEX
1. Introduction
1.1 What is Mutual Fund?
1.2 Risks
1.3 Returns
1.4 Indian Mutual Fund Industry
2. Current Data
2.1 Market Analysis for Mutual Funds
2.2 Snapshot of 20 Mutual Fund Schemes
1.1 What are “Mutual Funds”?
The phrase “Mutual Funds” if analyzed refers to funds that are raised and invested
mutually, i.e. on behalf of everyone participating in the scheme. A mutual fund is a
form of collective investment that pools money from investors and invests the money
in stocks, bonds, short-term money-market instruments, and/or other securities.
In common terms, a mutual fund is a portfolio of stocks, bonds, or other securities

that is collectively owned by hundreds or thousands of investors and managed by a
professional investment company. The unit holders are people who have similar
investment goals. Each fund has specific investment criteria, which are spelt out in its
prospectus, the official booklet that describes the mutual fund. Investors then know
what they are getting and can match their objective to that of a fund. The pooled
money has more buying power than one investor alone, so that a fund can own
hundreds of different securities. Thus, its success is not dependent on how just one
or two companies perform but on performance of several stocks which fund is
holding.
Pool their savings
Investors Mutual Funds
Passed to Invest in
Returns Securities
Generate
The money thus collected is then invested in capital market instruments such
as shares, debentures and other securities. The income earned through these
investments and capital appreciation realized is shared by its unit holders in
proportion to the number of units owned by them. Thus a Mutual Fund is the most
suitable investment for the common man as it offers an opportunity to invest in a
diversified, professionally managed basket of securities at a relatively low cost.
When we talk about all these, one hard fact is about risks that are faced by the
Mutual Fund investors. Whenever we see any Mutual Fund offer, there are few
statements inevitably found along with that, which is commonly known as "Disclaimer
Clause of the Mutual Fund".
1.2 Risks
Every investment entails risk. Mutual funds too are not risk free investments. Even
funds investing in government bonds (sovereign paper) are susceptible to some kind
of risk. Before investing in mutual funds one must completely understand the risk
associated with the particular scheme.
Risk is a measure of the possibility that the investor will not receive an expected
return on his investment. Generally risk and reward move hand in hand. The greater
the risk that an investment may lose money, the greater is its potential for providing
a substantial return.
Following are the common types of risk associated with the Mutual Funds:
Market risk
Market risk exposes one to a potential loss of principal. In all likelihood the market
value of a stock will fluctuate based on factors such as developments affecting the
company's financial status, earnings of the company or impact of economic slowdown
on the company. Likewise, debt funds too are subject to market risk. Prices of bonds
and government securities fluctuate with change in interest rates.
One can minimise market risk by diversifying among a variety of instruments rather
than investing your money in one or two stocks. Diversification helps minimise risks.
Thus, when one asset class is adversely affected by market or other conditions,
another class may be less affected. Because mutual funds invest in a lot of
companies, they are the best way to diversify.
Interest Rate Risk

The risk that the value of a fixed income security will drop as interest rates rise.
Government security prices are inversely related to interest rates. If interest rates
decline then the prices of securities increase and vice versa.
This risk cannot be avoided.
Inflation risk
Sometimes referred to as “loss of purchasing power”. Whenever inflation rises
forward faster than the earnings on your investment, you run the risk that you will
actually be able to buy less, not more. Inflation risk also occurs when prices rise
faster than your returns.
Business Risk
The risk that a company issuing a security may not be financially sound due to factors
like poor management, low product demand, or huge operating expenses. Such
situations can result in a decline in the security's value.
Since mutual funds invest in a variety of companies, the effect of such a risk spreads
out.
Credit risk
The risk that an issuer will default on a fixed income security by failing to pay interest
or principal when due. Most of the bond instruments are rated by rating agencies.
The higher the rating given to the bond, the higher is the credit quality implying low
credit risk and vice versa.
This risk can be limited by investing in mutual funds having a high exposure to
quality paper. Rating of AA/AAA denotes high credit quality.
Manager Risk
This risk arises from the possibility that an actively managed mutual fund's
investment adviser will fail to execute the fund's investment strategy effectively,
resulting in the failure of the sated objectives.
Industry Risk
This risk arises from the possibility that a group of stocks in a single industry will
decline in price due to developments in that industry.
Exchange risk
A number of companies generate revenues in foreign currencies and may have
investments or expenses also denominated in foreign currencies. Change rates may,
therefore, have a positive or negative impact on companies which in turn would have
an effect on the investment of the fund.
Investment risks
The sectoral fund schemes, investments will be predominantly in equities of select
companies in the particular sectors. Accordingly, the NAV of the schemes are linked
to the equity performance of such companies and may be more volatile than a more
diversified portfolio of equities.
Changes in the government policy

changes in govt. policy especially in regard to the tax benefits may impact the
business prospects of the companies leading to an impact on the investment made by
the fund.
Liquidity Risk
The risk that a mutual fund's underlying securities cannot be sold at a fair price when
the need arises. Hence marketability of a security is a very important consideration.
You can minimise liquidity risk by investing in actively traded companies. In mutual
funds, invest in an open-ended scheme as you can enter and exit at your own
convenience. Close ended funds do not give you an option to exit at your
convenience.
Timing risk
The risk of buying or selling a security at the wrong time. For example, there is the
chance that a few days after you sell a fund it will go up in value or decline in value of
a fund after you buy it.
As mentioned some of the risks stated above can be avoided through strategic
planning.
1.3 Returns
There are three primary ways that mutual funds provide returns, or increases in
value, for shareholders. These are
1. Dividends,
2. capital gains, and
3. Increase in net asset value.
Dividends
Mutual fund dividends are distributions of the earnings which a fund receives from the
stocks and bonds in its portfolio.
Those earnings are comprised of:

1. dividends the fund receives from the portfolio’s stocks
2. interest the fund receives from the portfolio’s bonds
and reduced by
1. the costs of operating the fund.
Those earnings, both dividends and interest, are then distributed to the shareholders
of the mutual fund, as mutual fund dividends.
Shareholders can choose to have their dividends:

1. credited as cash to their brokerage account
2. mailed to them in the form of a check
3. used to purchase additional mutual fund shares.
Capital Gains
Capital gains are the profits that occur when stocks or bonds are sold for more than
their acquisition price. When the portfolio manager sells fund assets at a profit, the
fund realizes a capital gain. Securities can likewise be sold for a loss.
Capital gains distribution is the process of a fund passing on net capital gains realized
in the portfolio to its shareholders. Each share of the mutual fund is entitled to an
equal portion of the capital gains being distributed.
Shareholders can choose to have their capital gains:

1. credited as cash to their account
2. mailed to them in the form of a check
3. used to purchase additional mutual fund shares.
Increase in net asset value

Increase in net asset value occurs when the value of a fund’s securities exceeds the
cost of those securities. Conversely, decrease in net asset value occurs when the
cost exceeds the value.
1.4 Indian Mutual Fund Industry
History of Indian Mutual Fund Industry
The mutual fund industry in India started in 1963 with the formation of Unit Trust of
India, at the initiative of the Government of India and Reserve Bank the. The history
of mutual funds in India can be broadly divided into four distinct phases
First Phase – 1964-87
Unit Trust of India (UTI) was established on 1963 by an Act of Parliament. It was set
up by the Reserve Bank of India and functioned under the Regulatory and
administrative control of the Reserve Bank of India. In 1978 UTI was de-linked from
the RBI and the Industrial Development Bank of India (IDBI) took over the regulatory
and administrative control in place of RBI. The first scheme launched by UTI was Unit
Scheme 1964. At the end of 1988 UTI had Rs.6,700 crores of assets under
management.
Second Phase – 1987-1993 (Entry of Public Sector Funds)
1987 marked the entry of non- UTI, public sector mutual funds set up by public
sector banks and Life Insurance Corporation of India (LIC) and General Insurance
Corporation of India (GIC). SBI Mutual Fund was the first non- UTI Mutual Fund
established in June 1987 followed by Canbank Mutual Fund (Dec 87), Punjab National
Bank Mutual Fund (Aug 89), Indian Bank Mutual Fund (Nov 89), Bank of India (Jun
90), Bank of Baroda Mutual Fund (Oct 92). LIC established its mutual fund in June
1989 while GIC had set up its mutual fund in December 1990.
At the end of 1993, the mutual fund industry had assets under management of
Rs.47,004 crores.
Third Phase – 1993-2003 (Entry of Private Sector Funds)
With the entry of private sector funds in 1993, a new era started in the Indian mutual
fund industry, giving the Indian investors a wider choice of fund families. Also, 1993
was the year in which the first Mutual Fund Regulations came into being, under which
all mutual funds, except UTI were to be registered and governed. The erstwhile
Kothari Pioneer (now merged with Franklin Templeton) was the first private sector
mutual fund registered in July 1993.
The 1993 SEBI (Mutual Fund) Regulations were substituted by a more comprehensive
and revised Mutual Fund Regulations in 1996. The industry now functions under the
SEBI (Mutual Fund) Regulations 1996.
The number of mutual fund houses went on increasing, with many foreign mutual
funds setting up funds in India and also the industry has witnessed several mergers
and acquisitions. As at the end of January 2003, there were 33 mutual funds with
total assets of Rs. 1,21,805 crores. The Unit Trust of India with Rs.44,541 crores of
assets under management was way ahead of other mutual funds.
Fourth Phase – since February 2003
In February 2003, following the repeal of the Unit Trust of India Act 1963 UTI was
bifurcated into two separate entities. One is the Specified Undertaking of the Unit
Trust of India with assets under management of Rs.29,835 crores as at the end of
January 2003, representing broadly, the assets of US 64 scheme, assured return and
certain other schemes. The Specified Undertaking of Unit Trust of India, functioning
under an administrator and under the rules framed by Government of India and does
not come under the purview of the Mutual Fund Regulations.
The second is the UTI Mutual Fund Ltd, sponsored by SBI, PNB, BOB and LIC. It is
registered with SEBI and functions under the Mutual Fund Regulations. With the
bifurcation of the erstwhile UTI which had in March 2000 more than Rs.76,000 crores
of assets under management and with the setting up of a UTI Mutual Fund,
conforming to the SEBI Mutual Fund Regulations, and with recent mergers taking
place among different private sector funds, the mutual fund industry has entered its
current phase of consolidation and growth.
The graph indicates the growth of assets over the years.
GROWTH IN ASSETS UNDER MANAGEMENT
Note:
Erstwhile UTI was bifurcated into UTI Mutual Fund and the Specified Undertaking of
the Unit Trust of India effective from February 2003. The Assets under management
of the Specified Undertaking of the Unit Trust of India has therefore been excluded
from the total assets of the industry as a whole from February 2003 onwards.
Structure of Indian Mutual Fund
In India, the mutual fund industry is highly regulated with a view to imparting
operational transparency and protecting the investor’s interest. In India the structure
of a mutual fund is determined by Security Exchange Board of India (SEBI)
regulation. These regulations require a fund to be established in the form of a trust
under the Indian Trust Act 1882. A mutual fund is typically externally managed it is
now an operating company with employees in the traditional sense.
Instead a fund relies upon third parties either affiliated organizations or independent
contractors to carry out its business activities such as investing in securities. A
mutual fund operates through a four-tier structure. The four parties that are required
to be involved are sponsor, board of trustees, Asset Management company.
Sponsor:
A sponsor is a body corporate who establishes a mutual fund. It may be one person
acting alone or together with another body corporate. Additionally, the sponsor
should contribute at least 40% to the net worth of the AMC. However if any person
holds 40% or more of the net worth of an AMC shall be deemed to be a sponsor and
will be required to fulfill the eligibility criteria specified in the Mutual Find Regulation.
Board of Trustee:
Mutual fund requires to have an independent board of Trustee, where two third of
the trustees should be independent person who are not associated with the sponsor
in any manner. The board of trustees of the trustee company holds the property of
the mutual fund in trust for the benefit of the unit holders. The board of trustees is
responsible for protecting the unit holder’s interest.
Asset Management Company:

The role of asset management company is highly significant in the mutual fund
operation. They are the fund managers i.e. they invest the investors money in
various securities ( equity, debt and money market instruments) after proper
research of market conditions and the financial performance of individual companies
and specific securities in the efforts to meet or beat average market return and
analysis. Mutual funds provide an economical way for the average investor to obtain
professional money management and diversification of investments much like large
institution and wealthy investors receive. They also look after the administrative
functions of a mutual fund for which they charge management fee.
Custodian:
Mutual fund is required by law to protect their portfolio securities by placing them
with a custodian. Nearly all mutual funds use qualified bank custodians. Only a
registered custodian under the SEBI regulation can act as a custodian to a mutual
fund.
Oraganisation of a Mutual Fund
There are many entities involved and the diagram below illustrates the organizational
set up of a mutual fund:
Mutual Fund Types

2.1 Market Analysis for Mutual Funds
Risk and investing go hand in hand. To know the funds performance, apart from
comparing the performance vi-a-vis the benchmarks, an investor should also make
use of certain statistical measures that make evaluation of a mutual fund even more
precise. Among the most commonly used ratios, there are six ratios, which we come
across very often but fail to understand their utility. They are Standard Deviation,
Beta, Sharpe, Alpha, Treynor and R-Squared.
Standard deviation
Standard deviation is a measure of total risks of a fund. In other words it measures
the volatility of returns of a fund. It indicates the tendency of the funds NAV to rise
and fall in a short period. It measures the extent to which the NAV fluctuates as
compared to the average returns during a period.
A fund that has a consistent four –year return of 3% for example would have a mean
or average, of 3%. The standard deviation for this fund would then be zero because
the fund's return in any given year does not differ from its four year mean of 3%. On
the other hand, a fund that in each of the last four years returned -5%, 17%, 2%,
and 30% will have a mean return of 11%. The fund will also exhibit a high standard
deviation because each year the return of the fund differs from the mean return. The
fund is therefore more risky because it fluctuates widely between negative and
positive returns within a shorter period. A higher standard deviation means that the
returns of the fund have been more volatile than a fund having low standard
deviation. In other words high standard deviation means high risk.
Sharpe ratio
The Sharpe ratio represents tradeoff between risk and returns. At the same time it
also factors in the desire to generate returns, which are higher than those from risk
free returns. Mathematically the Sharpe ratio is the returns generated over the risk
free rate, per unit of risk. Risk in this case is taken to be the fund's standard
deviation. As standard deviation represents the total risk experienced by a fund, the
Sharpe ratio reflects the returns generated by undertaking all possible risks. It is thus
one single number, which represents the tradeoff between risks and returns. A higher
Sharpe ratio is therefore better as it represents a higher return generated per unit of
risk.
Sharpe ratio provides an unbiased look into fund's performance. This is because they
are based solely on quantitative measures. However, these do not account for any
risks inherent in a fund’s portfolio. For example, if a fund is loaded with technology
stocks and the sector is performing well, then all quantitative measures will give such
a fund high marks. But the possibility of the sector crashing and with it the fund
sinking is not calculated. In view of these possibilities quantitative tools should be
used along with information on the nature of the funds strategies, its fund
management style and risk inherent in the portfolio. Quantitative tools can be used
for screening but they should not be the only indicator of a fund's performance.
Beta
Beta is a statistical measure that shows how sensitive a fund is to market moves. If
the Sensex moves by 25 per cent, a fund's beta number will tell you whether the
fund's returns will be more than this or less. The beta value for an index itself is
taken as one. Equity funds can have beta values, which can be above one, less than
one or equal to one. By multiplying the beta value of a fund with the expected
percentage movement of an index, the expected movement in the fund can be
determined. Thus if a fund has a beta of 1.2 and the market is expected to move up
by ten per cent, the fund should move by 12 per cent (obtained as 1.2 multiplied by
10). Similarly, if the market loses ten per cent, the fund should lose 12 per cent.
Each dot represents a fund's returns plotted against the market returns in the same
period. The line is the beta of these returns. While the beta is same in both, it is far
more representative of the returns in the left graph then right one. This shows that a
fund with a beta of more than one will rise more than the market and also fall more
than market. Clearly, if you would like to beat the market on the upside, it is best to
invest in a high-beta fund. But you must keep in mind that such a fund will also fall
more than the market on the way down.
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 much more than the market on
the upside; it will protect returns better when market falls.
Essentially, beta expresses the fundamental trade-off between minimizing risk and
maximizing return. A fund with a beta of 1 will historically move in the same direction
of the market. A beta above 1 is more volatile than the overall market, while a beta
below 1 is less volatile. So while you can expect a high return from a fund that has a
beta of 2, you will have to expect it to drop much more when the market falls. The
effectiveness of the beta depends on the index used to calculate it. It can happen
that the index bears no correlation with the movements in the fund.
R-Squared (R2)
But the problem with beta is that it depends on the index used to calculate it. It can
happen that the index bears no correlation with the movements in the fund. Thus, if
beta is calculated for large cap fund against a mid-cap index, the resulting value will
have no meaning. This is because the fund will not move in tandem with the index.
Due to this reason, it is essential to take a look at a statistical value called R-squared
along with beta. The R-squared value shows how reliable the beta number is. R-
squared values range between 0 and 100, where 0 represents the least correlation
and 100 represents full correlation. If a fund's beta has an R-squared value that is
close to 100, the beta of the fund should be trusted. On the other hand, an R-squared
value that is close to 0 indicates that the beta is not particularly useful because the
fund is being compared against an inappropriate benchmark.
Thus, an index fund investing in the Sensex should have an R-squared value of one
when compared to the Sensex. For equity diversified funds, an R-squared value
greater than 0.8 is generally accepted to mean that the underlying beta value is
reliable and can be used for the fund.
Alpha
The Alpha measure is less about risk than it is about "value added." Alpha represents
the difference between the performance you would expect from a fund, given its
Beta, and the actual returns it generates. A high alpha (more than 1) means that the
fund has performed well. A negative alpha means the fund under performed.
Mathematically, Alpha= fund return - [Risk free rate + Beta of fund (Benchmark
return - Risk free return)]
Treynor
The Treynor ratio is similar to the Sharpe ratio. Instead of comparing the fund’s risk
adjusted performance to the risk free return, it compares the fund’s risk adjusted
performance of the relative index.
2.2 Snapshot of 20 Mutual Fund Schemes
We would analyze the following 20 schemes on basis of above mentioned ratios in

Market Analysis of Mutual Funds:
1. SBI Magnum Sector Umbrella - Contra Fund – Growth

2. Reliance Growth - Growth
3. SBI Magnum Multiplier Plus 93 – Growth
4. Sundaram BNP Paribas Select Midcap - Growth
5. ICICI Prudential Dynamic Plan – Growth
6. ICICI Prudential FMCG – Growth
7. Reliance Banking Fund – Growth
8. Birla Sun Life Buy India Fund – Growth
9. Franklin FMCG Fund – Growth
10. DSP BlackRock Technology.com Fund - Regular – Growth
11. HDFC Index Fund - Sensex Plus Plan
12. ICICI Prudential Index Fund
13. UTI Master Index Fund – Growth
14. Tata Index Fund - Nifty Plan - Option A
15. UTI Nifty Fund – Growth
16. SBI Magnum Tax Gain Scheme 93 – Growth
17. Sundaram BNP Paribas Taxsaver - (Open Ended Fund) – Growth
18. HDFC Taxsaver – Growth
19. ICICI Prudential Taxplan - Growth
20. Franklin India Taxshield - Growth
SBI Magnum Sector Umbrella - Contra Fund – Growth
Current Stats & Profile Trailing Returns

Latest NAV 27.61 (18/02/09) As on 18 Feb 2009 Fund Category
52-Week High 52.15 (19/02/08) Year to Date -5.51 -7.60
52-Week Low 25.48 (27/10/08) 1-Month -3.29 -3.47
Fund Category Equity: Diversified 3-Month 1.69 -1.12
Type Open End 1-Year -47.12 -50.14
Launch Date July 1999 3-Year 0.36 -6.37
Risk Grade Below Average 5-Year 24.34 10.70
Return Grade High Return Since Launch 22.35 --
Net Assets (Cr) 1,664.23 (31/01/09) Returns upto 1 year are absolute and over 1 year are
Benchmark BSE 100 annualised.
Fund Style Statistical Ratios

Standard Deviation 31.83
Sharpe Ratio 0.05
Jenson Ratio -0.0224
Treynor Ratio 0.1237
R-Square 0.94
Alpha 3.10
Beta 0.98
Sector Weightings Top 5 Holdings as on 31/01/09

As on 31/01/09 % Net Assets
Name of Holding Instrument % Net Assets
Energy 17.27
Reliance Industries Equity 4.73
Financial 12.65 ICICI Bank Equity 4.57
State Bank of India Equity 3.8
FMCG 6.03 ITC Equity 3.53
HPCL Equity 3.11
Automobile 5.97
Engineering 5.61
Metals 5.43
Technology 5.09
Diversified 4.83
Construction 4.25
Communicati 3.14
on
Services 2.91
Health Care 2.26
Chemicals 1.22
Reliance Growth - Growth

52-Week Low 195.08 (02/12/08) 1-Month -3.98 -3.47
Fund Category Equity: Diversified 3-Month -3.35 -1.12
Launch Date October 1995 3-Year -1.07 -6.37
Risk Grade Average 5-Year 20.22 10.70

Sharpe Ratio 0.00
R-Square 0.87
Alpha 1.58
Beta 0.97

As on 31/01/09 % Net Assets Name of Holding Instrument % Net Assets
Financial 8.26
Lupin Equity 3.85
Divi's Laboratories Equity 3.83
Health Care 7.67
Energy 5.93 Infosys Technologies Equity 3.27
Bank of Baroda Equity 3.12
Technology 5.74
Chemicals 5.14
Diversified 4.76
FMCG 4.65
Metals 4.52
Communication 3.91
Automobile 1.70
Services 1.48
Engineering 1.17
SBI Magnum Multiplier Plus 93 - Growth

52-Week Low 35.77 (02/12/08) 1-Month -2.68 -3.47
Launch Date February 1993 3-Year -2.29 -6.37
Return Grade Above Average Return Since Launch 11.45 --
Net Assets (Cr) 604.61 (31/01/09) Returns upto 1 year are absolute and over 1 year are

Sharpe Ratio -0.05
R-Square 0.89
Alpha -0.16
Beta 0.93

Engineering 14.13
BHEL Equity 6.39
Crompton Greaves Equity 4.27
FMCG 8.78
Blue Dart Express Equity 4.13
Energy 7.03 Nestle India Equity 4.01
Lupin Equity 3.88
Health Care 6.62
Financial 6.55
Chemicals 5.59
Automobile 4.33
Services 4.27
Construction 3.51
Diversified 3.50
Metals 2.84
Technology 1.17
Textiles 0.54
Sundaram BNP Paribas Select Midcap - Growth

52-Week Low 53.3451 (18/02/09) 1-Month -7.43 -3.47
Launch Date July 2002 3-Year -6.39 -6.37
Benchmark BSE Mid Cap annualised.

Sharpe Ratio -0.09
Jenson Ratio 0.0293
R-Square 0.80
Alpha -1.64
Beta 0.96

Financial 21.08 Name of Holding Instrument % Net Assets
Services 13.18 Indraprastha Gas Equity 3.74
Hindustan Construction Equity 3.69
Construction 8.55 Canara Bank Equity 3.57
Tata Tea Equity 3.50
Health Care 7.40
Metals 5.79
Chemicals 5.51
Diversified 5.09
FMCG 4.11
Engineering 4.03
Energy 3.63
Textiles 1.22
Cons Durable 0.67
Communication 0.48
ICICI Prudential Dynamic Plan - Growth

52-Week Low 43.4592 (27/10/08) 1-Month -3.19 -3.47
Launch Date October 2002 3-Year 1.90 -6.37
Benchmark S&P CNX Nifty annualised.

Sharpe Ratio 0.08
Jenson Ratio 0.0193
R-Square 0.89
Alpha 3.81
Beta 0.90

Bharti Airtel Equity 9.19
Energy 11.85 Reliance Industries Equity 5.12
ICICI Bank Equity 4.83
Health Care 10.24 BHEL Put Option 3.74
ITC Equity 3.48
Communication 9.75
FMCG 8.89
Technology 7.67
Metals 6.64
Engineering 5.76
Diversified 5.22
Chemicals 3.63
Construction 1.74
Services 0.82
Textiles 0.65
Automobile 0.40
ICICI Prudential FMCG - Growth

52-Week Low 28.59 (27/10/08) 1-Month -1.17 -1.20
Fund Category Equity: FMCG 3-Month 5.09 5.11
Launch Date March 1999 3-Year -4.12 -4.80
Risk Grade Not Rated 5-Year 20.51 14.94
Return Grade Not Rated Return Since Launch 12.17 --
Benchmark S&P CNX FMCG annualised.

Sharpe Ratio -0.16
Jenson Ratio 0.0334
R-Square 0.57
Alpha -6.76
Beta 0.80

FMCG 76.21
ITC Equity 22.66
ITC Futures 15.88
Chemicals 18.80
Marico Equity 14.99
Textiles 0.74 Gillette Equity 13.38
Pidilite Industries Equity 10.22
Reliance Banking Fund - Growth

52-Week Low 34.8187 (27/10/08) 1-Month -9.20 -9.14
Fund Category Equity: Banking 3-Month -5.49 -7.77
Launch Date May 2003 3-Year 4.66 2.64
Benchmark CNX Banks annualised.

Sharpe Ratio 0.19
R-Square 0.89
Alpha 5.91
Beta 0.79

As on 31/01/09 % Net Assets % Net
Financial 76.63 Name of Holding Instrument Assets
Cash/Call/Net
Others 19.99
Receivables
Punjab National Bank Equity 7.87
Birla Sun Life Buy India Fund - Growth

52-Week Low 17.05 (27/10/08) 1-Month -3.25 -3.47
Launch Date January 2000 3-Year -8.43 -6.37
Return Grade Average Return Since Launch 6.59 --

Sharpe Ratio -0.28
Jenson Ratio 0.0590
R-Square 0.82
Alpha -6.73
Beta 0.81

Financial 20.61
Rallis India Equity 6.68
Glaxosmithkline
FMCG 17.85 Equity 6.66
Pharma
Maruti Suzuki India Equity 5.82
Health Care 17.54
Services 15.17 Bosch Equity 5.39
Automobile 11.21
Diversified 10.40
Communication 4.24
Franklin FMCG Fund - Growth

52-Week Low 28.3299 (27/10/08) 1-Month -1.10 -1.20
Fund Category Equity: FMCG 3-Month 5.55 5.11
Benchmark ET Brandex annualised.

Sharpe Ratio -0.20
Jenson Ratio 0.0390
R-Square 0.80
Alpha -6.40
Beta 0.72

FMCG 75.85
Nestle India Equity 15.41
Hindustan Unilever Equity 12.73
Chemicals 15.45
ITC Equity 11.16
Services 2.01 Asian Paints Equity 9.37
Marico Equity 8.73
DSP BlackRock Technology.com Fund - Regular - Growth

52-Week Low 13.314 (23/01/09) 1-Month -3.92 -5.03
Fund Category Equity: Technology 3-Month -8.74 -11.07
Launch Date April 2000 3-Year -5.95 -15.61
Benchmark BSE Teck annualised.

Sharpe Ratio -0.17
Jenson Ratio 0.0703
R-Square 0.58
Alpha 8.88
Beta 0.82
Sector Weightings
Technology 42.15
Communication 26.66
Services 5.42
Engineering 1.29
Top 5 Holdings as on 31/01/09

Infosys Technologies Equity 19.68
Net Receivables Cash 17.15
Allied Digital Services Equity 7.41
Reverse
Others 7.33
Repo/CBLO
HDFC Index Fund - Sensex Plus Plan

52-Week Low 102.8743 (23/01/09) 1-Month -4.33 -3.47
Launch Date July 2002 3-Year -1.04 -6.37
Benchmark Sensex annualised.

Sharpe Ratio -0.02
R-Square 0.98
Alpha 0.62
Beta 0.87

% Net
As on 31/01/09 Name of Holding Instrument % Net Assets
Assets
Financial 24.17 Reliance Industries Equity 9.50
Energy 14.15
FMCG 13.56
Technology 9.97
Communication 8.07
Health Care 7.68
Diversified 5.40
Automobile 4.15
Services 2.41
Metals 1.49
Engineering 1.28
Construction 0.88
ICICI Prudential Index Fund

52-Week Low 23.196 (27/10/08) 1-Month -1.79 -3.79
Fund Category Equity: Index 3-Month 3.50 0.54

Sharpe Ratio 0.00
R-Square 1.00
Alpha 1.56
Beta 0.99

% Net
Assets
Energy 21.05 Nifty Futures 46.35
Financial 6.71
NTPC Equity 4.66
ONGC Equity 4.17
Communication 5.45
Technology 4.96
FMCG 3.72
Engineering 2.65
Metals 2.63
Construction 1.66
Diversified 1.53
Automobile 1.44
Health Care 1.38
Services 0.14
UTI Master Index Fund - Growth

52-Week Low 26.2343 (20/11/08) 1-Month -3.38 -3.79
Launch Date June 1998 3-Year -3.66 -3.82
Benchmark Sensex annualised.

Sharpe Ratio -0.08
Jenson Ratio 0.0026
R-Square 1.00
Alpha -0.38
Beta 0.99

% Net
Assets
Financial 21.24 ITC Equity 6.73
Technology 11.74
FMCG 10.76
Communication 7.71
Diversified 7.08
Metals 3.28
Engineering 3.21
Automobile 2.62
Health Care 1.78
Construction 1.38
Tata Index Fund - Nifty Plan - Option A

52-Week Low 15.337 (27/10/08) 1-Month -1.75 -3.79
Risk Grade Above Average 5-Year 8.58 6.49

Sharpe Ratio -0.06
Jenson Ratio 0.0003
R-Square 1.00
Alpha -0.31
Beta 0.99

% Net
Assets
ONGC Equity 8.94
Financial 11.38
NTPC Equity 5.79
Communication 10.27
Technology 9.23
Metals 6.18
Engineering 5.26
FMCG 5.05
Construction 4.15
Diversified 3.58
Automobile 2.67
Health Care 2.37
Services 0.35
UTI Nifty Fund - Growth

52-Week Low 16.0391 (27/10/08) 1-Month -1.73 -3.79

Sharpe Ratio -0.06
R-Square 1.00
Alpha -0.33
Beta 0.99

% Net
Assets
NTPC Equity 8.62
Financial 12.42
ONGC Equity 7.73
Communication 10.09
Technology 9.19
FMCG 6.89
Engineering 4.91
Metals 4.88
Construction 3.08
Diversified 2.83
Automobile 2.67
Health Care 2.55
Services 0.26
SBI Magnum Tax Gain Scheme 93 - Growth

52-Week Low 27.69 (20/11/08) 1-Month - 2.66 - 3.28
Fund Category Equity: Tax Planning 3-Month 1.14 - 1.22

Sharpe Ratio -0.10
R-Square 0.94
Alpha -1.55
Beta 0.93

Energy 16.07 Name of Holding Instrument % Net Assets
Financial 14.75 HDFC Equity 3.28
Engineering 7.17
Metals 6.39 Larsen & Toubro Equity 2.77
Diversified 5.98
Construction 4.99
Communication 3.63
Technology 2.56
Chemicals 2.26
Health Care 2.18
FMCG 1.61
Automobile 1.54
Services 1.20
Sundaram BNP Paribas Taxsaver - (Open Ended Fund) - Growth

52-Week Low 21.9122 (20/11/08) 1-Month -5.96 -3.28
Fund Category Equity: Tax Planning 3-Month -2.31 -1.22
Launch Date November 1999 3-Year -1.21 -8.00

Sharpe Ratio -0.01
R-Square 0.87
Alpha 1.14
Beta 0.91

Financial 22.12 ITC Equity 5.08
Hindustan Unilever Equity 4.91
Energy 17.13
FMCG 13.04 Glaxosmithkline
Equity 4.28
Pharma
Health Care 10.75 Punjab National Bank Equity 4.23
Technology 4.15
Automobile 2.49
Services 2.28
Construction 2.26
Metals 2.23
Diversified 2.04
HDFC Taxsaver - Growth

52-Week Low 87.542 (20/11/08) 1-Month -3.79 -3.28
Fund Category Equity: Tax Planning 3-Month 0.05 -1.22
Benchmark S&P CNX 500 annualised.

Sharpe Ratio -0.26
Jenson Ratio 0.0126
R-Square 0.92
Alpha -6.35
Beta 0.93
Sector Weightings
Top 5 Holdings as on 31/01/09
Health Care 11.35 State Bank of India Equity 5.75
Dr. Reddy's Lab Equity 3.96
FMCG 11.10
BPCL Equity 3.89
Energy 9.84 Infosys Technologies Equity 3.42
Technology 8.56
Services 7.78
Automobile 7.70
Engineering 5.95
Chemicals 3.71
Communication 3.18
Metals 3.17
Diversified 1.30
Construction 0.94
ICICI Prudential Taxplan - Growth

52-Week Low 49.88 (25/11/08) 1-Month -3.94 -3.28
Launch Date August 1999 3-Year -12.22 -8.00
Risk Grade Above Average 5-Year 13.38 10.43

Sharpe Ratio -0.30
Jenson Ratio 0.0359
R-Square 0.78
Alpha -9.13
Beta 0.98

Energy 9.75 Punjab National Bank Equity 5.91
Corporation Bank Equity 5.75
Health Care 9.67 Reliance Industries Equity 5.58
Cadila Healthcare Equity 5.24
Communication 9.37
Chemicals 8.50
Engineering 7.64
FMCG 7.60
Metals 6.62
Technology 4.69
Construction 4.58
Textiles 1.91
Services 1.54
Diversified 1.33
Automobile 1.28
Franklin India Taxshield - Growth

52-Week Low 89.0428 (20/11/08) 1-Month -3.73 -3.28
Launch Date April 1999 3-Year -5.14 -8.00
Risk Grade Low 5-Year 12.02 10.43
Benchmark S&P CNX 500 annualised.

Sharpe Ratio -0.17
R-Square 0.94
Alpha -3.45
Beta 0.89

FMCG 15.83 Bharti Airtel Equity 6.86
Engineering 10.36 BHEL Equity 5.36
HDFC Equity 5.16
Communication 8.45
Technology 7.70
Energy 7.57
Diversified 5.09
Health Care 5.02
Automobile 4.04
Services 3.61
Chemicals 3.40
Construction 0.57

Risk Return Analysis of Equity Mutual Funds

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Risk Return Analysis of Equity Mutual Funds

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Risk Return Analysis of Indian Mutual

Funds (Equity Schemes only)

Subject: Financial Management

In common terms, a mutual fund is a portfolio of stocks, bonds, or other securities

Pool their savings

Investors Mutual Funds

Interest Rate Risk

Changes in the government policy

Those earnings are comprised of:

Shareholders can choose to have their dividends:

Shareholders can choose to have their capital gains:

Increase in net asset value

History of Indian Mutual Fund Industry

First Phase – 1964-87

Second Phase – 1987-1993 (Entry of Public Sector Funds)

Third Phase – 1993-2003 (Entry of Private Sector Funds)

The graph indicates the growth of assets over the years.

GROWTH IN ASSETS UNDER MANAGEMENT

Asset Management Company:

Mutual Fund Types

We would analyze the following 20 schemes on basis of above mentioned ratios in

1. SBI Magnum Sector Umbrella - Contra Fund – Growth

Current Stats & Profile Trailing Returns

Fund Style Statistical Ratios

Sector Weightings Top 5 Holdings as on 31/01/09

Health Care 2.26

Current Stats & Profile Trailing Returns

Fund Style Statistical Ratios

Sector Weightings Top 5 Holdings as on 31/01/09

Current Stats & Profile Trailing Returns

Fund Style Statistical Ratios

Sector Weightings Top 5 Holdings as on 31/01/09

Current Stats & Profile Trailing Returns

Fund Style Statistical Ratios

Sector Weightings Top 5 Holdings as on 31/01/09

Cons Durable 0.67

Current Stats & Profile Trailing Returns

Fund Style Statistical Ratios

Sector Weightings Top 5 Holdings as on 31/01/09

Current Stats & Profile Trailing Returns

Fund Style Statistical Ratios

Sector Weightings Top 5 Holdings as on 31/01/09

Current Stats & Profile Trailing Returns

Fund Style Statistical Ratios

Sector Weightings Top 5 Holdings as on 31/01/09

Current Stats & Profile Trailing Returns

Fund Style Statistical Ratios

Sector Weightings Top 5 Holdings as on 31/01/09

Current Stats & Profile Trailing Returns

Fund Style Statistical Ratios

Sector Weightings Top 5 Holdings as on 31/01/09

Current Stats & Profile Trailing Returns

Fund Style Statistical Ratios

Top 5 Holdings as on 31/01/09

Current Stats & Profile Trailing Returns

Fund Style Statistical Ratios

Sector Weightings Top 5 Holdings as on 31/01/09

Health Care 7.68

Current Stats & Profile Trailing Returns

Fund Style Statistical Ratios