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MF Risk Calculation

The document contains monthly NAV and benchmark price data for an Axis mid cap mutual fund scheme and the S&P BSE Midcap index over a 3 year period from January 2016 to March 2019. Key return, risk and ratio metrics were calculated to analyze and compare the performance of the Axis mid cap scheme versus the benchmark index. The analysis showed the scheme had slightly higher average annual returns but also higher risk compared to the benchmark as evidenced by metrics like beta, tracking error and correlation. Overall the ratio measures like Sharpe ratio were comparable between the two, suggesting the Axis mid cap scheme provided similar risk-adjusted returns to the benchmark index.

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Bhaskar Rawat
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29 views10 pages

MF Risk Calculation

The document contains monthly NAV and benchmark price data for an Axis mid cap mutual fund scheme and the S&P BSE Midcap index over a 3 year period from January 2016 to March 2019. Key return, risk and ratio metrics were calculated to analyze and compare the performance of the Axis mid cap scheme versus the benchmark index. The analysis showed the scheme had slightly higher average annual returns but also higher risk compared to the benchmark as evidenced by metrics like beta, tracking error and correlation. Overall the ratio measures like Sharpe ratio were comparable between the two, suggesting the Axis mid cap scheme provided similar risk-adjusted returns to the benchmark index.

Uploaded by

Bhaskar Rawat
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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3 years monthly data

Date bench mark Nav mf %


Jan-16 10,417.26 25.11 0.00%
Feb-16 9,575.10 23.81 -5.18%
Mar-16 10,618.95 21.6 -9.28%
Apr-16 11,042.92 24.51 13.47%
May-16 11,366.04 24.51 0.00%
Jun-16 11,717.22 24.48 -0.12%
Jul-16 12,661.06 26.3 7.43%
Aug-16 13,217.31 26.29 -0.04%
Sep-16 13,166.68 27.1 3.08%
Oct-16 13,408.27 27.71 2.25%
Nov-16 12,498.62 27.3 -1.48%
Dec-16 12,031.34 24.91 -8.75%
Jan-17 12,857.47 25.58 2.69%
Feb-17 13,552.22 25.76 0.70%
Mar-17 14,096.65 27.81 7.96%
Apr-17 14,798.45 28.76 3.42%
May-17 14,625.29 28.74 -0.07%
Jun-17 14,644.48 29.74 3.48%
Jul-17 15,389.57 30.52 2.62%
Aug-17 15,539.79 30.72 0.66%
Sep-17 15,436.01 32 4.17%
Oct-17 16,587.98 32.18 0.56%
Nov-17 16,917.44 33.23 3.26%
Dec-17 17,822.40 33.13 -0.30%
Jan-18 17,364.20 35.01 5.67%
Feb-18 16,562.59 33.49 -4.34%
Mar-18 15,962.59 33.38 -0.33%
Apr-18 17,012.03 33.87 1.47%
May-18 16,013.81 35.61 5.14%
Jun-18 15,450.90 35.04 -1.60%
Jul-18 16,013.44 34.09 -2.71%
Sep-18 16,881.33 37.85 11.03%
Oct-18 14,763.20 34.27 -9.46%
Nov-18 14,612.59 33.9 -1.08%
Dec-18 15,039.35 35.67 5.22%
Jan-19 15,438.45 35.6 -0.20%
Feb-19 14,560.09 34.87 -2.05%
Mar-19 14,318.36 35.000 0.37%
My role in this project was to advise the client why should he i
benchmark % active return
0.00% 0.00%
-8.08% 2.91%
10.90% -20.18%
3.99% 9.48%
2.93% -2.93%
3.09% -3.21%
8.06% -0.62%
4.39% -4.43%
-0.38% 3.46%
1.83% 0.42%
-6.78% 5.30%
-3.74% -5.02%
6.87% -4.18%
5.40% -4.70%
4.02% 3.94%
4.98% -1.56%
-1.17% 1.10%
0.13% 3.35%
5.09% -2.47%
0.98% -0.32%
-0.67% 4.83%
7.46% -6.90%
1.99% 1.28%
5.35% -5.65%
-2.57% 8.25%
-4.62% 0.27%
-3.62% 3.29%
6.57% -5.11%
-5.87% 11.01%
BSE-Midcap Vs Axis m
-3.52% 1.91%
3.64% -6.35%
5.42% 5.61% 1.2
-12.55% 3.09%
-1.02% -0.06% 1
2.92% 2.30%
2.65% -2.85% 0.8
-5.69% 3.64%
-1.66% 2.03% 0.6
0.02% 0.054594
0.4

0.2

0
1
0.2

0
1
e the client why should he invest in this scheme. I calculated Risk, Return and ratio part in excel. In Return part, I calculated annual return

Series1 Series2
RETURN MEASURE
Axis MF S&P BSE Mid Cap
average 0.99128% 0.97%
annual average return 11.90% 11.60%
holding period return 39.39% 37.45%

RISK MEASURES
Axis MF S&P BSE Mid Cap
SD 0.048488 VARIANCE
ANNUAL DEV 0.16796750913711 ANNUAL VARIANCE

CORRELATION(r) 0.377147003037029
R Square r2 0.142239861899813
COVARIANCE 0.0009010634315299
BETA 0.0301142572751888
risk free return

sharpe ratio 0.350978920


trenoyor ratio 1.957645986
alpha 0.30%
tracking Error 0.189120600788459

BSE-Midcap Vs Axis mid cap

1.2

0.8

0.6

0.4

0.2

0
1
0.2

0
1
cel. In Return part, I calculated annual return and daily return of NAV and benchmark price of the past 5 years with the help of yahoo finan

Series1 Series2
S&P BSE Mid Cap

S&P BSE Mid Cap


0.002493457454653
0.029921

6%
he past 5 years with the help of yahoo finance and AMFI Websites , then I calculated major of dispersion part called risk (CORRELATION, CO
called risk (CORRELATION, COVARIANCE, BETA) and finally in ratio part I interpret this ratio to select a scheme (Sharpe ratio, trenoyor ratio
e (Sharpe ratio, trenoyor ratio, alpha, tracking Error)

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