Documenti di Didattica
Documenti di Professioni
Documenti di Cultura
Professional Management.
Diversification.
Convenient Administration
Costs Effectiveness
Liquidity.
Transparency.
Tax benefits.
Affordability
DISADVANTAGES OF MUTUAL FUND
Professional Management
Dilution
Taxes
ANALYSIS OF MUTUAL FUND
PERFORMANCE
Analysis based on ratios
Analysis based on style
Analysis based on portfolio attribution
Analysis based on returns
Analysis based on some other factors
Sharpe Ratio
The ratio measures the units of return received
per unit of risk, over and above the return that
would be achieved for taking no risk at all.
The Sharpe ratio uses standard deviation of
returns as its risk component. Therefore, the ratio
looks at both, returns and risk, and delivers a
single measure that is proportional to the risk-
adjusted returns.
Higher Sharpe ratio indicates better risk-adjusted
performances of the fund
INTERPRETATION
Mutual Fund Name 3 Years Avg.Return Riskfree rate Std. Deviation Sharpe Ratio
SBI Blue Chip Mutual Fund 9.78% 6.50% 22.66 0.34
ICICI Focused Blue Chip
Mutual Fund 10.82% 6.50% 13.75 0.53
Motilal Oswal Focused 25
Regular Fund 10.16% 6.50% 17.54 0.41
Here ICICI Blue Chip Fund is considered best among other funds.
Here ICICI Blue Chip Fund has performed well compared to others in
terms of treynors ratio.
Jensens alpha tells us the excess returns that the fund is earning.
So, the higher it is the better.
Also, even if they are positive then you are earning excess returns.
Here in this case Motilal Oswal Fund fund has shown great potential
as its high value indicates good stock picking skills of fund.
Performance Attribution Analysis
The performance of a fund is usually expressed in
terms of its total returns.
This method analyses the excess return compared
to a benchmark and the ability of the fund manager
to select and effectively allocate the portfolios
assets to the right security.
Performance Attribution =
Allocation Effect + Selection Effect + Interaction
Effect
Allocation Effect
It measures the portfolio managers ability to
effectively allocate the portfolios assets to
various segments.
A segment refers to assets or securities that are
grouped within a certain classification such as
Equity, Fixed, or Technology.
Positive allocation occurs when the portfolio is
over weighted in a segment that outperforms
the benchmark and underweighted in a segment
that underperforms the benchmark and vice versa
for negative allocation.
Selection Effect
It measures the portfolio managers ability to
select securities within a given segment relative
to a benchmark.
The weight of the segment in the portfolio
determines the size of the effectthe larger the
segment, the larger the effect is, positive or
negative
Performance Attribution =
Allocation Effect + Selection Effect + Interaction Effect
Allocation Effect
It measures the portfolio managers ability to
effectively allocate the portfolios assets to various
segments.
A segment refers to assets or securities that are
grouped within a certain classification such as Equity,
Fixed, or Technology.
Positive allocation occurs when the portfolio is over
weighted in a segment that outperforms the
benchmark and underweighted in a segment that
underperforms the benchmark and vice versa for
negative allocation.
Selection Effect
It measures the portfolio managers ability to select
securities within a given segment relative to a
benchmark.
The weight of the segment in the portfolio
determines the size of the effectthe larger the
segment, the larger the effect is, positive or negative
Interaction Effect
It measures the combined impact of an investment
managers selection and allocation decisions within
a segment.
Performance Attribution Analysis
Segment Weight Segment Returns
R(Portfolio)> R(Portfolio)<
R(Benchmark) R(Benchmark)
Wt(Portfolio)> + -
Wt(Benchmark)
Wt(Portfolio)< - +
Wt(Benchmark)
Example Performance of the
managed portfolio
Note a hypothetical example is considered here due to unavailability of the data required
for analysis
Performance Attribution
Sector Selection within the Equity
Market
Portfolio Attribution: Summary
THANK YOU