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    Group Project SRPM

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    Lakshmi Srinivasan
    This document analyzes and compares the performance of two mutual funds, HDFC Equity fund and ICICI Prudential Blue-chip fund, across various key metrics from 42370 to 43466. It shows the average returns, risk, beta, Sharpe ratio, Treynor ratio, Jensen alpha, M2, information ratio, and Sortino ratio for both funds and concludes that ICICI Prudential Blue-chip fund performs better on most metrics.

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    © All Rights Reserved
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    Group Project SRPM

    Uploaded by

    Lakshmi Srinivasan
    27 views5 pages
    This document analyzes and compares the performance of two mutual funds, HDFC Equity fund and ICICI Prudential Blue-chip fund, across various key metrics from 42370 to 43466. It shows the average returns, risk, beta, Sharpe ratio, Treynor ratio, Jensen alpha, M2, information ratio, and Sortino ratio for both funds and concludes that ICICI Prudential Blue-chip fund performs better on most metrics.

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    Group Project SRPM.pptx

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    This document analyzes and compares the performance of two mutual funds, HDFC Equity fund and ICICI Prudential Blue-chip fund, across various key metrics from 42370 to 43466. It shows the average returns, risk, beta, Sharpe ratio, Treynor ratio, Jensen alpha, M2, information ratio, and Sortino ratio for both funds and concludes that ICICI Prudential Blue-chip fund performs better on most metrics.

    Copyright:

    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd
    Download as pptx, pdf, or txt
    27 views5 pages

    Group Project SRPM

    Uploaded by

    Lakshmi Srinivasan
    This document analyzes and compares the performance of two mutual funds, HDFC Equity fund and ICICI Prudential Blue-chip fund, across various key metrics from 42370 to 43466. It shows the average returns, risk, beta, Sharpe ratio, Treynor ratio, Jensen alpha, M2, information ratio, and Sortino ratio for both funds and concludes that ICICI Prudential Blue-chip fund performs better on most metrics.

    Copyright:

    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd
    Download as pptx, pdf, or txt
    of 5

    Project

    (Term IX)

    Security Research & Portfolio


    Management
    (Mutual Fund assessment)
    Project done by Group - 1
    IMT Ghaziabad PT2017-20 Batch
     
    Lakshmi Srinivasan(17PT-008)
    Sachin Raswant (17PT-013)
    Bhupendra Singh Chaudhary
    Key Performance Metrix
    SR.NO DESCRIPTION HDFC ICICI

    HDFC 1 AVERAGE RETURN 9.85% 10.95%


    Equity(g) 2 RISK(STD.DEV) 18.99% 15.20%
    fund VS
    ICICI 3 BETA 1.1 0.89
    Prudential 4 SHARPE RATIO 0.18 0.29
    Blue-chip(g)
    fund 5 TREYNOR RATIO 0.03 0.05
    6 JENSEN ALPHA -0.03 -0.01
    7 M2 -0.002 0.001
    8 INFORMATION RATIO -0.16 0.43
    9 SORTINO RATIO 0.62 0.88
    Absolute Return HDFC VS ICICI HDFC VS S&P BSE 500 TRI
    0.4
    40.00%
    0.35
    35.00% 0.3
    0.25
    30.00%
    0.2
    25.00% 0.15
    20.00% 0.1
    0.05
    15.00%
    0
    10.00% -0.0542005 42370 42736 43101 43466

    5.00% -0.1

    0.00%
    42370 42736 43101 43466
    -5.00%

    -10.00%

    RETURNS(HDFC) RETURNS(ICICI)
    RETURNS(HDFC) RET. S&P BSE 500 TRI
    MEAN 9.85% 10.95%
    HDFC VS ICICI
    ICICI VS BSE 100 TRI
    1.00
    0.4
    0.35 0.80
    0.3 0.60
    0.25
    0.40
    0.2
    0.15 0.20
    0.1 0.00
    0.05 Sharpe Ratio Treynor Ratio Jensen Alpha M2 Information Sortino Ratio
    Ratio
    -0.20
    0
    42005
    -0.05 42370 42736 43101 43466 -0.40

    RETURNS(ICICI) RET. S&P BSE 100 TRI HDFC ICICI


    COMPARISON
    SHARPE RATIO TREYNOR RATIO JENSEN
    JENSEN ALPHA
    ALPHA
    A Treynor Ratio of 0.03 for HDFC A
    A Jensen
    Jensen Alpha
    Alpha ofof (-0.03)
    (-0.03) for
    for HDFC
    HDFC
    A Sharpe Ratio of 0.18 for HDFC
    shows it has generated 0.03 or 3% shows
    shows itit is
    is not
    not earning
    earning enough
    enough
    shows it gives 0.18 for every Re.1 return,
    Worth of risk after adjusting risk extra return against Risk free rate. return, given
    given the
    the risk
    risk it
    it is
    is taking
    taking
    (beta
    (beta –– 1.10)
    1.10) while
    while ICICI
    ICICI Jensen
    Jensen
    free rate. Whereas for ICICI it is Whereas ICICI has generated 0.05 Alpha
    or 5% which makes it superior if Alpha is
    is (-0.01),
    (-0.01), which
    which isis marginally
    marginally
    0.29 making it superior, if Sharpe better
    better than
    than HDFC
    HDFC (AVG.
    (AVG. return
    return
    Ratio is considered. Treynor Ratio is considered above
    above oror below
    below thethe CAPM
    CAPM model)
    model)
    INFORMATION RATIO
    MODIGILIANI (M2) SORTINO RATIO
    Information Ratio of (-0.16) for
    M2
    M2 of
    of -- .002
    .002 in
    in HDFC
    HDFC shows,
    shows, it
    it is
    is not
    not HDFC is showing that it is not A Sortino Ratio of 0.62 of HDFC
    performing
    performing well
    well against
    against the
    the performing well in comparison to while that of ICICI is 0.88, which
    benchmark
    benchmark with
    with the
    the given
    given amt.
    amt. ofof benchmark while ICICI with IR of means it is better given its
    risk.
    risk. While
    While ICICI
    ICICI with
    with M2
    M2 of
    of .001
    .001 isis 0.43. Which is a much better downside deviation or the bad
    better
    better in
    in comparison
    comparison risk it is taking
    trade-off
    Note : The analysis is compiled using the information available on
    public platform. We advise the users to consult certified experts
    before making any investment decisions

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