Sie sind auf Seite 1von 9

RESEARCH MEHODOLOGY: OBJECTIVES OF THE STUDY The objectives of this research are as follows: To compare and analyse the

e performance of midcap growth and dividend funds of various mutual fund of companies. To compare the index return and the fund return and to analyse the behavior of the fund return with the increase and decrease of index return. To analyse whether the fund return varies with time To compare the quarterly return of all the eight mutual fund companies and to analyse best and worst performer during each quater. To recommend suggestions for improvements to SBI mutual fund company for its further growth in the mutual fund industry.

RESEARCH DESIGN According to Clifford Woody, research comprises defining and redefining problems, formulating hypothesis or suggested solutions; collecting, organizing and evaluating data; making deductions and reaching conclusions; and at last carefully testing the conclusions to determine whether they fit the formulating hypothesis. This research involves: Performance comparison of midcap mutual funds through secondary data based on certain parameters. RESEARCH PROBLEM The main problem of this research is to compare and analyse the performance of midcap mutual funds of eight selective firms.

SCOPE OF THE STUDY The scope of this study is to provide an insight into concept of mutual funds and the mutual fund industry. It aims to provide a complete knowledge on schemes of competitor funds in the midcap mutual funds category and ranking them based on their performance.It also helps us to study he influence of time period and index return over he fund return. SOURCES OF DATA There are two types od data viz. primary and secondary. The primary data are those which are collected afresh and for the first time, and thus happen to be original in character. The secondary data, on the other hand, are those which have already been collected by someone else and which have already been passed through the statistical process. For this research report, Secondary data was used. Internet, brochures of firms, magazines and newspapers played as a source for the data collection. SAMPLE SIZE For this research,a sample size of 8 mutual fund companies including was taken out of the population which was the whole mutual fund industry in India. STATISTICAL TOOLS USED The various statistical tool used were standard deviation, data distribution tables and beta. Apart from this statistical tools used for mutual funds comparison are: SHARPE RATIO: The Sharpe ratio or Sharpe index is a measure of the excess return (or risk premium) per unit of risk in an investment asset or a trading strategy,it is defined as:

Where, R is the asset return, Rf is the return on a benchmark asset, such as the risk free rate of return,

E[R Rf] is the expected value of the excess of the asset return over the benchmark return, and is the standard deviation of the excess of the asset return.

The Sharpe ratio is used to characterize how well the return of an asset compensates the investor for the risk taken, the higher the Sharpe ratio number the better. When comparing two assets each with the expected return E[R] against the same benchmark with return Rf, the asset with the higher Sharpe ratio gives more return for the same risk. TREYNOR RATIO: The Treynor ratio or Treynor measure is a measurement of the returns earned in excess of that which could have been earned on an investment that has no diversifiable.The Treynor ratio relates excess return over the risk-free rate to the additional risk taken; however, systematic risk is used instead of total risk. The higher the Treynor ratio, the better the performance of the portfolio under analysis.


where: Treynor ratio, portfolio i's return, risk free rate portfolio i's beta

Jensen's alpha Jensen's alpha or Jensen's Performance Index, is used to determine the abnormal return of a security or portfolio of securities over the theoretical expected. The CAPM return is supposed to be 'risk adjusted', which means it takes account of the relative riskiness of the asset. After all, riskier assets will have higher expected returns than less risky assets. If an asset's return is even higher than the risk adjusted return, that asset is said to have "positive alpha" or "abnormal returns". Investors are constantly seeking investments that have higher alpha. In the context of CAPM, calculating alpha requires the following inputs:

the realized return (on the portfolio), the market return, the risk-free rate of return, and the beta of the portfolio.

Jensen's alpha = Portfolio Return [Risk Free Rate + Portfolio Beta * (Market Return Risk Free Rate)]

OUTPERFORMANCE: In general, this means to do better than some particular benchmark. Mutual Fund XYZ is said to outperform the S&P500 if its return exceeds the S&P500 return. However, this language does not take risk into account. That is, one might have a higher return than the benchmark in a particular year because of higher risk exposure. Outperform is also a term used by analysts to describe the prospects of a particular company. Usually, this means that the company will do better than its industry average. FORMULA FOR OUT PERFORMANCE: AVERAGE RETURN-RISK FREE RATE OF RAE OF RETURN

STANDARD DEVIATION: Standard deviation is probably used more often than any oher measure to guage a funds risk.Standard deviation simply quantifies how much a series of numbers,such as fund returns,varies around Its mean or average.Investors like using standard deviation because it provides a precise measure of how varied a funds return have been over a period of particular time frame-both on he upside or on the downside.The more he fund returns fluctuate from month to month,greater is rhe standard deviation.the fund return can be calculated using he formula: ( CURRENT RETURN-PREVIOUS RETURN)/PREVIOUS REURN Standard deviation can be calculated using the following formula: The Standard Deviation Formula

In this formula, x is the value of the mean N is the sample size, and xi represents each data value from i=1 to i=N.. and represents the summation symbol BETA: The Beta () of a stock or portfolio is a number describing the relation of its returns with those of the financial market as a whole.An asset has a Beta of zero if its returns change independently of changes in the market's returns. A positive beta means that the asset's returns generally follow

the market's returns, in the sense that they both tend to be above their respective averages together, or both tend to be below their respective averages together. A negative beta means that the asset's returns generally move opposite the market's returns: one will tend to be above its average when the other is below its average.It measures the part of the asset's statistical variance that cannot be removed by the diversification provided by the portfolio of many risky assets, because of the correlation of its returns with the returns of the other assets that are in the portfolio FORMULA FOR BETA CALCULATION: The formula for the beta of an asset within a portfolio is

where ra measures the rate of return of the asset, rp measures the rate of return of the portfolio, and cov(ra,rp) is the covariance between the rates of return. The portfolio of interest in the CAPM formulation is the market portfolio that contains all risky assets, and so the rp terms in the formula are replaced by rm, the rate of return of the market. CORRELATION TEST: Correlation Co-efficient Definition: A measure of the strength of linear association between two variables. Correlation will always between -1.0 and +1.0. If the correlation is positive, we have a positive relationship. If it is negative, the relationship is negative.If he correlation value is greater than 0.5,I signifies hat here is a highes correlation beween he wo variables.


Correlation Co-efficient : Correlation(r) =[ NXY - (X)(Y) / Sqrt([NX2 - (X)2][NY2 - (Y)2])] where

N = Number of values or elements X = First Score Y = Second Score XY = Sum of the product of first and Second Scores X = Sum of First Scores Y = Sum of Second Scores X2 = Sum of square First Scores Y2 = Sum of square Second Scores

One Sample T-Test: One sample t-test is a statistical procedure used to examine the mean difference between the sample and the known value of the population mean. In one sample t-test, we know the population mean. We draw a random sample from the population and then compare the sample mean with the population mean and make a statistical decision as to whether or not the sample mean is different from the population. We can use this analysis, for example, when we take a sample from the city and we know the mean of the country (population mean). If we want to know whether the city mean differs from the country mean in some, we will use the one sample t-test. Assumptions: 1. Dependent variables should be normally distributed. 2. Samples drawn from the population should be random. 3. Cases of the samples should be independent. 4. We should know the population mean. Procedure: Set up the hypothesis:

A. Null hypothesis: assumes that there are no significance differences between the population mean and the sample mean. B. Alternative hypothesis: assumes that there is a significant difference between the population mean and the sample mean. 1. Calculate the standard deviation for the sample by using this formula:

Where, S = Standard deviation = Sample mean n = number of observations in sample 2.Calculate the value of the one sample t-test, by using this formula:

Where, t = one sample t-test value = population mean 3. Calculate the degree of freedom by using this formula: V=n1 Where, V= degree of freedom 5. Hypothesis testing: In hypothesis statistical decisions are made to decide whether or not the population mean and the same mean are different. In hypothesis testing, we will

compare the calculated value with the table value. If the calculated value is greater than the table value, then we will reject the null hypothesis, and accept the alternative hypothesis. LIMITATIONS OF THE STUDY Following were the limitations of the study: Time was limited. The study is done only with the help of secondary data.primary data is not used in this study. The study uses nav(net asset value) up to march 2011 which is the past there may be slight changes in the current position of the companies taken in to study. Only 8 companies could be compared in order to avoid complexity of data.