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Chapter IV
DATA ANALYSIS AND INTERPRETATION
4.1
INDICES TABLES
TABLE 4.1
Name of the Company: HDFC Mutual Fund
Month
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Ratio
S.D
Beta
Sharpe
Treynor
Jensen
Correlation
2005
Returns
7.916
4.389
-17.966
5.541
4.819
-6.235
-1.136
-2.718
-12.837
9.787
10.574
0.609
84.05
8.94
0.875
-2.22
-24.09
-4.95
0.97
2006
index
8.09
1.41
24.09
0.89
5.02
6.91
3.09
1.31
14.13
7.37
11.05
0.69
Returns
4.568
9.492
-0.210
-1.333
-6.895
1.696
-5.275
4.788
-7.246
0.426
6.022
4.090
2007
index
2.23
6.74
1.85
1.88
4.97
2.90
9.83
4.29
6.56
0.98
6.67
1.99
Returns
-2.472
0.170
-4.418
3.122
9.076
11.760
9.666
10.383
2.718
7.461
3.199
11.172
50.89
5.32
0.954
-0.89
-4.66
-4.80
0.93
88.23
0.626
0.626
4.58
56.20
1.45
0.91
21
2008
index
3.61
0.68
7.92
1.27
14.86
10.30
4.98
16.42
1.49
6.65
3.43
16.62
Returns
-3.118
4.531
-1.190
1.584
-11.909
1.161
4.194
4.380
4.444
-1.826
9.159
7.478
2009
index
6.60
2.80
1.80
1.10
17.11
0.03
6.34
1.25
6.88
0.25
9.44
8.81
62.41
5.62
0.737
0.47
4.50
-2.78
0.96
Returns
-2.724
5.623
-1.680
-4.253
7.676
3.491
5.801
8.150
2.961
-9.478
10.954
4.743
index
3.62
2.95
2.16
6.46
8.23
3.69
6.02
4.25
6.08
10.07
10.63
4.99
69.15
5.96
0.913
2.88
18.86
-2.79
0.96
212
2
Interpretation
In Sharpe method, the HDFC Mutual Fund in the year 2007, has higher return than other
years. Treynors ratio, shows that the Portfolio for the year 2007 has higher return than
other years. In Jensens method, the Portfolio of the year 2007 has higher return than other
years. It is clear that there is positive correlation between stock index and returns on mutual
funds. However the percentage of correlation is high in the years 2005, 2008 and 2009. The
fund has high return during June 2007 and the risk rate is high during 2005.
Figure 4.1
HDFC Mutual Fund
100
90
80
70
R = 0.0352
Ratio
60
50
40
30
20
10
0
2005
R2= 0.0352
2006
2007
Year
2008
2009
22
TABLE 4.2
Name of the Company: SBI Mutual Fund
Month
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Ratio
S.D
Beta
Sharpe
Treynor
Jensen
Correlation
2005
Returns
9.387
-3.827
-14.148
-2.479
2.225
-5.423
-5.312
0.151
-11.211
6.319
6.994
-2.035
25.2
7.13
2.396
-8.72
-10.00
-15.77
0.96
2006
index
3.36
0.56
6.84
0.28
0.66
1.80
1.51
0.90
4.34
1.72
2.84
0.39
Returns
5.047
11.552
-0.458
-3.440
-8.001
3.079
-4.465
3.550
-7.275
-0.588
5.418
2.961
19.08
5.75
2.826
-3.26
-2.06
-16.09
0.92
2007
index
0.49
2.28
0.82
1.45
2.36
0.82
2.59
1.83
2.15
0.27
2.72
1.30
Returns
-2.431
1.611
-3.602
1.204
10.289
8.431
7.665
9.842
3.182
5.662
1.303
11.556
2008
index
1.33
0.24
2.53
0.78
2.32
4.31
1.75
4.44
2.05
4.55
0.98
7.52
32.8
5.08
1.549
11.57
20.67
-4.60
0.88
Returns
-1.474
2.889
2.465
1.679
-16.873
0.464
2.216
1.333
3.784
-2.429
8.439
11.093
2009
index
1.77
0.48
0.59
0.56
8.86
0.03
3.57
0.01
3.81
0.85
5.56
3.43
29.52
6.81
1.656
1.27
2.71
-8.66
0.90
Returns
2.606
3.927
2.193
4.263
7.496
1.043
7.438
4.968
5.621
9.989
10.820
3.330
index
0.71
1.49
2.33
3.52
5.32
4.64
4.70
1.73
8.16
7.71
7.99
5.84
54.14
5.93
1.096
4.67
20.03
-4.35
0.91
23
23
24
Interpretation
In Sharpe method, 2007 year has higher return than other year. That means the company
performs better fund in the year 2007. In Treynors method, the year of 2008 has higher
return than other year. In Jensens method, the year of 2009 has higher return than other
year. It is known from the correlation that the relationship between the stock return and
stock market index return is high in 2005 and has drastically reduced in the following
years. The fund has high return and risk during year 2006.
Figure 4.2
SBI Mutual Fund
60
50
R2 = 0.6625
RATIO
40
30
20
10
0
2005
R2= 0.6625
2006
2007
YEAR
2008
2009
24
TABLE 4.3
Name of the Company: TATA Mutual Fund
Month
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Ratio
S.D
Beta
Sharpe
Treynor
Jensen
Correlation
2005
Returns
index
8.014
3.36
-0.736
0.56
-13.626
6.84
-2.397
0.28
0.260
0.66
-2.257
1.80
-5.185
1.51
0.928
0.90
-9.506
4.34
8.317
1.72
5.688
2.84
-2.151
0.39
25.20
6.55
2.161
-7.93
-10.08
-13.83
0.95
2006
Returns
2.149
11.027
-1.159
-3.985
-8.059
3.571
-5.772
5.465
-4.531
0.776
9.041
1.093
19.08
5.88
3.019
-3.17
-1.88
-17.04
0.96
2007
index
0.49
2.28
0.82
1.45
2.36
0.82
2.59
1.83
2.15
0.27
2.72
1.30
Returns
-3.512
1.994
-4.809
-2.361
10.187
8.696
8.457
12.957
4.403
8.144
4.129
9.656
2008
index
1.33
0.24
2.53
0.78
2.32
4.31
1.75
4.44
2.05
4.55
0.98
7.52
32.8
5.88
1.760
13.32
20.93
-5.58
0.87
Returns
-5.335
3.971
-0.369
6.450
-11.155
0.110
6.973
4.714
4.871
1.444
10.075
9.203
2009
index
1.77
0.48
0.59
0.56
8.86
0.03
3.57
0.01
3.81
0.85
5.56
3.43
29.52
6.13
1.510
1.45
3.39
-6.35
0.91
Returns
-3.134
3.259
-2.095
-5.963
7.736
-0.818
9.278
6.643
4.622
-11.300
10.442
6.921
index
0.71
1.49
2.33
3.52
5.32
4.64
4.70
1.73
8.16
7.71
7.99
5.84
54.14
6.76
1.207
5.23
20.34
-5.00
0.88
25
2526
Interpretation
In Sharpe method, 2008 year has higher return than other year. That means the company
performs better fund in the year 2008. In Treynors method, the year of 2009 has higher
return than other year. In Jensens method, the year of 2009 has higher return than other
year. It is known from the correlation that the relationship between the stock return and
stock market index return is high in 2006. The fund has high return and risk during year
2006.
Figure 4.3
TATA Mutual Fund
50
45
R = 0.8069
40
35
30
tio
a
R
25
20
15
10
5
0
2005
R2= 0.8069
2006
2007
Year
2008
2009
26
TABLE 4.4
Name of the Company: DSP Mutual Fund
Month
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Ratio
S.D
Beta
Sharpe
Treynor
Jensen
Correlation
2005
Returns
8.45
-3.21
-22.13
1.50
5.40
-6.11
-4.60
-1.18
-12.79
7.22
7.43
-1.88
13.83
9.03
1.199
12.55
5.54
-8.91
0.07
2006
index
1.20
1.25
0.99
0.92
0.38
1.10
1.46
1.08
0.68
1.37
1.77
1.63
Returns
2.48
5.70
-2.81
-2.49
-8.57
1.79
-7.23
4.45
-7.23
-1.18
6.77
6.47
13.83
5.58
6.672
139.64
11.08
-39.59
0.66
2007
index
1.20
1.25
0.99
0.92
0.38
1.10
1.46
1.08
0.68
1.37
1.77
1.63
Returns
-3.35
0.37
-4.35
2.84
9.99
12.73
9.16
15.11
4.34
10.38
4.72
-0.96
9.63
6.41
2.820
22.50
6.11
-11.58
0.35
2008
index
0.84
0.40
0.13
1.77
1.39
0.27
0.74
1.30
0.86
0.20
0.36
1.37
Returns
-4.81
3.84
-19.00
0.80
-17.99
-0.55
7.35
2.76
6.42
0.90
9.97
12.78
6.58
9.95
0.475
-8.60
-12.87
-2.60
0.04
2009
index
0.23
0.13
1.14
0.35
0.70
1.42
0.70
0.07
0.16
0.51
0.00
1.17
Returns
-0.46
4.57
-2.50
-5.09
7.48
-11.05
10.34
8.20
6.43
-9.51
8.51
-12.03
index
0.45
0.76
0.44
0.28
0.96
0.73
0.42
0.36
0.37
0.36
0.37
0.23
5.73
8.27
9.137
98.97
3.73
-53.59
0.40
28
27
29
28
Interpretation
In Sharpe method, 2006 year has higher return than other year. That means the company
performs better fund in the year 2006. In Treynors method, the year of 2006 has higher
return than other year. In Jensens method, the year of 2008 has higher return than other
year. It is known from the correlation that the relationship between the stock return and
stock market index return is high in 2006. The fund depicts high return during the year
2007 and the high risk during year 2009.
Figure 4.4
DSP Mutual Fund
16
14
12
10
tio
a
R
8
6
R = 0.9262
4
2
0
2005
R2= 0.9262
2006
2007
Year
2008
2009
30
TABLE 4.5
Name of the Company: Reliance Mutual Fund
Month
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Ratio
S.D
Beta
Sharpe
Treynor
Jensen
Correlation
2005
Returns
8.147
-0.546
-13.535
5.378
2.598
-7.613
-4.203
-1.324
-15.787
11.204
6.506
-1.467
25.2
8.38
2.704
-9.23
-9.37
-16.87
0.93
2006
index
3.36
0.56
6.84
0.28
0.66
1.80
1.51
0.90
4.34
1.72
2.84
0.39
Returns
4.336
11.607
-2.518
-4.780
-4.917
2.331
-5.139
4.612
-8.733
0.293
7.157
5.333
19.08
6.09
3.087
-3.18
-1.84
-17.44
0.94
index
0.49
2.28
0.82
1.45
2.36
0.82
2.59
1.83
2.15
0.27
2.72
1.30
2007
Returns
-3.509
1.869
-4.523
1.043
11.368
11.231
-5.285
13.877
2.788
11.703
2.343
13.723
32..80
7.29
2.137
16.21
20.99
-7.91
0.85
2008
index
1.33
0.24
2.53
0.78
2.32
4.31
1.75
4.44
2.05
4.55
0.98
7.52
Returns
-1.124
-5.127
-3.408
-0.183
-14.031
1.115
3.986
1.740
5.243
-2.492
10.886
7.814
2009
index
1.77
0.48
0.59
0.56
8.86
0.03
3.57
0.01
3.81
0.85
5.56
3.43
29.52
6.52
1.651
1.05
2.24
-9.39
0.94
Returns
-12.961
3.970
-3.229
-6.928
7.117
4.456
7.805
5.085
6.785
-9.902
10.085
3.467
Index
0.71
1.49
2.33
3.52
5.32
4.64
4.70
1.73
8.16
7.71
7.99
5.84
54.14
7.61
1.322
5.63
19.99
-6.50
0.85
29
31
30
Interpretation
In Sharpe method, 2007 year has higher return than other year. That means the company
performs better fund in the year 2007. In Treynors method, the year of 2008 has higher
return than other year. In Jensens method, the year of 2009 has higher return than other
year. It is known from the correlation that the relationship between the stock return and
stock market index return is high in 2006 and 2008. The fund has high return during
August 2007 and the risk is high during year 2006.
Figure 4.5
Reliance Mutual Fund
60
50
R = 0.6426
40
atio
R
30
20
10
0
2005
R2= 0.6426
2006
2007
Year
2008
2009
19
4.6 RANKING TABLES
TABLE 4.6
Sharpe Ratio Equity Diversified Funds
S.
No.
Name
2005
Sharpe
Rank
2006
Sharpe
Rank
2007
Sharpe
Rank
2008
Sharpe
Rank
2009
Sharpe
Rank
-2.22
-0.89
4.58
0.47
2.88
-8.72
-3.26
11.57
1.27
4.67
-7.93
-3.17
13.32
1.45
5.23
12.55
139.64
22.50
-8.60
98.97
-9.23
-3.18
16.21
1.05
5.63
Interpretation
Table 4.2.1shows the Sharpe ratio for five equity diversified fund. DSP Black Rock Mutual fund ranks first continuously for
Three years. However the ranks are fluctuating for the funds over the years.
31
20
TABLE 4.7
Treynorss Ratio Equity Diversified Funds
S.
No.
Name
2005
2006
2007
2008
2009
Sharp
Rank
Sharp
Rank
Sharp
Rank
Sharp
Rank
Sharp
Rank
-24.09
-4.66
56.20
4.50
18.86
-10.00
-2.06
20.67
2.71
20.03
-10.08
-1.88
20.93
3.39
20.34
5.54
11.08
6.11
-12.87
3.73
-9.37
-1.84
20.99
2.24
19.99
Interpretation
Table 4.2.3 shows the Treynors ratio for five equity diversified fund while in the year of 2005and 2006 the DSP Black Rock
Mutual fund ranks first. In the year of 2005 and 2006 the HDFC mutual fund ranked last and the year of 2007 and 2008 the
HDFC Mutual fund ranks first. However the ranks are fluctuating for the funds over the years.
32
21
TABLE 4.8
Jensens Ratio Equity Diversified Funds
S.
No.
Name
2005
Indices
Rank
2006
Indices
Rank
2007
Indices
Rank
2008
Indices
Rank
2009
Indices
Rank
-4.95
-4.80
1.45
-2.78
-2.79
-15.77
-16.09
-4.60
-8.66
-4.35
-13.83
-17.04
-5.58
-6.35
-5.00
-8.91
-39.59
-11.58
-2.60
-53.59
-16.87
-17.44
-7.91
-9.39
-6.50
Interpretation
Table 4.2.5 shows the Jensens ratio for five equity diversified fund while HDFC Mutual fund ranks first continuously for 3 years
(2005 to 2007) and the DSP Mutual fund ranks first continuously for 2 years (2008 to 2009). However the ranks are fluctuating
for the funds over the years.
33