Mutual Fund Performance Analysis

Words: 816
Pages: 4
Open Document
4.1 ANALYSIS OF MUTUAL FUND PERFORMANCE MEASURES Many mutual funds operate in public sector as well as private sector as a investment companies. Mutual fund performance can be evaluated through performance measurement ratios which are use in portfolio analysis. I here used Trey nor, Sharpe, and Jensen ratio to evaluate mutual funds and rank accordingly. Structural portfolio performance measures have the flexibility of gathering risk and return performance into a single value. The most commonly used composite measures are: Trey nor, Sharpe and Jensen measures. While Treynor measures …show more content…
Risk can be measured in terms of Beta and standard deviations.
BETA:
 Beta is calculated by two returns factors relating to security return and market return.
 Beta is a measure of the volatility of a particular fund in comparison to the market as a whole, that is, the extent to which the fund's return is affected by market factors. Beta is calculated using a statistical tool called regression analysis.
 By definition, the market benchmark index of Sensex and Nifty has a beta of 1.0. Conservative investors should concentrate on mutual funds schemes with beta having low value. Aggressive investors can select to invest in mutual fund schemes which have higher beta value for higher returns where investors need to bear more …show more content…
Rm is the market return or index. Variance is the square of standard deviation.

STANDARD DEVIATION:
 In mutual funds, the standard deviation tells about understanding how much the return on a fund is variation takes place from the expected returns based upon period of time.
 Standard deviation helps to analyze the volatility of the fund. The standard deviation of a fund measures this risk by measuring the degree to which the fund changes in relation to its average return of a fund for a period of time.
 Standard deviation is a calculation of returns of consistency based on mutual fund.
 Standard deviation of higher value should mention that the mutual fund of Net Asset Value is more risk and volatile compared to that of standard deviation of lower value.

Σ (Rx-Rx¯) ² σx = _____________ N Where, σ² is the Variance of Return is the Standard Deviation of
Show More

Related Documents: Mutual Fund Performance Analysis

Stocks: Mutual Fund and Market Timing Essay

Full Length Research Paper Validity of efficient market hypothesis: Evidence from UK mutual funds M. Jibran Sheikh and Umara Noreen* COMSATS Institute of Information Technology, Islamabad, Pakistan . Accepted 8 September, 2011 This research is geared towards analysing performance of the fund managers an d their market timing abilities. For the purpose of this study, sample of 50 U.K. mutual funds were selected in random. Their returns from the beginning of 1990 to the end of 2008 were…

Words 2218 - Pages 9

Zeus case study Essay

benefits of risk-adjusted performance measurements to Zeus Asset Management. Zeus Asset Management is a fund management firm founded in 1968 in Atlanta by Tir Jerry Schneider. It serves both institutional and individual investors and with more than $1.7 million assets under management. The director of research, John Abbot, is considering adopting risk-adjusted approach in performance assessment. Zeus’s competitiveness analysis Zeus’s main competitors are the mutual funds in particular market. Compared…

Words 1732 - Pages 7

Essay on Bill Miller and Value Trust

Miller and Value Trust Background Information Bill Miller is one of the most renowned professional fund managers. This can be proven by the outperformance of the Value Trust, which is managed by him, compared to its benchmark index, the Standard & Poor’s 500 Index (S&P 500), for an astonishing 14 years in a row; and this marked the longest streak of success for any manager in the mutual-fund industry. By the middle of 2005, Value Trust is worth $11.2-billion. Bill Miller’s approach to investment…

Words 2433 - Pages 10

Topic 4 Essay

Value stocks are priced too low because they are out of favor – Naive investors extrapolate past performance too far into the future – Value strategies bet against naive investors, outperform the market BUFN 740: Capital Markets Topic 4 6 Momentum: A Fourth Factor  The original Fama-French model augmented with a momentum factor has become a common four-factor model used to evaluate abnormal performance of a stock portfolio.  Momentum may be related to liquidity. BUFN 740: Capital Markets Topic…

Words 1700 - Pages 7

Advantages And Disadvantages Of Mutual Funds

The fund is essentially a corporation whose sole business is to collect and invest money. You join the pool by buying shares in the fund. Your money is then invested by a team of professionals, who research stocks, bonds or other assets and then place the money as wisely as they can. There are several flavors of mutual funds. Funds that impose a sales charge taking a cut of any new money that comes into the fund, or a cut of withdrawals are called load funds; those that do not have…

Words 6601 - Pages 27

YuxuanLi Resume Essay example

modeling support to Bayview’s servicing acquisition and whole loan acquisition business. Responsibilities include a variety of pricing analysis, modeling, reporting and programming tasks  Develop proprietary prepayment and credit models for agency residential mortgage-backed securities; Analyze and price US Agency MBS and Credit-Risk-Sharing Bonds  Conduct statistical analysis using SAS for multi-million loan level data on SQL database  Research fundamental factors and policy changes affecting the mortgage…

Words 405 - Pages 2

Essay about ACCT 725

company who provides financial services for business clients, such as consulting for mutual fund, retirement benefit, insurance. Phillip has been working for Stuart &Co, for more than 20 years and everything goes well before. However, as the company expended, the demands to push specific products to their clients has been included into branch managers’ performance evaluation. Broker company would assess their performance based on how well they had made on their specific products. In the view of Phillip…

Words 1089 - Pages 5

Notes for Investment Exam Essay

of real assets is distributed among investors. • Financial assets can be categorized as fixed-income (debt), equity, or derivative instru-ments. Top-down portfolio construction techniques start with the asset allocation decision—the allocation of funds across broad asset classes—and then progress to more specific security-selection decisions. • Competition in financial markets leads to a risk-return trade-off, in which securities that offer higher expected rates of return also impose greater risks…

Words 5162 - Pages 21

Explain Behavior In Financial Markets

theories don't explain behaviour in financial markets. Numerous studies provide evidence that individuals can be expected to demonstrate behavioural biases. There are two types of investors in the market; they are the sophisticated investors (i.e. equity fund managers), and individual investors. Some journals refer to sophisticated investors as “arbitrageurs” and “rational speculators” versus all other investors, or “noise traders” (Schleifer and Summers, 1990: 20). There is a popular theory that sophisticated…

Words 1919 - Pages 8

equity research Essay

seek to achieve superior returns (like equity), but with corresponding higher risk. Other provide safety (like PPF) but at the expense of liquidity and growth. Other options such as FDs offer safety and liquidity, but at the cost of return. Mutual funds seek to combine the advantages of investing in arch of these alternatives while dispensing with the shortcomings. Indian stock market is semi-efficient by nature and, is considered as one of the most respected stock markets, where information…

Words 402 - Pages 2