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Project Report On: Analysis of Performance of Mutual Fund

This document analyzes the performance of three mutual funds offered by Edelweiss Mutual Fund over three years from 2017-2020. It provides details on the investment objectives, positioning and portfolio allocations for each fund. It then analyzes key performance indicators such as annual returns, risk measures, Sharpe ratio, Treynor ratio, alpha and tracking error for each fund over the three year period. For 2017-18, Edelweiss Banking and PSU Debt Fund performed best with the highest return and lowest risk. For 2018-19, Edelweiss Dynamic Bond Fund performed best. And for 2019-20, Edelweiss Banking and PSU Debt Fund again showed the best performance.

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Sheikh Yajidul
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62 views10 pages

Project Report On: Analysis of Performance of Mutual Fund

This document analyzes the performance of three mutual funds offered by Edelweiss Mutual Fund over three years from 2017-2020. It provides details on the investment objectives, positioning and portfolio allocations for each fund. It then analyzes key performance indicators such as annual returns, risk measures, Sharpe ratio, Treynor ratio, alpha and tracking error for each fund over the three year period. For 2017-18, Edelweiss Banking and PSU Debt Fund performed best with the highest return and lowest risk. For 2018-19, Edelweiss Dynamic Bond Fund performed best. And for 2019-20, Edelweiss Banking and PSU Debt Fund again showed the best performance.

Uploaded by

Sheikh Yajidul
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOCX, PDF, TXT or read online on Scribd
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PROJECT REPORT ON

Analysis of Performance of Mutual Fund

Under the guidance of


Dr Milind Patil
(FACULTY OF SCHOOL OF COMMERCE)

Submitted by:
Sheikh Yajidul Islam
Anubhav Kumar Pathak
Aman Saraf
NMIMS INDORE
(2018-2021)

Edelweiss Mutual Fund

1. Edelweiss Government Securities Fund

Scheme Objective
The investment objective of the Scheme is to generate income through
investment in Securities of various maturities issued and/or created by the
Central Government and State Governments of India. However, there can be no
assurance that the investment objectives of the Scheme will be realized

Scheme Positioning
1. Suitable for pure duration play in Indian fixed income market
2. Ideal for exposure in liquid central and state govt. bonds
3. Diversified portfolio of central & state govt. bonds
4. Dynamic allocation among sovereign bonds based on relative value
5. Active duration management to mitigate downside risks
6. Indicative portfolio duration range between 1Y and 10Y with median
range between 4Y and 7Y.
Fund Allocation

Key Facts
Who should invest?
 Investors seeking to invest in India’s fixed income market.
 Investors looking for an investment horizon of 3 years and above.
 Investors inclined to invest in diversified portfolio of Central and State
government bonds.

2. Edelweiss Banking and PSU Debt Fund

Scheme Objective

The investment objective of the Scheme is to generate returns commensurate


with risks of investing in a portfolio of Debt Securities and Money Market
Instruments issued by Banks, Public Sector Undertakings, Public Financial
Institutions, entities majorly owned by Central and State Governments and
Municipal Bonds. However, there can be no assurance that the investment
objective of the scheme will be realized.
Scheme Positioning
1. Ideal for investment of one year and above
2. Suitable alternative to traditional instruments for credit risk-averse
investors
3. Focus on credit quality, liquidity and risk-adjusted returns
4. Diversified portfolio of assets comprising at least 80% in bank CDs and
bonds, PSU and PFI with rest in NBFC, HFC, PTC, central and state
govt. bonds, etc. Í Indicative portfolio duration range between 1Y and 4Y
Í Active portfolio management to mitigate downside risks

Fund Allocation
Key Facts

Who should invest?


 Investors seeking to invest in Debt Instruments of Banks, Public Sector
Undertakings and Municipal corporations.
 Investors who want to invest for one year and above.
 Suitable for conservative investors looking for an alternative to traditional
instruments.

3. Edelweiss Dynamic Bond Fund


Scheme Objective

To generate optimal returns while maintaining liquidity through active


management of the portfolio by investing in debt and money market
instruments. However, there can be no assurance that the investment objective
of the Scheme will be realised.
.
Scheme Positioning
1. Suitable for conservative investors seeking optimal return with relative
stability
2. Investors looking to park funds for STP into Equity Funds
3. Duration of the portfolio less than 1 year
4. Fund aims to take low duration risk and generate returns predominantly
from accruals.
5. Invests predominantly in Sovereign, AAA rated and Money Market
Instruments.

Fund Allocation
Key Facts

Who should invest?


 Investors who are willing to invest in diversified portfolio of money
market assets, central & state govt. bonds and corporate bonds.
 Investors looking for an investment of three years and above.
 Investors seeking an all-weather fixed-income investment scheme.

Important Indicators

Sharpe Ratio: Sharpe ratio helps the investor to identify if a mutual fund
delivers the returns with respect to the risk taken by it on comparing a fund with
risk free rate of return. In other words, Sharpe Ratio measures the reward to
total variability ratio. So, higher Sharpe Ratio gives higher ranking to the fund.

Treynor Ratio: This ratio is developed by Jack Treynor to measure a fund’s


performance against the risk taken. Higher the ratio, higher the returns against
volatility. So, higher Treynor Ratio gives higher ranking to the fund.
Jensen alpha: Alpha is a measure of mutual funds’ performance after adjusting
the risk. This ratio helps to measure the fund manager performance. Positive
alpha numbers indicate positive returns compared to benchmark. So, higher
Jensen Alpha ratio gives higher ranking to the fund.

Tracking Error: Tracking error is the difference in actual performance of


investment portfolio and its corresponding benchmark. The tracking error can
be viewed as an indicator of how actively a fund is managed and its
corresponding risk level. So, lower tracking error gives higher ranking.

Performance Analysis

For the year 2017-18


Edelweiss Edelweiss Edelweiss
Schemes Government Banking and PSU Dynamic Bond
Securities Fund Debt Fund Fund
Annual return 4.298% 6.339% 3.56%
Risk 0.0287% 0.060% 0.2%
SR -73.3368 -1.02 -18.832
TR -0.3789 -0.06 -0.055
CAPM 6.283% 6.399% 4.934%
Alpha 1.986% 0.060% 1.372%
Tracking error 0.2565% 1.068% 0.142%

For the year 2017-18, we highlighted the best performing scheme of mutual
fund which is Edelweiss Banking and PSU debt fund whose annual return is
better than other two schemes, risk is also very less, Sharpe ratio is negative
because the annual return is less than the risk free return.

For the year 2018-19


Edelweiss Edelweiss Edelweiss
Schemes Government Banking and PSU Dynamic Bond
Securities Fund Debt Fund Fund
Annual return 7.463% 7.292% 9.717%
Risk 0.2001% 0.079% 0.198%
SR 2.466 4.054 13.856
TR 0.110 0.102 0.048
CAPM 7.3043% 6.980% 8.539%
Alpha -0.159% -0.311% -1.178%
Tracking error 0.1300% 1.1900% 0.1734%

For the year 2018-19, we highlighted the best performing scheme of mutual
fund which is Edelweiss Dynamic bond fund whose annual return is better
than other two schemes, risk is also very less. Sharpe ratio is also better than the
other two schemes.

For the year 2019-20


Edelweiss Edelweiss Edelweiss
Schemes Government Banking and PSU Dynamic Bond
Securities Fund Debt Fund Fund
Annual return 11.934% 13.234% 10.886%
Risk 0.3120% 0.348% 0.202%
SR 21.361 22.894 27.842
TR 0.119 2.526 0.104
CAPM 11.940% 5.521% 8.291%
Alpha 0.005% -7.713% -2.594%
Tracking error 0.0782% 1.9189% 0.1837%

For the year 2019-20, we highlighted the best performing scheme of mutual
fund which is Edelweiss Banking and PSU debt fund whose annual return is
better than other two schemes, risk is also very less. Sharpe ratio is also better
and tracking error is less.

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