Program & Batch: PGDM 2013-2015Term: 5Course Name: Security
Analysis and PortfolioManagementName of the faculty: Prof. Varun
DaarTopic/ Title : !D"# grot$ fund analysisOriginal or Revised
Writeup:%riginal!roup Num"er: 1ContactNo# andemailof!roup
Coordinator:P$&
'(112)1550email&ft13*inaya+a*ast$i,imt.ac.in!roup $em"ers: Sl.
-oll .o. .ame% %&'%'&( )rpit *ain( %&'%%+( Nitin
,ishore3 %&'%&-% Rahul .ingh/ %&'%+'/ .hagun )gar0al5
%&'%+&1 2inaya3 )vasthi0 %&'%41- 2i"hor Rana)
%&'%4&4 ,rishan ,umarTable of
ContentsIntroduction................................................................................................................
3Portfolio
Attribution....................................................................................................
4Performance
Indicators...............................................................................................
5Holding Based Portfolio
Analysis.................................................................................6Figure
1: Interaction
efect.........................................................................................
4Figure 2: IT sector
performance.................................................................................
6Figure 3: Total stressed
assets...................................................................................
6Figure 4: Sector
P/....................................................................................................
!Ta"le 1: Portfolio
#ttri"ution.......................................................................................
4Ta"le 2:
$atios............................................................................................................
%IntroductionHDCgro!t"fund!aslaunc"edinAugust#$$$and is currently
managed by %rini&as 'ao 'a&uri.T"e fund (rimarily contains
large and midca(stoc)s. T"esector !ise"oldingsasof *+,4ares"o!n
belo!.inancials-nergyInformation Tec"nologyHealt"
CareIndustrials.aterialsConsumer %ta(lesConsumer
Discretionary/tilitiesTelecommunication %er&ices$.$$0 5.$$0
,$.$$0 ,5.$$0 #$.$$0 #5.$$0
3$.$$0#3.120,6.660,3.,401.3,03.1$03.3103.,505.4503.,50#.330%ector
Allocation%ource4 BloombergT"is (roduct is suitable for
in&estors !"o are see)ing4 Ca(ital a((reciation o&er long
term In&estment (redominantly in e5uity and e5uity related
instruments Hig" ris)Portfolio
AttributionPortfolioattribution"asbeencarriedoutfort"efundand(uresectorallocatione6ect7
!it"in sector allocation e6ect and interaction e6ect "a&e been
calculated todetermine t"e fund manager+s (erformance.SectorsPure
SectorAllocationWithin SectorAllocationInteractioninancials 8$.450
$.340 $.$20-nergy 8$.$#0 ,.,20 $.$,0Information Tec"nology 8$.450
83.650 $.530Healt" Care $.310 ,.$$0 $.450Industrials $.3,0 8$.340
8$.330.aterials $.$$0 8,.140 $.$,0Consumer %ta(les 8$.$#0 8$.#$0
$.$#0Consumer Discretionary 8$.630 8#.$40 $.230/tilities $.#30
8$.330 $.,$0Telecommunication %er&ices 8$.,#0 8$.650 $.#10Total
8$.2#0 82.,40 ,.130Ta"le 1: Portfolio #ttri"utionAs bot" (ure
sector allocation e6ect and !it"in sector allocation e6ect are
negati&e7it isclear t"at t"efundmanager as!ell
ast"ee5uityresearc"analysts"a&eunder(erformed. T"e
under(erformance of e5uity researc" analysts !as se&ere
as!it"in sector allocation e6ect !as 82.,40.In inancials and -nergy
sectors7 t"e fund manager under(erformed but t"e e5uityresearc"
analysts out(erformed as sector !eig"t !ere not o(timal but t"e
s(eci9cstoc) (ic)s !ere good. In t"ese sectors7 interaction e6ect
s"ould also be attributedto t"e out(erformance of t"e e5uity
researc" analysts.In Information Tec"nology7 Consumer %ta(les7
Consumer Discretionary andTelecommunication %er&ices sectors7
bot" t"e fund manager and t"e e5uityresearc"analysts
under(erformed. Int"esecases t"einteractione6ect is
still(ositi&e. T"is is because !"ile t"e sector allocation
decided by t"e fund manager!as not o(timal7 t"e s(eci9c stoc) (ic)s
!ere e&en !orse. If t"e fund manager "ad made t"e seemingly
correct decision of being o&er!eig"tin t"ese sectors7 t"en t"e
(erformance !ould "a&e been e&en !orse due to (oorstoc)
(ic)s. In t"ese sectors7 interaction e6ect s"ould be attributed to
bot" t"e fundmanager and t"e e5uity researc" analysts in t"e ratio
of t"eir under(erformance.InHealt"caresector7 bot"t"efundmanager
andt"ee5uityresearc"analystsout(erformed. T"e sector allocation as
!ell as t"e stoc) (ic)s !ere good and
t"einteractione6ects"ouldbeattributedtobot"t"efundmanagerandt"ee5uityresearc"
analysts in t"e ratio of t"eir out(erformance.In Industrials7
.aterials and /tilities sectors7 t"e fund manager out(erformed
!"ilet"e e5uity researc" analysts under(erformed as t"e sector
allocation !as good butt"estoc)(ic)s!erenot o(timal.
T"enegati&einteractione6ect inIndustrialssector
s"ouldbeattributedtot"ee5uity researc"analysts
!"ilet"e(ositi&einteraction e6ects in t"e ot"er t!o sectors
s"ould be attributed to t"e fundmanager.Performance
Indicators:arious ratios "a&e been calculated to de(ict t"e
(erformance of t"e fund fora 5 year "ori;on i.e. *+$1 to
*+,4.Performance measureHDFC growth fund%"ar(e 'atio#3.,30. s5uare
measure6.$10Information ratio53.5#0%ortino ratio6.6$6Ta"le 2:
$atiosFigure 1: Interaction efect*early ratios "as also been
calculated.Ta"le 3: S&arpe $atio Ta"le 4: ' s(uare
measurePerformance measureFYHDFC growth fund%"ar(e 'atio*
