Icici Other Fund

8/3/2019 Icici Other Fund

1/24

Income fund

DateNet Asset

Value

Returns on

Net Asset

Value

NiftyReturns on

Nifty

Govt

bonds

Apr-08 23.4768632 4901.905 8.03

May-08 23.6689 0.81798339 5028.663 2.58589263 7.96

Jun-08 23.6016333 -0.2841985 4463.778 -11.233304 8.40

Jul-08 23.4007045 -0.8513342 4124.604 -7.5983617 9.18

Aug-08 23.6136579 0.91002965 4417.118 7.09192931 9.03

Sep-08 24.3100095 2.94893588 4206.686 -4.7640113 8.43

Oct-08 24.5679111 1.06088641 3210.223 -23.687601 7.83

Nov-08 25.1264278 2.27335838 2834.786 -11.695044 7.45

Dec-08 28.0535905 11.6497368 2835.148 0.01276992 6.10

Jan-09 28.79546 2.64447264 2854.363 0.6777424 5.96Feb-09 27.9402556 -2.9699281 2819.205 -1.2317284 5.97

Mar-09 27.7175105 -0.797219 2802.273 -0.6005948 6.56

Apr-09 28.9265438 4.36198346 3359.829 19.8965625 6.46

May-09 29.289695 1.25542565 3957.963 17.8025132 6.41

Jun-09 29.1969955 -0.316492 4436.37 12.0872024 6.82

Jul-09 29.45725 0.89137441 4343.908 -2.0841814 7.03

Aug-09 29.363735 -0.31746 4571.11 5.23035939 7.15

Sep-09 29.4171526 0.18191702 4859.308 6.30477061 7.26

Oct-09 29.4318316 0.04989928 4992.007 2.73082093 7.32

Nov-09 29.868715 1.48439087 4953.538 -0.7706119 7.28

Dec-09 29.8606286 -0.0270732 5099.743 2.95152677 7.58

Jan-10 29.908235 0.15942876 5156.224 1.1075264 7.63

Feb-10 29.7982842 -0.3676271 4839.373 -6.1450201 7.78

Mar-10 29.827315 0.09742437 5178.148 7.00039034 7.91

Apr-10 30.0737579 0.82623225 5294.755 2.25190551 8.00

May-10 30.268875 0.64879523 5052 -4.5848203 7.56

Jun-10 30.33115 0.20573939 5187.775 2.68754949 7.57

Jul-10 30.3877667 0.18666179 5359.745 3.31490861 7.65

Aug-10 30.3197476 -0.2238369 5457.239 1.81900445 7.84

Sep-10 30.43425 0.37764952 5811.483 6.49126784 7.86

Oct-10 30.4862571 0.1708836 6096.197 4.89916257 8.13

Nov-10 30.626515 0.46006913 6055.331 -0.6703524 8.01

Dec-10 30.6271727 0.00214757 5971.817 -1.3791814 8.01

Jan-11 30.69537 0.22266917 5782.71 -3.1666577 8.15

Feb-11 30.6922368 -0.0102073 5400.918 -6.6023024 8.14

Mar-11 30.9351455 0.7914334 5538.418 2.5458635 7.97


2/24

No. of obseravtion 36 35

total 0.28514151 0.23275896

average 0.0081469 0.00665026

variance 0.05074317 0.6351901

standard deviation 0.02252624 0.07969881

beta 0.02184116


3/24


4/24

Returns on

Govt bonds

Scheme

-

gov bonds

Scheme

-

Nifty

Nifty

-

gov bonds

-0.871731 1.6897144 -1.7679092 3.457623636

5.52763819 -5.8118367 10.9491054 -16.76094215

9.28571429 -10.137049 6.7470275 -16.88407603

-1.6339869 2.54401658 -6.1818997 8.725916238

-6.6445183 9.59345415 7.71294716 1.880506987

-7.1174377 8.17832413 24.7484875 -16.5701634

-4.853129 7.12648737 13.9684026 -6.841915247

-18.120805 29.7705421 11.6369669 18.13357529

-2.295082 4.9395546 1.96673024 2.9728243640.16778523 -3.1377133 -1.7381996 -1.399513645

9.88274707 -10.679966 -0.1966242 -10.48334192

-1.5243902 5.8863737 -15.534579 21.42095278

-0.7739938 2.02941946 -16.547088 18.57650697

6.39625585 -6.7127479 -12.403694 5.690946582

3.07917889 -2.1878045 2.97555584 -5.163360322

1.70697013 -2.0244302 -5.5478194 3.523389263

1.53846154 -1.3565445 -6.1228536 4.766309075

0.82644628 -0.776547 -2.6809217 1.904374651

-0.5464481 2.03083896 2.25500277 -0.224163813

4.12087912 -4.1479524 -2.9786 -1.169352354

0.65963061 -0.5002019 -0.9480976 0.447895792

1.96592398 -2.3335511 5.77739293 -8.110944061

1.67095116 -1.5735268 -6.902966 5.329439183

1.13780025 -0.311568 -1.4256733 1.114105255

-5.5 6.14879523 5.23361549 0.915179739

0.13227513 0.07346426 -2.4818101 2.555274353

1.05680317 -0.8701414 -3.1282468 2.258105437

2.48366013 -2.7074971 -2.0428414 -0.664655682

0.25510204 0.12254748 -6.1136183 6.236165796

3.4351145 -3.2642309 -4.728279 1.464048068

-1.4760148 1.93608389 1.13042148 0.805662408

0 0.00214757 1.38132899 -1.379181419

1.74781523 -1.5251461 3.38932683 -4.914472883

-0.1226994 0.11249212 6.59209512 -6.479602994

-2.0884521 2.87988548 -1.7544301 4.634315588

Differential Returns


5/24

0.03508464 0.25005687 0.05238256 0.197674315

0.00100242 0.00714448 0.00149664 0.005647838

0.23927075 0.46117763 0.65737062 0.753023894

0.04891531 0.06791006 0.0810784 0.086776949

Ex-Post Sharpe Ratio

Benchmark: Govt Bonds

{Std devn of differential returns (Scheme - Govt bonds)}

0.10520506

Benchmark: NIFTY

{Mean of differential return (Scheme-Nifty)}

{Std devn of differential returns (Scheme - Nifty) }

0.01845923

Treynor Ratio

{Mean of differential return (Scheme-Govt bonds)}

Beta ()

0.32711096

Jenson's Alpha

From the regression equation:

= 0.799738

FAMA Ratio

A. Risk free return: Mean of Govt bonds


Y = 0.799738 + 0.022484 X


6/24

0.001002418

B. Market return: Mean of Nifty return

0.006650256

C. Risk Premium: B - A

0.005647838

D. Std deviation of market returns

0.079698814

E. Risk premium per unit of std deviation of market: C / D

0.070864763

F. Std deviation of scheme

0.022526245

G. Expected return based on scheme: A/(E * F) %

62.80%

H. Scheme return

0.0081469

FAMA Number: H - G-0.619810034


7/24


8/24


9/24

Tax fund

DateNet Asset

Value

Returns on

Net Asset

Value

NiftyReturns on

Nifty

Govt

bonds

Apr-08 97.9495 4901.905 8.03

May-08 102.078 4.21492708 5028.663 2.58589263 7.96

Jun-08 91.6114 -10.253532 4463.778 -11.233304 8.40

Jul-08 84.4047 -7.8665974 4124.604 -7.5983617 9.18

Aug-08 90.126 6.778414 4417.118 7.09192931 9.03

Sep-08 85.4052 -5.2380001 4206.686 -4.7640113 8.43

Oct-08 63.051 -26.174284 3210.223 -23.687601 7.83

Nov-08 54.7495 -13.166326 2834.786 -11.695044 7.45

Dec-08 54.7641 0.02666691 2835.148 0.01276992 6.10

Jan-09 55.187 0.77222122 2854.363 0.6777424 5.96Feb-09 53.181 -3.634914 2819.205 -1.2317284 5.97

Mar-09 51.944 -2.3260187 2802.273 -0.6005948 6.56

Apr-09 63.0023 21.288888 3359.829 19.8965625 6.46

May-09 74.6579 18.500277 3957.963 17.8025132 6.41

Jun-09 86.4604 15.8087758 4436.37 12.0872024 6.82

Jul-09 87.687 1.41868416 4343.908 -2.0841814 7.03

Aug-09 96.1943 9.70189424 4571.11 5.23035939 7.15

Sep-09 103.7925 7.89880481 4859.308 6.30477061 7.26

Oct-09 108.1721 4.21957271 4992.007 2.73082093 7.32

Nov-09 110.7715 2.40302259 4953.538 -0.7706119 7.28

Dec-09 118.0495 6.57028207 5099.743 2.95152677 7.58

Jan-10 123.0455 4.23212297 5156.224 1.1075264 7.63

Feb-10 119.1016 -3.2052371 4839.373 -6.1450201 7.78

Mar-10 125.1614 5.08792493 5178.148 7.00039034 7.91

Apr-10 129.7125 3.63618496 5294.755 2.25190551 8.00

May-10 126.5432 -2.4433266 5052 -4.5848203 7.56

Jun-10 128.5642 1.59708305 5187.775 2.68754949 7.57

Jul-10 134.625 4.7142206 5359.745 3.31490861 7.65

Aug-10 137.9641 2.48029712 5457.239 1.81900445 7.84Sep-10 145.5119 5.4708435 5811.483 6.49126784 7.86

Oct-10 151.9431 4.41970725 6096.197 4.89916257 8.13

Nov-10 149.7525 -1.4417239 6055.331 -0.6703524 8.01

Dec-10 147.5277 -1.4856513 5971.817 -1.3791814 8.01

Jan-11 143.1595 -2.9609355 5782.71 -3.1666577 8.15

Feb-11 134.9125 -5.7607075 5400.918 -6.6023024 8.14

Mar-11 138.4141 2.59546002 5538.418 2.5458635 7.97


10/24

No. of obseravtion 36 35

total 0.47879021 0.23275896

average 0.01367972 0.00665026

variance 0.74930496 0.6351901

standard deviation 0.0865624 0.07969881

beta 1.0328099


11/24


12/24

Returns on

Govt bonds

Scheme

-

gov bonds

Scheme

-

Nifty

Nifty

-

gov bonds

-0.871731 5.08665809 1.62903445 3.45762364

5.52763819 -15.78117 0.97977235 -16.760942

9.28571429 -17.152312 -0.2682356 -16.884076

-1.6339869 8.41240093 -0.3135153 8.72591624

-6.6445183 1.40651814 -0.4739888 1.88050699

-7.1174377 -19.056847 -2.4866834 -16.570163

-4.853129 -8.3131967 -1.4712814 -6.8419152

-18.120805 18.1474723 0.01389699 18.1335753

-2.295082 3.06730319 0.09447882 2.972824360.16778523 -3.8026993 -2.4031856 -1.3995136

9.88274707 -12.208766 -1.7254238 -10.483342

-1.5243902 22.8132783 1.39232549 21.4209528

-0.7739938 19.2742708 0.69776381 18.576507

6.39625585 9.41251991 3.72157333 5.69094658

3.07917889 -1.6604947 3.5028656 -5.1633603

1.70697013 7.99492411 4.47153485 3.52338926

1.53846154 6.36034328 1.5940342 4.76630908

0.82644628 3.39312642 1.48875177 1.90437465

-0.5464481 2.94947068 3.17363449 -0.2241638

4.12087912 2.44940295 3.6187553 -1.1693524

0.65963061 3.57249236 3.12459657 0.44789579

1.96592398 -5.1711611 2.93978299 -8.1109441

1.67095116 3.41697377 -1.9124654 5.32943918

1.13780025 2.49838471 1.38427945 1.11410525

-5.5 3.05667341 2.14149367 0.91517974

0.13227513 1.46480792 -1.0904664 2.55527435

1.05680317 3.65741743 1.39931199 2.25810544

2.48366013 -0.003363 0.66129267 -0.66465570.25510204 5.21574146 -1.0204243 6.2361658

3.4351145 0.98459275 -0.4794553 1.46404807

-1.4760148 0.03429085 -0.7713716 0.80566241

0 -1.4856513 -0.1064699 -1.3791814

1.74781523 -4.7087507 0.20572218 -4.9144729

-0.1226994 -5.6380081 0.84159492 -6.479603

-2.0884521 4.68391211 0.04959652 4.63431559

Differential Returns


13/24

0.03508464 0.44370557 0.24603125 0.19767432

0.00100242 0.0126773 0.00702946 0.00564784

0.23927075 0.83017424 0.03384378 0.75302389

0.04891531 0.0911139 0.01839668 0.08677695

Ex-Post Sharpe Ratio

Benchmark: Govt Bonds

{Std devn of differential returns (Scheme - Govt bonds)}

0.13913686

Benchmark: NIFTY

{Mean of differential return (Scheme-Nifty)}

{Std devn of differential returns (Scheme - Nifty) }

0.38210507

Treynor Ratio


Beta ()

0.01227457

Jenson's Alpha

From the regression equation:

= - 0.660926

FAMA Ratio

A. Risk free return: Mean of Govt bonds


= 0.660926 + 1.063187


14/24

0.00100242

B. Market return: Mean of Nifty return

0.00665026

C. Risk Premium: B - A

0.00564784

D. Std deviation of market returns

0.07969881

E. Risk premium per unit of std deviation of market: C / D

0.07086476

F. Std deviation of scheme

0.0865624

G. Expected return based on scheme: A/(E * F) %

16.34%

H. Scheme return

0.01367972

FAMA Number: H - G-0.1497343


15/24

SUMMARY OUTPUT

Regression Statistics

Multiple R 0.07954774

R Square 0.00632784

Adjusted R S -0.0237834

Standard Err 2.27925465

Observations 35

ANOVA

df SS MS F ignificance F

Regression 1 1.09172233 1.09172233 0.2101486 0.64965576

Residual 33 171.435058 5.19500176

Total 34 172.526781

Coefficients tandard Erro t Stat P-value Lower 95% Upper 95% Lower 95.0%

Intercept 0.79973791 0.38664256 2.06841665 0.04651066 0.01310771 1.58636811 0.01310771

X Variable 1 0.02248354 0.04904577 0.45841967 0.64965576 -0.0773008 0.12226791 -0.0773008

Y = 0.799738 + 0.022484 X

RESIDUAL OUTPUT

Observation Predicted Y Residuals ndard Residuals

1 0.85787794 -0.0398945 -0.0177666

2 0.54717342 -0.831372 -0.3702414

3 0.62889981 -1.4802341 -0.6592043

4 0.95918962 -0.04916 -0.0218928

5 0.69262605 2.25630982 1.00482024

6 0.26715668 0.79372973 0.35347792

7 0.53679186 1.73656652 0.77335886

8 0.80002502 10.8497118 4.83178765

9 0.81497596 1.82949668 0.81474417

10 0.77204429 -3.7419723 -1.666442

11 0.78623441 -1.5834534 -0.7051718

12 1.24708316 3.1149003 1.3871831

13 1.20000151 0.05542414 0.02468247

14 1.07150106 -1.3879931 -0.6181259


16/24

15 0.75287812 0.13849628 0.06167764

16 0.91733493 -1.234795 -0.549901

17 0.9414915 -0.7595745 -0.3382673

18 0.86113644 -0.8112372 -0.3612746

19 0.78241182 0.70197905 0.31261786

20 0.86609869 -0.8931719 -0.397763321 0.82463903 -0.6652103 -0.2962433

22 0.66157608 -1.0292032 -0.4583432

23 0.9571315 -0.8597071 -0.3828602

24 0.85036873 -0.0241365 -0.0107489

25 0.6966549 -0.0478597 -0.0213137

26 0.86016355 -0.6544242 -0.2914399

27 0.87426881 -0.687607 -0.3062175

28 0.84063558 -1.0644725 -0.4740499

29 0.94568462 -0.5680351 -0.2529675

30 0.90988845 -0.7390048 -0.3291069

31 0.78466601 -0.3245969 -0.1445553

32 0.76872902 -0.7665814 -0.3413878

33 0.72854022 -0.505871 -0.2252835

34 0.65129475 -0.661502 -0.2945919

35 0.85697795 -0.0655445 -0.0291895


17/24

Upper 95.0%

1.58636811

0.12226791


18/24

-30

-25

-20

-15

-10

-5

0

5

10

15

20

25

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 3


19/24

33 34 35 36

Returns onNet Asset Value

Returns on

Nifty


20/24

SUMMARY OUTPUT

Regression Statistics

Multiple R 0.9788859

R Square 0.95821761

Adjusted R S 0.95695148

Standard Err 1.79600863

Observations 35

ANOVA

df SS MS F ignificance F

Regression 1 2441.19052 2441.19052 756.806472 2.4803E-24

Residual 33 106.446351 3.22564699

Total 34 2547.63687

Coefficients tandard Erro t Stat P-value Lower 95% Upper 95% Lower 95.0%

Intercept 0.6609257 0.30466687 2.16933892 0.03736036 0.04107629 1.2807751 0.04107629

X Variable 1 1.06318666 0.03864712 27.5101158 2.4803E-24 0.98455851 1.14181481 0.98455851

Y = 0.660926 + 1.063187 X

RESIDUAL OUTPUT

Observation Predicted Y Residuals ndard Residuals

1 3.41021224 0.80471484 0.45479542

2 -11.282173 1.0286416 0.58135064

3 -7.4175511 -0.4490462 -0.2537845

4 8.20097033 -1.4225563 -0.8039768

5 -4.4041075 -0.8338926 -0.4712856

6 -24.523416 -1.6508687 -0.9330106

7 -11.773089 -1.3932364 -0.7874063

8 0.67450251 -0.6478356 -0.366133

9 1.38149237 -0.6092712 -0.3443378

10 -0.6486315 -2.9862825 -1.6877377

11 0.02238126 -2.3484 -1.3272298

12 21.8146856 -0.5257975 -0.2971615

13 19.5883202 -1.0880432 -0.6149223

14 13.5118781 2.29689769 1.29812263


21/24

15 -1.5549482 2.97363236 1.68058834

16 6.22177402 3.48012022 1.96683676

17 7.3640737 0.53473111 0.30221048

18 3.56429808 0.65527463 0.37033727

19 -0.1583786 2.56140119 1.44761034

20 3.79894958 2.77133249 1.5662558421 1.83843299 2.39368998 1.35282609

22 -5.8723777 2.66714058 1.50737038

23 8.10364731 -3.0157224 -1.7043761

24 3.05512159 0.58106337 0.32839578

25 -4.213594 1.77026745 1.00049047

26 3.51829245 -1.9212094 -1.0857973

27 4.1852923 0.5289283 0.29893094

28 2.59486696 -0.1145698 -0.0647507

29 7.56235506 -2.0915116 -1.1820459

30 5.86964998 -1.4499427 -0.8194546

31 -0.051784 -1.3899399 -0.7855432

32 -0.8054016 -0.6802497 -0.3844523

33 -2.7058225 -0.255113 -0.1441805

34 -6.3585541 0.59784665 0.33788108

35 3.3676538 -0.7721938 -0.4364157


22/24

Upper 95.0%

1.2807751

1.14181481


23/24

-30

-20

-10

0

10

20

30

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 3


24/24

6

Returns onNet Asset Value

Returns on

Nifty

Icici Other Fund

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