134-Analysis of Mutual Fund Scheme With Special Reference To ICICI Prudential Mutual Fund

A
Summer Training Report

on
Analysis of Mutual Fund Scheme with special reference to ICICI Prudential

Mutual Fund
Submitted by
VALA DILIP KALUBHAI
F.Y M.B.A
ROLL NO.134
In partial fulfillment for the award of the degree

Of
Master of Business Administration
Under the guidance of

Dr. Namrata Khatri
Assistant Professor
Submitted to the
DEPARTMENT OF BUSINESS AND INDUSTRIAL MANAGEMENT

Affiliated to
VEER NARMAD SOUTH GUJARAT UNIVERSITY,

SURAT.
I|P age
Declaration
I, Vala Dilip undersigned, a student of Department of Business & Industrial Management,
Surat, declare that the project report entitled “Analysis of Mutual Fund Scheme with special
reference to ICICI Prudential Mutual Fund” from 18th may 2020 to 4thth July 2020 prepared
& submitted to Dr. Namrata Khatri, Asst. Professor of Department of Business & Industrial
Management, Surat.
This is my own work & the report prepared there in is based on my study and experience, during
the tenure of my study.
I will not use this project report in future and will not submit the any other university or institute
or any other publisher without written permission of my guide.
I further declare that the result of my finding & research in the subject is original in nature and
has not been previously submitted either in part or in whole to any other institute or university
for any degree. If it is found, I shall be only responsible for its consequences.
Place: DBIM, Surat. Vala Dilip
Date: Roll No. 134
II | P a g e
Certificate from the department (format shall be provided separately)
III | P a g e
Acknowledgements
No good task can be completed without the help of others. After the completion of this project, I
feel it is necessary to think who helped me and co-operated with during the project.
I would like to take an opportunity to express the feeling of gratitude towards Veer Narmad
South Gujarat University as a part of Comprehensive Project Report as a duty of syllabus of
MBA course.
I take opportunity to express my deep sense of gratitude to Dr. Renuka Garg, Professor & Head
of Department of Business & Industrial Management, for her indirect but consistent
encouragement to the research and development.
I express my profound sense of gratitude to Dr. Namrata Khatri my project guide, who
provided me undeviating encouragement, indefatigable guidance and valuable suggestions
throughout the research project. I am very sincerely & heartily grateful to her for providing me a
great break by selecting me as a researcher under her.
Last but not the least, I would like to thank my family and my friends for supporting me
spiritually throughout writing this research and my life in general.
VALA DILIP KALUBHAI

F.Y M.B.A.
ROLL NO. 134
IV | P a g e
Executive Summary
Mutual funds have emerged as a strong financial intermediary and are the fastest growing
segment of the financial services sector in India. Mutual funds play a very significant role in
channelizing the savings of millions of individuals. A mutual fund is the most suitable
investment for the common person as it offers an opportunity to invest in a diversified,
professionally managed portfolio at a relatively low cost. There are wide varieties of mutual fund
schemes that cater to investor needs. Whether as the foundation of one‘s investment programme
or as a supplement, mutual fund schemes can help the investors to meet their financial goals.
The industry has made significant strides in terms of its variety, sophistication and regulation.
Due to the economic boom, entry of foreign asset management companies, favorable stock
markets and aggressive marketing by mutual funds, the asset management industry in India is
witnessing dramatic growth in terms of new fund openings, the number of mutual fund families,
and in the total assets under management in recent years. A host of factors has contributed to this
explosive growth of the industry. First, industry players have focused on product innovation due
to stiff competition. This has helped the industry players to tap the needs of the investors and to
expand markets as more and more investors, including retail investors, have being to look at
mutual funds as a suitable investment avenue. Second, the industry players have devised
innovative channels of delivery to gain and strengthen their market share. Third, mutual funds
have gained popularity with the investors because of tax incentives offered by the government.
Finally, a slew of regulatory measures taken by SEBI has played a crucial role in instilling
confidence among investors, especially retail investors.
Despite various attractions offered, the total net assets of mutual funds are very less as compared
to other developed countries. In the product offering too, the Indian fund industry is not close to
the developed countries. India‘s 44-member fund industry has to scale new heights to narrow the
gap with the other developed countries. To achieve this, the Indian mutual fund industry needs to
widen its range of products with affordable and competitive schemes that combine various
elements of liquidity, return and security in making mutual fund products the best possible
alternative for the small investors in the Indian market. Besides, mutual funds can survive only if
they perform well and satisfy the expectations of the investors.
In this context a sincere attempt has been made by the researcher to examine the steady growth
of the industry, the innovations and the development that has taken place in India. The researcher
has also attempted to evaluate the performance of ICICI Prudential Mutual Fund for the period
of FY 2015-2020. The study aims at presenting suggestions not only for the functional
improvement of the fund industry but also to reshape the fault lines in the industry.
V|P a ge
TABLE OF CONTENTS
Chapter 1: Introduction of Industry 1

1.1 History of Industry 1
1.2 Mutual Fund Industry in 2020 1
1.3 The Journey of Mutual Funds in India 2
1.4 Introduction of stock market 3
1.5 Size of the market 4
1.6 In India mainly two stock exchange. 4
1.6.1 NSE (National stock exchange) 4
1.6.2 BSE (Bombay stock exchange) 5
1.7 Introduction of Mutual Funds 6

1.8 Growth of Mutual Fund Industry in India 7
1.9 TYPES OF MUTUAL FUND SCHEMES 8
1.10 MUTUAL FUND MECHANICS 13
Chapter 2: Review of Literature 14

Chapter 3: Research Methodology 15
3.1 Title of the Study 15
3.2 Research objective 15
3.3 Significance of the study 15
3.4 Variables of the study 15
3.5 Research design 15
3.6 Data collection plan 15
3.7 Sampling plan 16
3.8 Data analysis 16
3.8.1 Sharpe Ratio 16
3.8.2 Beta (β) 17
3.8.3 Treynor Ratio 17
3.9 Benefits of the study 18

3.10 limitation of the study 18
Chapter 4: Data Analysis and Findings 19
VI | P a g e
4.1 Analysis of Sample Schemes of ICICI Prudential Mutual Fund by Sharpe ratio 19
4.2 Computation of Risk-Free Rate of Return 19
4.3 Data collection of Equity schemes 20
4.3.1 ICICI Prudential Banking & Financial Services Fund 20
4.3.2 ICICI Prudential Blue-chip Fund 21
4.3.3 ICICI Prudential Dividend Yield Equity Fund 21
4.3.4 ICICI Prudential Exports and Services Fund 22
4.3.5 ICICI Prudential FMCG Fund 22
4.3.6 ICICI Prudential Focused Equity Fund 23
4.3.7 ICICI Prudential Value Discovery Fund 24
4.4 Data collection of Debt Schemes 25

4.4.1 ICICI Prudential All Seasons Bond Fund 25
4.4.2 ICICI Prudential Banking & PSU Debt Fund 25
4.5 Data Collection of Hybrid Schemes 26

4.5.1 ICICI Prudential Equity Savings Fund 26
4.5.2 ICICI Prudential Equity - Arbitrage Fund 27
4.6 Data Collection of ETF Schemes 27

4.6.1 ICICI Prudential Asset Allocator Fund 27
4.6.2 ICICI Prudential Midcap Select ETF 28
4.7 Sharpe Ratio 28

4.8 Computation of Sharpe Ratios for the Mutual fund Schemes 29
4.9 Computation of Sharpe Ratios for the Benchmarks 31
4.10 Computation of Rank of the ICICI Prudential Mutual Fund Schemes 32
4.11 Interpretation of the results of Sharpe Ratios of the mutual fund schemes and their benchmark
ratios 32
4.12 Beta (β) 33
4.12 Treynor Ratio 34
Chapter 5: Findings and Conclusion 36

5.1 Findings 36
5.1.1 General Findings about the Indian Mutual Industry 36
5.1.2 Specific Findings relating to ICICI Prudential Mutual Fund 36
5.1.3 Specific Findings relating to Performance evaluation of Mutual Funds based on Sharpe ratio 36
5.1.4 Specific Findings relating to Performance evaluation of Mutual Funds based on Treynor ratio 37
5.2 Objective - wise Conclusions 37
VII | P a g e
LIST OF TABLES
Table 4.1 - Yield On 91 Day Treasury Bill Rates for the period 2013 To 2018 20
Table 4.2 - ICICI Prudential Banking & Financial Services Fund 20
Table 4.3 - ICICI Prudential Blue-chip Fund 21
Table 4.4 - ICICI Prudential Dividend Yield Equity Fund 21
Table 4.5 - ICICI Prudential Exports and Services Fund 22
Table 4.6 - ICICI Prudential FMCG Fund 23
Table 4.7 - ICICI Prudential Focused Equity Fund 23
Table 4.8 - ICICI Prudential Value Discovery Fund 24
Table 4.9 - ICICI Prudential All Seasons Bond Fund 25
Table 4.10 - ICICI Prudential Banking & PSU Debt Fund 26
Table 4.11 - ICICI Prudential Equity Savings Fund 26
Table 4.12 - ICICI Prudential Equity - Arbitrage Fund 27
Table 4.13 - ICICI Prudential Asset Allocator Fund 28
Table 4.14 - ICICI Prudential Midcap Select ETF 28
Table 4.15 - Sharpe Ratios of the Mutual Fund Schemes 30
Table 4.16 - Sharpe Ratios for the Benchmarks 31
Table 4.17 - Comparison of Results of Sharpe Ratios of the Schemes with their Benchmarks
and the Ranks in the Order of Performance 32
Table 4.18 - Beta of the sample scheme 34
Table 4.19 – Treynor ratio of the sample scheme 35
VIII | P a g e
Chapter 1: Introduction of Industry
1.1 History of Industry
Stock markets are some of the most important parts of today‘s global economy. Countries around
the world depend on stock markets for economic growth. However, stock markets are a relatively
new phenomenon. They haven‘t always played an important role in global economics. Today,
I‘m going to share the history of the stock market and explain why stock markets have become
the driving economic force they are today.
The world‘s first stock markets are generally linked back to Belgium. Bruges, Flanders, Ghent,
and Rotterdam in the Netherlands all hosted their own ―stock‖ market systems in the 1400s and
1500s.
All of these early stock markets had one thing missing: stocks. Although the infrastructure and
institutions resembled today‘s stock markets, nobody was actually trading shares of a company.
Instead, the markets dealt with the affairs of government, businesses, and individual debt. The
system and organization was similar, although the actual properties being traded were different.
Selling stocks in coffee shops before investors yelled across trade floors and threw order forms
into the air; they conducted business in coffee shops. Early stocks were handwritten on sheets of
paper, and investors traded these stocks with other investors in coffee shops.
In other words, coffee shops were the first real stock markets due to the fact that investors would
visit these markets to buy and sell stocks. Before long, somebody realized that the entire business
world would be more efficient if somebody made a dedicated marketplace where businessmen
could trade stocks without having to order a coffee or yell across a crowded café.
1.2 Mutual Fund Industry in 2020

Average Assets Under Management (AAUM) of Indian Mutual Fund Industry for the month of
May 2020 stood at ₹ 24,28,439 crore.
Assets Under Management (AUM) of Indian Mutual Fund Industry as on May 31, 2020 stood at
₹24,54,758 crore.
The AUM of the Indian MF Industry has grown from ₹ 7.43 trillion as on May 31, 2010 to
₹24.55 trillion as on May 31, 2020 more than 3 fold increase in a span of 10 years.
The MF Industry‘s AUM has grown from ₹ 12.04 trillion as on May 31, 2015 to ₹24.55 trillion
as on May 31, 2020, more than 2 fold increase in a span of 5 years.
The Industry‘s AUM had crossed the milestone of ₹10 Trillion (₹10 Lakh Crore) for the first
time in May 2014 and in a short span of about three years, the AUM size had increased more
than two folds and crossed ₹ 20 trillion (₹20 Lakh Crore) for the first time in August 2017. The
Industry AUM stood at ₹24.55 Trillion (₹ 24.55 Lakh Crore) as on May 31, 2020.
1|P a ge
The total number of accounts (or folios as per mutual fund parlance) as on May 31, 2020 stood at
9.10 crore (91 million), while the number of folios under Equity, Hybrid and Solution Oriented
Schemes, wherein the maximum investment is from retail segment stood at about 8.03 crore
(80.3 million). This is 72nd consecutive month witnessing rise in the no. of folios.
1.3 The Journey of Mutual Funds in India

Year Growth of Mutual Fund Industry in India
1963
Formation of the unit trust of India
1964
Launch of the maiden scheme of UTI- Unit Scheme 1964
1987
Entry of public sector funds- SBI Mutual Fund was the first one followed by Canbank
Mutual Fund
1993
Emergence of private sector funds- Franklin Templeton (erstwhile Kothari Pioneer) was
the first of its kind
2003
Robust growth and revised mutual fund regulation from SEBI in 1996, entry of foreign
funds, several mergers and acquisitions
2009
Removal of the entry load
2012
Single plan structure for mutual funds schemes
Cash investment allowed in mutual funds
Fungibility of total expense ratio (TER) allowed
Portion of TER to be used for investors education
Entire exit load to be credited to the scheme
Launch of Rajiv Gandhi Equity Savings Scheme (RGESS)
2013
Reduction in Securities Transaction Tax (STT) for equity funds
Uniform dividend distribution Tax (DTT) of 25 per cent on all debt mutual funds
Product labeling
Introduction of direct plans
2|P a ge
2014
Changed the definition of ― long term‖ for debt mutual funds to 36 months from 12
months for indexation benefit
Tax exemption limit for investment in financial instruments under section 80C raised to
+ 1.50 lakh from ₹ 1 lakh.
2015
Launch of MF Utility (MFU) – an online platform by AMFI
SEBI asked fund houses to shift from color coding to Riskometer which classified
schemes based on the risk profile
EPFO started investing in the equity market via Exchange Traded Fund (ETF)
SEBI allowed gold ETFs to invest up to 20 per cent of their assets in the government
gold monetization scheme.
2016
SEBI tightened norms for mutual fund investment in corporate bonds
Allowed investment advisors to use the infrastructure of the stock exchanges for sale
and purchase of mutual fund units.
Provide easy entry to the foreign fund managers keen to enter India
2017
SEBI allowed celebrities to endorse mutual funds products
Allowed investment up to ₹ 50,000 per mutual fund per financial year through digital
wallets
Instant access facility to the liquid fund‘s investors (via online mode) of up to ₹50,000
or 90 per cent of the folio value whichever is lower
Government discontinued the tax benefits of RGESS
Allowed mutual funds to invest in Real Estate investment Trusts (REITs) Infrastructure
Investment Trusts (InvITs)
1.4 Introduction of stock market


A stock market (also known as an equity market or share market), is a collection of buyers and
sellers of stocks. These stocks represent ownership interests in companies. These may include
publicly or privately traded securities. The New York Stock Exchange (NYSE), National stock
exchange (NSE) is an example of a share market.
Usually, large companies will list their stock on a stock exchange because it makes their shares
more liquid (i.e., easy to buy and sell), which investors love. This liquidity also attracts
international investors.
3|P a ge
As of 2017, the Global Stock Market is now worth a record $76.3 Trillion. The NYSE has a
market capitalization of roughly $21 trillion and is the largest stock market in the world.
A stock market, equity market or share market is the aggregation of buyers and sellers (a loose
network of economic transactions, not a physical facility or discrete entity) of stocks (also called
shares), which represent ownership claims on businesses; these may include securities listed on a
public stock exchange, as well as stock that is only traded privately. Examples of the latter
include shares of private companies which are sold to investors through equity crowdfunding
platforms. Stock exchanges list shares of common equity as well as other security types, e.g.
corporate bonds and convertible bonds.
1.5 Size of the market

Stocks are categorized in various ways. One way is by the country where the company is
domiciled. For example, Nestlé and Novartis are domiciled in Switzerland, so they may be
considered as part of the Swiss stock market, although their stock may also be traded on
exchanges in other countries, for example, as American depository receipts (ADRs) on U.S.
stock markets.
As of 2017, the size of the world stock market (total market capitalization) was about
US$79.225 trillion. By country, the largest market was the United States (about 34%), followed
by Japan (about 6%) and the United Kingdom (about 6%). These numbers increased in 2013.
As of 2015, there are a total of 60 stock exchanges in the world with a total market capitalization
of $69 trillion. Of these, there are 16 exchanges with a market capitalization of $1 trillion or
more, and they account for 87% of global market capitalization. Apart from the Australian
Securities Exchange, these 16 exchanges are based in one of three continents: North America,
Europe and Asia.
1.6 In India mainly two stock exchange.
1.6.1 NSE (National stock exchange)


The National Stock Exchange of India Limited was the first exchange in India to provide
modern, fully automated electronic trading. It was set up by a group of Indian financial
institutions with the goal of bringing greater transparency to the Indian capital market. As of
March 2016, the National Stock Exchange had accumulated $1.41 trillion in total market
capitalization, making it the world's 12th-largest stock exchange. The flagship index, the NIFTY
50, represents about 63% of total market capitalization listed on the exchange.
The National Stock Exchange of India Limited (NSE) is India's largest financial market.
Incorporated in 1992, the NSE has developed into a sophisticated, electronic market, which
ranked fourth in the world by equity trading volume in 2015. Trading commenced in 1994 with
the launch of the wholesale debt market and a cash market segment shortly thereafter.
4|P a ge
Today, the exchange conducts transactions in the wholesale debt, equity and derivative markets.
One of the more popular offerings is the NIFTY 50 Index, which tracks the largest assets in the
Indian equity market. US investors can access the index with exchanged traded funds (ETF) like
the iShares India 50 ETF, which is listed under the ticker symbol INDY.
The total traded value of stocks listed on the index makes up about 44% of the traded value of
all stocks on the NSE for the last six months. The index itself covers 12 sectors of the Indian
economy across 50 stocks. Besides the NIFTY 50 Index, the National Stock Exchange maintains
market indices that track various market capitalizations, volatility, specific sectors, and factor
strategies.
The National Stock Exchange has been a pioneer in Indian financial markets, being the first
electronic limit order book to trade derivatives and ETFs. The exchange supports more than
3,000 VSAT terminals, making the NSE the largest private wide-area network in the country.
Ashok Chawla is the Chairman of the Board of Directors and Vikram Limaye is the Managing
Director and CEO of the exchange.
1.6.2 BSE (Bombay stock exchange)
Bombay stock Exchange was founded by Premchand Roychand. He was one of the most
influential businessmen in 19th-century Bombay. A man who made a fortune in the stockbroking
business and came to be known as the Cotton King, the Bullion King or just the Big Bull. He
was also the founder of the Native Share and Stock Brokers Association, an institution that is
now known as the BSE.
While BSE Ltd is now synonymous with Dalal Street, it was not always so. The first venue of
the earliest stock broker meetings in the 1850s was in rather natural environs - under banyan
trees - in front of the Town Hall, where Horniman Circle is now situated. A decade later, the
brokers moved their venue to another set of foliage, this time under banyan trees at the junction
of Meadows Street and what is now called Mahatma Gandhi Road. As the number of brokers
increased, they had to shift from place to place, but they always overflowed to the streets. At last,
in 1874, the brokers found a permanent place, and one that they could, quite literally, call their
own. The new place was, aptly, called Dalal Street (Brokers' Street).
The Bombay Stock Exchange is the oldest stock exchange in Asia. Its history dates back to 1855,
when 22 stockbrokers would gather under banyan trees in front of Mumbai's Town Hall. The
location of these meetings changed many times to accommodate an increasing number of
brokers. The group eventually moved to Dalal Street in 1874 and became an official organization
known as "The Native Share & Stock Brokers Association" in 1875.
On August 31, 1957, the BSE became the first stock exchange to be recognized by the Indian
Government under the Securities Contracts Regulation Act. In 1980, the exchange moved to the
Phiroze Jeejeebhoy Towers at Dalal Street, Fort area. In 1986, it developed the S&P BSE
SENSEX index, giving the BSE a means to measure the overall performance of the exchange. In
5|P a ge
2000, the BSE used this index to open its derivatives market, trading S&P BSE SENSEX futures
contracts. The development of S&P BSE SENSEX options along with equity derivatives
followed in 2001 and 2002, expanding the BSE's trading platform.
1.7 Introduction of Mutual Funds
segment of the financial services sector in India. It aims at promoting a diversified, efficient and
competitive financial sector increasing the return on investment and promoting and accelerating
the growth of the economy. It is a medium of investment suitable to the small investors, who are
not able to invest in stock market directly.
Mutual funds have advantages and disadvantages compared to direct investing in individual
securities. The primary advantages of mutual funds are that they provide economies of scale, a
higher level of diversification, they provide liquidity, and they are managed by professional
investors. On the negative side, investors in a mutual fund must pay various fees and expenses.
Mutual funds now play a very significant role in channelizing the savings of millions of
individuals. The mutual fund industry in India over the years has seen dramatic
A mutual fund is a professionally managed investment fund that pools money from many
investors to purchase securities. These investors may be retail or institutional in nature.
The financial system is a set of institutional arrangements through which financial surpluses
available in the economy are mobilized. A financial system, which is inherently strong,
functionally diverse and displays efficiency and flexibility, is critical in creating a market-driven,
productive and competitive economy. A mature financial system has to gear up and undergo
varied and comprehensive changes in order to achieve rapid economic development.
The financial sector reforms in India in the early nineties has resulted in explosive growth of the
economy, opening up of the Indian financial market to foreign and private Indian players, large
inflow of Foreign Institutional Investors, increased competition and better product offerings to
consumers. One of the major developments of this decade has been the take-off of mutual funds.
segment of the financial services sector in India. It aims at promoting a diversified, efficient and
competitive financial sector increasing the return on investment and promoting and accelerating
the growth of the economy. It is a medium of investment suitable to the small investors, who are
not able to invest in stock market directly.
Mutual funds have advantages and disadvantages compared to direct investing in individual
securities. The primary advantages of mutual funds are that they provide economies of scale, a
higher level of diversification, they provide liquidity, and they are managed by professional
investors. On the negative side, investors in a mutual fund must pay various fees and expenses.
Mutual funds now play a very significant role in channelizing the savings of millions of
individuals. The mutual fund industry in India over the years has seen dramatic improvements in
terms of quantity as well as quality of product and service offerings in recent years. The
6|P a ge
tremendous growth of Indian Mutual Funds industry is an indicator of India‘s efficient financial
market and the trust which investors have on the regulatory environment. Millions of investors
rely on mutual funds as their primary investments because they offer a convenient, cost-effective
and easy way to invest in the financial markets. The Securities Exchange Board of India (SEBI)
regulates this fast-growing industry and it is the representative body of all mutual funds in the
country.
1.8 Growth of Mutual Fund Industry in India

In the last few years the MF Industry has grown significantly. The history of Mutual Funds in
India can be broadly divided into five distinct phases as explained by the Association of Mutual
Funds in India (AMFI) is as under:
First Phase (1964 to 1987) (Establishment of UTI)

The first phase of mutual fund started with the establishment of Unit Trust of India (UTI) in
1963 by an Act of Parliament. It was set up by the Reserve Bank of India and functioned under
the Regulatory and administrative control of the Apex Bank of India till 1978 later on UTI was
de-linked from the RBI and the Industrial Development Bank of India (IDBI) took over the
regulatory and administrative control in place of RBI. The first scheme launched by UTI was
Unit Scheme 1964. At the end of 1988 UTI had ₹ 6,700 crores of assets under management.
Second Phase –Entry of Public Sector Funds (1987 to 1993) (Entry of Public Sector Funds)
1987 marked the entry of public sector mutual funds which were set up by public sector banks;
Life Insurance Corporation of India (LIC) and General Insurance Corporation of India (GIC).
SBI Mutual Fund was the first non-UTI Mutual Fund established in June 1987 followed by Can
bank Mutual Fund (Dec 87), Punjab National Bank Mutual Fund (Aug 89), Indian Bank Mutual
Fund (Nov 89), Bank of India (Jun 90), Bank of Baroda Mutual Fund (Oct 92). LIC established
its mutual fund in June 1989 while GIC had set up its mutual fund in December 1990. At the end
of 1993, the mutual fund industry had assets under management of ₹ 47,004 crores.
Third Phase – Entry of Private Sector Funds (1993 to 2003) (Entry of Private Sector
Funds)
A new era started in the Indian mutual fund industry with the entry of private sector funds in
1993, providing the Indian investors a wider choice of fund families. Also, 1993 was the year in
which the first Mutual Fund Regulations came into being, under which all mutual funds, except
UTI were to be registered and governed. The erstwhile Kothari Pioneer (now merged with
Franklin Templeton) was the first private sector mutual fund registered in July 1993.
The 1993 SEBI (Mutual Fund) Regulations were substituted by a more comprehensive and
revised Mutual Fund Regulations in 1996. The industry now functions under the SEBI (Mutual
Fund) Regulations 1996. As at the end of January 2003, there were 33 mutual funds with total
assets of ₹ 1,21,805 crores. The Unit Trust of India with ₹ 44,541 crores of assets under
management was way ahead of other mutual funds.
Fourth Phase (February 2003 to April 2014)
7|P a ge
In February 2003, following the repeal of the Unit Trust of India Act 1963 UTI was bifurcated
into two separate entities. One is the Specified Undertaking of the Unit Trust of India with assets
under management of ₹ 29,835 crores as at the end of January 2003, representing broadly, the
assets of US 64 scheme, assured return and certain other schemes. The Specified Undertaking of
Unit Trust of India, functioning under an administrator and under the rules framed by
Government of India and does not come under the purview of the Mutual Fund Regulations.
The second is the UTI Mutual Fund, sponsored by SBI, PNB, BOB and LIC. It is registered with
SEBI and functions under the Mutual Fund Regulations. With the bifurcation of the erstwhile
UTI which had in March 2000 more than ₹ 76,000 crores of assets under management and with
the setting up of a UTI Mutual Fund, conforming to the SEBI Mutual Fund Regulations, and
with recent mergers taking place among different private sector funds, the mutual fund industry
has entered its current phase of consolidation and growth.
Current Phase (Fifth) May 2014 Onwards….

To "re-energize" the Indian Mutual Fund industry and increase MF‘s penetration SEBI
introduced several progressive measures in September 2012. These measures did succeed in
reversing the negative trend that had set in after the global melt-down and improved
significantly. Since May 2014, the Industry has witnessed steady inflows and increase in the
AUM as well as the number of investor folios (accounts). MF Distributors have been providing
the much-needed last mile connect with investors, particularly in smaller towns and helping
investors stay on course through bouts of market volatility and thus experience the benefit of
investing in mutual funds.
1.9 TYPES OF MUTUAL FUND SCHEMES

(A) Schemes by Structure (Maturity Period): A mutual fund scheme can be of three types
depending on its maturity period.
(1) Open Ended Scheme: An open-ended scheme/fund is one that is available for
subscription and repurchase on a continuous basis. These schemes do not have a fixed maturity
period. Investors can conveniently buy and sell units at Net Asset Value (NAV) related price
which are declared on a daily basis. The key feature of open-ended schemes is liquidity.
(2) Close-ended Scheme: A close ended scheme/fund has a stipulated maturity period
i.e. 5-7 year. The fund is open for subscription only during a specified period at the time of
launch of the scheme. Investors can invest in the scheme at the time of the initial public issue and
thereafter they can buy or sell the units of the scheme on the stock exchange where the units are
listed. In order to provide an exit route to the investors, some close-ended funds given an option
of selling back the units to the mutual fund through periodic repurchase at NAV related prices.
SEBI regulations stipulates that at least one of the two exist routes is provided to the investors
i.e. either repurchase facility or through listing on stock exchanges. These mutual funds schemes
disclose NAV generally on weekly basis.
(3) Interval Scheme: Interval schemes combine the features of open ended and close-
ended schemes. They are open for sale or redemption during predetermined intervals at NAV
related prices.
8|P a ge
(B) Schemes by Investment Objectives: A scheme can also be classified considering its
investment objective. Such scheme may be open ended or close ended schemes as described
earlier. Such schemes may be classified mainly as under: -
(1) Growth/Equity oriented schemes: The main objective of growth funds is capital
appreciation over the medium to long term period. The most of the funds are invested in equity
shares with significant growth potential and offer higher return to investors in the long term.
These funds assume the risks associated with equity investments. However, there is no guarantee
or assurance of returns. These schemes are usually close-ended and listed on stock exchanges.
These schemes are ideal for:
• Investors in their prime earning years

• Investors seeking growth over the long term
(2) Income/Debt Oriented Schemes: The aim of income funds is to provide regular and
steady income to investors. Such schemes generally invest in fixed income securities such as
bonds, corporate debenture, etc. Such funds are less risky compared to equity schemes. These
funds are not affected because of the fluctuations in equity markets. However, opportunities of
capital appreciation are also limited in such funds. The NAV of such funds are affected because
of change in interest rate. If the interest rates fall, NAVs of such funds are likely to increase in
the short run and vice versa. However, long term investors may not bother about these
fluctuations. These schemes are suitable for:
• Retired people and others with a need for capital stability and regular income.
• Investors who need some income to supplement their earnings.
(3) Balanced Schemes: The aim of balanced fund is to provide both growth and regular
income as such schemes invest both in equities and fixed income securities in the proportion
indicated in their offer documents. These are appropriate for investors looking for moderate
growth. They generally invest 40-60 per cent in equity and debt instruments. These funds are
also affected because of the fluctuations in share prices in the stock markets. However, NAVs of
such funds are likely to be less volatile compared to pure equity funds. These schemes are ideal
for:
• Investors looking for a combination of income and moderate growth.
(4) Money Market/Liquid Schemes: The main objective of money market/liquid

schemes is to provide easy liquidity, preservation of capital and moderate income. These
schemes generally invest in safer, short term instruments such as treasury bills, certificates of
deposit, commercial paper and interbank call money. Return on these schemes may fluctuate,
depending upon the interest rates prevailing in the market. These schemes are performed by:
9|P a ge
• Corporate and individual investors as a means to park their surplus funds for short
periods or awaiting more favorable investment alternatives.
(C) Schemes by Geographical Classification: A scheme may be classified on the basis of

geographical location. Such schemes may be:
(1) Domestic Funds: Funds which mobilize resources from a particular geographical
locality i.e. country of origin are domestic funds. The market is limited and confined to the
boundaries of a nation in which the fund operates. They can invest only in the securities which
are issued and traded in the domestic financial markets.
(2) Off-Share funds: Off share funds attract foreign capital for investment in the
Country of the issuing Company. They facilitates cross border funds flow which leads to an
increase in foreign currency and foreign exchange reserves. Such mutual funds are invested in
securities of foreign companies. They open domestic capital market to international investors.
Many mutual funds in India have launched a number of off-share funds, either independently or
jointly with foreign investment management companies. The first off share fund, the India fund,
was launched by UNIT Trust of India in July 1986 in collaboration with the US fund manager,
Merril Lynch.
(D) Other Schemes: A good number of other schemes are also available for investors who want
to opt mutual fund investments. A variety of schemes catering to various needs of the investors
are available and coming in the market to fulfill their needs. Some of the schemes are discussed
below:
(1) Gilt Funds: These funds invest exclusively in government securities as Government
securities
have no default risk. NAVs of these schemes also fluctuate due to change in interest rates and
other economic factor as in the case with income or debt-oriented schemes. With a view to
creating a wider investor base for government securities, the Reserve Bank of India encouraged
setting up of gilt funds. These funds are provided liquidity support by the Reserve Bank.
(2) Sector Specific funds: These are the funds/schemes which invest in the securities of
only those sector or industries as specified in the offer documents e.g. Pharmaceuticals, software,
fast moving consumer goods (FMCG), petroleum stocks, etc. The return in these funds is
dependent on the performance of the respective sectors/industries. While these funds may give
higher returns, they are more risky compared to diversified funds. Investors need to keep a watch
on the performance of those sectors/industries and must exit at an appropriate time.
(3) Tax Saving Schemes: These schemes are designed on the basis of tax policy with
special tax incentives to the investors. Mutual funds have introduced a number of tax saving
schemes. These are close-ended schemes and investments are made for ten years, although
investor can avail of encashment facility after three years. These schemes contain various options
like income, growth or capital appreciation. The latest scheme offered is the systematic
withdrawal plan (SWP) which enables the investors to reduce their tax incidence on dividends.
10 | P a g e
(4) Equity Linked Saving Schemes: In order to encourage investors to invest in equity
market the government has given tax-concessions through special schemes. Investment in
these schemes entitles the investor to claim an income tax rebate, but these schemes carry
a lock-in period before the end of which funds cannot be withdrawn.
(5) Load or No-Load Funds: Mutual funds incur certain expenses such as brokerage,
marketing expenses and communication expenses. These expenses are known as ‗load‘ and are
recovered by the fund when it sells the units to investors or repurchase the units from
withholders. In other words, load is a sales charge or commission, assessed by certain mutual
funds to cover their selling costs. Loads can be of two types:
• Front end load or sales load, is a charge collected at the time when an investor enters
into the scheme.
• Back-end load or repurchase load is a charge collected when the investor gets out of the
scheme.
Schemes that don‘t charge a load are called ‗No Load‘ schemes. In other words, if the asset
management company bears the load during the initial launch of the scheme, then these schemes
are known as no load schemes. However, these no-load schemes can have an exit load when the
unit holder gets out of the scheme before a stipulated period mentioned in the initial offer. This is
done to prevent short term investments and redemptions.
(6) Special Schemes: Mutual funds have launched special scheme to cater to the special
needs of investors. UTI has launched special schemes such as children ‗s Gift Growth Fund
1986, Housing Unit Scheme 1992 and Venture Capital funds. Besides, there are also other
schemes which invest exclusively in certain segments of the capital market, such as Large Caps,
Mid-Caps, Small Caps, Micro Caps, ‗A‘ group shares, shares issued through Initial Public
Offering (IPOs), etc.
(7) Index Funds: Index funds replicate the portfolio of a particular index such as the
BSE, S&P, and NSE 5 etc. These schemes invest in the securities in the same weight age
comprising of an index. NAVs of such schemes would rise or fall in accordance with the rise or
fall in the index, though not exactly by the same percentage due to some factors known as
Tracking error in technical terms. These funds are ideal for investor who is satisfied with a return
approximately equal to that of an index.
(8) Exchange Traded Funds (ETFs): ETFs are essentially index funds that are listed
and traded on exchanges like stocks. Globally, ETFs have opened a whole new panorama of
investment opportunities to retail as well as institutional investors. ETFs enable investor to gain
broad exposure to entire stock markets as well as specific sectors with relative ease, on a real-
time basis and at a lower cost than many other forms of investing. An ETF is a basket of stocks
that reflects the composition of an index, like S&P, CNX Nifty, BSE SENSEX, CNX Bank
Index, CNX PSU Bank Index, etc. The ETF‘s trading value is based on the net asset value of the
underlying stocks that it represents. It can be compared to a stock that can be bought and sold on
real time basis during the market hours. The first ETF in India, Benchmark Nifty BEEs, was
opened for subscription on December 12, 2001 and listed on the NSE on January 8, 2002.
11 | P a g e
(9) Funds of Funds (FOFs): FOFs are schemes that invest in other mutual fund
schemes. The portfolio of these schemes comprises only of units of other mutual funds schemes
and cash/money market securities/short term deposits pending deployment. The first FOF was
launched by Franklin Templeton Mutual Fund on October 17, 2003. Fund of Funds can be sector
specific e.g. Real Estate FOFs, Theme Specific e.g. Equity FOFs, objective specific e.g. Life
Stages FOFs or Style Specific e.g. Aggressive/Cautions FOFs, etc.
(10) Fixed Maturity Plans (FMPs): FMPs are investment schemes floated by mutual
funds and are close ended with a fixed tenure, the maturity period ranging from one month to
three/five years. These plans are predominantly debt oriented, while some of them may have a
small equity component. The objective of such a scheme is to generate steady returns over a
fixed maturity period and protect the investor against market fluctuations. FMPs are typically
passively managed fixed income schemes with the fund manager locking into investments with
maturities corresponding with the maturity of the plan. FMPs are not guaranteed products.
(11) Capital Protection Oriented Schemes: The schemes that endeavor to protect the
capital as the primary objective by investing in high quality fixed income securities and
generates capital appreciation by investing in equity/equity related instrument as a secondary
objective. The first capital protection-oriented fund in India i.e. Franklin Templeton Capital
Protection Oriented Fund was opened for subscription on October 31, 2006.
(12) Gold Exchange Traded Funds (GETFs): GETFs offer investors an innovative,
cost efficient and secure way to access the gold market. Gold ETFs are intended to offer
investors a means of participating in gold bullion market by buying and selling units on the stock
exchanges, without taking physical delivery of gold. The first gold ETF in India, known as
Benchmark GETF was opened for subscription on Feb. 15, 2007 and got listed on the NSE on
April 17, 2007.
(13) Quantitative Funds: A quantitative fund is an investment fund that selects

securities based on quantitative analysis. The mangers of such funds build compacter-based
models to determine whether or not an investment is attractive. In a pure ―Quant Shop‖ the final
decision to buy or sell is made by the model. However, there is a middle ground where the fund
manager will use human judgment in addition to a quantitative model. The first quant based
mutual fund schemes in India was Lotus Agile fund that opened for subscription on October 25,
2007.
12 | P a g e
1.10 MUTUAL FUND MECHANICS
The mutual fund mechanics starts when the Investors with common financial objectives pool
their money with the fund manager. The mutual fund issues units to investors in exchange for
cash. Investors get mutual fund units on a proportionate basis for the sum contributed to the pool.
It is important to know that funds do not issue a predetermined number of units as most
companies do; instead, new units are issued as each new investment is made. The money
collected from investors is invested in shares, debentures and other securities by the fund
manager. The investment pattern depends on the mutual funds stated investment objective. The
fund manager keeps a constant watch on the financial markets and adjusts the portfolio to
achieve the highest returns. The fund manager is responsible for the investment decisions. The
fund manager is assisted by the research team, dealers, brokers, and custodians, etc. The research
team provides the manager complete information on various investment opportunities which are
available in the market. The dealers execute the decisions. The fund manager performs the very
important task of selecting, investing and monitoring the stocks and bonds. The primary assets of
the fund are the securities in which the fund invests and these securities generate dividends,
interest and sale proceeds. At the close of every trading day, a mutual fund takes the market
value of all the securities in its portfolio and deducts its expenses, advertising costs, etc. The
balance is divided by the number of units owned by the unit holders to arrive at the value of one
unit of the mutual fund or the net asset value, or NAV. The returns are passed on to the
investors. They get a proportionate share of the fund‘s income and losses.
13 | P a g e
Chapter 2: Review of Literature
Sondhi (2004) (Financial Performance of Indian Mutual Funds) studied the financial
performance evaluation of equity oriented mutual funds on the basis of type, size and ownership
of mutual funds using the measures of absolute rate of return, comparison with benchmarks
(BSE 100) and the return on 364 days T-bills and risk adjusted performance measures (Sharpe,
Treynor, Jensen‘s Alpha and Fama). This method of performance evaluation is more appropriate
and the researcher has very beautifully presented the facts and figures. The methodology adopted
in this study is very systematic and the results are shown as per the different methods according
to the required parameters.
Anjan Chakrabarti and Harsha Rungta (2000) (Mutual Funds Industry in India: An In-depth
Look into the Problems of Credibility, Risk and Brand) in their study attempts to identify and
evaluate the performance of mutual funds with focus on private sector equity funds. The authors
study the risk-return characteristics of selected major equity based private mutual funds
companies. The inference of the study reveals that there is no one-to-one correspondence
between performance by return and performance by risk-adjusted returns.
Raychaudhuri Arjun (2005) (Persistence in the Indian Mutual Fund Market) studies about
persistence in mutual fund performance in India, from 2001-04. The study uses several tests from
the literature to conclude that there is persistence in the mutual fund market. It is found by the
author that performance measures that are constructed using large lags of data are better
predictors of future performance. In addition, the predictions of performance for longer future
periods are superior to predictions made for short-run future periods. Finally, it is found that
auto-regression tests for persistence may fail despite the presence of persistence.
Sadhak (2003) (Mutual Funds in India -Marketing Strategies and Investment Practices) in his
book discusses in detail the growth of Indian mutual fund industry over a period of time. Dr.
Sadhak lucidly explains the characteristics of mutual funds, and the benefits/risks of investing in
them. In addition, he describes recent changes in regulatory practices, marketing strategies,
investment management, products, distribution, and service delivery systems. Several
improvements in the strategic and operational practices of mutual funds are suggested keeping in
mind the mechanisms used by fund managers in developed economies.
14 | P a g e
Chapter 3: Research Methodology
3.1 Title of the Study

Analysis of Mutual Fund Scheme with special reference to ICICI prudential Mutual fund‖
3.2 Research objective

To examine the growth and development of Indian mutual funds in terms of resource
mobilization and assets under management
To understand the inception, growth and performance of ICICI Prudential Asset management
company.
To evaluate the performance of the sample schemes of ICICI Prudential mutual funds and to
measure the risk/volatility in order to arrive at the appropriate risk- adjusted rate of return using
W.F. Sharpe‘s method, Beta (β) & Trey nor ratio.
3.3 Significance of the study
3.4 Variables of the study

Return
Beta
Risk Free rate
Standard Deviation
3.5 Research design

This report will use Descriptive Research Design.
3.6 Data collection plan

Since the primary objective of the study is to evaluate the performance of the sample schemes for
the period march 2015 to march 2020 of selected mutual funds, the CAGR returns along with the
index value of the benchmark indices were obtained from the following sources:
(1) AMFI updates

(2) Monthly and yearly fact sheets of ICICI Prudential mutual fund i.e. KIM (Key Information
Memorandum)
(3) Internet sites (a) www.nseindia.com
(b) www.mutualfundsindia.com
(c) www.amfi.com
(d) www.bseindia.com
(e) www.sebi.gov.in.com
(f) www.icicibank.com
(g) www.icicipruamc.com
15 | P a g e
3.7 Sampling plan
For the purpose of the study the non-probability method of Convenient sampling has been
chosen ICICI Prudential Mutual Funds (7equity schemes, 2 debt schemes, 2 hybrid schemes,
2 ETF schemes). The procedure adopted in selection of schemes is described below:
Based on the judgment sampling, the following procedure has been adopted in
selection of schemes:
Even though the selection of sample schemes was based on Convenient sampling, the researcher
would like to present the reason behind this selection of the sample.
First, before deciding on the title of the study the researcher did an extensive research to find out
some of the best performing Schemes of ICICI Prudential Mutual Fund. For this the researcher
had to depend on the secondary sources namely reports like Key Information Memorandum
(KIM) of ICICI Prudential Mutual Fund, mutual fund updates, leading mutual fund magazines
like Mutual Fund Insight, Outlook Money and Internet sites like Value Research online,
Mutualfundindia.com, icicipruamc.com etc.
3.8 Data analysis
3.8.1 Sharpe Ratio

The performance of the funds will be measured by observing the rates of return they are able to
earn during the duration of the test period (five years) using the Sharpe‘s Ratio method of
performance evaluation. This method utilizes a risk-adjusted return measurement and it is
considered to be the most popular technique to measure portfolio performance. Sharpe Ratio is
computed using the formula:
Sharpe ratio of the mutual fund scheme = (Rp-Rf)/σ
The benchmark comparison is = (Rm-Rf)/ σm
▪ Where Rp is the average return of the mutual fund scheme portfolio

▪ Where Rm is the average return of the benchmark portfolio
▪ Rf is the average risk-free rate
▪ σ p, σ m is the standard deviation of the portfolio.
16 | P a g e
3.8.2 Beta (β)
The beta (β or beta coefficient) of an investment indicates whether the investment is more or less
volatile than the market as a whole.
Beta is a measure of the risk arising from exposure to general market movements as opposed to
idiosyncratic factors. The market portfolio of all investable assets has a beta of exactly 1. A beta
below 1 can indicate either an investment with lower volatility than the market, or a volatile
investment whose price movements are not highly correlated with the market. An example of the
first is a treasury bill: the price does not go up or down a lot, so it has a low beta. An example of
the second is gold. The price of gold does go up and down a lot, but not in the same direction or
at the same time as the market.
A beta greater than 1 generally means that the asset both is volatile and tends to move up and
down with the market. An example is a stock in a big technology company. Negative betas are
possible for investments that tend to go down when the market goes up, and vice versa. There are
few fundamental investments with consistent and significant negative betas, but some derivatives
like put options can have large negative betas.
Beta is important because it measures the risk of an investment that cannot be reduced by
diversification. It does not measure the risk of an investment held on a stand-alone basis, but the
amount of risk the investment adds to an already-diversified portfolio. In the Capital Asset
Pricing Model (CAPM), beta risk is the only kind of risk for which investors should receive an
expected return higher than the risk-free rate of interest.
The definition above covers only theoretical beta. The term is used in many related ways in
finance. For example, the betas commonly quoted in mutual fund analyses generally measure the
risk of the fund arising from exposure to a benchmark for the fund, rather than from exposure to
the entire market portfolio. Thus, they measure the amount of risk the fund adds to a diversified
portfolio of funds of the same type, rather than to a portfolio diversified among all fund types.
3.8.3 Treynor Ratio
The Treynor reward to volatility model (sometimes called the reward-to-volatility ratio or
Treynor measure), named after Jack L. Treynor, is a measurement of the returns earned in
excess of that which could have been earned on an investment that has no diversifiable risk (e.g.,
Treasury bills or a completely diversified portfolio), per each unit of market risk assumed.
The Treynor ratio relates excess return over the risk-free rate to the additional risk taken;
however, systematic risk is used instead of total risk. The higher the Treynor ratio, the better the
performance of the portfolio under analysis.
17 | P a g e
Formula:
Where,
T = Treynor ratio
ri = portfolio i‘s return
rf = risk free rate
βi = portfolio i‘s beta
Limitations
Like the Sharpe ratio, the Treynor ratio (T) does not quantify the value added, if any, of active
portfolio management. It is a ranking criterion only. A ranking of portfolios based on the
Treynor Ratio is only useful if the portfolios under consideration are sub-portfolios of a broader,
fully diversified portfolio. If this is not the case, portfolios with identical systematic risk, but
different total risk, will be rated the same. But the portfolio with a higher total risk is less
diversified and therefore has a higher unsystematic risk which is not priced in the market.
3.9 Benefits of the study
There are so many schemes of ICICI mutual funds so it helps investor to choose best Mutual
fund scheme.
It will helpful to understand about Mutual Fund and Mutual Fund Industry.
3.10 limitation of the study


major limitation of the study is there are other popular performance measures for evaluating the
performance of mutual funds but only few techniques has been used in this study to evaluate the
schemes selected for the purpose of the study.
Another limitation of the study is the sample size of the mutual fund companies. Only one companies
have been selected for the purpose of the study due to the general limitations of a research work like
for e.g. time, availability of resources, period of study and geographical limitations. The underlying
assumption here is by examining the profile of these one companies, an understanding of the industry
in general is attained.
Since it is very difficult to evaluate all the schemes of the sample companies, only few schemes have
been selected for the purpose of the study.
Other limitation is that time duration for the research is too short so researcher is not doing depth
research about the mutual fund performance.
18 | P a g e
Chapter 4: Data Analysis and Findings
4.1 Analysis of Sample Schemes of ICICI Prudential Mutual Fund by Sharpe ratio
Sharpe Ratio is the performance measure developed by William Sharpe is referred to as the
Sharpe ratio or reward to variability ratio. It is the ratio of the reward or risk premium to the
variability of return or risk as measured by the standard deviation of return.
As discussed earlier, the performance evaluation of the sample schemes is carried out using the
Sharpe Ratio in this study. Among the different measures that are available, Sharpe Ratio is the
simplest and the most popular performance measure. Sharpe Ratio is a ratio developed by
―Nobel Laureate William F. Sharpe (1966)‖ to measure risk-adjusted performance and is
considered to be one of the best tools for determining a fund‘s performance. This reward to
variability ratio measures the excess return per unit of total risk (Standard Deviation).‘ The
higher the Sharpe Ratio, the better a fund‘s historic risk-adjusted performance.
The Sharpe Ratio formula is given below:

Sharpe Ratio of the Mutual Fund Scheme = (Rp-Rf)/SDp
The Benchmark Comparison is = (Rm-Rf)/SDm
Where Rp is the average return of the mutual fund scheme portfolio

Where Rm is the average return of the benchmark portfolio
Rf is the average risk-free rate
SDp, SDm is the standard deviation of the port folio
4.2 Computation of Risk-Free Rate of Return
The annualized rate of return on a risk less investment is called as the Risk-Free Rate of Return.
This is the rate against which other returns are generally measured. The risk-free rate of return is
used to see whether the investor is compensated for the additional risk taken with the risky asset.
Traditionally, the risk-free rate of return is the shortest dated government T-bill as this type of
security will have the least volatility. In order to compute risk adjusted return, the risk-free rate
has to be computed as:
19 | P a g e
This study uses the average 91-day T-bill for five years and the average 91-day t- bill has been
computed as given below based on the five-year annualized yield.
Table 4.1 - Yield On 91 Day Treasury Bill Rates for the period 2015 To 2020
Sr.No. Period 91-day T-bill rate-Annualized
1 2019-2020 5.457
2 2018-2019 6.584
3 2017-2018 6.201
4 2016-2017 6.368
5 2015-2016 7.361
Average 6.394
Source: https://in.investing.com/rates-bonds/india-3-month-bond-yield-historical-data
Based on the formulae given above, Average risk-free rate has been computed and the value =
6.394
4.3 Data collection of Equity schemes
4.3.1 ICICI Prudential Banking & Financial Services Fund

Type: An open-ended equity scheme investing in Banking & Financial Services sector.
Investment Objective: To generate long-term capital appreciation to unit holders from a

portfolio that is invested predominantly in equity and equity related securities of companies
engaged in banking and financial services. However, there can be no assurance that the
investment objective of the Scheme will be realized.
Returns: CAGR (return since inception is 12.82% - Aug 22, 2008).
Benchmark is Nifty Financial Services Index (Since Inception is 13.02%)
Table 4.2 - ICICI Prudential Banking & Financial Services Fund

CAGR return
Sr no. Period Benchmark return
(%)
1 2019-2020 -38.02 -25.31
2 2018-2019 14.74 23.63
3 2017-2018 10.45 17.85
4 2016-2017 57.26 34.3
5 2015-2016 -9.88 -11.92
Average 6.91 7.71
std. 31.34 22.53
Source: Compiled from Key Information Memorandum and Fund Fact Sheet Volumes of ICICI
Prudential Mutual Fund
20 | P a g e
4.3.2 ICICI Prudential Blue-chip Fund
Type: An open-ended equity scheme predominantly investing in large cap stocks.
Investment Objective: To generate long term capital appreciation and income distribution to
investors from a portfolio that is predominantly invested in equity and equity related securities of
large cap companies. However, there can be no assurance or guarantee that the investment
objective of the Scheme would be achieved.
Returns: CAGR (return since inception is 10.24% - May 23, 2008).
Benchmark is Nifty 50 Index (Since Inception is 6.64%).

The new benchmark, ―Nifty 100 Index‖ will be applied from 28th May, 2018.
Table 4.3 - ICICI Prudential Blue-chip Fund

CAGR return
(%)
1 2019-2020 -24.65 -24.94
2 2018-2019 9.19 13.96
3 2017-2018 12.52 12.22
4 2016-2017 24.78 22.59
5 2015-2016 -6.65 -6.89
Average 3.04 3.39
std. 17.09 17.13
4.3.3 ICICI Prudential Dividend Yield Equity Fund

Type: An open-ended equity scheme predominantly investing in dividend yielding stocks.
Investment Objective: To generate long-term capital appreciation to unit holders from a portfolio
that is invested predominantly in equity and equity related securities of companies engaged in
banking and financial services. However, there can be no assurance that the investment objective of
the Scheme will be realized.
Benchmark is Nifty Dividend Opportunities 50 Index (Since Inception is 5.05%).
Table 4.4 - ICICI Prudential Dividend Yield Equity Fund

CAGR return
(%)
1 2019-2020 -32.09 -25.87
21 | P a g e
2 2018-2019 -1.46 10.08
3 2017-2018 11.49 11.35
4 2016-2017 35.68 31.94
5 2015-2016 -6.2 -7.64
Average 1.48 3.97
std. 22.20 19.49
4.3.4 ICICI Prudential Exports and Services Fund

Type: An open-ended equity scheme following Exports & Services theme.
Investment Objective: To generate capital appreciation and income distribution to unit holders
by investing predominantly in equity/equity related securities of the companies belonging to
Exports & Services industry. However, there can be no assurance or guarantee that the
investment objective of the Scheme would be achieved.
Returns: CAGR (return since inception is 10.57% - Nov 30, 2005).
Benchmark is Nifty Services Sector Index (Since Inception is 9.62%).
Table 4.5 - ICICI Prudential Exports and Services Fund

CAGR
return (%)
1 2019-2020 -26.61 -26.46
2 2018-2019 0.96 9.67
3 2017-2018 11.05 13.21
4 2016-2017 18.2 25.53
5 2015-2016 -2.75 -6.42
Average 0.17 -2.178
std. 15.30 17.96
4.3.5 ICICI Prudential FMCG Fund

Type: An open-ended equity scheme investing in FMCG sector.
22 | P a g e
Investment Objective: To generate long term capital appreciation through investments made
primarily in equity & equity related securities forming part of FMCG sector. However, there is
no assurance or guarantee that the investment objective of the Scheme would be achieved.
Returns: CAGR (return since inception is 15.78% - Mar 31, 1999).
Benchmark is Nifty FMCG Index (Since Inception is 12.87%).
Table 4.6 - ICICI Prudential FMCG Fund

CAGR return
(%)
1 2019-2020 -12.56 -8.62
2 2018-2019 10.62 17.73
3 2017-2018 14.63 12.55
4 2016-2017 22.77 21.23
5 2015-2016 -1.11 -0.59
Average 6.87 8.46
std. 12.40 11.31
4.3.6 ICICI Prudential Focused Equity Fund

Type: An open-ended equity scheme investing in maximum 30 stocks across market-
capitalization i.e. focus on multi cap.
Investment Objective: To generate capital appreciation by investing in a concentrated portfolio

of equity and equity related securities of up to 30 companies across market capitalization i.e.
focus on multi cap. However, there can be no assurance or guarantee that the investment
objective of the Scheme would be achieved.
Benchmark is S&P BSE 100 Index (Since Inception is 9.02%).

The new benchmark, ―S&P BSE 500 Index‖ will be applied from 28th May, 2018.
Table 4.7 - ICICI Prudential Focused Equity Fund

CAGR
return (%)
1 2019-2020 -25.5 -26.46
2 2018-2019 8.91 10.27
3 2017-2018 5.95 12.12
23 | P a g e
4 2016-2017 23.17 22.79
5 2015-2016 -8.58 -7.54
Average 0.79 11.18
std. 16.57 17.34
4.3.7 ICICI Prudential Value Discovery Fund

Type: An open-ended equity scheme following a value investment strategy.
Investment Objective: To generate returns through a combination of dividend income and

capital appreciation by investing primarily in a well-diversified portfolio of value stocks.
However, there can be no assurance or guarantee that the investment objective of the Scheme
would be achieved.
Returns: CAGR (return since inception is 16.28% - Aug 16, 2004).
Benchmark is S&P BSE 500 Index.

Past performance may or may not be sustained in future. As TRI data is not available since
inception of the scheme, benchmark performance is calculated using composite CAGR of S&P
BSE 500 Index PRI values from 16-Aug-04 to 01-Aug-06 and TRI values since 01-Aug-06.
Table 4.8 - ICICI Prudential Value Discovery Fund

CAGR
return (%)
1 2019-2020 -27.74 -48.4
2 2018-2019 5.23 -7.31
3 2017-2018 5.9 0.68
4 2016-2017 20.67 61.54
5 2015-2016 -4.77 -8.93
Average -0.14 -0.48
std. 16.01 35.39
24 | P a g e
4.4 Data collection of Debt Schemes
4.4.1 ICICI Prudential All Seasons Bond Fund

Type: An open-ended dynamic debt scheme investing across duration.
Investment Objective: To generate income through investing in a range of debt and money
market instruments of various duration while maintaining the optimum balance of yield, safety
and liquidity. However, there can be no assurance or guarantee that the investment objective of
the Scheme would be achieved.
Returns: CAGR (return since inception is 9.58% - Jan 20, 2010).
Benchmark is Crisil Composite Bond Fund Index (Since Inception is 8.09%).

With effect from 28th May, 2018 the new bench mark - ―NIFTY Composite Bond Index‖ will be
applied.
Table 4.9 - ICICI Prudential All Seasons Bond Fund

CAGR
return (%)
1 2019-2020 6.59 6.64
2 2018-2019 6.33 5.07
3 2017-2018 13.58 10.55
4 2016-2017 6.63 7.46
5 2015-2016 19.93 14.37
Average 10.61 8.82
std. 5.40 3.30
4.4.2 ICICI Prudential Banking & PSU Debt Fund

Type: An open-ended debt scheme predominantly investing in Debt instruments of banks, Public
Sector Undertakings, Public Financial Institutions and Municipal Bonds.
Investment Objective: To generate income through predominantly investing in Debt

instruments of banks, Public Sector Undertakings, Public Financial Institutions and Municipal
Bonds while maintaining the optimum balance of yield, safety and liquidity. However, there can
be no assurance or guarantee that the investment objective of the Scheme would be achieved.
Returns: CAGR (return since inception is 8.58% - Jan 1, 2010)
Benchmark is CRISIL Short Term Bond Fund Index (Since Inception is 8.77%).
With effect from 28th May, 2018 the new bench mark - ―CRISIL Banking and PSU Debt Index‖
will be applied.
25 | P a g e
Table 4.10 - ICICI Prudential Banking & PSU Debt Fund
Period CAGR Benchmark return
Sr no. return (%)
1 2019-2020 6.25 7.26
2 2018-2019 6.45 7.08
3 2017-2018 11.02 9.85
4 2016-2017 8.72 8.27
5 2015-2016 10.48 12.7
Average 8.58 9.03
std. 1.98 2.08
4.5 Data Collection of Hybrid Schemes
4.5.1 ICICI Prudential Equity Savings Fund
Type: An open-ended scheme investing in equity, arbitrage and debt.
Investment Objective: The Scheme seeks to generate regular income through investments in
fixed income securities and using arbitrage and other derivative strategies. The Scheme also
intends to generate long-term capital appreciation by investing a portion of the Scheme‘s assets
in equity and equity related instruments. However, there can be no assurance that the investment
objective of the Scheme will be realized.
Returns: CAGR (return since inception is 5.64% - Dec 5, 2014).
Benchmark is 30% Nifty 50 + 40% CRISIL Liquid Fund Index + 30% CRISIL Short Term
Bond Fund Index (Since Inception is 6.39%).
Table 4.11 - ICICI Prudential Equity Savings Fund

CAGR
return (%)
1 2019-2020 -7.7 -4.47
2 2018-2019 7.49 9.98
3 2017-2018 5.87 7.9
4 2016-2017 16.46 11.97
5 2015-2016 1.46 1.94
Average 4.72 5.46
std. 7.90 6.00
26 | P a g e
4.5.2 ICICI Prudential Equity - Arbitrage Fund

Type: An open ended hybrid scheme investing predominantly in equity and equity related
instruments.
Investment Objective: To generate long term capital appreciation and current income from a
portfolio that is invested in equity and equity related securities as well as in fixed income
securities. However, there can be no assurance or guarantee that the investment objective of the
Scheme would be achieved.
Returns: CAGR (return since inception is 7.43%).
Benchmark is Nifty 50 Arbitrage Index
Table 4.12 - ICICI Prudential Equity - Arbitrage Fund

CAGR
return (%)
1 2019-2020 6.26 6.09
2 2018-2019 6.02 5.37
3 2017-2018 5.75 4.36
4 2016-2017 6.51 6.07
5 2015-2016 6.68 6.49
Average 6.24 5.68
std. 0.33 0.75
4.6 Data Collection of ETF Schemes
4.6.1 ICICI Prudential Asset Allocator Fund

Type: An open ended fund of funds scheme investing in equity oriented schemes, debt oriented
schemes and gold ETF/schemes.
Investment Objective: The primary objective of the Scheme is to generate capital appreciation
primarily from a portfolio of equity, debt, and gold schemes accessed through the diversified
investment styles of underlying schemes.
Benchmark is Nifty 50 Arbitrage Index (return since inception is 9.30%).
27 | P a g e
Table 4.13 - ICICI Prudential Asset Allocator Fund
CAGR
return (%)
1 2019-2020 -13.63 -7.3
2 2018-2019 11.9 11.79
3 2017-2018 7.73 8.21
4 2016-2017 19.5 13.16
5 2015-2016 -0.31 2.17
Average 5.04 5.61
std. 11.32 7.49
4.6.2 ICICI Prudential Midcap Select ETF

Type: An open ended exchange traded fund tracking S&P BSE Midcap Select Index.
Investment Objective: The investment objective of the scheme is to provide returns before
expenses that closely correspond to the total return of the Underlying Index subject to tracking
errors.
Benchmark is S&P BSE Midcap Select (return since inception is 1.88%).
Table 4.14 - ICICI Prudential Midcap Select ETF

CAGR
return (%)
1 2019-2020 -32.44 -32.44
2 2018-2019 -2.45 2.24
3 2017-2018 14.95 16.01
4 2016-2017 0 0
5 2015-2016 0 0
Average -6.65 -4.73
std. 19.57 20.38
4.7 Sharpe Ratio

The performance of the funds will be measured by observing the rates of return they are able to
earn during the duration of the test period (five years) using the Sharpe‘s Ratio method of
performance evaluation. This method utilizes a risk-adjusted return measurement and it is
28 | P a g e
considered to be the most popular technique to measure portfolio performance. Sharpe Ratio is
computed using the formulae:
Sharpe ratio of the mutual fund scheme = (Rp-Rf)/ σp
The benchmark comparison is = (Rm-Rf)/ σm
▪ Where Rp is the average return of the mutual fund scheme portfolio

▪ Where Rm is the average return of the benchmark portfolio
▪ Rf is the average risk-free rate
▪ σp, σm is the standard deviation of the portfolio.
The Sharpe ratio has become the most widely used method for calculating the risk-adjusted
return. Modern Portfolio Theory states that adding assets to a diversified portfolio that have low
correlations can decrease portfolio risk without sacrificing return.
The Sharpe ratio can be used to evaluate a portfolio‘s past performance (ex-post) where actual
returns are used in the formula. Alternatively, an investor could use expected portfolio
performance and the expected risk-free rate to calculate an estimated Sharpe ratio.
The greater a portfolio's Sharpe ratio, the better its risk-adjusted performance. If the analysis
results in a negative Sharpe ratio, it either means the risk-free rate is greater than the portfolio‘s
return, or the portfolio's return is expected to be negative. In either case, a negative Sharpe ratio
does not convey any useful meaning.
4.8 Computation of Sharpe Ratios for the Mutual fund Schemes

The following table presents the Sharpe Ratios for all the 13 sample schemes, which includes 7
equity schemes, 2 debt schemes, 2 hybrid schemes, 2 ETF schemes respectively from ICICI
Prudential Mutual fund. As mentioned earlier, the Sharpe ratio is based on the trade-off between
risk and return. A high Sharpe ratio means that the fund delivers a lot of return for its level of
volatility. The Sharpe ratio allows a direct comparison of the risk-adjusted performance of any
two mutual funds, regardless of their volatilities and their correlations with a benchmark.
29 | P a g e
Table 4.15 - Sharpe Ratios of the Mutual Fund Schemes
Average free Sharpe
benchmark Standard ratios of
Average fund
return
Sr. returns of the deviation the MF
Name of the sample scheme MF scheme
Rf-6.394% of the fund scheme
No. Rm-Rf
(Ri)
(present) (σp) (Rp-Rf)
σp
ICICI Prudential Banking & Financial
1 6.91 0.52 31.34 0.02
Services Fund
2 ICICI Prudential Blue-chip Fund 3.04 -3.35 17.09 -0.20
ICICI Prudential Dividend Yield
3 1.48 -4.91 22.2 -0.22
Equity Fund
ICICI Prudential Exports and Services
4 0.17 -6.22 15.3 -0.41
Fund
5 ICICI Prudential FMCG Fund 6.87 0.48 12.4 0.04
6 ICICI Prudential Focused Equity Fund 0.79 -5.60 16.57 -0.34
7 ICICI Prudential Value Discovery Fund -0.14 -6.53 16.01 -0.41
ICICI Prudential All Seasons Bond

8 10.61 4.22 10.61 0.40
Fund
ICICI Prudential Banking & PSU Debt
9 8.58 2.19 1.98 1.10
Fund
10 ICICI Prudential Equity Savings Fund 4.72 -1.67 7.9 -0.21
ICICI Prudential Equity - Arbitrage

11 6.24 -0.15 0.33 -0.47
Fund
12 ICICI Prudential Asset Allocator Fund 5.04 -1.35 11.32 -0.12
13 ICICI Prudential Midcap Select ETF -6.65 -13.04 19.57 -0.67
30 | P a g e
4.9 Computation of Sharpe Ratios for the Benchmarks
Table 4.16 - Sharpe Ratios for the Benchmarks

Average
free
Standard Sharpe
Average benchmark
deviation of ratios of the
Sr. benchmark return
Name of the sample scheme returns of Rf-6.394%
the benchmark
No. benchmark (Rm-Rf)
the portfolio Rm-Rf
(σm) σm
(present)

1 7.71 1.32 22.53 0.06
Services Fund
2 ICICI Prudential Blue-chip Fund 3.39 -3.00 17.13 -0.18
ICICI Prudential Dividend Yield Equity
3 3.97 -2.42 19.49 -0.12
Fund
4 -2.18 -8.57 17.96 -0.48
Fund
5 ICICI Prudential FMCG Fund 8.46 2.07 11.31 0.18
6 ICICI Prudential Focused Equity Fund 11.18 4.79 17.34 0.28
7 ICICI Prudential Value Discovery Fund -0.48 -6.87 35.39 -0.19
8 ICICI Prudential All Seasons Bond Fund 8.82 2.43 3.30 0.74
9 9.03 2.64 2.08 1.27
Fund
10 ICICI Prudential Equity Savings Fund 5.46 -0.93 6.00 -0.16
11 ICICI Prudential Equity - Arbitrage Fund 5.68 -0.71 0.75 -0.95
12 ICICI Prudential Asset Allocator Fund 5.61 -0.78 7.49 -0.10
13 ICICI Prudential Midcap Select ETF -4.73 -11.12 20.38 -0.55
31 | P a g e
4.10 Computation of Rank of the ICICI Prudential Mutual Fund Schemes
Table 4.17 - Comparison of Results of Sharpe Ratios of the Schemes with their Benchmarks and the
Ranks in the Order of Performance
Sharpe
Ratios of Sharpe
Sr. the Ratios of
Name of the Sample Schemes diff. rank
No. Mutual The
Fund Benchmarks
Schemes
11 ICICI Prudential Equity - Arbitrage Fund -0.47 -0.95 0.49 1
4 ICICI Prudential Exports and Services Fund -0.41 -0.48 0.07 2
12 ICICI Prudential Asset Allocator Fund -0.12 -0.10 -0.01 3
2 ICICI Prudential Blue-chip Fund -0.20 -0.18 -0.02 4
1 0.02 0.06 -0.04 5
Services Fund
10 ICICI Prudential Equity Savings Fund -0.21 -0.16 -0.06 6
3 -0.22 -0.12 -0.10 7
Fund
13 ICICI Prudential Midcap Select ETF -0.67 -0.55 -0.12 8
5 ICICI Prudential FMCG Fund 0.04 0.18 -0.14 9
9 1.10 1.27 -0.16 10
Fund
7 ICICI Prudential Value Discovery Fund -0.41 -0.19 -0.21 11
8 ICICI Prudential All Seasons Bond Fund 0.40 0.74 -0.34 12
6 ICICI Prudential Focused Equity Fund -0.34 0.28 -0.61 13
4.11 Interpretation of the results of Sharpe Ratios of the mutual fund schemes and their benchmark
ratios
Now, in order to identify easily the toppers and the laggards, the sample schemes have been
ranked on basis of comparison with their benchmark ratios to facilitate understanding of the
results. The total sample size is 13 schemes and the risk adjusted returns for each of the scheme
based on the technique of Sharpe‘s ratio were computed. Like-wise, by using the same method of
computation, the Sharpe Ratios for the benchmark portfolio was also computed. Out of the 13
sample schemes presented above 2 schemes out of 13 sample schemes have outperformed their
benchmarks and 11 schemes have shown negative performance. The top 5 performing funds on
the basis of Sharpe Ratio method are presented below in order of their ranks.
1. ICICI Prudential Equity - Arbitrage Fund

2. ICICI Prudential Exports and Services Fund
3. ICICI Prudential Asset Allocator Fund
4. ICICI Prudential Banking & Financial Services Fund
32 | P a g e
5. ICICI Prudential Equity Savings Fund
A look at the top-ranking funds during the study period shows that ICICI Prudential Equity -
Arbitrage Fund has emerged as the best performer among all the sample schemes. The fund
manager has been very sensible in allocating the funds very carefully and managing the funds
efficiently. Other investment options for investors seeking an alternate source of income have
managed to grab the second (ICICI Prudential Exports and Services Fund), third (ICICI
Prudential Asset Allocator Fund) , fourth (ICICI Prudential Banking & Financial Services Fund)
ranks respectively and Fifth (ICICI Prudential Equity Savings Fund)
4.12 Beta (β)

The beta (β or beta coefficient) of an investment indicates whether the investment is more or less
volatile than the market as a whole.
Beta is a measure of the risk arising from exposure to general market movements as opposed to
idiosyncratic factors. The market portfolio of all investable assets has a beta of exactly 1. A beta
below 1 can indicate either an investment with lower volatility than the market, or a volatile
investment whose price movements are not highly correlated with the market. An example of the
first is a treasury bill: the price does not go up or down a lot, so it has a low beta. An example of
the second is gold. The price of gold does go up and down a lot, but not in the same direction or
at the same time as the market.
A beta greater than 1 generally means that the asset both is volatile and tends to move up and
down with the market. An example is a stock in a big technology company. Negative betas are
possible for investments that tend to go down when the market goes up, and vice versa. There are
few fundamental investments with consistent and significant negative betas, but some derivatives
like put options can have large negative betas.
Beta is important because it measures the risk of an investment that cannot be reduced by
diversification. It does not measure the risk of an investment held on a stand-alone basis, but the
amount of risk the investment adds to an already-diversified portfolio. In the Capital Asset
Pricing Model (CAPM), beta risk is the only kind of risk for which investors should receive an
expected return higher than the risk-free rate of interest.
The definition above covers only theoretical beta. The term is used in many related ways in
finance. For example, the betas commonly quoted in mutual fund analyses generally measure the
risk of the fund arising from exposure to a benchmark for the fund, rather than from exposure to
the entire market portfolio. Thus, they measure the amount of risk the fund adds to a diversified
portfolio of funds of the same type, rather than to a portfolio diversified among all fund types.
33 | P a g e
Table 4.18 - Beta of the sample scheme
Sr.
Name of the sample scheme Beta(β)
No.
1 ICICI Prudential Banking & Financial Services Fund 1.10
2 ICICI Prudential Blue-chip Fund 0.94
3 ICICI Prudential Dividend Yield Equity Fund 0.84
4 ICICI Prudential Exports and Services Fund 0.83
5 ICICI Prudential FMCG Fund 0.57
6 ICICI Prudential Focused Equity Fund 0.74
7 ICICI Prudential Value Discovery Fund 0.85
8 ICICI Prudential All Seasons Bond Fund 1.07
9 ICICI Prudential Banking & PSU Debt Fund 1.15
10 ICICI Prudential Equity Savings Fund 1.26
11 ICICI Prudential Equity - Arbitrage Fund 0.47
12 ICICI Prudential Asset Allocator Fund 0.70
13 ICICI Prudential Midcap Select ETF 1.09
Data as on 02/07/2020
Interpretation: -
In the above table shows that, Beta of ICICI Prudential Equity - Arbitrage Fund is minimum
compare to other so it is the best scheme for the investment based on the beta.
4.12 Treynor Ratio

The Treynor reward to volatility model (sometimes called the reward-to-volatility ratio or
Treynor measure), named after Jack L. Treynor, is a measurement of the returns earned in
excess of that which could have been earned on an investment that has no diversifiable risk (e.g.,
Treasury bills or a completely diversified portfolio), per each unit of market risk assumed.
The Treynor ratio relates excess return over the risk-free rate to the additional risk taken;
however, systematic risk is used instead of total risk. The higher the Treynor ratio, the better the
performance of the portfolio under analysis.
Formula:
Where,
T = Treynor ratio
ri = portfolio i‘s return
rf = risk free rate
34 | P a g e
βi = portfolio i‘s beta
Limitations
Like the Sharpe ratio, the Treynor ratio (T) does not quantify the value added, if any, of active
portfolio management. It is a ranking criterion only. A ranking of portfolios based on the
Treynor Ratio is only useful if the portfolios under consideration are sub-portfolios of a broader,
fully diversified portfolio. If this is not the case, portfolios with identical systematic risk, but
different total risk, will be rated the same. But the portfolio with a higher total risk is less
diversified and therefore has a higher unsystematic risk which is not priced in the market.
Table 4.19 – Treynor ratio of the sample scheme

Average
fund Average
Sr. returns of risk-free Ri-Rf
Name of the sample scheme Β Ri-Rf
No. the MF return b
scheme (Rf)
(Ri)
1 6.91 6.394 1.1 0.52 0.47
Services Fund
2 ICICI Prudential Blue-chip Fund 3.04 6.394 0.94 -3.35 -3.57
3 1.48 6.394 0.84 -4.91 -5.85
Fund
4 0.17 6.394 0.83 -6.22 -7.50
Fund
5 ICICI Prudential FMCG Fund 6.87 6.394 0.57 0.48 0.84
6 ICICI Prudential Focused Equity Fund 0.79 6.394 0.74 -5.60 -7.57
7 ICICI Prudential Value Discovery Fund -0.14 6.394 0.85 -6.53 -7.69
8 ICICI Prudential All Seasons Bond Fund 10.61 6.394 1.07 4.22 3.94
9 8.58 6.394 1.15 2.19 1.90
Fund
10 ICICI Prudential Equity Savings Fund 4.72 6.394 1.26 -1.67 -1.33
11 ICICI Prudential Equity - Arbitrage Fund 6.24 6.394 0.47 -0.15 -0.33
12 ICICI Prudential Asset Allocator Fund 5.04 6.394 0.7 -1.35 -1.93
13 ICICI Prudential Midcap Select ETF -6.65 6.394 1.09 13.04 -11.97
Interpretation: -
Based on Treynor ratio ICICI Prudential All Seasons Bond Fund is best for investment because
Treynor ratio of the scheme is more compare to other ICICI Prudential Mutual Fund schemes.
35 | P a g e
Chapter 5: Findings and Conclusion
5.1 Findings
5.1.1 General Findings about the Indian Mutual Industry
1. This study observes that the Indian mutual fund industry which started with UTI as its only
player in 1964, officially called as the first phase had 8 funds during its second phase and now
has 32 funds comprising of Public sector mutual funds, private sector mutual funds and joint
ventures predominantly both Indian and foreign.
2. The industry has not only grown in terms of number of funds but also in terms of Assets
Under Management (AUM) as on January 31, 2009 stood at ₹ 4.78 trillion to ₹ 9.03 trillion as on
31st January, 2014 to ₹ 24,28,439 crore as on May 2020
3. The Industry‘s AUM had crossed the milestone of ₹10 Trillion (₹10 Lakh Crore) for the first
time in May 2014 and in a short span of about three years, the AUM size had increased more
than two folds and crossed ₹ 20 trillion (₹20 Lakh Crore) for the first time in August 2017. The
Industry AUM stood at ₹24.55 Trillion (₹ 24.55 Lakh Crore) as on May 31, 2020.
5.1.2 Specific Findings relating to ICICI Prudential Mutual Fund
1. ICICI Prudential Mutual Fund began in the year 1998, with an AUM of Rs. 160 crores, has
since expanded its Assets Under Management to Rs. 3,07,616.54 crores as on December 31,
2018 spread over 135 funds thus making the Company the largest asset management company in
the private sector and the first largest in the mutual fund industry in India.
2. ICICI Prudential Mutual Fund has a wide range of schemes in order to meet the different
investment objectives of the investors. The total number of schemes of the company as on
December 31, 2018 stood at 1248.
3. ICICI Prudential mutual fund has been allowed by SEBI to spend up to 6% of a scheme as
marketing expense, and the company typically spends part of this allocation on distributors.
4. ICICI Prudential AMC is the first private MF player in the country — and the second overall
in the MF industry.
5.1.3 Specific Findings relating to Performance evaluation of Mutual Funds based on Sharpe ratio
The total sample size is 13 schemes and the risk adjusted returns for each of the scheme based on
the technique of Sharpe‘s ratio were computed. Like-wise, by using the same method of
computation, the Sharpe Ratios for the benchmark portfolio was also computed. Out of the 13
sample schemes presented above 2 schemes out of 13 sample schemes have outperformed their
benchmarks and 11 schemes have shown negative performance. The top 5 performing funds on
the basis of Sharpe Ratio method are presented below in order of their ranks.
36 | P a g e
5.1.4 Specific Findings relating to Performance evaluation of Mutual Funds based on Treynor ratio
Based on Treynor ratio ICICI Prudential All Seasons Bond Fund is best for investment because
Treynor ratio of the scheme is more compare to other ICICI Prudential Mutual Fund schemes.
Treynor ratio of ICICI Prudential Value Discovery Fund is lowest.
5.2 Objective - wise Conclusions
1. To examine the growth and development of Indian mutual funds in terms of resource
mobilization and assets under management.
a. This study observes that the Indian mutual fund industry has witnessed major
transformation and has evolved out of five distinctive phases. Initially the industry started with UTI
as its only player. However, with the entry of public, private and global players, India has not only
emerged as a major investment destination but also has some of the best international practices in
terms of performance and investor services.
b. The Indian financial market is now becoming more sophisticated and complex and the
industry has started opening up many exciting investment opportunities for Indian investors.
c. The industry has not only grown in terms of number of funds but also in terms of number
of schemes, investor base and the range of products offered to the investors, which has eventually
made them emerge as a strong financial intermediary and the fastest growing segment of the financial
services sector in India.
2. to understand the inception, growth and performance of ICICI Prudential Asset

Management Company.
a. The study observes that ICICI Prudential mutual funds were launched during different
phases of the industry. From the time of their launch, these companies have grown significantly in
terms of assets under management and variety of products, superior technology and a powerhouse of
the best talent in the Industry and have generated long term returns for their investors.
3. To evaluate the performance of the sample schemes of ICICI Prudential mutual funds and to
measure the risk/volatility in order to arrive at the appropriate risk- adjusted rate of return
using Sharpe’s ratio And Treynor ratio.
a. From this study it is found that performance evaluation of sample schemes using the
technique of Sharpe‘s ratio is a better technique than the Average Rate of Return measure as it
considers the risk adjusted rate of returns. It also provides an unbiased look into the sample schemes
performance. All mutual fund schemes have different objectives and therefore their performance also
37 | P a g e
varies. This resulting measure helps to identify the most ―efficient‖ fund, namely the one with the
highest return per unit of risk.
b. This study has found out that top 5 performing funds on the basis of Sharpe ratio method
are:
A look at the top-ranking funds during the study period shows that ICICI Prudential Equity -
Arbitrage Fund has emerged as the best performer among all the sample schemes.
C. This study has found out that top 5 performing funds on the basis of Treynor ratio method
are:
1. ICICI Prudential All Seasons Bond Fund
2. ICICI Prudential Banking & PSU Debt Fund
3. ICICI Prudential FMCG Fund
A look at the top-ranking funds during the study period shows that ICICI Prudential All
Seasons Bond Fund has emerged as the best performer among all the sample schemes.
38 | P a g e
Bibliography
www.nseindia.com
www.mutualfundsindia.com
www.icicipruamc.com
www.moneycontrol.com
www.icicibank.com
www.bseindia.com
www.amfiindia.com
www.sebi.gov.in
www.investopedia.com
www.businesstoday.com
www.indiatoday.com
www.businessworldindia.com
39 | P a g e
Covid-19 Impact on ICICI Prudential Mutual Fund
The market uncertainty that COVID-19 has introduced-with businesses across industries facing
tremendous pressure-has naturally caused issues for both mutual funds and mutual fund
investors. For the funds themselves, a sudden devaluation of businesses and premature existence
have created a liquidity crisis.
Investors, especially those tied to market-linked funds are experiencing a substantial erosion of
confidence. Short to medium-term outlooks are not positive and this has led to large numbers of
investors trying to pull out early or considering doing so, greatly exacerbating the situation.
Return
Return
Sr. After
Name of the sample scheme Before Difference
No. Covid-19
Covid-19
1 ICICI Prudential Banking & Financial Services Fund 1.15 -32.91 -34.06
2 ICICI Prudential Blue-chip Fund 2.46 -14.56 -17.02
3 ICICI Prudential Dividend Yield Equity Fund -3.86 -15.12 -11.26
4 ICICI Prudential Exports and Services Fund 1.32 -13.3 -14.26
5 ICICI Prudential FMCG Fund 3.18 -5.4 -8.58
6 ICICI Prudential Focused Equity Fund -4.6 -2.57 2.03
7 ICICI Prudential Value Discovery Fund -3.39 -6.67 -3.28
8 ICICI Prudential All Seasons Bond Fund 5.03 6.55 1.52
9 ICICI Prudential Banking & PSU Debt Fund 4.92 5 0.08
10 ICICI Prudential Equity Savings Fund 4.04 -5.91 -9.95
11 ICICI Prudential Equity - Arbitrage Fund 2.65 2.76 0.11
12 ICICI Prudential Asset Allocator Fund 4.47 -5.7 -10.17
13 ICICI Prudential Midcap Select ETF -1.19 -15.35 -14.16
Before covid-19 data (01/07/2019-31/12-2019) after covid-19 data (01/01/2020-01/06/2020)
Source: (www.moneycontrol.com)
The outbreak of COVID-19 had a great impact on the schemes of ICICI Prudential Mutual Fund
and to understand that impact which this pandemic has left the ICICI Prudential Mutual Fund
with, we have to compare the data of 6 months that were before the pandemic and of the 6
months after the pandemic. And after comparing these data we can see that most of the schemes
of ICICI Prudential Mutual Fund got affected due this pandemic. Even the returns have gone
40 | P a g e
down considerably. Especially ICICI Prudential Banking & Financial Services Fund have got
affected the most. But there are also some of the schemes which had not much but had positive
impact like ICIC prudential focused equity fund, ICIC prudential all season bound fund, ICIC
prudential banking and PSU dent fund and ICICI Prudential Equity - Arbitrage Fund and beside
this schemes that have been mentioned, all the others had to bare the negative impacts on it.
41 | P a g e

134-Analysis of Mutual Fund Scheme With Special Reference To ICICI Prudential Mutual Fund

Uploaded by

Document Information

Original Description:

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

134-Analysis of Mutual Fund Scheme With Special Reference To ICICI Prudential Mutual Fund

Uploaded by

Copyright:

Available Formats

A

Summer Training Report

Analysis of Mutual Fund Scheme with special reference to ICICI Prudential

In partial fulfillment for the award of the degree

Master of Business Administration

Under the guidance of

DEPARTMENT OF BUSINESS AND INDUSTRIAL MANAGEMENT

VEER NARMAD SOUTH GUJARAT UNIVERSITY,

Place: DBIM, Surat. Vala Dilip

Date: Roll No. 134

VALA DILIP KALUBHAI

Chapter 1: Introduction of Industry 1

1.7 Introduction of Mutual Funds 6

Chapter 2: Review of Literature 14

3.9 Benefits of the study 18

Chapter 4: Data Analysis and Findings 19

4.4 Data collection of Debt Schemes 25

4.5 Data Collection of Hybrid Schemes 26

4.6 Data Collection of ETF Schemes 27

4.7 Sharpe Ratio 28

Chapter 5: Findings and Conclusion 36

5.2 Objective - wise Conclusions 37

1.1 History of Industry

1.2 Mutual Fund Industry in 2020

1.3 The Journey of Mutual Funds in India

1.4 Introduction of stock market

1.5 Size of the market

1.6 In India mainly two stock exchange.

1.6.1 NSE (National stock exchange)

1.6.2 BSE (Bombay stock exchange)

1.7 Introduction of Mutual Funds

1.8 Growth of Mutual Fund Industry in India

First Phase (1964 to 1987) (Establishment of UTI)

Fourth Phase (February 2003 to April 2014)

Current Phase (Fifth) May 2014 Onwards….

1.9 TYPES OF MUTUAL FUND SCHEMES

• Investors in their prime earning years

(4) Money Market/Liquid Schemes: The main objective of money market/liquid

(C) Schemes by Geographical Classification: A scheme may be classified on the basis of

(13) Quantitative Funds: A quantitative fund is an investment fund that selects

3.1 Title of the Study

3.2 Research objective

3.3 Significance of the study

3.4 Variables of the study

3.5 Research design

3.6 Data collection plan

(1) AMFI updates

3.8 Data analysis

3.8.1 Sharpe Ratio

Sharpe ratio of the mutual fund scheme = (Rp-Rf)/σ

The benchmark comparison is = (Rm-Rf)/ σm

▪ Where Rp is the average return of the mutual fund scheme portfolio

3.8.3 Treynor Ratio

3.10 limitation of the study

The Sharpe Ratio formula is given below:

Where Rp is the average return of the mutual fund scheme portfolio

4.2 Computation of Risk-Free Rate of Return

4.3 Data collection of Equity schemes

4.3.1 ICICI Prudential Banking & Financial Services Fund

Investment Objective: To generate long-term capital appreciation to unit holders from a

Returns: CAGR (return since inception is 12.82% - Aug 22, 2008).

Benchmark is Nifty Financial Services Index (Since Inception is 13.02%)