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The following Infrastructure sector funds were chosen for analysis:
DSP Black Rock India TIGER Fund
HDFC Infrastructure Fund
L&T Infrastructure Fund
SBI Infrastructure Fund Taurus Infrastructure Fund
The funds above are top performing growth funds in the infrastructure sector scheme
class. The companies in a growth fund portfolio are in an expansion phase and they
are not expected to pay dividends. Investing in growth funds requires a tolerance for
risk and a holding period with a time horizon of five to 10 years.
DSP BLACK ROCK INDIA TIGER FUND- REGULAR PLAN- GROWTH
Investment Objective An open ended diversified equity scheme, seeking togenerate capital appreciation, from a portfolio that issubstantially constituted of equity securities and equityrelated securities of corporates, which could benefit fromstructural changes brought about by continuingliberalization in economic policies by the Government and/or from continuing investments in infrastructure, both by thepublic and private sector.
Scheme Type Open ended scheme
Scheme Class Sector - Infrastructure
Investment Plan Growth
5 year 1st Nov 2009 to 31st October 2014
Variance of MF 0.000135957
SD of MF 0.011660055
Covariance of NIFTYBEES and MF 9.85653E-05
Rf_Govt 10 year bonds 7.25%
MF return rate 58.37%
Variance of Market 0.000103354
Beta 0.953669273Market return rate 59.37%
HPR of MF 56.09%
Sharpe Index 43.84126461
Treynor Measure 0.536026054
JensensMeasure 0.014140896
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The Treynor Ratio is 0.54 indicating that the fund offers an attractive reward-to-
volatility profile i.e. the fund has earned excess returns as against the risk-less asset
which in this case is 10 year Government Bond.
The Jensens Alpha is positive indicating that the fund manager has beat the
market with his/her stock picking skills.
The Holding Period Return (HPR)for 5 years is 58.96% as against the market HPR
of 82.26%. This indicates that the fund did not outperform the market in this period.
The fund has a Betaof 1.01 indicating that it is volatile/risky than the market.
L&T INFRASTRUCTURE FUND- CUMULATIVE GROWTH
Investment Objective The scheme seeks to generate capital appreciation by
investing predominantly in equity and equity relatedinstruments of companies in the infrastructure sector.
Scheme Type Open ended scheme
Scheme Class Sector - Infrastructure
Investment Plan Growth
5 year 16th Feb 2010 to 31st October 2014
Variance of MF 0.000127473
SD of MF 0.0112904
Covariance of NIFTYBEES and MF 9.71311E-05
Rf_Govt 10 year bonds 7.25%
MF return rate 44.42%
Variance of Market 0.000102905
Beta 0.943891006
Market return rate 62.79%
HPR 39.80%
Sharpe Index 32.9179313
Treynor Measure 0.393749483
Jensen Measure -0.152576398
The Sharpe Index is 32.91 and is positive. This indicates that the fund has
performed better than the risk-less asset which in this case is a 10 year Government
bond.
The Treynor Ratio is 0.39 indicating that the fund offers an attractive reward-to-
volatility profile i.e. the fund has earned excess returns as against the risk-less asset
which in this case is 10 year Government Bond.
The Jensens Alphais negative indicating that the fund manager with his/her stock
picking skills could not beat the market as the fund consistently had negative returns.
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The Holding Period Return (HPR)for 5 years is 39.80% as against the market HPR
of 82.26%. This indicates that the fund did not outperform the market in this period.
The fund has a Betaof 0.94 indicating that it is less volatile/risky than the market.
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SBI INFRASTRUCTURE FUND- REGULAR GROWTH
Investment Objective To provide investors with opportunities for long-term growthin capital through an active management of investments in
a diversified basket of equity stocks of companies directlyor indirectly involved in the infrastructure growth in theIndian economy and in debt & money market instruments.
Scheme Type Open ended scheme
Scheme Class Sector - Infrastructure
Investment Plan Growth
5 year 1st Nov 2009 to 31st October 2014
Variance of MF 0.00013026
SD of MF 0.011413171
Covariance of NIFTYBEES and MF 9.59388E-05
Rf_Govt 10 year bonds 7.25%
MF return rate 21.46%
Variance of Market 0.000104347
Beta 0.919424072
Market return rate 65.27%
HPR 13.70%
Sharpe Index 12.45463104
Treynor Measure 0.154604207
Jensen Measure -0.391310251
The Sharpe Index is 12.45 and is positive. This indicates that the fund has
performed better than the risk-less asset which in this case is a 10 year Government
bond.
The Treynor Ratio is 0.15 indicating that the fund offers an attractive reward-to-
volatility profile i.e. the fund has earned excess returns as against the risk-less asset
which in this case is 10 year Government Bond.
The Jensens Alphais negative indicating that the fund manager with his/her stock
picking skills could not beat the market as the fund consistently had negative returns.
The Holding Period Return (HPR)for 5 years is 13.70% as against the market HPR
of 82.26%. This indicates that the fund did not outperform the market in this period.
The fund has a Betaof 0.92 indicating that it is less volatile/risky than the market.
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TAURUS INFRASTRUCTURE FUND- REGULAR GROWTH
Investment Objective To provide capital appreciation and income distribution tounit holders by investing pre-dominantly in equity and
equity related securities of the companies belonging toinfrastructure sector, it's related industries inclusive ofsuppliers of capital goods, raw materials and othersupportive services to infrastructure companies andbalance in debt and money market instruments.
Scheme Type Open ended scheme
Scheme Class Sector - Infrastructure
Investment Plan Growth
5 year 1st Nov 2009 to 31st October 2014
Variance of MF 0.000146716
SD of MF 0.01211262
Covariance of NIFTYBEES and MF 0.00010316
Rf_Govt 10 year bonds 7.25%
MF return rate 48.83%
Variance of Market 0.000104024
Beta 0.991693095
Market return rate 64.16%
HPR 47.26%
Sharpe Index 34.32501431Treynor Measure 0.419248519
Jensen Measure -0.148589702
The Sharpe Index is 34.32 and is positive. This indicates that the fund has
performed better than the risk-less asset which in this case is a 10 year Government
bond.
The Treynor Ratio is 0.42 indicating that the fund offers an attractive reward-to-
volatility profile i.e. the fund has earned excess returns as against the risk-less asset
which in this case is 10 year Government Bond.
The Jensens Alphais negative indicating that the fund manager with his/her stock
picking skills could not beat the market as the fund consistently had negative returns.
The Holding Period Return (HPR)for 5 years is 47.26% as against the market HPR
of 82.26%. This indicates that the fund did not outperform the market in this period.
The fund has a Betaof 0.99 indicating that it is less volatile/risky than the market.
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