Mutual fund ratios simplified

Standard deviation
Standard deviation shows the deviation of the fund returns around mean. It takes into account both the upside risk as well as the downside risk as it factors both the positive as well as the negative deviation of returns around mean.

Below are the performance measures for ICICI Prudential Value Discovery –Growth as on May 3, 2017.



Sharpe Ratio
Sharpe ratio is a measure of the risk adjusted performance of a fund. It is measured by the formula

(Average Fund return – Risk free rate)/ Standard deviation of the fund returns



As on May 3, 2017

R- Squared
R – Squared shows the percentage of fund returns that can be explained by the benchmark returns. Its value lies between 0 and 100.



As on May 3, 2017


Beta
Beta reflects the fund risk in relation to the market as a whole. Beta of one means the volatility of the fund and the market are aligned. A Beta of less than one means that the fund’s returns are less volatile compared to the broader market. On the contrary, a Beta greater than one implies that the fund’s returns are more volatile relative to the broader market. Beta is measured as a slope of the regression line

Rp – Rf = α + β (Rm-Rf)

Alternatively, Beta can be measured by the formula

β = Covariance (Rp, RB)/Variance (RB)



As on May 3, 2017

Treynor Ratio
Treynor ratio is a measure of the risk adjusted performance of a fund. It is measured by the formula

(Average Fund return – Risk free rate)/ Beta of the fund



As on May 3, 2017


Information Ratio
Information ratio measures the fund manager’s ability to generate risk adjusted excess returns relative to the benchmark. It is measured by the formula

(Rp – RB)/Tracking error

Rp: Portfolio return
RB: Benchmark return
Tracking error: Standard deviation of the difference between portfolio returns and benchmark returns



As on May 3, 2017


Sortino ratio
Sortino ratio is a measure of the risk adjusted performance of a fund. It is measured by the formula

Rp-Rf/Downside deviation

Rp = Fund return
Rf = Risk free rate
Downside deviation: Standard deviation of negative asset returns


As on May 3, 2017

For details on mutual fund scheme pages, please visit the link https://goo.gl/r5sQ