Comments on: Mutual Fund Beta, SD, and Sharpe Ratio

By: Karthik Rangappa

Karthik Rangappa — Mon, 20 Jan 2025 06:37:32 +0000

In reply to PRASHANT. Happy learning, Prashant!

By: PRASHANT

PRASHANT — Sun, 19 Jan 2025 16:17:42 +0000

Yes, not Morningstar but value research gave this data.Thank you so much sir. I am still wondering how AMCs give half baked details.

By: Karthik Rangappa

Karthik Rangappa — Thu, 16 Jan 2025 06:23:28 +0000

In reply to Prashant. You can check 3rd party sites like Morningstar, they do provide this detail.

By: Prashant

Prashant — Wed, 15 Jan 2025 15:06:18 +0000

All the AMCs only mention only standard deviation without the average return, so the standard deviation can tell me the meximum upside and downside range. is there any way to calculate or find avg return on AMC document? The standalone standard deviation number is of no use, any thought? (Apart from comparing it with other fund)

By: Karthik Rangappa

Karthik Rangappa — Thu, 02 Jan 2025 04:12:47 +0000

In reply to Prashant. Yes, it is an indicator, but you cant use that as an accurate measure, right?

By: Prashant

Prashant — Wed, 01 Jan 2025 12:30:55 +0000

Yes, it is indicating a risk. But would it be ok to say that Beta can also be used to measure return expectation? e.g. A low-beta fund is less volatile than the market, offering smaller gains in bull markets but limiting losses in bear markets. Similarly, high-beta mutual funds can outperform in bull markets but can underperform in bear markets?

By: Karthik Rangappa

Karthik Rangappa — Wed, 01 Jan 2025 05:17:33 +0000

In reply to Prashant. `If beta is 1.8 then it tells me if index moves up by 1% then the fund moves up by 1.8%, this is not risk to me` , this also means when the index goes down by 1%, the fund goes down by 1.8%, which is much higher than the benchmark. This is an indicator or relative risk right?

By: Karthik Rangappa

Karthik Rangappa — Wed, 01 Jan 2025 04:18:38 +0000

In reply to vishal chadha. Glad you liked it. Happy reading!

By: Prashant

Prashant — Tue, 31 Dec 2024 17:18:52 +0000

I am confused why you said Beta is the measure of relative risk, it is not intuitive. I feel beta is an investment’s sensitivity to market movements. This seems more intuitive to me as it actually tells the sensitivity of the fund vis a vis its benchmark index rather than saying it is the measure of relative risk. When we say, beta is 0.8 then it tells me if index moves up by 1% then the fund moves by 0.8%. This can be termed as sensitivity or volatility. If beta is 1.8 then it tells me if index moves up by 1% then the fund moves up by 1.8%, this is not risk to me, it is a good thing. Risk is only when the beta is negative, e.g. beta is -0.6 then if index moves by 1% but the fund is moving down by 0.6%, this can be termed as risk. Please comment.

By: vishal chadha

vishal chadha — Tue, 31 Dec 2024 06:29:14 +0000

simple explanation to understand the basics of MF investments.

By: Karthik Rangappa

Karthik Rangappa — Tue, 26 Nov 2024 03:21:10 +0000

In reply to Roque Machado. Sure, good luck Roque.

By: Roque Machado

Roque Machado — Mon, 25 Nov 2024 06:50:38 +0000

Thank you sir for your prompt response.

By: Karthik Rangappa

Karthik Rangappa — Sun, 24 Nov 2024 05:03:20 +0000

In reply to Roque Machado. Usually the fund houses consider the CAGR returns for not just Alpha, but all other MF calculations.

By: Roque Machado

Roque Machado — Sat, 23 Nov 2024 17:32:08 +0000

For the calculation of alpha, Which return is taken in the formula (absolute return, XIRR or trailing, CAGR) as value for funds return as well as benchmark return?

By: Karthik Rangappa

Karthik Rangappa — Tue, 25 Jun 2024 07:33:13 +0000

In reply to Sachith. No, MFs are a pass through structure, taxation is at the unitholder's end.