How to Measure Mutual Fund Risk | Alpha, Beta, SD, Sharpe, R-squared, Sortino | Learn with ETMONEY

[@dadasahebbende]

Every week I am waiting for such insightful videos on different topics. Is there anyone else here?

[@1Bond007]

Bendeji stop searching for likes.. ppl come , watch video and go

[@aditya.ishan27]

A very good way to approach this. Much more of a probabilistic and statistical approach which anyone can appreciate who wants to know the nitty gritty of things.

[@ETMONEY]

Thank you

[@shankarprasad5767]

Shankar Nath's no nonsense demeanor is time-saving and to the point. Love it!

[@ETMONEY]

Thanks!

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@@ETMONEY kkkkkK

[@photogdoc]

Direct funds and free learning sessions - ET Money 🙌🏻🙌🏻🙌🏻

[@rishabhdubey374]

I was waiting for this video. I did my research in the meantime but really wanted you guys to do a video on these performance indicators of a mutual fund. Needless to say, excellent video and very nice explanations. Thank you so much!

[@ETMONEY]

Thanks!

[@Sivaramplus]

Could you please make a video on how ET money ranks mutual fund, or if there is already one, please let me know the details. Thanks for all the work you do in spreading financial literacy

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Warren buffet once said "if you don't find a way to make money while you sleep,you will work until you die"

[@joaoeduardo8554]

Wise spending is part of wise investment.. And it's never too late to start

[@fedrickbenny623]

The person who start simply with the idea of getting rich will succeed also you must have a larger ambition,every once in a while, the market does something so stupid it takes your breath away

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Expert Edwin is obviously the best I invested $3500 and she made me a profit of $9500 for me within 15days

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I got skeptical because I was cheated before but after giving him a try it was of no regret and my happiest moments

[@racheljoywelcher6506]

He’s not like other brokers that will start saying to you that your trade didn’t go well after collecting your money

[@mukulkukreti]

This channel is so underrated. Cheers to you mate for sharing knowledge and insights.

[@adityakothari2350]

Hat's off to each one of you in ET money team for bringing out some great content each week👍

[@ETMONEY]

Thanks!

[@shivamgarg1]

Interesting to learn concept of R Squared. Shankar Nath has to be best expert on Mutual Fund in India.

[@prashuprasanna]

Thank you so much Sir. I like most of your videos and i have started investing in Mutual funds via ET money. Can you please let me know if ET money provides advisory?

[@AshokYadav-bv6oc]

Very useful and informative video which has explained the complex parameters in a simple way. Thanks to ET money team.

[@b1a5l9a2]

Good video, it will be very helpful if you provide an excel with these risk values for various funds

[@fundamentalswing]

As usual , very insight full video from Finance experts. Making addicted to engineers to learn economics

[@ETMONEY]

Thanks!

[@HudMan4U]

Ive learned a lot from your videos over the past week, I love how you cut to the chase. Thank you for the quality videos!

[@ETMONEY]

Thanks

[@sunnybansal5904]

ET Money content is always to the point and relevant with proper analysis and explanation. Appreciation for the team which is doing an awesome job to educate layman like us. Your content driven me to trust the ET Money app and now I have shifted my entire portfolio and SIP on your platform. Keep posting such great content. And cheers to your support team too as they helped me in setting up the account.

[@PallaviKiRasoi-0537]

What a wonderful way of presenting these ratios...thanks a lot 😍❤

[@atulnagare3529]

Can you please create video for selecting best ETF and factors to be considered

[@bharani88]

Have viewed several videos to understand MF ratios before arriving at this video. It’s clearly the best.

[@sachin_2601]

Simply wow. Very well explained in simple terms. Thank you 👌

[@amar23]

Great devoted channel for making Intelligent Investors.Thanks Sir for continuous great content.

[@anilshenoy5859]

Can you share video on technical analysis on stocks.

[@sasikumarb6756]

Thanks for sharing this video, I need how to calculate the beta. Can you help me

[@sandeeppai86]

Another very informative, to the point content from ETMoney. Cleared my doubts on mutual fund terminologies in a simplistic way. 👍🏼

[@ETMONEY]

Thanks!

[@RishabhRishab]

Pls make a video where you calculate all these things on Excel for last 3 years daily returns and then tally them to values shown on website like yours and some others . Because everyone teaches same theory but practical implementation on Excel is different and values dont tally with whats shown on website. Thanks.

[@1Bond007]

Thanks you sir . You are my Guru for many investment concepts

[@ETMONEY]

So nice of you. Thanks for your patronage

[@balakrishnabhandare9926]

Dear Sir Nice explanation.Where can get dynamic values of these ratios ? Historical we can get in most of the websites.

[@crisronaldo9238]

@ET Money - Are the value provided by you folks dynamic in nature? If yes, how frequent are they updated? Thanks!

[@rajavelr6972]

Informative video, Is this Value will be shown in ET money app with respect to funds??? I want to know this value for axis blue chip fund it will help me shift my fund to axis nifty 100 fund... advance thanks for answer

[@DensonGeorge18]

I have seen these values on money control. You can check that out.

[@aashishsoneji7507]

Hi team, thanks for the video. As a feature i would like to have these performance ratios for my own portfolio as well on ET money Currently these ratios are for the funds.

[@rohitmondal6876]

Such an educational video. Being fond of Maths, it fascinated me to the core. Great work ETMoney

[@ETMONEY]

Glad you enjoyed it!

[@vinayaks64]

The video is good but where to find these numbers for mutual funds any ideas??

[@karthiks7811]

your videos are good, I would also suggest you put these in written like in your website. Some one like me would prefer to read rather than listening to a video.

[@ETMONEY]

It's already there. Please access the ETMONEY blog. All videos are transcribed there

[@gauravbhatkar14]

Alpha,sharpe,Sortino,Tyeynor - Higher is the better Beta,SD - lower is the better R square equal to 100 ( Copy index ) - Low.R square

[@7414.]

If I invest in two different tax saving fund.. will I get tax exemption for individual earning or overall earnings..?

[@mugundhans400]

Excellent video, could learn about the various ratios and their applicability in selecting a fund and final summary was amazing

[@ETMONEY]

Glad it was helpful!

[@narayanansl6179]

Thanks for explaining. But Alpha definition is wrong. It is not simply excess returns over benchmark index but will have an additional component (1 - Beta) * ( IR - RFR) where Beta is as explained , IR is benchmark index rate and RFR is Risk free rate, So you can see only in the case of Beta becoming 1 , Alpha will become simply excess returns.

[@abhibhatta21]

Thank you so much fo this videos. Please make videos on stock market investments for beginners

[@kmurari68]

excellent video with complex topic made v simple

[@KrishnanV9]

Wonderful explanation. Another brilliant video and great reference

[@yadukrishnan7946]

Really Amazing content, I started watching this channel only a few days before, and found it to be really AMAZING. I have a question regarding the alpha and index funds. In this video, you said that alpha for an index fund will be 0 since it will follow the index. But in IndexFund video, you mentioned that there is chance that the index fund return might be more than the benchmark, thereby having a positive tracking difference. In such case, alpha must be more than 0 right? Or is it generally ignored because the difference is negligible?

[@ETMONEY]

Dear Yadu Krishnan - alpha is a term denoted to explain the difference between an actively managed fund and the benchmark it is tracking. It is generally not a term that is associated with index funds versus the benchmark. So if you hear alpha then think active funds vs benchmark*. And if you hear tracking error, then its index fund versus benchmark. * The word alpha is also used to distinguish the performance between an active fund and an index fund also. Afterall an index fund's performance is very close to its benchmark, plus/minus 0.1/0.2%

[@yadukrishnan7946]

@@ETMONEY Thanks for the reply. Can I ask one more question? After this video, I was trying to compare the sharpe ratio of different MF. Value >1 is mentioned as good, and >2 is very good,

[@ETMONEY]

@@yadukrishnan7946 Yes, higher Sharpe Ratio is better than lower Sharpe Ratio. On using multiple factors to make decisions, please look out for a video we are releasing next week on how the ETMONEY Fund Report Card works. That will also help you understand what combination of factors like Sharpe ratio, standard deviation, information ratio etc. we use in developing our ranking methodology.

[@jatinmehta8651]

Even in the same category, different schemes have S&P or Nifty based benchmark & the portal analysing RR parameters use a different benchmark for the whole category. How valid are such risk reward parameters from the portals? Further, all schemes within a category have different time frames to calculate RR parameters, which make comparisons of schemes based on RR parameters in their factsheets difficult. Please advise.

[@truptishirude2627]

Good Afternoon sir, My question is from where we can know data of statistocal risk measure of different mutual fund companies ?

[@ETMONEY]

Hi. Pls try valueresearchonline.com

[@HiDibakar]

I wish Mr. Shankar was my Professor at College (which was IIT Kharagpur). I would've ended up being a much better Quant Researcher

[@ETMONEY]

:)

[@ajitdubey3309]

Very good video हालांकि #SharpeRatio और #SortinoRatio समझना थोड़ा मुश्किल लग रहा है। examples देखने पड़ेंगे, तब शायद क्लियर हो।

[@g10draku26]

Classic explanation of concepts

[@k.m.parekh4697]

Excellent video...i love the explanations and the definitions of the terms. Good job.

[@ETMONEY]

Thank you

[@indradebpal9067]

This is outstanding video lesson.

[@ETMONEY]

Thank you

[@dennissteyn8864]

Very nice tutorial, precise and crisp.👍👍

[@ETMONEY]

Thanks

[@prakashraghunathan2685]

Thankyou sir.very good video.i think I will beneffitted

[@nomisroscoe]

This is a good explanation.

[@ajneeshgoyal9564]

Your knowledge is osm

[@parthomukherjee76]

my question is in the standard deviation part how do you know for 68% of the time one can expect 7-13% return

[@SKSahoo]

Nice Explanation.. Thanks!

[@vinuabhilashputhantharayil4]

Good presentation................Thank you

[@ETMONEY]

You are most welcome

[@abhaylashkari3289]

great explanation

[@balakrishnashetty3992]

Well explained. He is professional.

[@nishantnandanmishra3007]

what's the ideal standard deviation?

[@ShantanuNandy]

Please let us know how to get these data... Greeks R2 etc values

[@abhishekmittal5440]

Hi sir, for index funds nifty is the benchmark, what is the benchmark for non index funds??

[@ETMONEY]

The index is the benchmark for active funds. For example - for small cap funds, the benchmark is the Nifty Small Cap 250 or Nifty Small Cap 100 index. For large cap funds, it is Nifty 50 or Nifty 100.

[@abhishekmittal5440]

@@ETMONEY so how are these different from 'Index funds'. I think its jus that Index funds almost mirror market performance and these funds deviate

[@ETMONEY]

@@abhishekmittal5440 Pls watch our video on Index Funds versus Active Funds for more detailed information. Thx!

[@abhishekmittal5440]

@@ETMONEY thank you very much...this channel and particularly ur videos have put me on oath for retirement planning, I'm 33 right now. good time to start and learn 😀

[@ETMONEY]

@@abhishekmittal5440 Wish you the very best

[@phantommenace9047]

Very informative

[@atulade8965]

Sir can you compare elss vs index fund

[@bhaskardebnath6401]

Very impressed presentation 👍👍

[@ETMONEY]

Thanks a lot

[@asharafwayanad7488]

Nice information and very coherent

[@parvejsolkar123]

Shankar sir always rock 🤟

[@funnyvamsi4008]

Thank you!

[@curiosity3435]

Thank you sir

[@chinnujacob5968]

Sir, Immensely helpful !

[@ETMONEY]

Thanks

[@ظافرعبدالله-د6د]

Appreciate your efforts

[@shrinathm.g.8183]

Sir, pls explain about how did u get 68% , 3 % std deviation, its not clear please

[@ManishMandal1995]

Is there a tool where we can check all these ratios for mutual funds and sort them to know the funds that have a higher/lower ratio?

[@ETMONEY]

Better still, use the ETMONEY app where we have processed these ratios and more into a single score. We just released a video titled "Easiest Way to Pick the Right Mutual Funds" detailing the process. Check that out

[@ManishMandal1995]

@@ETMONEY I use your app and I have uploaded my entire portfolio (CAMS statement) to track my mutual funds. However some MFs don't have a report card. In that case, individual ratios will be helpful in gauging the performance of the funds. Is there a workaround?

[@ADITYAYADAV-gx3kt]

Great , Excellent Video.

[@jone7828]

Thank you very much for the valuable info, I do appreciate your effort

[@comments94]

This has to be the best video I have came across about the measures of mutual funds

[@ashimishra8746]

How he decided risk free rate as 5% ? And how is that Standard deviation(negative) he changed, is it just a assumed figure, is their any way to find it.

[@narayanansl6179]

Risk free rate of 5 or 5,5% is the prevailing monthly/1 month tenure rate you get from prevailing debt/Gsec mkt rates. . ( Usually Risk free rate % is taken as the 10yr GSec rate but here i think bcos they take monthly avg fund retun points over last 3yrs/36months it should be 1month prevailing Govt debt yield/rate ) Std deviation, sharpe, sortino, --all these are computed over last 3 or 5yr period from the mutual fund/scheme return data points taken monthly usually. Std dev is a math function computed using square root of variance (a measure of spread of data around mean)

[@pavankumary4654]

Every video is a gem

[@lalrishi]

Excellent video great work

[@ETMONEY]

Thank you very much!

[@raviramasamy1616]

I generally first like button press and watch Video next.. because such a wonderful unbiased features on equiy MF investment... Hat's off to ET money seva to investos at free

[@ETMONEY]

Most welcome. Thanks for your appreciation

[@onemicron38]

Informative 👍

[@abhijeetjagtap880]

Best information

[@sandeeip9531]

Dear i try to regester on your website but no success.. seems it only works for App.. Not sure how many would trust app without website with no customer care for million investment.. Few thousand could be OK.. Pl respond..

[@priyajitghoshal2791]

really informative video

[@ETMONEY]

Glad you liked it

[@ranjancom2000]

HSBC Managed Solutions India-Conservative having shar ratio is 3 why still MF was not performing good HSBC Managed Solutions India-Conservative - 1.49% 3.00 Parag Parikh Flexi Cap Fund - 8.31% 3.51 HDFC Flexi Cap Fund - 9.11% 2.78 Kotak Flexicap Fund - 9.47% 2.08

[@koyand4626]

Sir . Thankyou

[@22SANTHANAM]

good one

[@sourabsaklecha3141]

Isn't return of a MF projected after removing the TER? If that's the case then why should we bother if R² value is high or not as the expense is already taken care of.

[@aashishsoneji7507]

I second this. This must br clarified else when we see the graph it the mutual fund category has performed better than the benchmark. If TER is not deducted from the nav its possible that the graph will not give correct visualization.

[@ankurbisht1456]

PPFAS mutual fund has alpha of 13.44 and Beta of 0.72 :O

[@mysanisa]

Good one but try to give info in hindi as well.

[@primetiming5846]

LUV U THNX

[@narendradas9330]

From where I can get these figures?

[@ETMONEY]

Try valueresearchonline.com

[@ramansharma9633]

Good video

[@GetRichSteadily]

But where can we get these measures of mutual funds ??

[@narayanansl6179]

ETMoney website itself shows for each fund in fund page but dont know for what period ( last 3 or 5 yrs)

[@narayanansl6179]

Value research shows for these stats computed using last 36months taking each month avg fund return data points.

[@krishnaniyer2895]

superr ...keep it up

[@sampatherekar2652]

Et money hindi par ye video nahi mil raha hai

[@sonumeena6878]

Best videos

[@chinnasamyjaikumar7596]

If app available in Qatar will be useful.

[@theacid1]

You're calculation for alpha is a bit missleading cause it's missing the risk-adjustment with beta. You should at least mention that this is only true if the beta with the benchmark index is one.

[@narayanansl6179]

yes, alpha is not simply excess returns over benchmark index but becomes that only when beta is 1 , Alpha precisely will be : Excess/Active returns + (1 - beta)*(IR - RR) where IR is Index Return and RR is Risk Free Return

[@jashuagundla4054]

Sir ji re request please. I am how to lern. And study mutual friend s. ।riskfactors tell me sir please

[@purushothamp6885]

I want invest 5000/- every month atleast Fiver which is the best option but I don't no what is mutual funds

[@purushothamp6885]

Five years

[@vinayak9766]

If you working, go for tax saver funds with 2500 each. Mirae asset tax saver and Quant tax saver

[@1966rama]

If beta is 1, can we say alpha is close to zero always . Ie the fund simply tracks the index !

[@narayanansl6179]

Alpha need not be zero but it will be simply excess returns over benchmark index if beta is 1. Only in case of passive index funds alpha will become or close to zero with beta close to 1.

[@mr.zoulgaming7306]

Treynor Ratio could also have been discussed.