Equity Mutual Fund Screener July 2024: Shortlist consistent performers

Reward and Risk Measure: Upside Performance & Downside Capture

• Upside performance consistency over every possible 1Y,2Y,3Y,4Y, and 5Y: The higher, the better. A score of 70% means that 7 out of 10 times, the fund performed better than the category benchmark when the benchmark increased. This is a measure of reward.

• Downside performance consistency over every possible 1Y,2Y,3Y,4Y, and 5Y: The higher, the better. A score of 60% means 6 out of 10 times, the fund performed better than the category benchmark when the benchmark was moving down. This is a measure of risk protection.

If you wish to understand how these are calculated, please read this:  Introduction to Downside and Upside Capture Ratios and proceed to this one, for example. For some funds, a high downside capture consistency will lead to better returns; for some funds, a high upside capture consistency will lead to better returns. The screener can help distinguish between the two types of performers. Recommend reading: What is mutual fund downside protection, and why is it important?

How to use the Equity Mutual Fund Performance Screener

There are multiple ways to screen for mutual funds. I will discuss two examples.  If you are investing with a clear strategy, you should know what category fund to choose. So, the first step is to select the category. You can either use the macro buttons (top right), Or you can do this manually:

Then, method A:  Set the 3Y and 5Y rolling return outperformance consistency to be above 70% or so. That should give you a nice shortlist to choose from. Then, you can visually look for funds with the right downside protection consistency and pick one. Method B: Look for funds above 70% downside protection consistency over 3Y and 5Y and choose one. Remember, never set narrow filters and do not be too demanding.  Wanting to select the fund with the best past performance is plain immaturity. Your screening criteria should yield 5-6 funds at all times. Why should I use this screener? Why can’t I look at trailing returns and screen? Trailing returns are 3Y or 5Y returns calculated with the last business date (3Y and 5Y prior).  This is just one data point to consider. Here, we find a lot more to determine consistency.

Excess Risk vs Excess Return Screener

Here, you can screen for funds with excess return > 0 in the last 1,2,3,4,5 year trailing periods. This means the fund return is greater than the index return. You can also add excess risk < 0 filters for the same periods. This means that the fund risk is less than the index risk. Hence, the excess risk is negative. Both screenshots are shown below.

The above screenshot is for excess return >0, and the one below is for excess risk < 0

The idea here is to find funds that have beaten the index in terms of higher returns (excess return >0) and lower risk (excess risk <0) in the last 1,2,3,4,5 year period. You can relax it to 3/4/5 year periods if you wish.

Example:

Invesco India Flexi Cap Fund(G)-Direct Plan vs N200TRI

• Trailing Benchmark Return 5Y: 35.356%
• Trailing Fund Return 5Y: 50.092%
• Excess return 5Y: 14.737%(positive excess return is good!)
• Index standard deviation (NAV volatility) 5Y: 2.827%
• Fund standard deviation 5Y: 2.670%
• Excess risk of the scheme 5Y -0.158% (negative excess risk is good!)

So, over the last 5Y, the fund has significantly outperformed the index with lower NAV volatility.

The idea here is to find funds that have beaten the index in terms of higher returns (excess return >0) and lower risk (excess risk <0) in the last 1,2,3,4,5 year period. You can relax it to 3/4/5 year periods if you wish.

How to screen for the best equity funds

Important Information

1. This screener costs Rs. 150 and is meant for personal use only. 
2. Inside, you get a discounted link to our robo advisory tool and our two courses: How to get people to pay for your skills (aka earn from skills) and the lectures on goal-based portfolio management.
3. The cost is only for the data in the sheet.
4. You will get a zipped file. It has one Excel file with macros. If you wish to use the automated screener, you must enable macros. If macros are disabled or you want to use them on Google Sheets or elsewhere, the plain data will still be available. The plain data file can be used on any spreadsheet.
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7. Enough care and effort have been put into weeding out errors. However, we cannot guarantee that the sheet is free of error.
8. The buyer will have to research using the information in the spreadsheet. No recommendations or assistance are included in the sheet and will not be provided separately.
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10. The sheet purchased is for personal use and should not be shared privately or publicly. A purchase implies you agree to the terms in the important information section. 

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