May 2020 Equity Mutual Fund Performance Screener

Reward measure: Rolling returns outperformance consistency

Rolling returns are a simple way to estimate how consistency a fund has outperformed a benchmark. Take the case of Quantum Long Term Equity (the fund in the graph below) and BSE Large Cap (index in the chart below). Bet 31st Aug 2008 and 9th Sep 2017, there are 991, 7-year duration. If the return for each of these durations is plotted for the fund and index together, we will get a graph like this.

The corresponding entries in the screener sheet would be as below (this is an example):

Notice that out the 991 fund returns, all of them are higher than the chosen index. Thus the rolling return outperformance consistency over 7 years =

= 991/991 = 100%. Naturally, the higher the rolling return outperformance consistency, the better.

Reward and Risk measure: Upside Performance & Downside Capture

If you wish to understand how these are calculated, please read this first:  An introduction to Downside and Upside Capture Ratios and then proceed to this one for example. For some funds, a high downside capture consistency will lead to better returns, and 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 read: 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 be clear about 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 among these, you can visually look for funds with right downside protection consistency and pick one. Method B: Look for funds with 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 I look at trailing returns and screen? Trailing returns are say, 3Y or 5Y returns calculated with the last business date (and 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 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 excess risk < 0

The idea here is to find funds that have beat 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 periods. You can relax it to 3/4/5 year periods if you wish.

How to screen for the best equity funds in May 2020

Important Information

1. This screener (May 2020) costs Rs. 111  (Rs. 100 + Rs.11 transaction fee) and is meant for individual, personal use only
2. Inside, you get a discounted link to the lectures on goal-based portfolio management.
3. The cost is only for the May  2020 screener and 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 will have to enable macros. If macros are disabled or if you wish to use it on Google sheets or elsewhere, the plain data will still be available. The plain data file can be used on any spreadsheet.
5. While freefincal will do its best to publish updated screener sheets each month, it cannot guarantee the same.
6. The file does not contain any buy or sell recommendations and only has the above-mentioned data.
7. Enough care and effort have been put in to weed out errors, however, we cannot guarantee that the sheet is free of error.
8. The buyer will have to do their own research with regard to using the information in the spreadsheet. No recommendations or assistance is included in the sheet and will not be provided separately
9. We will not provide any further help or assistance in using the sheet
10. The sheet purchased is for personal use only should not be shared with others privately or publicly

Click here to pay Rs. 111 and download (instantly) the latest Freefincal Equity Mutual Fund Screener Living outside India? You can pay via this Paypal link (3 USD) and send a mail to freefincal at Gmail.

Also check out: Nifty Valuation Tool: Find out if the stock market is expensive or cheap in multiple ways

Plus: Momentum, Low Volatility Stock Screener (May 2020)

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