Aug 2019 Equity Mutual Fund Performance Screener

Published: August 14, 2019 at 10:22 am

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The freefincal Equity Mutual Fund Performance Screener (Aug 2019) is available for download. Use this screener file to easily find best-performing equity funds among 300 equity funds that have consistently outperformed category benchmarks/indices with good downside protection (better performance when the index is down)  and/or upside performance (better performance when the index is up). This screener is meant for DIY investors to select a mutual fund (not review existing holdings).  The  PlumbLine” is a set of handpicked mutual funds intended for the new investor to quickly get started when they use the  Freefincal Robo Advisory Software Template.

Update Aug 2019: I have replaced the Nifty Smallcap Index by Nifty Midcap 150 due to this: Why your small cap mutual fund must beat this benchmark!

Since last month I have added a list of unrated funds by value research. This indicates that the fund’s investment strategy has changed significantly and therefore its past performance does not matter. So beware of this!!

What does this Equity Mutual Fund Performance Screener cover?

It gives you three outputs:

  • Rolling return outperformance consistency That is over every possible 1Y,2Y,3Y,4Y, 5Y periods, the fund returns are compared with category benchmark returns. Higher the outperformance consistency, the better. Suppose 876 fund returns were compared with 876 benchmark returns and the fund has beaten the benchmark 675 times, the consistency score will be 675/876 ~ 77%.
  • The above number is now also reported for the past year
  • Upside performance consistency over 1Y,2Y,3Y,4Y, 5Y: Higher the better. A score of 70% means, 7 out of 10 times, the fund performed better than the category benchmark when the benchmark was moving upThis is a measure of reward.
  • Downside performance consistency over 1Y,2Y,3Y,4Y, 5Y: 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.

When to use this mutual fund screener

I recommend using this file only when you are on the lookout for a new fund after completing the following steps: Define need and duration —-> Decide asset allocation (use this tool) —-> Decide product category (use this guideline for mutual funds) —-> Then apply this screener for equity funds. Since the debt mutual fund space is continually shifting and a qualitative search is necessary, I believe it is dangerous to build a debt mutual fund screener and therefore will not. If you open the screener file, you see column headings such as this. Some of the columns in the consistent equity fund screenerYou know the fund category; benchmark; Fund name; no of 1Y returns of the benchmark(index); no of 1Y returns of the fund; no of times the fund 1Y return is above index 1Y return; the 1Y rolling return consistency; upside performance consistency and downside protection consistency. These columns are repeated for 2Y,3Y,4Y and 5Y. Now you can screen by filtering out funds that have return outperformance consistency of >=70% a downside protection consistency >= 70% and so on. You can do this manually with the excel filter buttons on the use the macro buttons as shown below. The main page of the equity fund consistency screener where you can screen with the help of a couple of clicks

Benchmarks Used

These are benchmarks that are closest to the fund type and are used by many funds in each category. 

CategoryBenchmark
Aggressive Hybrid FundNifty 100 TRI
Contra FundNifty 100 TRI
Dividend Yield FundNifty 100 TRI
Large Cap FundNifty 100 TRI
ELSSNifty Largemidcap 250 TRI
Focussed FundNifty Largemidcap 250 TRI
Large & Mid Cap FundNifty Largemidcap 250 TRI
Multi-Cap FundNifty Largemidcap 250 TRI
Sectoral/ ThematicNifty Largemidcap 250 TRI
Value FundNifty Largemidcap 250 TRI
Mid Cap FundNiftyMidcap150TRI
Small Cap FundNiftyMidCap150-TRI (New)

NIfty Largemidcap 250 has 50% of Nifty 100 and 50% of Nifty Midcap 150.

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. An example of rolling returns used in the Equity Mutual Fund Performance Screener

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

A small snapshot of rolling return entires in the equity mutual fund screener 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), Another picture of the equity fund screener input pageOr you can do this manually: how to manually screen for funds in the screener file 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.

Other features:

1: There is a sheet called “25% performance margin”.

Here you will see the following columns

No of rolling return entries Index (1 Year): Say 100 (1Y data points)
No of rolling return entries Fund (1 Year): Same as above: 100
No of times fund has outperformed an index (1 year): Say 60. That is, out of those 100 returns, 60 fund returns are above index returns.

Rolling return outperformance Consistency Score (1 years) : 60/100 = 60%

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No of times fund outperformed the index by 25% 1Y: out of those 60 times fund return was higher than the index, how many times was the fund return 25% more than the index? That is:

(fund return – index return)/index return >= 25%. Say this is 20 times.

% outperformance (by 25%) 1Y : 20/60 ~ 33%

No of times fund underperformed the index by 25% 1Y out of those 40 times fund return was less than the index (100-60 as above), how many times did the fund return fall more than 25% of the index return. That is:

(fund return – index return)/index return <= -25%.  Say this is 15 times.

% underperformance (by 25%) 1Y:  15/40 ~ 38%

Upside performance consistency (1 year): Whenever the index gave a positive monthly return, how often did the fund give a better positive return?   Higher the better.
Downside protection consistency (1 year) Whenever the index gave a negative monthly return, how often did the fund give a less negative return? Higher the better.

The above columns will be repeated for 2,3,4,5 years.

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

 

Excess-return vs excess risk screener: screenshot two

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

Excess-return vs excess risk screener: screenshot one

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 Aug 2019

Important Information

  1. This screener (Aug 2019) costs Rs. 111  (Rs. 100 + Rs.11 transaction fee) The reasons for this are mentioned in this change of policy note. I believe the cost is both affordable and justified for the information provided and reasons mentioned in the aforementioned link.
  2. The cost is only for the Aug 2019 screener and only for the data in the sheet.
  3. 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.
  4. While I will do my best to publish updated screener sheets each month, I cannot guarantee the same.
  5. The file does not contain any buy or sell recommendations and only has the above-mentioned data.
  6. Enough care and effort have been put in to weed out errors, however, I cannot guarantee that the sheet is free of error.
  7. 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
  8. I will not provide any further help or assistance in using the sheet
  9. The sheet purchased is for personal use only should not be shared with others privately or publically

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.

By clicking you agree to the terms in the important information section above. Do not forget to download the sheet after you pay!!

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About the Author

Pattabiraman editor freefincalM. Pattabiraman(PhD) is the founder, managing editor and primary author of freefincal. He is an associate professor at the Indian Institute of Technology, Madras. since Aug 2006. Connect with him via Twitter or Linkedin Pattabiraman has co-authored two print-books, You can be rich too with goal-based investing (CNBC TV18) and Gamechanger and seven other free e-books on various topics of money management. He is a patron and co-founder of “Fee-only India” an organisation to promote unbiased, commission-free investment advice.
He conducts free money management sessions for corporates and associations on the basis of money management. Previous engagements include World Bank, RBI, BHEL, Asian Paints, Cognizant, Madras Atomic Power Station, Honeywell, Tamil Nadu Investors Association. For speaking engagements write to pattu [at] freefincal [dot] com

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