Easily find Consistent Equity Mutual Funds (Nov 2018) with this sheet

The freefincal Equity Mutual Fund Performance Screener November 2018 edition is available for download. Use this screener file to easily find best performing 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.

Updates for November 2018

  • Re-scanned value research to include funds missing in previous editions
  • Provide two screeners (1) with normal benchmarks and (2) with freefincal benchmarks.
  • Included the Nifty blend index (50% Nifty 50 + 50% Nifty Next 50) as a benchmark

Best Equity Mutual Funds in November 2018 (free screener download)

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%.
  • 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 up. This 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 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

Normal Benchmarks Used

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

Category Code Benchmark
Banking EQ-BANK NSE Bank-TRI
Infrastructure EQ-INFRA NSE Infra -TRI
Large-cap EQ-LC Nifty 100 TRI
Value Oriented EQ-VAL Nifty 100 TRI
Small Cap EQ-SC Nifty Smallcap 50 TRI
Mid-cap EQ-MC NiftyMidcap150TRI
Multi-cap EQ-MLC Nifty 200 TRI
Large and Midcap EQ-L&MC Nifty 200 TRI
ELSS EQ-TP Nifty 200 TRI
Hybrid Aggressive (balanced) HY-AH BSE Balanced Index

The categories are the same as that used by Value Research. BSE Balanced index use to benchmark equity-oriented balanced fund is one of my own making: A new & accessible benchmark for balanced mutual funds

Nifty Smallcap 50 is being used for the first time to be in-line with the idea of a “normal” benchmark. As regards Nifty 100, see: Will large-cap mutual funds struggle to beat Nifty 100 Equal Weight Index?

Nifty 200 is no slouch either: List of funds that have outperformed Nifty 200 & Nifty Midcap 150 Total Return Indices

Freefincal Benchmarks Used

As an alternative to the usual category benchmarks, I think it is essential to consider two benchmarks that are readily available for index investing. (1) Nifty Next 50 for volatile funds and the Nifty Blend which is half of Nifty 50 and NIfty Next 50. This is substantially equivalent to the Nifty 100 Equal weight index. You can read more about the NIfty Blend index here: Can I start Index investing with 50% Nifty 50 and 50% Nifty Next 50?

Category Code Benchmark
Banking EQ-BANK Nifty Next 50 TRI
Infrastructure EQ-INFRA Nifty Next 50 TRI
Large-cap EQ-LC Nifty Blend Index
Value Oriented EQ-VAL NIfty Blend Index
Small Cap EQ-SC Nifty Next 50 TRI
Mid-cap EQ-MC Nifty Next 50 TRI
Multi-cap EQ-MLC Nifty Blend Index
Large and Midcap EQ-L&MC Nifty Blend Index
ELSS EQ-TP Nifty Blend Index
Hybrid Aggressive (balanced) HY-AH Nifty Blend Index

As for Nifty Next 50, the reason why it is used extensively is due to its fantastic track record in beating actively managed funds (regarding returns, not risk management): Nifty Next 50: The Benchmark Index That No Mutual Fund Would Touch?!

Due to the new results presented in my talk on index investing: Can we get higher returns with lower risk?, the Nifty 100 EW index is a much better choice of large-cap and value benchmark than the nifty 50 or nifty 100.

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, 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 a couple of 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 short list 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 new sheet called standard deviation. This is a measure of how much individual monthly returns deviate from the average over 1,2,3,4,5 years. I will discuss its usage tomorrow.

2: There is a new 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 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%

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 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.

How to screen for the best equity funds in November 2018

Thanks to Mohit Jain for pointing out an error.

Download the November 2018 freefincal equity mutual fund outperformance screener (with normal benchmarks and macro buttons for easy screening)

Download the macro-free (only data for you to screen yourself) version with both benchmark data included

Download the November 2018 freefincal equity mutual fund outperformance screener (with freefincal benchmarks and macro buttons for easy screening)

You can upload the file to Google sheets if you want and work.

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4 thoughts on “Easily find Consistent Equity Mutual Funds (Nov 2018) with this sheet

  1. Dear Pattu,
    How can this sheet update in “Google Sheet” through daily market up and down?
    And I wanna select fund not only “return” basis, but I also want to select fund some others parameters like Beta, Alfa, deviation, etc.
    I found a very good sheet, ” MF portfolio check” it’s very good, but this made in July 2017 and till now lots of change in fund name and categories, my question is: How can I update this sheet?.
    Thanks

  2. Why is the number of funds on Freefincal benchmarks sheet (203) less than number of funds on normal benchmarks sheet (237) by 34? And the standard deviation sheet as 244 funds, which is different than any of these other 2 numbers.. Is this deliberate?

    1. After publication I found that the numbers for some funds were wrong and deleted them. Hence this difference in nos. Will take care next time

  3. Dear Pattu ji,
    i have seen your all video and found impressive work done by you for individual investor. I have one query about Index fund and ETF especially Expense ration.
    Eg : ABSL NIFTY 50 ETF fund have Ex. Ration 0.05 and ABSL Nifty INDEX fund have Exp. Ration 0.45. so according to you which one is better for long term investment Index or ETF Fund ?
    Regards
    MITESH SHAH

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