Equity Mutual Fund Performance Screener Dec 2017

The freefincal Equity Mutual Fund Performance Screener Dec 2017 is now available. I have simplified the column names and entries for easy understanding and use.  Use this screener file to hunt for equity funds that have consistently outperformed category benchmarks/indices with good downside protection (better performance when index is down)  and/or upside performance (better performance when index is up). This screener is meant for DIY investors who hopefully would appreciate these unique metrics.  The  PlumbLine” is a set of handpicked mutual funds meant for the new investor to quickly get started when they use the  Freefincal Robo Advisory Software Template.

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What does this Equity Mutual Fund Performance Screener cover?

It gives you three outputs:

  • Rolling return outperformance consistency over 3Y,5Y, 7Y: Higher the better. A score 80% means, 8 out of 10 times, the return of the fund was better than the category benchmark. This is an overall measure of reward (see details below)

 

  • Upside performance consistency over 3Y,5Y, 7Y: 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 3Y,5Y, 7Y: 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.

I hope this is clear.

How many funds are covered?

3-year data: 301 equity mutual funds (including balanced funds)

5-year data: 263

7-year data: 231

How long did it take to compile this data?

The Excel macro runs for 8 to 10 hours to put this together.

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 use this screener for equity funds.

Since the debt mutual fund space is constantly 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.

Equity Mutual Fund Performance Screener Dec 2017

The entries seen with “3 years” will again be repeated for “5 years” and “7 years” as shown in the second panel.

Category Benchmarks Used

CategoryCategory CodeBenchmark
BankingEQ-BANKBSEBankex-TRI
FMCGEQ-CGBSEfmcg-TRI
InfrastructureEQ-INFRABSEInfra-TRI
InternationalEQ-INTLNifty Next 50 TRI
ITEQ-ITBSEIT-TRI
Large capEQ-LCBSELargeCap-TRI
Mid-capEQ-MCNifty Next 50 TRI 
Multi-capEQ-MLCNifty Next 50 TRI 
OthersEQ-OTHNifty Next 50 TRI
PharmaEQ-PHBSEhealthcare-TRI
Small CapEQ-SCNifty Next 50 TRI
ELSSEQ-TPNifty Next 50 TRI 
BalancedBalancedBSE 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

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

Other benchmark choices are fairly straightforward.

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 (fund in the graph below) and BSE Large Cap (index in the graph below). Bet 31st Aug 2008 and 9th Sep 2017, there are 991, 7 year durations. 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 =

(no of times the fund has outperformed the index)/(total no of returns)

= 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 an 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 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

You can use Excel data filter features to choose a particular fund category

Or, you can set the rolling consistency over 3Y (and/or) 5Y (and /or) 7Y to be above 80% or 75%

This should result in a nice small set to work with. You can also do the same kind of filtering to the capture consistencies and choose a fund.

This video does not include the rolling upside, downside data, but the spirit is the same.

 

 

I would recommend choosing a fund with a good rolling return outperformance consistency combined with a good downside protection outperformance consistency. Why? See: What is mutual fund downside protection and why is it important?

In other words, choose funds that beat the index by reducing the amount by which it falls during market lows rather the funds that beat the index when the index is moving up. This way, we can sleep a lot more peacefully.

Download the freefincal Equity Mutual Fund Performance Screener Dec 2017 edition


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6 thoughts on “Equity Mutual Fund Performance Screener Dec 2017

  1. Excellent Screener, especially with the Downside consistency, you nailed it.. Pattu you are a Genius!!!

  2. Pattu – I went thru the video & use the tool. I initially short listed a few Balanced Funds (on my own) and then used the tool to validate my choice before investing money. I found it to be quite useful & I have also recommended the excel tool to my friends who are into investing in mutual funds

  3. Professor,
    I had done some analysis on this sheet between two funds in balanced category.
    1. HDFC Balanced Fund Growth 2. Aditya Birla Sun Life 95 Balanced Fund Growth , ( I think both are regular fund in this sheet)

    Result:
    As per sheet Aditya Birla Sun Life 95 Balanced Fund Growth is better in all aspect.

    But when I try to compare the return on mornignstart then I found first fund that is HDFC Balanced Fund Growth have always better return that Aditya birla 95.

    Do I miss some where? Please suggest.

    1. No. returns depend on when it was measured. Morningstar would have given single return values while I provide consistency based on 1000s of returns. It is up to you to decide which is more important.

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