Last Updated on August 30, 2021
The freefincal Equity Mutual Fund Performance Screener (May 2021) is now available. Use it to screen for consistently performing equity mutual funds. You can screen based on fund category & benchmark and spot mutual funds that have got a higher return than a benchmark at a lower risk. Inside, you get ~ 40% discounted links to our two courses: How to get people to pay for your skills (aka earn from skills) and the lectures on goal-based portfolio management.
Use this screener file to quickly find best-performing equity funds among 300 equity funds that have consistently outperformed category benchmarks/indices with adequate downside protection (better performance when the index is down) and 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.
Note: the history of the fund’s investment strategy may have changed. Check the 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 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 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. You 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.
These are benchmarks that are closest to the fund type and are used by many funds in each category.
|Aggressive Hybrid Fund||Nifty 100 TRI and CRISIL 65:35 Aggressive Hybrid Index|
|Contra Fund||Nifty 100 TRI|
|Dividend Yield Fund||Nifty 100 TRI|
|Large Cap Fund||Nifty 100 TRI|
|ELSS||Nifty 100 TRI|
|Focussed Fund||Nifty Largemidcap 250 TRI|
|Large & Mid Cap Fund||Nifty Largemidcap 250 TRI|
|Multi-Cap Fund||Nifty Largemidcap 250 TRI|
|Sectoral/ Thematic||Nifty Largemidcap 250 TRI|
|Value Fund||Nifty Largemidcap 250 TRI|
|Mid Cap Fund||NiftyMidcap150TRI|
|Small Cap Fund||NiftyMidcap150TRI|
NIfty Largemidcap 250 has 50% of Nifty 100 and 50% of Nifty Midcap 150.
Screen for funds with higher than benchmark return with lower risk
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 13th Oct 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 of the 991 fund returns, all of them are higher than the chosen index. Thus the rolling return outperformance consistency over seven 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 the 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 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 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
- This screener (May 2021) costs Rs. 111 (Rs. 100 + Rs.11 transaction fee) and is meant for individual, personal use only. <= NOTE: From next month the cost will increase to Rs. 150.
- Inside, you get a discounted link to our two courses: How to get people to pay for your skills (aka earn from skills: 40% discount) and the lectures on goal-based portfolio management (40% discount) <= NOTE: From next month the discount on this course will reduce to 25%
- The cost is only for the May 2021 screener and only for the data in the sheet.
- 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 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.
- While freefincal will do its best to publish updated screener sheets each month, it cannot guarantee the same.
- The file does not contain any buy or sell recommendations and only has the above-mentioned data.
- Enough care and effort have been put in to weed out errors. However, we cannot guarantee that the sheet is free of error.
- 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.
- We will not provide any further help or assistance in using the sheet.
- The sheet purchased is for personal use only should not be shared with others privately or publicly. By clicking, you agree to the terms in the important information section above.
Are you living outside India? You can pay via this Paypal link (3 USD) and send a mail to freefincal at Gmail.
Want a debt fund screener? Get the latest Debt fund screener