Five unique screeners for mutual funds and stocks!

Published: March 2, 2023 at 9:54 pm

Last Updated on March 2, 2023 at 10:07 pm

We publish five kinds of screeners monthly. Each link will take you to the archive for that category with the latest screener at the top. Inside each screener, you get discounted links to our robo advisory tool and two courses: How to get people to pay for your skills (aka earn from skills) and the lectures on goal-based portfolio management.

(1) Actively managed equity fund screener

Use this equity MF screener to quickly find the 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).

(2) Debt mutual fund screener.

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This is a debt mutual fund screener for fund selection, fund portfolio tracking and learning. It also includes hybrid funds that invest in bonds. It will satisfy investors who wish to invest in money market funds, banking and PSU funds etc. The credit quality of the bonds in the portfolio and the bond maturity profile can be tracked.

Instead of looking at average credit rating and average portfolio duration (maturity) – which can be misleading ) – the sheet lists the weights to different ratings like AAA, AA, A etc. It also divides the bonds as maturing within a year, three years, five years and above. This allows the user to understand better credit and interest rate risks in a fund or fund category.

(3) Low Volatility and Momentum Stock Screener

We publish a list of stocks with low volatility and momentum each month. We provide data for BSE 500 and BSE 100 stocks.

The common method of filtration: We filter for (1) positive 1-year return, (2) positive six-month return, (3) price > 200-day moving average, (4) 50% of daily positive returns, and (5) lowest volatility.

There are now three different screener files available.

  • Stocks with low volatility and momentum from the BSE 100 large cap universe are available as a separate file.
  • Stocks with low volatility and momentum from the BSE 500 universe are in a separate file.
  • Historical data from March 2019 to Feb 2022 will be based on the Nifty 100. From March 2022 onwards, it will be based on BSE 100. This is available as a separate file.

(4) Index Fund Tracking error and tracking difference Screener

This index fund screener is based on tracking error and returns difference wrt benchmarks (aka tracking difference). The screener will help users evaluate how efficiently an index fund has tracked its underlying benchmark. It will also help a understand how tracking a midcap index or the Nifty 100, 500 differs from tracking the Sensex or the Nifty.

The index fund screener is a simple Excel file that can be opened in any spreadsheet utility. It has two sheets. (1) “Returns Index Funds”. This compares the trailing returns over the last 1,2,3,4,5,6,7 and 8 years of  40+ index funds and their corresponding benchmarks. The return difference (fund return minus index return) is listed. Actual return differences are more intuitive than tracking errors.  (2)  The tracking error of these 30+ index funds over the last 1,2,3,4,5,6,7 and 8 years is also provided

(5) ETF Tracking Error Screener

This ETF screener is based on tracking errors and tracking differences (ETF return minus index return). The screener will help users evaluate how efficiently an ETF has tracked its underlying benchmark.

The tracking error is the ETF’s standard deviation minus index monthly return differences. The lower the tracking error, the more efficient the ETF is in following the index. Unlike returns, tracking error data over multiple durations is hard to find.  Also, many investors do not seem to appreciate that the tracking error depends on the duration. This screener hopes to change that.

In an index fund, there is only the NAV. In an ETF, the units are typically traded during market hours like a stock, with an associated price determined by supply and demand. An AMC-appointed intermediary is supposed to keep the price close to the NAV, but often this does not happen.

The fund manager must ensure the NAV tracks the benchmark in an index fund. In an ETF,  not only should the NAV track the benchmark, but the price also should track the benchmark (or equivalently track the NAV).

ETF tracking errors are usually reported using the NAV. The tracking error or tracking difference information does not tell us if the price follows the NAV closely. We will have to guess this by looking at trading volumes. This screener will help change that.

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Pattabiraman editor freefincalDr. M. Pattabiraman(PhD) is the founder, managing editor and primary author of freefincal. He is an associate professor at the Indian Institute of Technology, Madras. He has over ten years of experience publishing news analysis, research and financial product development. Connect with him via Twitter, Linkedin, or YouTube. Pattabiraman has co-authored three print books: (1) You can be rich too with goal-based investing (CNBC TV18) for DIY investors. (2) Gamechanger for young earners. (3) Chinchu Gets a Superpower! for kids. He has also written seven other free e-books on various money management topics. He is a patron and co-founder of “Fee-only India,” an organisation promoting unbiased, commission-free investment advice.
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