Download the freefincal Equity Mutual Fund Performance Screener Jan 2018! Use this screener file to hunt for 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 select a mutual fund (not review existing holdings). 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.
Note to new readers: ₹e-Assemble is a series of basic steps on money management for young earners and beginners. Six steps are done. Do give it a try. This is the latest post:
Request to readers: Due to SEBI’s new classification rules, AMCs will change investment mandates of many mutual funds. Once a funds mandate has been changed, there is no point in studying its past performance. If you receive emails about change in mandate, please share them with me so that I can maintain a list of such funds and remove them from the list. Thank
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 up. This 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.
How many funds are covered?
3-year data: 302 equity mutual funds (including balanced funds)
5-year data: 264
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:
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.
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
|International||EQ-INTL||Nifty Next 50 TRI|
|Mid-cap||EQ-MC||Nifty Next 50 TRI|
|Multi-cap||EQ-MLC||Nifty Next 50 TRI|
|Others||EQ-OTH||Nifty Next 50 TRI|
|Small Cap||EQ-SC||Nifty Next 50 TRI|
|ELSS||EQ-TP||Nifty Next 50 TRI|
|Balanced||Balanced||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
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.