Mutual Fund Performance Consistency Screener: September 2016

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A mutual fund screener based on how consistent a fund has performed with respect to a category benchmark over every possible three-year investment duration since 3rd April 2006 is presented. All equity funds and equity-oriented balanced funds (excluding equity savings funds) have been considered*.

Regular readers would immediately recognise that this is a follow-up to the previous post: A simple way to measure mutual fund performance consistency

* Rolling returns for some funds could not be calculated. The list of all such funds can be found in the screener.

Table of Contents

Mutual Fund Performance Consistency Score

Rolling returns are a simple way to estimate how consistency a fund has outperformed a benchmark. Three-year rolling returns have been considered. For example, suppose 1000 such 3Y returns are available for the fund and 800 such returns for the benchmark. Here is an example:

icici-focussed-blue-chip-rolling-retuns

We ask how many times has the fund got a better 3Y return than the benchmark. Suppose 500 such fund returns are higher, the performance consistency score is computed as

= 500/800 = 63%.

The minimum of (1000 and 800) = 800 is used in the denominator.

Higher the consistency  score, the better the fund has performed with respect to the benchmark.

The simplest way to understand the efficacy of this method is to consider the performance score of well-known poor performers – certain funds from JM Mutual or LIC Nomura  – and check their consistency score. It would be quite low.

I think any score about 60% is reasonable and above 70% quite good. Less than 50% for the 3Y rolling returns is probably a warning sign to monitor closely.

An excel sheet in which funds can be screened for consistency across categories or per category is attached below.  The same benchmarks as the September 2016: List of Equity Mutual Fund Returns and Up/Down Capture Ratios are used.

CategoryCategory CodeBenchmark
BankginEQ-BANKBSEBankex-TRI
FMCGEQ-CGBSEfmcg-TRI
InfrastructureEQ-INFRABSEInfra-TRI
InternationalEQ-INTLNifty-TRI
ITEQ-ITBSEIT-TRI
Large capEQ-LCBSELargeCap-TRI
Mid-capEQ-MCBSEmidcap-TRI
Multi-capEQ-MLCBSE200-TRI
OthersEQ-OTHNifty-TRI
PharmaEQ-PHBSEhealthcare-TRI
Small CapEQ-SCBSEsmallcap-TRI
ELSSEQ-TPBSE200-TRI
BalancedBalancedBalanced Index

Using the Mutual Fund Screener

The screener sheet in the file contains all entries. To display only one or two categories, the user can click on the grey square (red oval below), then uncheck “select all: and then select the categories required.

mutual-fund-screener

If the no of rolling return entries is less than 500 then the fund is quite young to be judged. Higher the entries, the better.

Select a cut off for the consistency score: Above 60% or above 70% as mentioned above and check the funds which have done well. You can use this in combination with the Sep 2016 returns listing.

Do let me know if you any feedback to make this better.

Download the Sep 2016 Mutual Fund Performance Consistency Screener file

 

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6 Comments

  1. Definitely useful.
    Couple of observations:
    1. Given the market cycles and the fact that you want to invest in EQ for the long haul, would prefer to also see how the 5 Year and 7 Year rolling returns look like,
    2. I found it interesting that Passive funds top the list in this analysis (checked it for LC and MLC) – showing over a 90% + better than index – whereas the better of the Active funds itself comes to 70% only.

    A little further drill down – I compared the following 4 funds Birla SL Nifty ETF, Invesco Nifty ETF, Birla SL Frontline Eq, SBI Bluechip – In terms of actual performance over a period of time – they have a 5%+ positive variation (active funds).

    So in my opinion using this tool stand alone may not be appropriate – it would be useful to look at the rolling returns along with the consistency.

    Your perspective…

    1. Sorry to respond late on this: 1 Yes I will include more durations this month.
      2 passive funds should not be considered! Also I am surprised that they beat the index! Will check
      3The consistency is calculated from the rolling returns.

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