Mutual Fund Rolling Returns Analysis with Nifty Strategy Indices

Published: July 7, 2016 at 8:56 am

Last Updated on

Rolling returns calculators provide a simple, easy to understand visual representation of how consistently a mutual fund has outperformed its benchmark. The freefincal mutual fund lump sum and SIP rolling returns calculators now include six nifty strategy  indices (smart beta) for analysing mutual fund performance.

As seen in a recent series of posts, Nifty strategic indices are tougher benchmarks for mutual funds to beat. Therefore, using these benchmarks would be a better way to separate the wheat from the chaff.  A couple of these indices were also studied in detail:

A total of 53 benchmarks are now available for comparison.These include Nifty TRI, Sensex TRI, BSE 200 TRI, BSE 500 TRI,Nifty, CNX 100, CNX Mid Cap, CNX 500, Sensex, BSE Small Cap, Mid Cap, BSE 100,200, 50 etc.

TRI refers to total returns index. That is the index has been calculated with dividends reinvested.

The user needs to obtain them manually from the S&P website (updated up to 4th April 2016). Links for updating each index is provided in the sheet.

The TRI indices are stored in the sheet while other indices are downloaded from Moneycontrol.

The six strategic indices are:

  1. NV20 – 20 value stock from within Nifty.
  2. NQ30 – 30 quality stocks from NSE listing.
  3. Alpha50 – 50 alpha generators from top 300 NSE stocks (market cap)
  4. NDivOpp – Top 50 dividend yield stocks from top 300 NSE stocks (market cap)
  5. NLV50 – 50 least volatile stocks from top 300 NSE stocks (market cap)
  6. NGS15 – Top 15 growth stocks from top 50% market cap of all sectors with PB and PE greater than the Nifty.

The strategy indices also need to updated from the NSE site (updated currently up to June 30th 2016).

Benchmark recommendations:

Large Cap: Nifty Value 20 (NV20) and NIfty TRI

Mid-cap: Nifty Alpha 50 (Alpha50)  and BSE 200 TRI and Nifty Mid-cap

Multi-cap: Nifty Next 50 (Jr), Nifty Low Volatility 50 (NLV50), Quality30 (NQ30) or BSE 500 TRI.

Div yield funds: Nifty Div Opp 50 (NDivOpp)

Small cap: BSE Small cap

Stock portfolio or sector fund portfolio: Nifty Growth 15 (this cannot be compared with this sheet!).

Here are some examples of 3-year rolling returns

Large Cap

nifty-strategy-index-rolling-returns-1

Franklin Blue Chip vs Nifty Value 20

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Mid-cap

nifty-strategy-index-rolling-returns-2

Mirae Emerging vs Alpha 50

Multi-cap

nifty-strategy-index-rolling-returns-3

Quantum Long-term equity vs Nifty Low volatility 50

Small-cap

nifty-strategy-index-rolling-returns-4

DSP Microcap vs Nifty Growth 15.

Note: Choice of the benchmark is crucial in determining outperformance or underperformance. It is possible that the choices made above may be different from the investment strategy of the fund.

However, if an actively managed mutual fund has trouble beating an algorithm based index constructed with a simple strategy, it makes you wonder!

What do you think of the above results?

Version 5:  Download the multi-index (lump sum) rolling returns calculator June 2017

Download the mutual fund lump sum rolling returns calculator July 2016

(Win Excel 2007 and up, macros and data connections to be enabled)

Download the mutual fund SIP rolling returns calculator July 2016

(Win Excel 2007 and up, macros and data connections to be enabled)

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M Pattabiraman author of freefincal.comM. Pattabiraman(PhD) is the founder, managing editor and primary author of freefincal. He is an associate professor at the Indian Institute of Technology, Madras. since Aug 2006. Connect with him via Linkedin
Pattabiraman has co-authored two print-books, You can be rich too with goal-based investing (CNBC TV18) and Gamechanger and seven other free e-books on various topics of money management.  He is a patron and co-founder of “Fee-only India” an organisation to promote unbiased, commission-free investment advice.
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6 Comments

  1. assuming we are comparing funds with their most recommended index, i expected all blue lines to be much higher than red lines

    surprisingly most of them are identical?

    so i am thinking claims of beating benchmarks are bogus because i can choose conveniently whatever i want and claim whatever i want?

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