A tool to analyse the performance consistency of mutual funds

Published on / By M. Pattabiraman Twitter: @pattufreefincal / 10 Comments

Published: June 14, 2017 at 9:12 am

Last Updated on December 25, 2021

Use this tool to analyse the consistency in the performance of your mutual fund holdings with respect to their benchmarks (72 indices from BSE and NSE). You can also use this to evaluate new funds that you want to invest in.  This is a major update (version 5 ) to the freefincal mutual fund rolling returns calculator where I have integrated the Nifty TRI Data Downloader by Pranav Date.

Rolling returns calculators provide a simple, easy to understand visual representation of how consistently a mutual fund has outperformed its benchmark.

Suppose you have NAV data from April 1st 2007 to the present. You want to check two things:

  1. How much returns can vary over every possible 5 year period between those two dates
  2. How did the fund fare against its (or appropriate) benchmark for each of the above returns.

To do this, we first calculate the return for an imaginary lump sum investment made on

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    April 1st 2007 to Mar 31st 2012 —> 1st 5Y return data point

    April 2nd 2007 to April 1st 2012 —-> 2nd 5Y return data point

    April 3rd 2007 to April 2nd 2012  —-> 3rd point and so on.

    This is known as a rolling returns analysis. The period under observation (5Y) is being “rolled over” to the next business day.

    We repeat the exercise made for the benchmark and plot the returns together to get a graph like this.

    HDFC-top-200-2Y-rolling-returns

    You immediately get a visual idea of how consistently the fund has outperformed the benchmark. This is important for an active fund because you pay the fund manager for two reasons: (1) better returns and (2) lower risk. Rolling returns measure the return or reward. You can a visual feel of the risk management with this tool: Mutual Fund Downside Protection Consistency Analysis

    This tool is the core for the monthly screener: June 2017 Equity Mutual Fund Outperformance Screener. By adjusting the date of investing, you can use the sheet either for selecting/shortlisting funds or analysing the ones that you hold.

    The benchmarks available are (take a deep breath):

    BSE Sensex; BSE 100; BSE 200; BSE 500; NIFTY 50 TRI; NIFTY NEXT 50 TRI; NIFTY100 LIQ 15 TRI; NIFTY MID LIQ 15 TRI; NIFTY 100 TRI; NIFTY 200 TRI; NIFTY 500 TRI; NIFTY MIDCAP 150 TRI; NIFTY MIDCAP 50 TRI; NIFTY FULL MIDCAP 100 TRI; NIFTY MID100 FREE TRI; NIFTY SMALLCAP 250 TRI; NIFTY SMALLCAP 50 TRI; NIFTY FULL SMALLCAP 100 TRI; NIFTY SML100 FREE TRI; NIFTY MIDSMALLCAP 400 TRI; NIFTY AUTO TRI; NIFTY BANK TRI; NIFTY ENERGY TRI; NIFTY FIN SERVICE TRI; NIFTY FMCG TRI;
    NIFTY IT TRI; NIFTY MEDIA TRI; NIFTY METAL TRI; NIFTY PHARMA TRI; NIFTY PVT BANK TRI; NIFTY PSU BANK TRI; NIFTY REALTY TRI; NIFTY COMMODITIES TRI; NIFTY CONSUMPTION TRI; NIFTY CPSE TRI; NIFTY INFRA TRI; NIFTY MNC TRI; NIFTY PSE TRI; NIFTY SERV SECTOR TRI; NIFTY SHARIAH 25 TRI; NIFTY50 SHARIAH TRI; NIFTY500 SHARIAH TRI; NIFTY ADITYA BIRLA GROUP TRI; NIFTY MAHINDRA GROUP TRI; NIFTY TATA GROUP TRI; NIFTY TATA GROUP 25% CAP TRI; NIFTY100 EQUAL WEIGHT TRI; NIFTY50 DIV POINT TRI; NIFTY DIV OPPS 50 TRI; NIFTY ALPHA 50 TRI; NIFTY HIGH BETA 50 TRI; NIFTY LOW VOLATILITY 50 TRI; NIFTY QUALITY 30 TRI
    NIFTY50 VALUE 20 TRI; NIFTY GROWSECT 15 TRI; NIFTY DIVIDEND OPPORTUNITIES 50 TRI; NIFTY100 LOW VOLATILITY 30 TRI; BSE Bankex; BSE Capital Goods; BSE Oil and Gas; BSE Metals; BSE IT; BSE Auto; BSE Healthcare; BSE FMCG; BSE Realty; BSE TECk; BSE PSU; BSE Consumer Durables; BSE Power; BSE Shariah; BSE IPO;

    TRI = Total Returns Index (where dividends are assumed to be reinvested). This is harder for the fund manager to beat.

    Here are some self-explanatory screenshots

    The inputs screen
    The analysis screen
    Rolling returns
    Normalized NAV

    Download rolling returns and rolling risk calculator April 2019

    Download the multi-index rolling returns calculator June 2017

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