CRISIL, an independent analytical company, provides — on a quarterly basis — ranking of the relative performance of various mutual fund schemes across different categories. Only open-ended funds are considered for ranking.
Further the funds should have
a) A minimum 2-year NAV history (1-year for Liquid, Ultra Short-Term Debt, Short-Term Debt and Index funds),
b) AUM above a certain specified limit (e.g. Rs.50 crores for equity and liquid funds, Rs.25 crores for ELSS, income, gilt, ultra short-term debt and MIP funds, Rs.15 crores for balanced funds, Rs.10 crores for index funds),
c) Complete portfolio disclosure
The parameters which determine the ranking include the following:
Superior Return Score: This is the measure of the relative return and risk of a particular fund vis-à-vis the peer group.
Mean Return and Volatility: Mean return is the average daily return. Volatility is the standard deviation of these returns; higher the standard deviation more volatile the fund.
Portfolio Concentration Analysis: Both Industry and Company concentration is measured to ascertain whether the fund is adequately diversified. Higher concentration increases the fund risk.
Liquidity Analysis: This determines the ease with which the fund can be liquidated. This is important in case there is sudden redemption pressure on the fund.
Asset Quality: This is particularly important in case of debt funds and measures the probability of default by the issuer of the debt.
Modified and Average maturity: This parameter too is relevant for debt funds and shows how susceptible the fund is to the interest rate movements; longer the maturity, more is the fund volatility due to changes in interest rates.
Downside Risk Probability (DRP): This measures the probability of earning lower returns than the short-term risk free investment (91-day T-bill).
Asset Size: Considered for Ultra Short-Term Debt and Liquid Funds, it determines the impact of large inflows/outflows on the fund performance and the ability to manage these large flows. Higher the asset size, the better it is.
Tracking error: This is used for index funds to measure how closely they are able to track the underlying index. Lower the error, the better it is.
The ranking — for any given category — is from 1 to 5; 1 denoting ‘very good’ (top 10 percentile) performance and 5 ‘relatively weak’ (bottom 10 percentile) performance. This data is available on CRISIL's website for free.
Further the funds should have
a) A minimum 2-year NAV history (1-year for Liquid, Ultra Short-Term Debt, Short-Term Debt and Index funds),
b) AUM above a certain specified limit (e.g. Rs.50 crores for equity and liquid funds, Rs.25 crores for ELSS, income, gilt, ultra short-term debt and MIP funds, Rs.15 crores for balanced funds, Rs.10 crores for index funds),
c) Complete portfolio disclosure
The parameters which determine the ranking include the following:
Superior Return Score: This is the measure of the relative return and risk of a particular fund vis-à-vis the peer group.
Mean Return and Volatility: Mean return is the average daily return. Volatility is the standard deviation of these returns; higher the standard deviation more volatile the fund.
Portfolio Concentration Analysis: Both Industry and Company concentration is measured to ascertain whether the fund is adequately diversified. Higher concentration increases the fund risk.
Liquidity Analysis: This determines the ease with which the fund can be liquidated. This is important in case there is sudden redemption pressure on the fund.
Asset Quality: This is particularly important in case of debt funds and measures the probability of default by the issuer of the debt.
Modified and Average maturity: This parameter too is relevant for debt funds and shows how susceptible the fund is to the interest rate movements; longer the maturity, more is the fund volatility due to changes in interest rates.
Downside Risk Probability (DRP): This measures the probability of earning lower returns than the short-term risk free investment (91-day T-bill).
Asset Size: Considered for Ultra Short-Term Debt and Liquid Funds, it determines the impact of large inflows/outflows on the fund performance and the ability to manage these large flows. Higher the asset size, the better it is.
Tracking error: This is used for index funds to measure how closely they are able to track the underlying index. Lower the error, the better it is.
The ranking — for any given category — is from 1 to 5; 1 denoting ‘very good’ (top 10 percentile) performance and 5 ‘relatively weak’ (bottom 10 percentile) performance. This data is available on CRISIL's website for free.
