CRISIL Mutual Fund Ranking. For the quarter ended March 31, 2018

Transcription

1 CRISIL Mutual Ranking For the quarter ended March 31, 2018

2 Contact Us Analytical Yatendra Chauhan Associate ector s & Fixed Income Research yatendra.chauhan@crisil.com Kiran Nate Manager s & Fixed Income Research kiran.nate@crisil.com Zunjar Sanzgiri Research Analyst s & Fixed Income Research zunjar.sanzgiri@crisil.com Business Development Vishal Ahuja ector s & Fixed Income Research vishal.ahuja@crisil.com Dinesh Agarwal Associate ector s & Fixed Income Research dinesh.agarwal@crisil.com Deepak Mittal Associate ector s & Fixed Income Research deepak.mittal@crisil.com Vijay Krishnamurthy Associate ector s & Fixed Income Research vijay.krishnamurthy@crisil.com

3 Industry highlights The Indian mutual fund industry grew a robust 26% in the fiscal year ended March 2018 (fiscal 2018) according to the Association of Mutual s in India (AMFI). Average assets under management (AUM), excluding fund of funds, increased by Rs 4.75 trillion to Rs trillion in fiscal 2018 following similar absolute growth in the preceding fiscal. Equity funds were the key drivers of industry growth. On a quarterly basis, however, growth in average AUM slowed to 3% (or Rs billion) in Q4 fiscal 2018 compared with 6.8% (or Rs 1.43 trillion) in the quarter before. Equity funds continued to be investors favourites as reflected in the inflows trend. The category saw progressive increase in inflows: Rs 2.85 trillion in fiscal 2018, Rs 1.31 trillion in fiscal 2017, Rs 1.02 trillion in fiscal 2016 and Rs 831 billion in fiscal Robust inflows clubbed with mark-tomarket (MTM) gains prompted assets to cross the Rs 10 trillion mark, up 62.7%, or by Rs 3.95 trillion, to a new high of Rs trillion in fiscal On a quarterly basis, the category s assets increased 8.73%, or by Rs 824 billion. The equity market - represented by Nifty 50 - gained 10.25% in the fiscal but fell around 4% in Q4. Most debt funds posted subdued growth in the fiscal as interest rate uncertainty weighed on the underlying instruments. AUM growth in shorter duration funds such as short-term debt and ultra short-term funds slowed to 2% and 6% to Rs 2.78 trillion and Rs 2.10 trillion, respectively, in fiscal 2018 following robust growth of 81% and 49% in the preceding year. Among longer duration funds, income funds assets posted modest growth of 8.2% to Rs 1.18 trillion in fiscal 2018, while gilt funds assets fell 2.3% to Rs 155 billion. However, liquid funds were an exception and maintained steady growth of 16% in fiscal 2018 to reach an asset base of Rs 4.61 trillion following 23% growth in the preceding fiscal. The last quarter of the fiscal was harder hitting with assets of debt oriented funds (except liquid funds) witnessing an erosion of 9% on a consolidated basis. Investors continued to withdraw money from gold exchange traded funds (ETFs) for the fifth consecutive fiscal. The category s average AUM fell 13.88%, or by Rs 7.83 billion, to Rs billion owing to outflows of Rs 8.35 billion. On a quarterly basis, too, assets fell nearly 2%. International gold prices rose 2% in the quarter and 6.3% in the year ended March Chart 1 Mutual fund net flows and AUM trend Qtrly Avg AUM Rs trillion Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar Net flows (Rs trillion) Industry AUM (Rs trillion) Source AMFI Table 1 Category-wise average AUM (Rs billion) 1 yr Mutual fund category Jan-Mar Oct-Dec Absolute % % change Change change (fiscal 2018) Equity* Liquid/money market Debt** Fixed maturity plans (FMPs) Infrastructure debt fund Gold ETFs Others Total * Includes equity-oriented funds, balanced funds and ETFs other than gold ETFs ** Includes long-term, gilt, short-term, ultra short-term and other debtoriented funds Source - CRISIL Mutual Database Of the 41 fund houses (including infrastructure debt funds) that have declared average AUM, 12 witnessed a fall in the quarter and six posted a fall in fiscal The industry continued to be highly concentrated, with the share of the top five and top 10 fund houses almost unchanged at 57.1% and 80.81%, respectively. Net flows Rs trillion 1

4 ICICI Prudential Mutual continued to be the industry leader in terms of assets managed in fiscal Its assets grew 25.84%, or by Rs 628 billion, on-year to Rs 3.06 trillion. HDFC Mutual came second with a rise of Rs 634 billion or 26.72% to Rs 3.01 trillion. Aditya Birla Sun Life Mutual was in the third position with Rs 2.48 trillion, up by Rs 525 billion or 26.91%. Assets of HDFC Mutual and ICICI Prudential Mutual rose the highest in absolute terms. Major regulations and developments Securities and Exchange Board of India (Sebi) reduced the number of cities where mutual fund houses can pay higher distribution fees to brokers. Earlier, fund houses could pay additional brokerage only beyond the top 15 cities. Now, they can pay additional brokerage only beyond top 30 cities, thereby reducing the number of cities. The Sebi board approved the proposal to reduce the maximum additional expense allowed for a mutual fund to 5 basis points (bps) from 20 bps. Sebi finalised norms for allowing mutual funds and portfolio management services to participate in commodity derivatives. Sebi is considering allowing ETFs based on metals such as silver and platinum to encourage participation of retail and institutional investors in these instruments. Sebi asked mutual fund houses to prominently disclose daily the total expenses they charge customers for all schemes under a separate head on their websites. Sebi said the new framework with regard to tenure of independent trustees as well as directors will be complied with in a phased manner within two years, which will ensure smooth transition at fund houses. AMFI issued a list of stocks based on their market capitalisation for mutual funds. The Pension ulatory and Development Authority (PFRDA) allowed partial withdrawal under the National Pension System for purchase of residential premises, treatment of critical illness, higher education and marriage of children. Employees Provident Organisation (EPFO) lowered the rate of interest on employees provident fund to 8.55% for its subscribers for from 8.65% in the previous fiscal. BSE launched a paperless e-mandate facility on its mutual fund platform. BSE Star decided to charge a nominal fee on 26 asset management companies for using its services. Punjab National Bank signed an agreement with Principal Financial Group to sell its stake in their mutual fund joint venture for an undisclosed sum. 2

5 28-Dec-17 6-Jan Jan Jan-18 2-Feb Feb Feb-18 1-Mar Mar Mar Mar-18 Nifty 50 FII/ MF Daily Net Equity Investments Rs. billion Equity market overview Table 2 Movement of key equity market indices Index Quarter ended Mar-18 (% change) Year ended Mar-18 (% change) Nifty Nifty Nifty IT Index Nifty FMCG Nifty Bank Nifty Energy Index Nifty Infrastructure Nifty Auto Nifty Commodities Nifty Metal Nifty Midcap 100 Index Nifty Pharma Nifty Smallcap 100 Index Nifty Realty Sectoral indices sorted on three-month returns Source - NSE Indian equity indices declined in the quarter ended March; benchmark Nifty 50 lost around 4%. The following developments dented market sentiment: a) the central government unveiled a proposal to levy 10% long-term capital gains (LTCG) tax on equity investments in the Union Budget and also raised the fiscal deficit target for to 3.5% of GDP from 3.2%; b) a public sector bank unearthed a fraud of around $1.8 billion at one of its branches in Mumbai; c) the RBI s decided to bar lenders from issuing Letters of Undertaking and Letters of Comfort; d) the rupee depreciated; e) the current account deficit widened to 2% of the GDP at $13.5 billion in the December quarter; and f) renewed domestic political uncertainty after the Telugu Desam Party decided to quit the National Democratic Alliance and moved a no-confidence motion against the government. Discouraging global cues included: a) a rate hike by the US Federal Reserve and as it maintained its view on three hikes this year; b) prospects of a global trade war, especially between the US and China; and c) sell-off in US technology firms amid concerns about tighter regulations for the technology industry. However, further losses were prevented after the central government reduced its additional borrowing plan for fiscal 2018 by Rs 300 billion to Rs 200 billion and announced a lower-than-expected borrowing programme for the first half of fiscal Sentiments got a boost after the GST Council reduced tax rates on 29 goods and 53 categories of services, and after the International Monetary said India will regain the title of the world s fastest growing major economy in Inflows by foreign institutional investors (FIIs) into domestic equities coupled with some encouraging domestic corporate earnings induced more buying. FIIs bought equities worth Rs 139 billion in the March quarter compared with buying of Rs 164 billion in the previous quarter. Value buying in beaten-down stocks, release of strong domestic growth and industrial output data, and easing of inflation supported the benchmarks further. Most NSE sectoral indices ended lower in the quarter. Nifty PSU Bank declined around 22% owing to a recent bank fraud. Heavy selling pressure was also witnessed in realty shares. Nifty Realty lost about 15%. Metal stocks witnessed heavy selling due to imposition of import tariffs by the US on steel and aluminium from China and other countries. Nifty Metal dipped around 11%. while, information technology firms surged following encouraging earning numbers from some of the index majors and a depreciating rupee. Nifty IT Index jumped 7.3%. Chart 2 Mutual fund daily investments & Nifty movement Source - SEBI, NSE FII Daily Net Equity Investments MF Daily Net Equity Investments Nifty OVERVIEW 3

6 Debt market overview Interbank call money rates remained below the repo rate for most of the quarter amid comfortable liquidity in the banking system. Surplus funds prompted the RBI to conduct reverse repo auctions to drain away excess liquidity. However, some stress was witnessed in the call rates market owing to Goods and Services tax (GST)-related outflows. while, the central bank will soon have greater flexibility in terms of managing liquidity operations with the addition of one more tool Standing Deposit Facility Scheme. Government bond prices ended lower in the March quarter amid high volatility, with yield on the 10-year benchmark Chart 3 Movement of overnight MIBOR borrowing for fiscal 2018 from Rs 500 billion to Rs 200 billion and also moved to ease debt supply burden in the first six months of FY19 by deciding to borrow Rs 2.88 trillion via sale of dated securities during April-September, which is about 48% of its annual borrowing plan, and lower than the corresponding figure in prior years. More gains were seen following moderation in domestic consumer inflation and sporadic value buying. Sentiment was boosted for dated securities after the RBI said it will inject additional Rs 1 trillion through longer tenor instruments to enable flexibility towards meeting fund needs in March-end. Chart 4 10-year benchmark gilt yield 9.50% 7.90% 9.00% 7.70% 8.50% 7.50% 8.00% 7.30% 7.50% 7.10% 7.00% 6.90% 6.50% 6.00% 5.50% 29-Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Jan Feb Mar % 6.50% 6.30% 29-Mar Apr May Jun Jul Aug Sep Sep Oct Nov Dec Jan Feb Mar Mar-18 Source FIMMDA Source - CRISIL Fixed Income Database 7.17% 2028 paper ending at 7.40% on March 28, 2018 compared with 7.33% on December 29, Gilts took a hit earlier amid fears of an interest rate hike by the central bank. Sentiments were dented further after comments by RBI Deputy Governor Viral Acharya suggested that the central bank will not take measures to reduce mark-to-market losses suffered by some banks recently on their bond portfolios. However, in April, the RBI allowed banks to spread bond trading losses over four quarters. Intermittent rise in US Treasury yields and global crude oil prices also weighed on gilts. Prices dipped following the budget announcement as a sharp hike in MSP of crops and a rise in the government's rural spending stoked fears of an increase in domestic inflation in the near term. Gilts declined further after the government revised the fiscal deficit to 3.3% of GDP for FY19, deviating from the fiscal glide path, and setting the target at a higher 3.5% for fiscal However, losses were capped after the government decided to reduce its additional market Key developments in the quarter: The Ministry of Finance notified that PSB recapitalisation bonds - the bonds that are split into six instalments - will bear interest rates between 7.35% and 7.68% and will mature between 2028 and The government decided that the EPFO will be mandated to invest a minimum of 20% of its incremental corpus in debt-related instruments, against the present requirement of 35%. Further, it asked PSBs to seek its permission before floating additional tier-1 bonds. The RBI and Sebi created a separate Rs 50 billion limit for foreign investors in the interest rate futures segment. Sebi made electronic platform mandatory for all private placement issues on debt basis that have a threshold of Rs 2 billion. 4

7 Aligning CMFR with Sebi categorisation Owing to the circular on categorisation /rationalisation of mutual fund schemes as prescribed by the Securities and Exchange Board of India (Sebi), CRISIL has aligned CRISIL Mutual Ranking (CMFR) with the new scheme categorisation. In doing so, we have introduced new ranking categories in the March 2018 quarter ranking. Also, certain changes have been made in the scheme shortlisting criteria and scheme ranking criteria for some of the categories. On aligning with the Sebi circular, the number of categories being ranked under CMFR have been increased from 14 to 24. Equity categories Debt categories Hybrid categories Large cap Gilt Aggressive hybrid Large & mid cap Banking & PSU Conservative hybrid Multi cap Mid cap Small cap Value fund Focused ELSS Infrastructure Index/ETF Credit risk Corporate bond Dynamic bond Medium to long Medium duration Short duration Money market Low duration Ultra short duration Liquid Please refer to annexures for details: Annexure I Selection criteria for schemes in CMFR Annexure II CRISIL Mutual Ranking Methodology Annexure III Exclusion list 5

8 CRISIL mutual fund categories Equity funds 1. Large Cap funds 2. Large & Mid Cap funds 3. Multi Cap funds 4. Mid Cap funds 5. Small Cap funds 6. Value/Contra funds 7. Focused funds 8. Thematic - Infrastructure funds 9. Equity Linked Savings Schemes (ELSS) 10. Index funds Hybrid funds Debt s 13. Gilt funds 14. Banking & PSU funds 15. Credit Risk funds 16. Corporate Bond funds 17. Dynamic Bond funds 18. Medium to Long Duration funds 19. Medium Duration funds 20. Short Duration funds 21. Money Market funds 22. Low Duration funds 23. Ultra Short Duration funds 24. Liquid funds 11. Aggressive Hybrid funds 12. Conservative Hybrid funds CRISIL Mutual Ranking category definitions Rankings category CRISIL Rank 1 CRISIL Rank 2 CRISIL Rank 3 CRISIL Rank 4 CRISIL Rank 5 Interpretation Very good performance Good performance Average performance Below average performance Relatively weak performance If the top 10 percentile figure is not an integer, the same is rounded off to the nearest integer. The same approach is adopted for CRISIL Rank 2 (11 th to 30 th percentile), CRISIL Rank 5 (last 91 st to 100 th percentile) and CRISIL Rank 4 (71 st to 90 th percentile) clusters. The residual schemes in the universe are placed in the CRISIL Rank 3 cluster. 6

9 Large Cap funds (Cluster ranks are arranged alphabetically) Active Active Large Cap funds Return - Return Industry Concentration Company Liquidity Concentration Weightages 55% 25% 10% 5% 5% ICICI Prudential Bluechip SBI Blue Chip HSBC Large Cap Equity Indiabulls Bluechip Reliance Large Cap Aditya Birla Sun Life Frontline Equity Axis Bluechip HDFC Top Kotak Bluechip Tata Large Cap UTI Mastershare Unit Scheme EQUITY FUNDS BNP Paribas Large Cap DSP BlackRock Top 100 Equity Franklin India Bluechip IDBI India Top 100 Equity JM Large Cap

10 Large & Mid Cap funds (Cluster ranks are arranged alphabetically) Large & Mid Cap funds Active Return - Active Return Industry Concentration Company Concentration Liquidity Weightages 55% 25% 10% 5% 5% Invesco India Growth Opportunities Principal Emerging Bluechip DSP BlackRock Equity Opportunities Mirae Asset Emerging Bluechip Sundaram Large & Mid Cap Aditya Birla Sun Life Equity Advantage Canara Robeco Emerging Equities IDFC Core Equity Kotak Equity Opportunities L&T Large and Midcap SBI Large & Midcap UTI Top Franklin India Equity Advtange HDFC Growth Opportunities ICICI Prudential Large & Mid Cap Reliance Vision Tata Large & Mid Cap

11 Multi Cap funds (Cluster ranks are arranged alphabetically) Multi Cap funds Rank- Rank- Active Return- Active Return- - - Industry Concentration Company Concentration Liquidity Weightages 55% 25% 10% 5% 5% Motilal Oswal Multicap Principal Multi Cap Growth Aditya Birla Sun Life Equity Kotak Standard Multicap Mirae Asset India Equity SBI Magnum MultiCap Canara Robeco Equity Diversified DSP BlackRock Equity HSBC Multi Cap Equity ICICI Prudential Multicap L&T Equity UTI Equity Baroda Pioneer Multi Cap BNP Paribas Multi Cap Franklin India Equity HDFC Equity IDFC Multi Cap Reliance Multicap

12 Mid Cap funds (Cluster ranks are arranged alphabetically) Mid Cap funds Active Return - Active Return Industry Concentration Company Concentration Liquidity Weightages 55% 25% 10% 5% 5% Kotak Emerging Equity L&T Midcap DSP BlackRock Midcap Franklin India Prima ICICI Prudential MidCap Aditya Birla Sun Life Midcap Axis Midcap HDFC Mid-Cap Opportunities Reliance Growth Sundaram Mid Cap BNP Paribas Mid Cap Tata Mid Cap Growth UTI Mid Cap Motilal Oswal Midcap SBI Magnum Midcap

13 Small Cap funds (Cluster ranks are arranged alphabetically) Small Cap funds Return - Return Industry Concentration Company Concentration Liquidity Weightages 55% 25% 10% 5% 5% HDFC Small Cap L&T Emerging Businesses SBI Small Cap Aditya Birla Sun Life Small Cap Franklin India Smaller Companies Kotak Small Cap Reliance Small Cap DSP BlackRock Small Cap HSBC Small Cap Equity Sundaram Small Cap

14 Value / Contra funds (Cluster ranks are arranged alphabetically) Value / Contra s Active Return - Active Return Industry Concentration Company Concentration Liquidity Weightages 55% 25% 10% 5% 5% Tata Equity PE HDFC Capital Builder Value Invesco India Contra Aditya Birla Sun Life Pure Value IDFC Sterling Value L&T India Value Reliance Value - Equity Templeton India Value SBI Contra UTI Value Opportunities Quantum Long Term Equity Value * NA 4 NA 4 NA ICICI Prudential Value Discovery * As regular plan of the Quantum Long Term Equity has not completed three years, only direct plan is ranked. 12

15 Focused funds (Cluster ranks are arranged alphabetically) Focused s Active Return - Active Return Industry Concentration Company Concentration Liquidity Weightages 55% 25% 10% 5% 5% IDFC Focused Equity Axis Focused Sundaram Select Focus Aditya Birla Sun Life Focused Equity DSP BlackRock Focus HDFC Focused ICICI Prudential Focused Equity Motilal Oswal Focused SBI Focused Equity Franklin India Focused Equity Reliance Focused Equity IIFL Focused Equity

16 Thematic - Infrastructure funds (Cluster ranks are arranged alphabetically) Thematic - Infrastructure funds Return - Return Industry Concentration Company Concentration Liquidity Weightages 55% 25% 10% 5% 5% DSP BlackRock Natural Resources and New Energy IDFC Infrastructure Kotak Infrastructure and Economic Reform L&T Infrastructure Reliance Power & Infra Aditya Birla Sun Life Infrastructure DSP BlackRock India T.I.G.E.R Franklin Build India Sundaram Infrastructure Advantage Tata Infrastructure ICICI Prudential Infrastructure SBI Infrastructure UTI Infrastructure HDFC Infrastructure HSBC Infrastructure Equity

17 Equity Linked Savings Scheme (ELSS) (Cluster ranks are arranged alphabetically) Equity Linked Savings Scheme (ELSS) Return - Return Industry Concentration Company Concentration Liquidity Weightages 55% 25% 10% 5% 5% IDFC Tax Advantage (ELSS) Motilal Oswal Long Term Equity Aditya Birla Sun Life Tax Relief Invesco India Tax Plan L&T Tax Advantage Tata India Tax Savings Axis Long Term Equity Canara Robeco Equity Tax Saver DSP BlackRock Tax Saver ICICI Prudential Long Term Equity (Tax Saving) Kotak Tax Saver Scheme Sundaram Diversified Equity UTI Long Term Equity (Tax Saving) Franklin India Taxshield HDFC Tax Saver IDBI Equity Advantage SBI Magnum Tax Gain Scheme BNP Paribas Long Term Equity Reliance Tax Saver

18 Index funds (Cluster ranks are arranged alphabetically) Index funds Weightages Kotak Nifty ETF 1 1 ICICI Prudential Nifty ETF 2 2 Reliance ETF Nifty BeES 2 2 SBI Nifty Index 2 3 Franklin India Index - NSE Nifty Plan 3 3 HDFC Index - Nifty 50 Plan 3 3 ICICI Prudential Nifty Index 3 3 IDBI Nifty Index 3 2 IDFC Nifty 3 3 UTI Nifty Index 3 3 Aditya Birla Sun Life Index 4 4 Aditya Birla Sun Life Nifty ETF 4 4 Reliance Index - Nifty Plan 4 4 SBI - ETF SENSEX 5 5 ETFs, which have only single option, have been ranked in both regular & direct categories 16

19 Aggressive Hybrid (Cluster ranks are arranged alphabetically) Industry Aggressive Hybrid s Return - Return Concentration / Exposure to Sensitive Company Concentration Debt Asset Quality Debt Liquidity Equity Liquidity Sector* Weightages 50% 25% 10% 5% 5%* (100-K) 5%* (100-K) 10%*K Principal Hybrid Equity Canara Robeco Equity Debt Allocation HDFC Hybrid Equity ICICI Prudential Equity & Debt Aditya Birla Sun Life Equity Hybrid 95 Franklin India Equity Hybrid Kotak Equity Hybrid L&T Hybrid Equity Reliance Equity Hybrid SBI Equity Hybrid DSP BlackRock Equity & Bond JM Equity Hybrid HYBRID FUNDS UTI Hybrid Equity Tata Hybrid Equity K = Equity Component in Hybrid s * Industry concentration for equity and Exposure to Sensitive Sector for debt portion of the portfolio 17

20 Conservative Hybrid (Cluster ranks are arranged alphabetically) Conservative Hybrid s Return - Return Industry Concentration / Exposure to Sensitive Sector* Company Concentration Debt Asset Quality Weightages 50% 10% 5% 5% 17.5% IDFC ular Savings UTI ular Savings Debt Liquidity 7.5% *(100-K) Equity Modified Liquidity Duration 7.5%*K 5% Aditya Birla Sun Life ular Savings BOI AXA Conservative Hybrid Sundaram Debt Oriented Hybrid Axis ular Saver DSP BlackRock ular Savings HSBC ular Savings Plan ICICI Prudential ular Savings Kotak Debt Hybrid SBI Debt Hybrid BNP Paribas Conservative Hybrid Canara Robeco Income Saver Franklin India Debt Hybrid HDFC Hybrid Debt Reliance Hybrid Bond K = Equity Component in Hybrid s * Industry concentration for equity and Exposure to Sensitive Sector for debt portion of the portfolio 18

21 Gilt funds (Cluster ranks are arranged alphabetically) Gilt s Return - Return Modified Duration Liquidity Weightages 50% 25% 10% 15% Edelweiss Government Securities Reliance Gilt Securities Canara Robeco Gilt DHFL Pramerica Gilt L&T Gilt Aditya Birla Sun Life Government Securities DSP BlackRock Govt Sec ICICI Prudential Gilt SBI Magnum Gilt Tata Gilt Securities UTI Gilt Advantage - Long Term Plan HDFC Gilt IDFC G Sec - Investment Plan Kotak Gilt - Investment Franklin India Government Securities LIC MF G-Sec DEBT FUNDS 19

22 Banking and PSU funds (Cluster ranks are arranged alphabetically) Banking and PSU funds Return - Return Exposure to Sensitive Concentration Quality Sector Company Asset Modified Duration Liquidity Weightages 50% 10% 5% 5% 10% 5% 15% Axis Banking & PSU Debt DSP BlackRock Banking & PSU Debt L&T Banking and PSU Debt Edelweiss Banking and PSU Debt IDFC Banking & PSU Debt Kotak Banking and PSU Debt Reliance Banking & PSU Debt Sundaram Banking & PSU Debt DHFL Pramerica Banking & PSU Debt UTI-Banking & PSU Debt HDFC Banking & PSU Debt

23 Credit Risk funds (Cluster ranks are arranged alphabetically) Credit Risk funds Return - Return Exposure to Sensitive Sector Company Concentration Asset Quality Modified Duration Liquidity Weightages 50% 10% 5.0% 5% 10% 5% 15% L&T Credit Risk DHFL Pramerica Credit Risk Kotak Credit Risk UTI Income Opportunities Aditya Birla Sun Life Credit Risk BOI AXA Credit Risk DSP BlackRock Credit Risk Franklin India Credit Risk IDFC Credit Risk ICICI Prudential Credit Risk Reliance Credit Risk SBI Credit Risk HDFC Credit Risk Debt

24 Corporate Bond funds (Cluster ranks are arranged alphabetically) Corporate Bond funds Return - Return Exposure to Sensitive Sector Company Concentration Asset Quality Modified Duration Liquidity Weightages 50% 10% 5% 5% 10% 5% 15% Kotak Corporate Bond HDFC Corporate Bond Reliance Prime Debt Aditya Birla Corporate Bond ICICI Prudential Corporate Bond IDFC Corporate Bond DHFL Pramerica Premier Bond Tata Corporate Bond Sundaram Corporate Bond

25 Dynamic Bond funds (Cluster ranks are arranged alphabetically) Dynamic Bond s Return - Return Modified Duration Exposure to Sensitive Sector Company Concentration Liquidity Asset Quality Weightages 50% 10% 5% 5% 5% 7.5% 17.5% IDFC Dynamic Bond SBI Dynamic Bond Franklin India Dynamic Accrual ICICI Prudential All Seasons Bond Kotak Dynamic Bond Axis Dynamic Bond BNP Paribas Flexi Debt Canara Robeco Dynamic Bond HSBC Flexi Debt Reliance Dynamic Bond Tata Dynamic Bond UTI-Dynamic Bond DSP BlackRock Strategic Bond HDFC Dynamic Debt Union Dynamic Bond Aditya Birla Sun Life Dynamic Bond Edelweiss Dynamic Bond Plan

26 Medium to Long Duration funds (Cluster ranks are arranged alphabetically) Medium to Long Duration s Return - Return Modified Duration Exposure to Sensitive Sector Company Concentration Liquidity Asset Quality Weightages 50% 10% 5% 5% 5% 7.5% 17.5% Reliance Income ICICI Prudential Bond SBI Magnum Income Aditya Birla Sun Life Income LIC MF Bond Tata Income Kotak Bond UTI Bond HDFC Income

27 Medium Duration funds (Cluster ranks are arranged alphabetically) Medium Duration s Return - Return Modified Duration Exposure to Sensitive Sector Company Concentrat ion Liquidity Asset Quality Weightages 50% 10% 5% 5% 5% 7.5% 17.5% IDFC Bond - Medium Term DHFL Pramerica Medium Term Franklin India Income Opportunities BNP Paribas Medium Term HDFC Medium Term Debt Kotak Medium Term L&T Resurgent India Bond SBI Magnum Medium Duration Aditya Birla Sun Life Medium Term Plan Reliance Classic Bond ICICI Prudential Medium Term Bond

28 Short Duration funds (Cluster ranks are arranged alphabetically) Short Duration funds Return - Return Exposure to Company Sensitive Concentration Sector Asset Quality Modified Duration Liquidity Weightages 50% 10% 5% 5% 10% 5% 15% HDFC Short Term Debt L&T Short Term Bond IDFC Bond - Short Term Sundaram Short Term Debt Tata Short Term Bond Axis Short Term DHFL Pramerica Short Maturity Invesco India Short Term Kotak Bond Short Term Plan Reliance Short Term SBI Short Term Debt UTI Short Term Income DSP BlackRock Short Term Franklin India Short Term Income Plan ICICI Prudential Short Term Aditya Birla Sun Life Short Term Opportunities HSBC Short Duration

29 Money Market funds (Cluster ranks are arranged alphabetically) Money Market funds Return - Return Exposure to Sensitive Sector Company Asset Concentration Quality Modified Duration Liquidity Weightages 50% 10% 5% 5% 10% 5% 15% Tata Money Market HDFC Money Market ICICI Prudential Money Market Kotak Money Market L&T Money Market Reliance Money Market UTI Money Market Aditya Birla Sun Life Money Manager SBI Savings IDFC Money Manager

30 Low Duration funds (Cluster ranks are arranged alphabetically) Low Duration funds Return - Return Exposure to Sensitive Sector Company Concentration Asset Quality Modified Duration Liquidity Weightages 50% 10% 5% 5% 10% 5% 15% DSP BlackRock Low Duration Tata Treasury Advantage Invesco India Treasury Advantage Reliance Low Duration SBI Magnum Low Duration UTI Treasury Advantage Axis Treasury Advantage Baroda Pioneer Treasury Advantage Canara Robeco Savings HDFC Low Duration ICICI Prudential Savings IDFC Low Duration LIC MF Savings Plus Sundaram Low Duration Aditya Birla Sun Life Low Duration DHFL Pramerica Low Duration Franklin India Low Duration Kotak Low Duration L&T Low Duration Principal Low Duration

31 Ultra Short Duration funds (Cluster ranks are arranged alphabetically) Ultra Short Duration s Return - Return Exposure to Sensitive Sector Company Concentration Asset Quality Modified Duration Liquidity Weightages 50% 10% 5% 5% 10% 5% 15% L&T Ultra Short Term DSP BlackRock Money Manager Motilal Oswal Ultra Short Term SBI Magnum Ultra Short Duration Aditya Birla Sun Life Savings BOI AXA Ultra Short Duration DHFL Pramerica Ultra Short Term Kotak Savings Reliance Ultra Short Duration Franklin India Ultra Short Bond Invesco India Ultra Short Term UTI Ultra Short Term Indiabulls Ultra Short Term

32 Liquid funds (Cluster ranks are arranged alphabetically) Liquid funds Return - Return Exposure to Sensitive Sector Company Concentration Asset Quality Liquidity Weightages 50% 10% 5% 5% 10% 20% Edelweiss Liquid Kotak Liquid L&T Liquid Baroda Pioneer Liquid DHFL Pramerica Insta Cash DSP BlackRock Liquidity HDFC Liquid Indiabulls Liquid Axis Liquid BNP Paribas Liquid Franklin India Liquid ICICI Prudential Liquid IDBI Liquid IDFC Cash Invesco India Liquid Mahindra Liquid Tata Liquid UTI Liquid Cash Plan HSBC Cash JM Liquid LIC MF Liquid Reliance Liquid Sundaram Money Aditya Birla Sun Life Liquid BOI AXA Liquid SBI Liquid

33 Annexure I Selection criteria for schemes in CMFR Owing to changes in the categorisation /rationalisation of mutual fund schemes as prescribed by Sebi, CRISIL has increased its ranking categories in CMFR - March 2018 from 14 to Equity funds Equity-oriented funds have been retained in their respective categories as defined by the AMCs. In case of large cap, large and mid-cap, multi-cap, mid-cap, focused and value/contra categories, funds which were being ranked in different categories previously, with different historical risk-return profiles, are now part of the same category. Hence, for evaluating the performance of such a varied group of funds under one category, active returns (with respect to their appropriate CRISIL-AMFI performance indices) parameter is used instead of mean returns. Since all the funds ranked in the small cap category have come from the erstwhile small & midcap category, mean returns have been used. s in the thematic infrastructure category follow an investment objective to invest in infrastructure-related sectors. Other sectoral/thematic funds have been excluded. Equity linked savings schemes (ELSS) invest in equity and equity-related instruments, and are aimed to enable investors to avail tax deduction under Section 80 C of the Income Tax Act. Index funds / ETFs: Schemes launched with an objective to generate returns that are commensurate with the performance of their benchmark s total return index (TRI), subject to tracking errors, are considered. The following will be excluded: Index schemes that allow the fund manager to take overweight investment positions on stocks that comprise their benchmark index. 2. Hybrid funds Aggressive hybrid Schemes investing more than 65%, but less than 80% of the assets under management (AUM) in equity securities and 20-35% in debt instruments, are considered. All funds that have historically maintained the stated equity exposure (threeyear average) have been included in this category. Conservative hybrid This category includes schemes where investment in equity is limited to 10-25% of the AUM and rest in debt instruments. s that have historically maintained >10% equity exposure (three-year average) have been included in this category. 3. Debt funds In the gilt category, funds with a mandate to manage duration dynamically are considered. Gilt funds with 10-year constant maturity are not part of this category. In the medium to long duration category, funds with threeyear average duration between 3-8 years have been retained. In the medium duration category, funds with three-year average duration below four years have been retained. In the short duration category, funds with one-year average duration between 1-3 years are classified as defined by Sebi. In the credit risk category, funds that were historically classified as credit opportunities funds in CMFR are considered. s with other historical classifications have been excluded. In the corporate bond category, funds that maintained oneyear average exposure >60% to corporate bonds, with the highest credit rating (i.e. AA+ and above), have been considered. Index schemes that are benchmarked to indices other than S&P BSE Sensex and Nifty

34 In the banking and PSU bond category, funds that maintained one-year average exposure >60% to debt instruments of banks, public sector undertakings, and public financial institutions have been considered. In the liquid and dynamic bond categories, funds have been retained in their respective categories as defined by the AMCs. In the low duration category, funds with one-year average duration below 1.3 years have been retained. In the ultra short duration and money market categories, funds that were considered under the erstwhile ultra-short term and liquid categories have been retained. Link of Sebi circular on categorisation and rationalisation of mutual fund schemes: /categorization-and-rationalization-of-mutual-fundschemes_36199.html 32

35 Annexure II CRISIL Mutual Ranking Methodology CMFR is the relative ranking of mutual fund schemes within a peer group. The basic criteria for inclusion in the ranking universe are three-year / one-year NAV history and AUM in excess of category cut-off limits, and complete portfolio disclosure. Three-year NAV history is considered across all equity, hybrid, dynamic bond, medium duration, medium to long duration and gilt categories; whereas one-year for banking & PSU, corporate bond, credit risk, short duration, low duration, money market, ultra short duration and liquid categories. Only open-ended schemes are considered. Ranking is based on the following parameters: return and volatility return and volatility are considered as separate parameters across all categories. return is the average of daily returns based on the scheme s NAV for the period under analysis and volatility is the standard deviation of these returns. While the period for analysis is three years for equity, hybrid, medium duration, medium to long duration categories; it is one year for banking & PSU, corporate bond, credit risk, liquid, and other short term categories. The period of analysis is broken into four overlapping periods (latest 36, 27, 18 and 9 months for three-year period, and latest 12, 9, 6 and 3 months for oneyear period). Each period is assigned a progressive weight starting from the longest period as follows: 32.5%, 27.5%, 22.5% and 17.5%, respectively. Active return Owing to changes in the categorisation /rationalisation of mutual fund schemes, as prescribed by Sebi from March 2018 onwards, CMFR incorporated the active return parameter in equity categories (large cap, large and midcap, multi cap, mid-cap, focused and value/contra) for evaluation. As funds from different categories with different risk-return profiles are in these categories, active return (with respect to their appropriate CRISIL-AMFI performance indices) is used instead of mean return. The period of analysis is broken into four overlapping periods - latest 36, 27, 18 and 9 months - and progressive weights are assigned as discussed earlier. Portfolio concentration analysis Concentration measures the risk arising out of improper diversification. For equity securities, diversity score is used as the parameter to measure industry as well as company concentration. In case of debt schemes, the company concentration is analysed at an individual issuer specific limit. The limit is linked with the credit rating of the issuer; a high rated issuer will have higher limits and as the rating declines the limit is reduced progressively. Exposure to sensitive sectors In case of debt schemes, industry concentration is analysed for exposure to sensitive sectors which are arrived based on Industry Risk Score (IRS) for various sectors. CRISIL s assessment of IRS quantifies the credit risk associated with an industry on a uniform scale to ensure comparability across industries. The score captures the influence of various industry variables on the debt repayment ability of companies in a particular sector over a 3-4-year horizon. Liquidity analysis It measures the ease with which a portfolio can be liquidated. The lower the score, the better. In case of equities, it measures the number of days to liquidate the portfolio. Liquidity is calculated by taking the average portfolio liquidity score of the past three months. Equity liquidity is computed as follows: Liquidity score of each stock = No. of shares held / daily average trading volume of past six months Portfolio liquidity score = Weighted average liquidity score of the above Gilt liquidity is measured by analysing the number of days it takes to liquidate the portfolio based on turnover (volume), the number of days security is traded, and the number of trades in any security for a three-month period for that security. Corporate debt liquidity is computed by classifying each security into three categories - liquid, semi liquid and illiquid - and then evaluating a scheme s exposure to each category. 33

36 Asset quality Asset quality measures the probability of default by the issuer of a debt security to honour the debt obligation in time. Duration Modified duration is considered across all the debt categories except liquid to capture the interest rate risk of the portfolio. The lower the value, the better. Going forward, Macaulay duration will be used instead of Modified duration. Tracking error This is used only for index schemes. The tracking error is an estimation of the variability in a scheme s performance visà-vis the index that it tracks. The lower the tracking error, the better. Eligibility criteria Only open-ended funds are considered Three years for equity, hybrid, gilt, dynamic, medium to long and medium duration funds One year for banking & PSU, corporate bond, credit risk and other short term funds including liquid funds Schemes falling under 98 percentile of the category AUM are shortlisted Quarterly average AUM is considered Schemes meeting inception criteria are eligible schemes Complete portfolio disclosure for all three months in the last quarter Minimum five schemes in each category March 2017 onwards, CMFR introduced rankings for direct plans of the shortlisted funds as per the appropriate categorisation, provided they have sufficient NAV history. NAV history 34

37 Parametric weights Equity categories: Category Large cap, large & mid cap, multi cap, mid cap, value/contra, focused Small cap, infrastructure and ELSS Index / ETFs Active return (%) returns (%) Tracking error (%) (%) Company concentration (%) Industry concentration (%) Equity - liquidity (%) Time (years) Hybrid categories: Category Aggressive hybrid Conservative hybrid return (%) (%) Company concentration (%) 5 5 Industry concentration / exposure to sensitive sector (%)* 10 5 Equity - liquidity (%) 10%*K 7.5%*K Debt - asset quality (%) 5%* (100-K) 17.5 Debt liquidity (%) 5%* (100-K) 7.5%* (100-K) Modified duration (%) - 5 Time (years) 3 3 K = Equity component in hybrid schemes * Industry concentration for equity and exposure to sensitive sectors for debt portion of the portfolio 35

38 Debt categories: Category Gilt Dynamic, medium to long, medium duration Banking and PSU, corporate bond, credit risk, short duration, low duration, money market, ultra short duration Liquid return (%) (%) Company concentration (%) Exposure to sensitive sector (%) Debt - asset quality (%) Debt liquidity (%) Modified duration (%) Time (years)

39 Annexure III Exclusion list For CMFR - March 2018, the following Sebi-defined categories have been excluded from the rankings. Equity: Dividend yield funds, sectoral/thematic funds (other than infrastructure theme funds) Debt: Overnight funds, long duration funds, 10-year constant maturity gilt funds, floater funds Hybrid: Dynamic asset allocation/balanced advantage funds, multi asset allocation funds, arbitrage funds, equity savings fund Others: Solution-oriented funds, fund of funds, index/etfs (other than ones replicating Nifty or Sensex) Miscellaneous: s which are slated to merge, funds which have discontinued/suspended fresh subscriptions, funds for which new category has not been disclosed Other than the above, funds have also been excluded in accordance with the CMFR methodology. The complete list of these funds is as follows: Short name New category Reason for exclusion Aditya Birla Sun Life Sensex ETF Index/ETF Does not have three-year NAV history Aditya Birla Sun Life Treasury Optimizer Plan Banking & PSU The criteria to be classified in the banking & PSU fund category was not met Axis Gilt Gilt Historical portfolio attributes do not match the new category definition Axis Corporate Debt Corporate Bond Does not have one-year NAV history Axis Credit Risk Credit Risk Historical portfolio attributes do not match the new category definition Axis Multicap Multi Cap Does not have three-year NAV history Axis Nifty ETF Index/ETF Does not have three-year NAV history Axis Strategic Bond Medium Duration Historical portfolio attributes do not match the new category definition Baroda Pioneer Balance Aggressive Hybrid Did not meet AUM criteria Baroda Pioneer Credit Opportunities Credit Risk Did not meet AUM criteria Baroda Pioneer Dynamic Bond Dynamic Bond Did not meet AUM criteria Baroda Pioneer ELSS - 96 ELSS Did not meet AUM criteria Baroda Pioneer Gilt Gilt Did not meet AUM criteria Baroda Pioneer Income Medium to Long Did not meet AUM criteria Baroda Pioneer Large Cap Large Cap has not completed 3 years since change of attributes in October 2016 Baroda Pioneer Mid-cap Mid Cap Did not meet AUM criteria Baroda Pioneer MIP Conservative Hybrid Did not meet AUM criteria Baroda Pioneer Short Term Bond Short Duration Did not meet AUM criteria BNP Paribas Corporate Bond Corporate Bond Did not meet AUM criteria BNP Paribas Focused 25 Equity Focused Does not have three-year NAV history BNP Paribas Low Duration Low Duration Did not meet AUM criteria BNP Paribas Short Term Short Duration Did not meet AUM criteria BNP Paribas Substantial Equity Hybrid Aggressive Hybrid Does not have three-year NAV history 37