July 15, 2024



National Pension Scheme Fund Screener July 2024: Shortlist steady performers

8 min read

This is a National Pension Scheme Fund Screener to shortlist persistently undertaking NPS schemes. You can also place NPS strategies with a larger return than a benchmark at a lessen danger. This is related in style and design to the freefincal Equity Mutual Fund General performance Screener.Inside of, you get discounted links to our robo advisory resource and two courses: How to get individuals to pay for your competencies (aka get paid from expertise) and the lectures on purpose-dependent portfolio administration.We now have 74 NPS strategies in the screener. We will do our ideal to incorporate added techniques when some NAV issues are sorted. The benchmarks made use of are presented down below.Benchmarks UsedCategoryBenchmark (index)Substitute AssetsCRISIL Composite Index, CRISIL HYBRID 85:15Atal Pension YojanaCRISIL Composite Index, CRISIL HYBRID 85:15Corporate bondCRISIL Composite Index, CRISIL HYBRID 85:15EquityN200TRI, N50TRIGiltIBEX (I-Sec Sovereign Bond Index)GovernmentCRISIL HYBRID 85:15, IBEX (I-Sec Sovereign Bond Index)Hybrid max 10% -25% equityCRISIL Composite Index, CRISIL HYBRID 85:15Observe: The benchmarks used for non-fairness strategies are only notional. They may perhaps not be great representatives of the asset class. Person discretion is recommended.Use this screener file to immediately come across the most effective-undertaking NPS techniques that continuously outperform classification benchmarks/indices with enough downside safety (greater overall performance when the index is down) and upside performance (much better general performance when the index is up).Observe: Contrary to popular belief, NPS techniques are not index cash! They have a benchmark and are envisioned to defeat it.What does this NPS Efficiency Screener protect?It gives you a few outputs:Rolling return outperformance regularity: the NPS  plan/fund returns are in comparison with classification benchmark returns over each individual possible 1Y,2Y,3Y,4Y, and 5Y period of time. The larger the outperformance regularity, the superior. Suppose 876 fund returns had been when compared with 876 benchmark returns, and the fund has crushed the benchmark 675 times. The consistency rating will be 675/876 ~ 77%.Upside effectiveness regularity more than each and every attainable 1Y,2Y,3Y,4Y, and 5Y: The bigger, the improved. A rating of 70% usually means that 7 out of 10 periods, the NPS fund done improved than the class benchmark when the benchmark improved. This is a evaluate of reward.Draw back general performance regularity around just about every probable 1Y,2Y,3Y,4Y, and 5Y: The bigger, the far better. A rating of 60% usually means 6 out of 10 moments, the NPS fund performed greater than the group benchmark when the benchmark was moving down. This is a evaluate of risk protection.If you open the screener file, you see column headings like this.Screenshot of the Freefincal Nationwide Pension Plan Fund Screener component 1You have the scheme category, benchmark, NPS plan identify, no of 1Y returns of the benchmark(index), no of 1Y returns of the fund, no of situations the fund 1Y return is above index 1Y return, the 1Y rolling return regularity upside overall performance regularity and draw back security consistency. These columns are recurring for 2Y,3Y,4Y and 5Y.You can display screen by filtering out resources with return outperformance regularity of >=60%, a draw back protection regularity of >= 60% and so on. This is only an instance. You can apply your criterion for screening.Monitor for NPS strategies with larger than benchmark returns with reduced riskHere, you can display screen for resources with surplus return > in the past 1,2,3,4,5 year trailing durations. This suggests the fund return is larger than the index return. You can also incorporate excess chance < 0 filters for the same periods. This means that the fund risk is less than the index risk. Hence, the excess risk is negative.Take, for example, ICICI PRUDENTIAL PENSION FUND SCHEME E – TIER ITrailing Benchmark Return 1Y: 22.704%Trailing Fund Return 1Y: 35.089%Excess return 1Y: 12.385% (positive excess return is good!)Index standard deviation (NAV volatility) 1Y: 3.732%Scheme standard deviation 1Y: 3.592%Excess risk of the scheme: -0.140% (negative excess risk is good!)So, over the last 1Y, the NPS scheme has significantly outperformed the index with lower NAV volatility.The idea here is to find funds that have beaten the index in terms of higher returns (excess return>) and reduce risk (excess risk <0) in the last 1,2,3,4,5 year period. You can relax it to 3/4/5 year periods if you wish.This is a screenshot of the data.Screenshot of the Freefincal National Pension Scheme Fund Screener part 2Reward measure: Rolling returns outperformance consistency.Rolling returns are a simple estimate of how consistently a fund has outperformed a benchmark.Take the ICICI PRUDENTIAL PENSION FUND SCHEME E – TIER II as an example. There are 476 five-year rolling returns when compared with Nify 200 TRI. Out of these, the fund beat the benchmark 220 times. So the Rolling returns outperformance consistency = 220/476 = 46.2%. Naturally, the higher the rolling return outperformance consistency, the better.Reward and Risk Measure: Upside Performance & Downside CaptureUpside performance consistency over every possible 1Y,2Y,3Y,4Y, 5Y: Higher the better. A score of 70% means, 7 out of 10 times, the Fund performed better than the category benchmark when the benchmark increased. This is a measure of reward. It is computed from rolling upside capture data.Downside performance consistency over every possible 1Y, 2Y, 3Y,4Y, and 5Y. The higher, the better. A score of 60% means 6 out of 10 times, the Fund performed better than the category benchmark when the benchmark was moving down. This is a measure of risk protection. It is computed from rolling downside capture data.  If you wish to understand how these are calculated, please read this:  Introduction to Downside and Upside Capture Ratios and proceed to this one, for example. For some funds, a high downside capture consistency will lead to better returns for some funds, a high upside capture consistency will lead to better returns. The screener can help distinguish between the two types of performers. Recommend reading: What is mutual fund downside protection, and why is it important?How to use the NPS Performance ScreenerThere are multiple ways to screen for mutual funds. I will discuss two examples.Then, method A:  Set the 3Y and 5Y rolling return outperformance consistency to be above 60% or 70% or so. That should give you a nice shortlist to choose from. Then, you can visually look for funds with the right downside protection consistency and pick one. Method B: Look for funds above 60% or 70% downside protection consistency over 3Y and 5Y and choose one. Remember, never set narrow filters and do not be too demanding.  Wanting to select the fund with the best past performance is plain immaturity. Your screening criteria should yield 5-6 funds at all times. Why should I use this screener? Why can’t I look at trailing returns and screen? Trailing returns are 3Y or 5Y returns calculated with the last business date (3Y and 5Y prior).  This is just one data point to consider. Here, we find a lot more to determine consistency.Excess Risk vs Excess Return Screener: The idea here is to find funds that have beaten the index in terms of higher returns (excess return>) and lessen risk (excessive hazard <0) in the last 1,2,3,4,5 year period. You can relax it to 3/4/5 year periods if you wish.Important InformationThis screener costs Rs. 150 and is meant for personal use only. Inside, you get a discounted link to our robo advisory tool and two courses: How to get people to pay for your skills (aka earn from skills) and the lectures on goal-based portfolio management.The cost is only for the data in the sheet.You will get an Excel file with the data. You can enable data filters and screen it as you like. You can upload this file to any spreadsheet software.While freefincal will do its best to publish updated screener sheets each month, it cannot guarantee the same.The file contains no buy or sell recommendations and only has the abovementioned data.Enough care and effort have been put into weeding out errors. However, we cannot guarantee that the sheet is free of error.The buyer will have to research using the information in the spreadsheet. No recommendations or assistance are included in the sheet and will not be provided separately.We will not provide any further help or assistance in using the sheet.The sheet purchased is for personal use and should not be shared privately or publicly. A purchase implies you agree to the terms in the important information section. Click here to pay Rs. 150 and download (instantly) the latest Freefincal NPS Fund Screener.Are you living outside India? 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