Correction impacts equity plans, debt steady

CRISIL RANKING OF MUTUAL FUNDS

f/052405_01.pdf">(See table I)  The next 20 per cent of the schemes in the ranking universe are clustered as CPR~2, which indicates Good Performance among the peers.  HDFC Capital Builder Fund and Sundaram Select Midcap have retained their CRISIL~CPR 2 rank. Birla Midcap Fund, SBI Magnum Multiplier Plus Scheme 1993, Tata Pure Equity Fund, and Tata Select Equity Fund have moved up over their earlier ranks to CRISIL~CPR 2 on account of better superior return scores.  In the CRISIL~CPR 3 cluster (which indicates Average Performance), a majority of schemes retained their ranks relative to the last quarter. Deutsche Alpha Equity Fund and LICMF DSP Merrill Lynch Top 100 Equity Fund have entered the ranking universe this quarter at CRISIL~CPR 3, both schemes having qualified for ranking on the basis of completing two years of NAV history.  UTI Grand Master 1993 and HDFC Growth Fund have moved up the ranking chart to CRISIL~CPR 3 on account of relatively higher superior return scores.  ELSS Funds  Nine schemes were eligible for ranking in this category. Prudential ICICI Tax Plan tops the chart at CRISIL~CPR 1. HDFC Tax Saver Fund and SBI Magnum Tax Gain Scheme 1993 are at CRISIL~CPR 2, while Birla Equity Plan, HDFC Long Term Advantage Fund, and Tata Tax Saving Fund jointly hold the CRISIL~CPR 3 rank.  (See table II)  Income Funds  The debt market remained relatively stable during the quarter. Towards the end of March 2005, speculations of a rise in domestic interest rates increased after another hike in the US interest rates.  The 10-year benchmark yield stood at 6.67 per cent by the end of March 2005 compared to 6.55 per cent in February. The Income Funds category remained relatively stable for most of the quarter with the CRISIL Fund~dX generating point-to-point returns of 1.35 per cent.  Twenty schemes were eligible for ranking in the Income Funds category for the quarter ended March 2005. Owing to the significant drop in assets under management in this category in recent months, the minimum corpus cut-off limit has been revised to Rs. 50 crores with effect from quarter-ended March 2005.  Principal Income Fund retained its CRISIL~CPR 1 rank and was joined by Reliance Income Fund, which entered the ranking universe this quarter on account of the change in corpus cut-off limits.  Tata Income Fund - Appreciation and UTI Bond Advantage Fund have entered the ranking charts this quarter at CRISIL~CPR 2 on account of satisfying the revised corpus cut-off criterion. UTI Bond Fund has improved its performance relative to last quarter and has moved up to CRISIL~CPR 2.  DSP Merrill Lynch Bond Fund, Grindlays Super Saver Income Fund, HDFC High Interest Fund, and Prudential ICICI Income Plan have retained their CRISIL~CPR 3 rank. Sundaram Bond Saver and Templeton India Income Builder Account have moved up the ranking chart to CRISIL~CPR 3. CanIncome was excluded from the ranking this quarter on account of a decrease in corpus levels.  Income - Short-Term  The overall performance of Income-short schemes over the quarter was similar to that of their long-term counterparts. The CRISIL STBEX, which is a benchmark for short-term funds, generated point-to-point returns of 1.35 per cent for the quarter.  In the Income Short-Term category, thirteen schemes were eligible for ranking. Principal Income Fund - Short Term Plan continued to top the charts at CRISIL~CPR 1.  Prudential ICICI Short Term Plan retained its CRISIL~CPR 2 rank. Reliance Short Term Fund moved up its earlier ranking to CRISIL~CPR 2 on account of better scores on parameters such as volatility, average maturity and asset quality.  In the CRISIL~CPR 3 cluster, DSP Merrill Lynch Short Term Fund and HSBC Income Fund - Short Term Plan have retained their ranks. Birla Bond Plus - Retail and Deutsche Short Term Maturity Fund have moved up one notch each to CRISIL~CPR 3.  Birla Bond Plus - Retail has obtained relatively higher parametric scores on mean return, asset size, company concentration and average maturity, while Deutsche Short Term Maturity Fund has scored well on volatility, asset size and sector concentration.  Floating-Rate funds  In the Floating-rate fund category, sixteen schemes were eligible for the ranking. HDFC Floating Rate Income Fund - Short Term Plan retained its CRISIL~CPR 1 rank and was joined by DSP Merrill Lynch Floating Rate Fund, which moved up one notch over its previous ranking.  DSP Merrill Lynch Floating Rate Fund performed well across most parameters.  Prudential ICICI Floating Rate Plan maintained its position at CRISIL~CPR 2, while JM Floater Fund - Short Term Plan moved up its earlier rank to CRISIL~CPR 2 on the basis of relatively better scores on volatility and concentration.  In the CRISIL~CPR 3 cluster, Birla Floating Rate Fund - Short Term, Tata Floating Rate Fund - Short Term, Templeton Floating Rate Income Fund - Long Term Plan, and UTI Floating Rate Fund - STP have retained their rank.  Monthly income plans  The CRISIL MIPEX, the benchmark for MIPs, generated a point-to-point return of 0.95 per cent for the quarter ended March 2005 as against 2.95 per cent for the earlier quarter, signifying a dip in performance.  In the MIP category, ten schemes were eligible for the ranking. FT India Monthly Income Plan remained at CRISIL~CPR 1. DSP Merrill Lynch Savings Plus Fund - Moderate entered the ranking universe this quarter at CRISIL~CPR 2, having completed two years of NAV history.  Prudential ICICI MIP Plan - Cumulative moved up the chart to CRISIL~CPR 2 on the back of a relatively higher superior return score.  Birla Monthly Income Plan C and Tata Monthly Income Fund retained the CRISIL~CPR 3 rank. SBI Magnum Monthly Income Plan moved up to CRISIL~CPR 3 having obtained a relatively higher superior return score. (See table III)  Liquid funds  The Liquid funds category maintained consistency in performance. The Crisil~LX, the benchmark for liquid schemes, generated annualised point-to-point returns of 4.95 per cent for the quarter-ended March 2005.  Twenty-two schemes were ranked on CRISIL~CPR parameters in the liquid fund category for the quarter ended March 2005. HDFC Cash Management Fund - Savings Plan retained its CRISIL~CPR 1 rank and was joined by UTI Liquid Cash Plan, which moved up one notch over its previous ranking.  UTI Liquid Cash Plan scored relatively better on the mean return, volatility, asset size, and asset quality.  In the CRISIL~CPR 2 cluster, HDFC Liquid Fund and Reliance Liquid Fund - Treasury Plan retained their rank. They were joined by Birla Cash Plus - Retail which moved up one notch over its previous ranking on account of better performance across most parameters.  Alliance Cash Manager, DSP Merrill Lynch Liquidity Fund, ING Vysya Liquid Fund, Prudential ICICI Liquid Plan, Tata Liquid Fund - RIP, and Templeton India Treasury Management Account retained their CRISIL~CPR 3 rank.  Gilt-Long Funds  The Gilt-long category remained relatively stable, with the CRISIL MF-Gilt Index generating point-to-point returns of 1.03 per cent for the quarter.  Fourteen gilt schemes were eligible for the CPR ranking for the quarter ended March 2005. Templeton India G-Sec Fund - Long Term Plan retained its CRISIL~CPR 1 rank.  Prudential ICICI Gilt - Investment remained steady at CRISIL~CPR 2. CanGilt (PGS) moved up the chart to CRISIL~CPR 2 on account of relatively better scores across all parameters.  In the CRISIL~CPR 3 cluster, Birla Gilt Plus - Regular Plan, CanGilt (PGS), and Tata Gilt Securities Fund retained their ranking. LICMF G-Sec Fund moved up one notch on the back of a consistent performance across parameters and UTI G-Sec Fund moved up the ranking chart by two notches to CRISIL~CPR 3 on account of a relatively higher superior return score . (See table IV)  Balanced funds  The performance of Balanced Fund category suffered during the quarter as a result of the downturn in the equity segment. The CRISIL Fund~bX generated point-to-point returns of 0.78 per cent during the quarter.  Fourteen schemes were eligible for ranking on CRISIL~CPR parameters for the quarter ended March 2005. SBI Magnum Balanced Fund moved up one notch over its previous ranking to CRISIL~CPR 1 on the back of a relatively higher superior return score.  Kotak Balance and Tata Balanced Fund have moved up one notch each to CRISIL~CPR 2 on the back of better scores across most parameter.  Birla Balance Fund, FT India Balanced Fund, Principal Balanced Fund, and Prudential ICICI Balance Fund have retained their CRISIL~CPR 3 rank.  Sundaram Balanced Fund has moved up the ranking chart to CRISIL~CPR 3, having performed well on the company and sector concentration parameters and having obtained a relatively higher superior return score.  Note: An entity wishing to use the Crisil-CPR in its prospectus / offer document / advertisement / promotion/ sales literature, or wishing to re-disseminate these rankings, may do so only after obtaining the written permission of the ranking entity, Crisil Ltd.  

The Methodology

CRISIL Composite Performance Ranking (CRISIL~CPR) is the relative performance ranking of mutual fund schemes within their respective peer groups in nine different categories.

The basic eligibility criteria for inclusion in ranking universe are two-year NAV (net asset value) history (one-year for liquid, floaters and debt-short categories), minimum corpus depending on asset class and 100 per cent portfolio disclosure for the three months on the ranking date.

The ranking is done on following parameters depending on the asset class.

Superior Return Score

The Superior Return Score (SRS) is the relative measure of the return and risk for schemes compared to their peer group. It is computed for schemes in the Diversified Equity, ELSS, Debt, Balance, Monthly Income Plan and Gilt categories for a two-year period.

The weightages for the four six-monthly periods starting from the latest are 32.5 per cent, 27.5 per cent, 22.5 per cent and 17.5 per cent, respectively.

Mean return and volatility

For the Liquid, Floaters and Debt-Short term categories mean return and volatility are considered separately. Mean return is the average of daily returns on scheme NAVs for a one-year period and Volatility is the deviation of these returns.

The weightages for the four quarterly periods starting from the latest are 32.5 per cent . 27.5 per cent , 22.5 per cent and 17.5 per cent, respectively.

Portfolio concentration analysis

Concentration measures the risk arising out of improper diversification. For equity portfolios NIFTY is used as the benchmark and deviations from the index are computed for both over and under exposures.

For the Debt related portfolios, the concentration is analyzed for over exposure in Gilt, Manufacturing, NBFC, Securitized Debt and Banking, Financial Institutions and Housing Finance sectors. For Liquid and Floaters only fixed deposits are considered for concentration analysis.

Liquidity analysis

It measures the ease with which the portfolios can be liquidated. In case of equity portfolios, the liquidity is computed by comparing the turnover of individual securities with the average six monthly turnover of the respective securities on the BSE and NSE.

Gilt liquidity is measured by comparing the security level turnover with the market turnover, days traded and size of trades for a six month period for that security. Corporate debt liquidity is computed by classifying securities in the portfolios into 3 components - liquid, semi liquid and illiquid.

Asset quality

Asset Quality measures the quality of credit and is indicated by debt servicing ability. Regrouping the debt portfolio in the various rating categories and weighting the percent exposure in each rating category by relevant default/migration statistics gives a measure of asset quality.

Average maturity

Average maturity is considered across all debt categories to capture the interest rate sensitivity of the portfolio. Lower the value better would be the impact.

Downside risk probability

Downside risk probability gives the probability of capital erosion. It is measured by summing of number of times a scheme