The methodology

CRISIL STUDY

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

The basic eligibility criteria for inclusion in ranking universe are two-year NAV (net asset value) history (one-year for liquid and debt-short categories), minimum corpus depending on asset class and 100 per cent portfolio disclosure 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, 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 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
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 and liquid portfolios, the concentration is analysed for over exposure in gilts, manufacturing, NBFC, securitised debt and banking, financial institutions and housing finance sectors.

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 Bombay Stock Exchange and the National Stock Exchange.

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 three 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 per cent 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
DRP gives the probability of capital erosion. It is measured by summing of number of times a scheme's return falls below the risk free return over the period of analysis. Risk free return is taken as the 91-day t-bill yield over the period of analysis.

(Detailed methodology on www.crisil.com)