The Methodology

CRISIL-CPR (QUARTERLY) RANKINGS OF MUTUAL FUND SCHEMES FOR JUNE '05

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

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

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

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, floaters and short term debt categories 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 analysed for over exposure in gilt, manufacturing, NBFC, securitised 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 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 weighing 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 adding the 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.

Asset Size

It is considered only for short term debt, floaters and liquid categories to take into account the effect of large fund flows on fund performance. Higher the asset size better is the cushioning impact against large fund flows.

The definition of various CRISIL-CPR categories is as follows:

CRISIL-CPR 1: Very good performance (Top 10 per cent of the universe)

CRISI-CPR 2: Good performance (Next 20 per cent)

CRISIL-CPR 3: Average performance (Next 40 per cent)

CRISIL-CPR 4: Below average performance (Next 20 per cent)

CRISIL-CPR 5: Poorest performance (Last 10 per cent)