Scheme Name Scheme Plans
DSP Quant Fund
Asset Class Category Sub Category Tax Category
Equity  All Cap  Sectoral/ Thematic  Equity 
Launch Date Age NAV NAV Date Maturity Date
June 11, 2019 3 Years 2 Months 15.99 Aug. 12, 2022 NA
Brief Description

The fund uses an in house quantitative model to build its portfolio from the universe of BSE 200. It operates as a low cost, passive fund with just 2 rebalances (changed to 4 rebalances from July 2022) during the year.

Performance
Scheme Name Category Minimum Maximum Average Volatility Negative return periods% 0 to 5% 5 to 10% 10 to 15% More than 15%
DSP Quant Fund - Regular Plan - Growth Equity -8.49 82.75 23.11 20.44 7.69 7.44 6.68 13.87 64.31
ICICI Prudential Balanced Advantage Fund - Growth Hybrid -41.22 62.43 10.83 15.53 12.81 10.94 22.09 19.82 34.34
ICICI Prudential Nifty Next 50 Index Fund - Growth Index-ETF -33.19 86.74 10.04 21.47 28.30 11.08 10.51 7.73 42.38
Mirae Asset Emerging Bluechip Fund - Regular Plan - Growth Option Equity -28.15 108.82 15.63 26.95 15.68 7.78 11.23 13.60 51.70
SBI GOLD FUND REGULAR PLAN - GROWTH Gold -18.47 66.43 2.71 14.18 41.16 16.74 16.65 6.11 19.34
Quantum Dynamic Bond Fund - Regular Plan Growth Option Debt -0.47 14.51 5.42 3.91 0.82 45.08 25.96 28.15 0.00
Scheme Name Category Minimum Maximum Average Volatility Negative return periods% 0 to 5% 5 to 10% 10 to 15% More than 15%
DSP Quant Fund - Regular Plan - Growth Equity 12.18 19.74 15.20 2.51 0.00 0.00 0.00 44.44 55.56
ICICI Prudential Balanced Advantage Fund - Growth Hybrid -2.16 24.28 11.22 4.78 0.24 5.27 29.17 41.59 23.72
ICICI Prudential Nifty Next 50 Index Fund - Growth Index-ETF -9.03 30.51 14.08 8.62 11.04 8.73 12.27 22.66 45.29
Mirae Asset Emerging Bluechip Fund - Regular Plan - Growth Option Equity -3.16 47.42 21.39 11.02 0.48 5.88 6.96 8.59 78.10
SBI GOLD FUND REGULAR PLAN - GROWTH Gold -9.58 23.73 3.16 8.16 32.20 27.97 7.14 15.63 17.05
Quantum Dynamic Bond Fund - Regular Plan Growth Option Debt 5.40 8.89 7.87 0.81 0.00 0.00 100.00 0.00 0.00
Scheme Name Category Minimum Maximum Average Volatility Negative return periods% 0 to 5% 5 to 10% 10 to 15% More than 15%
ICICI Prudential Balanced Advantage Fund - Growth Hybrid 2.14 20.71 12.53 3.59 0.00 1.29 28.60 44.26 25.84
ICICI Prudential Nifty Next 50 Index Fund - Growth Index-ETF -0.72 24.62 12.96 5.27 0.08 3.19 23.71 33.13 39.89
Mirae Asset Emerging Bluechip Fund - Regular Plan - Growth Option Equity 5.09 35.59 22.70 6.51 0.00 0.00 2.47 11.28 86.25
SBI GOLD FUND REGULAR PLAN - GROWTH Gold -3.56 15.85 5.02 5.56 34.08 15.88 26.97 22.79 0.28
Quantum Dynamic Bond Fund - Regular Plan Growth Option Debt 5.66 6.68 5.94 0.36 0.00 0.00 100.00 0.00 0.00
Scheme Name Category Minimum Maximum Average Volatility Negative return periods% 0 to 5% 5 to 10% 10 to 15% More than 15%
ICICI Prudential Balanced Advantage Fund - Growth Hybrid 7.85 20.37 12.71 2.12 0.00 0.03 11.41 79.91 8.65
ICICI Prudential Nifty Next 50 Index Fund - Growth Index-ETF 7.69 18.97 13.77 1.93 0.00 0.00 5.24 70.92 23.84
Mirae Asset Emerging Bluechip Fund - Regular Plan - Growth Option Equity 15.92 27.27 23.32 2.48 0.00 0.00 0.00 0.00 100.00
SBI GOLD FUND REGULAR PLAN - GROWTH Gold -1.04 9.59 5.80 3.12 7.79 34.97 57.23 0.00 0.00
Scheme Name Category Minimum Maximum Average Volatility Negative return periods% 0 to 5% 5 to 10% 10 to 15% More than 15%
ICICI Prudential Balanced Advantage Fund - Growth Hybrid 8.39 16.37 12.24 1.54 0.00 0.05 3.61 87.95 8.39
ICICI Prudential Nifty Next 50 Index Fund - Growth Index-ETF 7.26 17.40 13.31 2.81 0.00 0.00 21.16 51.35 27.48
Mirae Asset Emerging Bluechip Fund - Regular Plan - Growth Option Equity 17.19 26.36 22.74 2.39 0.00 0.00 0.00 0.00 100.00
SBI GOLD FUND REGULAR PLAN - GROWTH Gold 3.53 5.18 4.24 0.32 0.00 99.09 0.91 0.00 0.00
If I had invested
Note, Events and Links

DSP Quant Fund – What is on offer?

DSP Quant Fund positions itself as a rules driven fund based on good investing principles. It applies factor based scoring and an optimisation formula around growth, quality and value. It expects to outperform the BSE 200 benchmark over 7 years plus time horizon.

The investment objective of the fund is:

to deliver superior returns as compared to the underlying benchmark over the medium to long term through investing in equity and equity related securities. The portfolio of stocks will be selected, weighed and re-balanced using stock screeners, factor based scoring and an optimization formula which aims to enhance portfolio exposures to factors representing ‘good investing principles’ such as growth, value and quality within risk constraints.

The fund owns stocks from BSE 200 which represent a large pool of quality and liquid securities.

The fund is rebalanced semi annually, that is, twice a year. (July 2022 Update: Quarterly rebalances)

The rules driven fund

If you haven’t figured out so far, this is a heady mix of active + passive fund management.

The fund has built a set of rules which define inclusion of stocks and their allocation in the portfolio.

As per the Scheme Information Document,

The fund’s endeavor is to create an automated stock picking and weighting model that generates portfolios which maximize characteristics of the chosen factors while adhering to liquidity and risk concentration constraints.

From the BSE 200 index, they exclude companies which display the following characteristics:

  • Exclude companies that fail to pass through proprietary earnings quality and forensic accounting screeners based on reported accounting statements
  • Exclude companies exposed to higher default risk (higher than a predefined leverage threshold, ex-Financials)
  • Exclude companies with higher than a predefined volatility threshold
  • Exclude companies which do not meet certain pre-defined ownership/shareholding criteria

After applying the exclusion criteria for recent backtests, the universe is reduced to about 80-100 companies

In using the multi-factor portfolio construction approach, this is how they implement it (also called the inclusion criteria). For the remaining set of companies in the universe:

Percentile score assigned for each company across selected factors, which is combined into an aggregate score for relative company percentile ranking (equally weighted for each factor). The factors include 5 metrics capturing Quality , Growth and Value characteristics through objective ratios.

Include for consideration only top ranked companies (highest aggregate score) which constitute 50% of BSE 200 index by weight. This further reduces the stocks that will be considered for inclusion in the portfolio to about 30-50 stocks in recent rebalances as per back-tests. This is how they optimise the portfolio for maximising portfolio level factor exposures and minimising risk.

Stock level constraints Stock level weights in the portfolio to be capped at 10%, or 10x of weight in BSE 200 index, whichever is lower (avoid concentration, ensure liquidity/capacity)

Sector level constraints The optimizer tries to minimize active sector risks by keeping max sector active weight to 10% (diversification, avoids risk of sector rotation)

Weighting scheme Maximize portfolio level factor exposure such that portfolio level factor exposure is highest for the given set of constraints to get the optimized weights for each stock

Re-balancing frequency Semi-annual (quarterly from July 2022)

Change in Fundamental Attributes from July 2022 and rationale (Source: Letters to Unitholders)

  • Change in rebalancing period to make the quant model more dynamic and allow for re-balancing of portfolio weights that may have drifted higher or lower due to extreme price moves
  • Enabling writing of call options under a covered call strategy since this allows for generating additional returns in the form of option premium in a range bound market
  • Additions to stock selection and exclusion criteria incorporating data inputs such as ESG data, insider share sales data, trading volumes etc.
  • Removal of cap on stock weights in the portfolio currently capped at 10x of their respective weight in BSE 200 index. This is because a sizeable number of stocks within BSE200 TRI have very small weights below 10 basis points. The 10x constraint results in sub-optimal weights in the portfolio for stocks that score well on selected factors. The portfolio will continue to have a single stock concentration cap of 10%
  • Weighting scheme will additionally incorporate price and volume-based inputs to improve outcomes. Extensive back tests and research reveal the benefits of capturing behavioural factors since market behaviour is not driven only by stock fundamental but also by investor behavior
  • Inclusion criteria used for assigning percentile score for each company across selected factors may deviate from an equal weighted approach based on macro-economic data or if any of the selected factors exhibit extreme price moves

Should you invest?

Don't get carried away by the name Quant, which refers to its focus on the quantitative aspect. The fund is going to have a portfolio of large and mid caps.

If you are keen to take exposure to large/mid caps using a non index way, DSP Quant Fund is a worth a serious consideration. The current expense ratio of the scheme as of June 13, 2022 is 0.56%.

If you do, a minimum 10% allocation to the fund is desirable. An ongoing SIP will be a great way to take exposure to this strategy.

With low cost and a rule driven strategy (akin to a private index), it has a better chance to deliver a good risk adjusted return.

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Disclaimer
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