The Worst Mutual Funds – Quantitative

Introduction

Our previous post looked at the 10 best mutual funds based on sharpe ratio, bear-beta, information ratio, draw-down depth and draw-down length between Jan-2010 and May-2015. Here are the 10 worst funds based on the same metrics.

As you can imagine, infrastructure funds performed poorly in this time-frame. We ignore them for now.

Sharpe Ratio

Bear-Beta

Information Ratio

Draw-down Depth

Draw-down Length

Past Performance

Conclusion

Mutual funds are marketed as wealth builders. However, the truth is that most of them struggle. As you can see from the analysis here, there are quite a few of them with low-single-digit returns over 5-year time-frames. At last count, there were more than 5300 different schemes that you could choose from.

Are you getting the right advise? Get in touch with us if you are looking to invest! Call us or Whatsapp us at +918026650232

Opening Bell 29.05.2015

Your world at 9am

world.2015-05-29

Equities

Major
DAX(DEU) -0.79%
CAC(FRA) -0.86%
UKX(GBR) +0.11%
NKY(JPN) +0.26%
SPX(USA) -0.13%
MINTs
JCI(IDN) -0.25%
INMEX(MEX) +0.27%
NGSEINDX(NGA) -0.13%
XU030(TUR) -1.06%
BRICS
IBOV(BRA) -0.48%
SHCOMP(CHN) -0.59%
NIFTY(IND) -0.19%
INDEXCF(RUS) -0.20%
TOP40(ZAF) -0.15%

Commodities

Energy
Brent Crude Oil +0.93%
Heating Oil +0.81%
RBOB Gasoline +0.83%
Natural Gas +0.30%
WTI Crude Oil +1.21%
Ethanol +0.00%
Metals
Palladium +0.29%
Platinum +0.15%
Silver 5000oz +0.00%
Copper -0.04%
Gold 100oz +0.05%

Currencies

USDEUR:-0.07% USDJPY:-0.18%

MINTs
USDIDR(IDN) -0.02%
USDMXN(MEX) +0.04%
USDNGN(NGA) +0.00%
USDTRY(TUR) +0.02%
BRICS
USDBRL(BRA) +0.74%
USDCNY(CHN) +0.01%
USDINR(IND) -0.34%
USDRUB(RUS) -0.05%
USDZAR(ZAF) -0.02%
Agricultural
Cattle +0.00%
Cocoa +0.00%
Coffee (Arabica) +0.36%
Coffee (Robusta) +0.00%
Corn +0.14%
Cotton +0.70%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber +0.70%
Soybean Meal +0.23%
Soybeans +0.22%
Wheat -0.56%
White Sugar +0.00%
Orange Juice +3.14%
Sugar #11 +1.01%

Credit Indices

Index Change
Markit CDX EM -0.04%
Markit CDX NA HY +0.16%
Markit CDX NA IG -1.12%
Markit iTraxx Asia ex-Japan IG +0.73%
Markit iTraxx Australia +0.98%
Markit iTraxx Europe -1.54%
Markit iTraxx Europe Crossover -9.41%
Markit iTraxx Japan +0.12%
Markit iTraxx SovX Western Europe +0.00%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) +0.04%

China: more brokers tightened margin trading requirements for clients and the central bank drained money market liquidity. (BS)

Must reads

“You are going to die anyway. Die with us!” (HBL)

Jindal Steel and Power Ltd, was built on coal mines handed out for free by the government. It was once India’s most valuable steel maker worth more than $14 billion. It’s now valued at about 87% less. (LiveMint) JINDALSTEL 118.80 0.65 (0.55%)

Housing for all by 2022: Modi is likely to launch the scheme as an umbrella mission, dovetailing all affordable housing schemes and slum redevelopment projects. (ET, #economy)

The tanker market is sending a big warning to oil bulls. (Bloomberg) Plus, looming competition from LNG. (FT)

Capital flows to emerging markets seen at post-2009 low – to slow to $981bn in 2015, down from $1,048bn in 2014. (FT)

Good luck and have a nice weekend!

Options Daily 29.05.2015

Summary: Jun NIFTY 8400 calls added 590,000 contracts while 9600 calls shed 4,600. On the Put side of the equation, the 8300 strike added 600,325 while the 7700’s shed 16,425.

Our trend model indicates a SHORT on the NIFTY and LONG on the BANKNIFTY.

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY BANKNIFTY Volatility chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

JUN BANKNIFTY Volatility chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

JUN BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

The Best Mutual Funds – Quantitative

Introduction

Mutual fund investors are faced with a zillion choices in the marketplace. At last count, there were more than 5300 different schemes that an investor could choose from. When confronted with such a large number of choices, investors either spiral into an “analysis paralysis” mode and end up doing nothing or blindly invest in whatever their broker recommends – both these paths lead to situations that are injurious to the investor’s long-term financial health.

In this post, we try to simplify the choices in front of the investor by ranking the top 10 funds based these risk metrics: sharpe ratio, bear-beta, information ratio, draw-down depth and draw-down length between Jan-2010 and May-2015.

Sharpe Ratio

Bear-Beta

Information Ratio

The information ratio is a ratio of the portfolio’s returns above the returns of a benchmark (CNX MIDCAP, in this case) to the volatility of those returns.

This is probably a better metric than the Sharpe ratio to rank funds.

Nice to see that both the Value Discovery fund and an MNC fund make this list.

Draw-down Depth

Draw-down depth measures the max-loss from peak valuation.

For example, the Blended Plan at the top of the list only lost 0.35% from its peak valuation between 2010 and 2015.

Portfolios with a lot of short-term bonds test well for this metric. But note the pathetic IRRs – no pain = no gain!

Draw-down Length

The draw-down length is a measure of how many days it took the fund to get back the previous peak valuation after a draw-down.

Shorter bounce-backs typically indicate high-quality portfolios.

Nice to see both the MNC funds make this list.

Past Performance

Conclusion

We looked at broad spectrum of funds – including those with bond allocations – to ferret out a good set of funds that investors can consider. Depending on what is more important to the investor, the appropriate set of metrics can be weighted to fit individual risk appetites.

Mutual fund investors whom we advise will immediately recognize some of these funds as they are already part of their portfolios. Get in touch with us if you are looking to invest! Call us or Whatsapp us at +918026650232

Opening Bell 28.05.2015

Your world at 9am

world.2015-05-28

Equities

Major
DAX(DEU) +1.26%
CAC(FRA) +1.95%
UKX(GBR) +1.21%
NKY(JPN) +0.67%
SPX(USA) +0.92%
MINTs
JCI(IDN) -0.13%
INMEX(MEX) +0.62%
NGSEINDX(NGA) +0.17%
XU030(TUR) +0.94%
BRICS
IBOV(BRA) +1.13%
SHCOMP(CHN) -0.81%
NIFTY(IND) -0.06%
INDEXCF(RUS) +0.56%
TOP40(ZAF) -0.07%

Commodities

Energy
RBOB Gasoline +1.05%
Ethanol +0.00%
Heating Oil +0.50%
Natural Gas -0.32%
Brent Crude Oil +0.74%
WTI Crude Oil +0.31%
Metals
Gold 100oz +0.12%
Platinum +0.04%
Copper -0.14%
Palladium -0.09%
Silver 5000oz +0.00%

Currencies

USDEUR:-0.04% USDJPY:+0.34%

MINTs
USDIDR(IDN) +0.25%
USDMXN(MEX) +0.14%
USDNGN(NGA) -1.13%
USDTRY(TUR) +0.12%
BRICS
USDBRL(BRA) -0.44%
USDCNY(CHN) -0.03%
USDINR(IND) +0.08%
USDRUB(RUS) -0.20%
USDZAR(ZAF) +0.22%
Agricultural
Wheat -0.10%
White Sugar +0.00%
Orange Juice -1.31%
Soybean Meal +0.13%
Soybeans +0.16%
Sugar #11 -1.49%
Cattle +0.00%
Cocoa +0.00%
Coffee (Arabica) +0.08%
Coffee (Robusta) +0.00%
Corn +0.00%
Cotton +0.14%
Feeder Cattle +0.00%
Lean Hogs +0.00%
Lumber -0.15%

Credit Indices

Index Change
Markit CDX EM -0.29%
Markit CDX NA HY -0.03%
Markit CDX NA IG +0.21%
Markit iTraxx Asia ex-Japan IG +0.84%
Markit iTraxx Australia +0.85%
Markit iTraxx Europe +2.26%
Markit iTraxx Europe Crossover +7.71%
Markit iTraxx Japan +0.33%
Markit iTraxx SovX Western Europe +0.16%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) +1.08%
Will India follow Japan and US or China today?

Must reads

MCA, I-T dept seek to inspect United Spirits accounts. Why is Mallya not yet in jail? (FP, LiveMint) MCDOWELL-N 3,551.00 124.20 (3.62%)

Ananth Kumar wants somebody to do something about Sibal’s claim of “zero loss” in spectrum auction. (ET)

Prediction is futile, and besides, it isn’t even necessary to make money in the market. (JonBoorman, StockViz, StockViz, StockViz)

Good luck!