Axis Arbitrage Fund

(An open ended scheme investing in arbitrage opportunities )

Fund Manager: Ashish Naik, Devang Shah & Sachin Jain

Fund Facts - As on 30th June 2023

• Completely hedged equity portfolio
• Month end allocation to equity instruments – ~72%
• Average rolls for the current month – 68bps

Monthly Recap
The June series saw frontline indices hit fresh all-time highs. Strong participation from all investor
segments resulted in a broad-based rally across large and midcap stocks. This was reflected in roll spreads
as well. FIIs continue to roll their bullish bets on Index & have reduced their longs in single stock futures
(SSF). The HNI/Retail category on the other hand has seen short build up in index futures as a possible
hedge given fresh highs.

Source: Nuvama Alternative & Quantitative Research, NSE. Data as of 30th June 2023

Nifty futures rollovers stand at 76% vs 70% (last three series). On Expiry Day, the roll cost for Nifty was
around 47bps on expiry day. Market-wide futures open interest at the start of July series stands at Rs 2.43
lakh Cr. Market-wide rollovers stood at 90%. Stock futures rollovers stands at 93%, marginally lower than
the average rollovers of last three series at 94%. The roll cost for SSF on expiry day was around 68-70bps.

Average Arbitrage Annualized Equivalent

Month Rolls (In bps) on Equity Book %
Jun-23 68 8.16%
Mar-23 63 7.56%
Dec-22 70 8.40%
Sep-22 52 6.24%
Jun-22 29 3.48%
Source: Nuvama Institutional Equities, CCIL, Bloomberg, Axis MF Research. Roll spreads are not an indication of overall fund
returns.
Debt Allocation
The favourable reward ratio in favour of equities has meant, allocations in debt are largely marginable
securities. The fund today holds investments primarily in Axis Money Market Fund & Axis Ultrashort Term
Fund. The fund also holds some money market instruments with a 6–9-month maturity profile factoring
the higher relative yields currently available.

Yields have moved higher over the last month following commentary from the RBI and market perception
of a probable deferment in the rate cut cycle. The debt portfolio for the fund will continue to remain
actively managed to maximize return potential across the portfolio.

Debt Quants
Average Maturity Modified Duration Macaulay Duration YTM (%)
162 days 159 days 161 days 7.27%
The yield to maturity given above is based on the portfolio of funds as on 30th June 2023 This should not be taken as an indication
of the returns that may be generated by the fund and the securities bought by the fund may or may not be held till their respective
maturities. The calculations are based on the invested corpus.

Going Forward
Spreads have remained strong for the last 3 series hovering around the 65-70 bps range providing much
needed stability in returns for investors. FPI participation in the last 2 months has been extremely strong
driving markets higher. This has also kept spreads elevated. Coupled with the added advantage of tax
efficiency, arbitrage funds make for an ideal parking solution for investors with a 3-6-month investment
horizon. Timing entry and exit in arbitrage funds is critical and hence investors must remain vigilant
through their investment cycle in this space.

The fund allocation is at its peak of 72-73% in hedged equity exposure this month as the reward favoured
equities. We will continue to remain vigilant in our allocations through the month.

Product Labelling & Disclaimers

Fund Name Product Labelling Fund Riskometer Benchmark Riskometer
This product is suitable for investors
Axis Arbitrage Fund
who are seeking*
(An open ended scheme
• Income over short to medium
investing in arbitrage
term
opportunities)
• Investment in arbitrage
opportunities in the cash &
Benchmark Name: NIFTY 50
derivatives segment of the
Arbitrage Index
equity market
* Investors should consult their financial advisers if in doubt about whether the product is suitable for them.

Disclaimer
Past performance may or may not be sustained in the future. Instruments and companies mentioned may or may not form part
of the portfolio and are subject to the discretion of the fund manager and the fund’s current investment strategy. The note should
not be treated as a recommendation and investors are advised to consult their financial advisers with regards to the suitability of
the product in their financial portfolio.

Data updated as on 30th June, 2023. Statutory Details: Axis Mutual Fund has been established as a Trust under the Indian Trusts
Act, 1882, sponsored by Axis Bank Ltd. (liability restricted to Rs. 1 Lakh). Trustee: Axis Mutual Fund Trustee Ltd. Investment
Manager: Axis Asset Management Co. Ltd. (the AMC) Risk Factors: Axis Bank Limited is not liable or responsible for any loss or
shortfall resulting from the operation of the scheme. This document represents the views of Axis Asset Management Co. Ltd. and
must not be taken as the basis for an investment decision. Neither Axis Mutual Fund, Axis Mutual Fund Trustee Limited nor Axis
Asset Management Company Limited, its Directors or associates shall be liable for any damages including lost revenue or lost
profits that may arise from the use of the information contained herein. No representation or warranty is made as to the accuracy,
completeness or fairness of the information and opinions contained herein. The AMC reserves the right to make modifications
and alterations to this statement as may be required from time to time.

Mutual Fund investments are subject to market risks, read all scheme related documents
carefully.