Disclosure of Stress Test & Liquidity Analysis

AMFI As of Fund name AUM (Rs. Stress Test Concentration Volatility Valuation Additional Risk-adjusted measures
Scheme (Portfolio Cr) Pro-rata liquidation Liability side Asset side (AUM held in) Portfolio Benchmark Portfolio Portfolio Portfolio Sharpe Sortino Jensen's R- Annualised Annualised Downside Upside capture
Code date) after removing bottom Annualised Annualised Beta Trailing Turnover Ratio Ratio Ratio Alpha (%) Squared downside Upside capture Ratio Ratio
20% of portfolio based Standard Standard 12m PE deviation (%) deviation (%)
on scrip liquidity Deviation Deviation Benchmark PE
(considering 10% PV (%) (%)
with 3x volumes)

Trailing
12m PE Trailing Trailing
50% 25% Top 10 Large Cap Mid Cap Small Cap Cash
12m PE 1 12m PE 2
portfolio portfolio investor (%) (%) (%) (%) (%)
year ago years ago

(A) (B) (C.) (D) (E) (F) (G) (H) (I) (J) (K) (L) (M) (N) (O) (P) (Q) (R) (S) (T) (U) (V) (W)
2/29/2024 quant Mid Cap Fund 5443.14 6 3 2.99 27.36 69.57 0.00 3.07 16.59 14.67 0.96 24.35 26.96 23.88 26.83 3.65 1.93 4.24 10.58 0.71 7.54 16.66 0.75 1.16
2/29/2024 quant Small Cap Fund 17232.82 22 11 2.10 28.36 0.24 65.87 5.53 19.73 17.57 1.03 21.52 28.85 17.77 26.16 1.69 1.95 4.02 12.29 0.84 9.60 19.51 0.85 1.25

Note:
(1) 3-Month Daily Average traded volumes on both NSE and BSE. (2) Large -Cap /Mid Cap /Small Cap as per List Published by AMFI (3) Standard Deviation(H), Beta(I) and Portfolio Turnover Ratio (O) as per AMFI Best Practice Guidelines Circulars no. 61 & 64 dated 14-Sep-2015 and 29-Oct-2015 respectively and as disclosed in Monthly Factsheets
(4) Cash shall be assumed to be used on a Pro-rata basis (5) PV – Participation Volume (6) PE – Price to Earnings Ratio (Source: Bloomberg, NSE) (7) Risk adjusted-measures - (Source: quant Global Research [qGR])

Explanation:
Stress test results:
1). Stress test results given at column A and B above indicates number of days that will be required to liquidate 50% and 25% of the portfolio respectively on a pro‐rata basis, under stress condition.
2). While calculating the time taken to liquidate portfolio on pro‐rata basis, the 20% of least liquid securities of the portfolio are ignored.
3). While it is not mandatory for AMCs to sell securities on pro‐rate basis (i.e. sell securities in the same ratio as the portfolio composition), for the purpose of stress test it is assumed that Mutual Fund Scheme will sell the securities on pro‐rata basis to ensure equal treatment to all investors
of the scheme.
Concentration Liability Side: Column C indicates % of AUM held by top 10 investors of the scheme.
Concentration Asset Side: Column D, E and F indicates % of scheme AUM invested in large cap, mid cap and small cap securities, and Column G indicates % held in cash.

Terminologies:
Standard Deviation indicates how widely a stock or portfolio’s returns varies from its mean over a given period of time. The more spread apart the data is, the higher the deviation.
While Standard Deviation measures volatility, there are also varying degrees by which it is considered accurate. For each standard deviation, there is an increasing level of reliability as shown below :
 1 Standard Deviation = 68.27% reliability
 2 Standard Deviations = 95.45% reliability
 3 Standard Deviations = 99.73% reliability

Let's say you own a mutual fund scheme that has a Standard Deviation of 21% and an average annual return of 8%. What this means is that basis the historical data for standard deviation and returns, 68.27% of the time it can be expected that the investment will produce return in the range of
-13% (i.e., 8% - 21%) to 29% (i.e., 8% + 21%) over any given year.

Annualized Standard Deviation is the Standard Deviation applied to the annual rate of return of an investment, and provides insights on the historical volatility of that investment. Multiplying monthly standard deviation by the square root of twelve (12) is an industry standard method of
approximating annualized standard deviations of monthly returns.

Portfolio Beta:
Beta (β) is a measure of the volatility — or systemic risk — of a security or portfolio compared to the market as a whole (usually the broad market index such as BSE-500 or NSE-500). Stocks with betas higher than 1.0 can be interpreted as more volatile than the broad market index. In short,
Beta is the risk-reward measurement that informs investors how sensitive their portfolio is to market changes. The market benchmark index is considered as 1.0, and for the lowest possible volatility in a portfolio, investors need to try to remain as close to a 1.0 as possible.

Beta over 1.0 indicates a higher sensitivity to market volatility. For example, a portfolio with a Beta=3 is prone to being more unstable and may go up or down more than the market goes up or down.

Beta lower than 1.0 indicates a less sensitive reaction to market volatility. For example, a portfolio with a beta less than 1.0 will typically perform close to market performance.

A portfolio being a collection of multiple stock holdings, Portfolio beta is the measure of an entire portfolio’s sensitivity to market changes while stock beta is just a snapshot of an individual stock’s volatility.

Portfolio Trailing 12m PE ratio:

The Price-to-earnings (P/E) ratio is one of the most widely used valuation methods as it accounts for a company’s actual earnings instead of projected earnings.

The P/E ratio indicates how much investors are willing to pay for ₹1 of the company's earnings per share (EPS). This helps determine how much an investor is willing to pay for ₹1 of earnings for that particular company. For a given company, whether the value of current P/E is suitable depends
on various factors including sector, growth propects, business cycle etc.

Portfolio turnover is a measure of how frequently assets within a mutual fund scheme are bought and sold by the fund manager over a given period of time. Portfolio turnover is calculated by taking either the total amount of new securities purchased or the number of securities sold (whichever
is less) over a particular period, divided by the total net asset value (NAV) of the fund. The measurement is usually reported for a 12-month time period.
For example, a 5% portfolio turnover ratio suggests that 5% of the portfolio holdings changed over a one-year time period. A ratio of 100% or greater indicates that all the securities in the fund were either sold or replaced with other holdings over a one-year period and would have a higher
transaction cost.
qGR's (quant Global Research) statistical interpretation:
As per Portfolio Analytics & Risk Metrics, measures viz. Standard Deviation, Portfolio Beta, Portfolio Trailing P/E Ratio and Portfolio Turnover Ratio, when considered in isolation, do not provide a comprehensive depiction of a fund's returns and risk profile. Standard
deviation measures the dispersion of returns around the mean, assuming a normal distribution of returns. However, it doesn't differentiate between upside and downside volatility. High standard deviation may indicate high volatility, but does not necessarily capture
the direction of the volatility. Beta calculation based on NAV data is less relevant and Portfolio Beta (Weighted average Beta of all stocks in the Portfolio; provided in our monthly factsheet) is more relevant from the perspective of portfolio management and this is a
true representation because of its accuracy in reflecting actual holdings, consideration of active management decisions, customization to the portfolio's risk profile and dynamic responsiveness to market changes. Trailing P/E ratio alone does not capture the future
growth prospects of the portfolio and therefore we should also look at the forward P/E ratio. Trailing P/E ratio is backward-looking and doesn't provide insights into the future earnings potential. Portfolio turnover ratio is an irrelevant measure because whether the
portfolio turnover is high or low does not inherently provide meaningful information about the portfolio's ability to generate returns or manage risk. Globally for all active money managers, Portfolio Turnover Ratio will naturally be high as they dynamically rebalance
their portfolio based on Risk-On or Risk-Off environment. Therefore, investors should focus on other performance metrics and factors such as risk-adjusted returns and investment strategy when evaluating the quality of a portfolio. Ratios such as Sharpe Ratio, Sortino
Ratio, Jensen's Alpha, Upside and Downside Deviation, and Upside Capture and Downside Capture Ratios provide a more comprehensive assessment of risk-adjusted performance by incorporating both risk and return metrics, thereby offering a clearer picture of a
fund's overall performance, risk profile and the fund's ability to outperform benchmarks, providing investors with a more nuanced understanding of the fund's performance relative to its risk exposure.
Sharpe Ratio:
- Definition: The Sharpe Ratio measures the risk-adjusted performance of an investment or portfolio. It measures portfolio returns generated in excess to the investment in risk-free asset, for per unit of total risk taken. While, positive Sharpe ratio indicates, portfolio compensating investors
with excess returns (over risk-free rate) for the commensurate risk taken; negative Sharpe ratio indicates, investors are better off investing in risk-free assets.

- Formula: Sharpe Ratio = (Rp - Rf) / σp

- Rp: Average return of the portfolio
- Rf: Risk-free rate of return
- σp: Standard deviation of the portfolio's returns

- Interpretation: A higher Sharpe Ratio indicates better risk-adjusted performance.

Sortino Ratio:
- Definition: The Sortino Ratio is a variation of the Sharpe Ratio, focusing on the downside risk. It considers only the standard deviation of the negative returns (downside deviation) when assessing risk.

- Formula: Sortino Ratio = (Rp - Rf) / σd

- Rp: Average return of the portfolio
- Rf: Risk-free rate of return
- σd: Downside deviation (standard deviation of negative returns)

- Interpretation: A higher Sortino Ratio indicates better risk-adjusted performance, but it specifically addresses the downside risk.

Jensen's Alpha:
- Definition: Jensen's Alpha, also known as the Jensen Index or Jensen's Performance Index, measures the excess return of an investment or portfolio compared to its expected return, given its level of risk as measured by the capital asset pricing model (CAPM).

- Formula: Jensen's Alpha = Rp - [Rf + βp (Rm - Rf)]

- Rp: Actual portfolio return
- Rf: Risk-free rate of return
- βp: Beta of the portfolio (systematic risk)
- Rm: Market return

- Interpretation: A positive Jensen's Alpha suggests that the portfolio has outperformed its expected return based on its level of risk.

R-Squared:
- Definition: R-Squared (Coefficient of Determination) measures the proportion of the variation in the portfolio's returns that can be explained by the variation in the benchmark's returns. It ranges from 0 to 1, where 0 indicates no correlation, and 1 indicates a perfect correlation.

- Formula: Calculated as part of the regression analysis comparing the portfolio's returns to the benchmark's returns.

- Interpretation: A higher R-Squared indicates a stronger correlation between the portfolio and its benchmark.

Downside Deviation:
- Definition: Downside Deviation measures the volatility of the returns that fall below a certain minimum acceptable return or threshold (often the risk-free rate).

- Formula: Standard deviation of returns that are below the threshold.

- Interpretation: A lower downside deviation suggests less volatility in the undesirable direction (below the threshold), indicating better risk management.

Upside Deviation:
- Definition: Upside Deviation measures the volatility of the returns that exceed a certain minimum acceptable return or threshold (often the risk-free rate).

- Formula: Standard deviation of returns that are above the threshold.

- Interpretation: A lower upside deviation indicates less volatility in the favorable direction (above the threshold), suggesting a more stable and consistent performance in positive market conditions.

Downside Capture Ratio: The Downcapture Ratio measures a fund's performance relative to its benchmark during periods of market downturns. It indicates how much of the benchmark's negative movement the fund captures.
Interpretation: A low Downcapture Ratio (less than 1) suggests that the fund tends to outperform its benchmark during market downturns, capturing a smaller portion of the benchmark's negative returns. Conversely, a high Downcapture Ratio (greater than 1) indicates that the fund
underperforms its benchmark during market downturns.

Upside Capture Ratio: The Upside capture Ratio measures a fund's performance relative to its benchmark during periods of market upswings. It indicates how much of the benchmark's positive movement the fund captures.
Interpretation: A high Upcapture Ratio (greater than 1) suggests that the fund tends to outperform its benchmark during market upswings, capturing a larger portion of the benchmark's positive returns. Conversely, a low Upcapture Ratio (less than 1) indicates that the fund underperforms its
benchmark during market upswings.