FREQUENTLY ASKED QUESTIONS

DSP Quant Fund

MAY 2019

Q. What is quant fund and how is it different from other funds?

A. Quant Fund is a rule based fund that aims to generate alpha using three pillars of elimination, selection
and assigning weights. It uses quantitative techniques to reduce human biases, eliminate long term
value detractors and harness the power of factors that have historically proven to be enduring sources
of alpha. It uses a proprietary model to assign weights for effective risk management and scientific
portfolio construction.
• Systematically follows investment rules tested over market cycles without human biases for eliminating
stocks, selecting stocks and assigning weights.
• Respects evidence and data over emotions and narratives
• Harvests the power of factor based investing through quantitative techniques to seek alpha: Factor-
based investing targets intuitive investment styles such as value, growth, quality which have
demonstrated long run excess returns across geographies and market cycles and are academically
established sources of returns
• Eliminates stocks that display characteristics that have proven to be long term detractors of alpha

Q. How does it help me as an investor and who should invest in it?

A. Occupying a sweet spot between active and passive investing, Factor investing provides investors with
the tools to express investment preferences and philosophies in a cost efficient manner while adhering
to the discipline of a rules-based approach mitigating biases.
• Investors who want a well-diversified large cap oriented CORE portfolio that is built around the
principles of quality, growth and value
• Investors who want an efficient strategy that is designed to beat the benchmark using rational
principles combined with scientific risk management
• Investors who do not want momentum chasing investment style with high turnover
• Investors who have a minimum 7 year investment horizon

Q. Is the fund an active fund or a passive fund?

A. Any fund which deviates from the index is an active fund. Thus this is also an active fund. However,
the deviations are done systematically, in a rule based manner, based on data and evidence with less
human interference. In that sense, it is different from traditional manager based active funds. In a sense
it combines virtues of both active and passive management styles. These types of funds are globally
known as ‘smart beta’, ‘quantitative’ or ‘scientific’ funds.

Q. Describe in brief the strategy of the fund?

A. The fund starts with BSE200 as the universe. Then it applies elimination criteria to screen out stocks
which we do not fit the eligibility criteria of leverage, volatility, capital allocations and earnings quality
Page 1 of 17

red flags. This eliminates approx. 100 stocks.

 Post exclusion, the remaining universe is ranked based on factors of Quality, Growth and Value. The
best ranking stocks by aggregate score which cumulatively make up 50% by weight in BSE200 are then
considered for inclusion in portfolio. These are approx. 40-50 stocks. The weights are assigned through
a quantitative process (optimisation) which assigns weights to maximise portfolio level aggregate score
within pre-defined stock concentration, sector concentration and liquidity constraints. The portfolio is
then rebalanced semi-annually.

Please see below a detailed representation of the fund strategy

Step 1: Universe
Start with the BSE 200 index Universe (200 stocks)

Step 2: Elimination criteria

• Exclude companies with high leverage (Debt to Equity > 1.5)
• Exclude companies which have high price volatility (Beta >1.25)
• Exclude companies which are inefficient capital allocators and do not work with the sole aim of
shareholder wealth maximization (Govt. owned and state owned enterprises)
• Exclude companies with poor earnings quality (as defined by our earnings quality screeners)
• After applying the exclusion criteria for recent backtests, the universe is reduced to about 80-100
companies

Step 3: Selection criteria

For the remaining set of companies in the universe:
• Percentile score assigned for each company across selected factors like Quality (ROE, Earnings
growth variability), Growth (Estimated consensus EPS growth) and Value (Dividend Yield & Free
Cash Flow Yield) which is combined into an aggregate score for relative company percentile ranking
(equally weighted for each factor).
• 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 40-50 stocks in recent rebalances as per back-tests.

Step 4: Portfolio construction: Optimizer inputs and constraints

• Stock level: 10 times its weight in the BSE 200 index or maximum weight of 10%, whichever is lower.
• Sector constraints embedded: active weight of +/- 10% deviation allowed from sector weight in BSE
200 index

Step 5: Rebalance the portfolio semiannually (March and September)

Q. Why has the universe of the model been chosen as S&P BSE 200?

A. S&P BSE 200 represents a good mix of large and midcap stocks which provides a diversified universe to
run the model. BSE200 comprises of reasonably liquid, well researched companies covered by a large
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number of sell side analysts. This lends itself well to a quantitative investing approach
Q. Why do behavioural biases result in poor or sub-optimal decision?

A. There are many studies on how behavioural biases tend to result in poor decision making. This is true in
all fields and investing is no different. There is a whole field

dedicated to the study of behavioural finance. Even experienced fund managers fall prey to behavioural
biases. It’s impossible to be unbiased in our decision-making. However, we can mitigate those biases
by identifying and creating rules. Rules effectively act as a mechanism to have better rationality,
predictability and control in the way portfolios are managed and avoid errors such as:

• Herd mentality/peer pressure: Herd mentality means that investors feel better when they are investing
along with the crowd. But as successful investors have proven, a contrarian view from the crowd
may be more successful. “Be greedy when others are fearful and fearful when others are greedy
is the opposite of this bias”. Peer pressure is a similar bias, where investors feel pressurised if they
underperform peers and feel compelled to invest in popular trades due to fear of missing out

• Loss aversion: Investors find it difficult to stomach the thought of selling a position that is already
significantly below its purchase price. This is called loss aversion. In reality, if the investor sold the
stock, the money that is left could be reinvested into a better stock. But because investors don’t want
to admit that the loss has translated from a notional number to real money, they tend to hold on in
hopes that it will recover its original value

• Overconfidence/trying to time markets: A person with overconfidence bias believes that his/her skill
as an investor is better than others’ skills to predict outcomes. The market has many times proven
even the most respected investors wrong. The investors with overconfidence bias override models
and data because they convince themselves that they know better. The overconfident investors
underestimate the risks, overestimate the rewards and trade excessively. Another related bias is
hindsight bias, which leads an investor to believe after the fact that a past event was predictable and
completely obvious whereas, in fact, the event could not have been reasonably predicted

• Recency bias: Recency bias occurs when people more prominently recall and emphasise recent
events and observations than those in the near or distant past. Humans have short memories in
general, but memories are especially short when it comes to investing cycles. This is dangerous as
markets tend to mean revert

• Reacting to short term noise: Perhaps nowhere is investing discipline more important than regarding
the never-ending din of market information blaring at investors through various media outlets. Long
a problem for investors trying to maintain focus, this market noise has become appreciably louder for
most consumers since the internet has become widely available. The reason this noise is dangerous is
that it compels short-term thinking and over-reaction that can wreak havoc with long-term portfolio
gains

• Anchoring or confirmation bias: we tend to selectively filter, paying more attention to information
that supports our opinions while ignoring the rest. Likewise, we often resort to preconceived opinions
when encountering something new. An investor whose thinking is subject to confirmation bias would
be more likely to look for information that supports his or her original idea about an investment
rather than seek out information that contradicts it.
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Q. Why is the model back tested from 2005?

A. The back-tests are done based on historical constituent level data for the index (BSE200) which is
available only post 2003. Also, the backtests are done based on historical point in time fundamental
data, which is reliably available covering most index constituents only since 2004-2005. While we would
have preferred to run the back tests on more data, it should be noted that we still have 13 years covering
different market conditions and cycles

Q. Explain the exclusion criteria in detail

A. The exclusion criteria are as important as the selection criteria. They are designed to systematically
avoid stocks that are likely to detract value over the longer term and to avoid accidents that would lead
to erosion of value.

• Very high leverage: Debt to equity ratio above 1.5 at the time of re-balance (not considered for
financials, since financial business naturally entails high leverage)
»» These companies are more prone to the risk of financial distress, as interest servicing becomes
difficult in cyclical downturns
»» The cost of debt in India is high and debt capital markets are not very deep, making these companies
vulnerable to the risk of re-financing if there is any cyclicality or issues with their business

• Highly volatile stocks: Beta above 1.25 at the time of re-balance, high stock price volatility
»» Such companies are very cyclical and would tend to significantly underperform in risk averse
markets
»» High stock volatility is an indicator of market pricing in news which may relate to impending
corporate actions or management misdemeanour. These may not be apparent from financial or
other data

• Misalignment of management incentives: PSU, State Owned Companies

»» Such companies have underperformed for many reasons.
»» Could be used to further political agendas and prone to political interference, which may not be in
viable projects/businesses or may impact the profitability
»» Possible leakage through corruption
»» Continuity of management is an issue. Also, bureaucracy results in delayed decision making
»» Due to requirement to maintain large employee base, cost inefficiency may impact profitability

• Earnings quality and accounting screeners: DSP has created a proprietary scoring model based on
the following criteria (also available in presentation). The metrics and rationale is given in the below
table.
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 Criteria Rationale
• Quality earnings are sustainable and
repeatable, backed by cash flows
• Red flags - high divergence between
Earnings quality accounting and cash flow entries
• Many firms “manage” earnings through
aggressive accounting and valuation
policies
• Companies with badly managed balance
Balance sheet sheets are at higher risk for financial
health distress
• Indicates efficacy of cash flow conversion • Variability in debtor days,
Working capital and liquidity risk management
cycle • Early warning sign of problems in the
business
• Problems in financial companies typically
For Financials: arise due to aggressive growth, which
asset quality, creates asset quality problems OR
ALM etc. • Over-reliance on short term funding
resulting in solvency risk
• Imprudent management actions can
Management
destroy value for minority shareholders
actions
Source: Internal
Evaluation Metrics
• EBITDA/ Cash Flow from
Operations
• Interest in Cash Flow Statement/
Interest in P&L Statement
• Tax in Cash Flow Statement/ Tax in
P&L Statement
• Depreciation rate
• Interest coverage ratio
• Debt/market capitalization
• Credit rating
• Altman Z score
inventory days and creditor days
• GNPA and NNPA growth
• Growth in advances
• Short term debt to total debt
• Total assets /Networth
• Provisioning cover
• High promoter pledge
• High related party transactions
• Dividend funding

Q. What is the evidence that the exclusion criteria has worked?

A. We have backtested the elimination criteria and saw that it has worked across time horizons. Elimination
by itself is a powerful source of alpha.

Q. Explain the selection criteria and why we chose the 5 specific descriptors

Quant Model vs. BSE 200 TRI vs. Eliminated Stock Baskets
25%
22.0%
20.3%
20% 18.6%
16.8%

15%
10.9% 11.1% 11.2%
10.2%
10% 7.9%
6.7%
5.5%
4.6%
5% 3.5%
1.6%

0%
Page 5 of 17

-1.4%
-5%
2005-2010 2010-2015 2015-Now

Quant Model BSE 200 TRI High Beta High Leverage S&P BSE PSU index
Source: Internal, BSE
The performance numbers are Total return series from 30-Sep 2005 to 31-Mar 2019.
Past performance may or may not be sustained in the future and should not be used as a basis
for comparison with other investments. These figures pertain to performance of the model and do not in any manner indicate the returns/performance
of the Scheme.

A. The fund follows a multi-factor investing approach. There is a detailed note on factor investing that we
have prepared and is available in the collateral. We chose the five descriptors based on several criteria

1. Wanted Quality, Growth and Value factors to be represented in the fund

2. Chose descriptors that have exhibited long term excess returns over BSE200 and high risk adjusted
returns ratios
3. Chose a mix of pro-cyclical and defensive factors, with low correlation to get diversification benefits
with an aim to have a more consistent return profile
4. Wanted to avoid over-complexity and choosing multiple factors which are highly correlated to each
other
The model selects a portfolio of ~40-50 stocks that have the highest aggregate score on 5 parameters
that are chosen descriptors of Quality, Growth and Value. The methodology is based on a ranking
approach and aims to select stocks that have a good mix of the above factors.

Q. What is the rationale behind selection of each of the 5 factors used in the model?

A. Quality: These are well-run companies with high earnings visibility. Such companies typically avoid
overleveraging and perceived as being less risky. Perception of lower risk brings down cost of capital,
improving margins and increases ROE. Other than ROE, we also have Earnings growth consistency as
one of the descriptors

Growth: There is a premium associated with companies that are expected to consistently deliver high
earnings growth. The premium exists because there exists a tendency within the analyst community to
project recent high growth into the future

Value: Represents companies that trade at valuations that are lower to their peers. We have specifically
chosen Dividend yield and Free-Cash-Flow yield as representative descriptors for Value as we believe
these cash-flow based measures of valuation are less susceptible to earnings manipulation.

Q. Isn’t estimated earnings growth by sell side also prone to human biases

A. Yes. It is. The extent of individual bias is reduced by taking the average of the sell side estimates across all
analysts that cover the stock. There is a premium associated with companies that enjoy higher projected
EPS growth as fund managers tend to buy such companies and drive the prices higher. The fund tries to
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capture this premium. Also, this is the only forward looking indicator among the chosen 5, others being
based on demonstrated/trailing metrics such as ROE, Dividend Yield etc. Our backtests also showed
a strong correlation between historical and forecast EPS growth. Out of the two, we preferred to use
forecast growth.
Q. What happens if the analyst community changes the earnings estimates between rebalances? There
could be an immediate price action that happen as a reaction to a change in an analysts estimate
which the fund may not be able to capture

A. It may not be possible for any strategy to capture immediate price changes that happen as a reaction to
a change in an analysts estimate (Since the price reactions happen very fast). The DSP Quant Fund is not
designed as a high turnover or a momentum chasing strategy. It aims to capture the premium on stocks
that are generally expected to show good growth trends over a 3-5 year period, which would accrue
over time. The fund rebalances every six months and will consider the EPS growth estimates at the time
of every re-balance. Also, growth is one out of five factors and will not be the single determining factor
for selection of any stock.

Q. Why does the fund use dividend yield (DY) and free cash flow yield (FCF Yield)

A. The traditional value factors such as PE and PB have underperformed the stable value factors such as
DY and FCF Yield in India in terms of excess returns and risk adjusted return. DY and FCF Yield are based
on cash flows rather than accounting numbers and are therefore much harder to manipulate. These
typically are associated with profitable cash generating companies. PE and PB may be prone to being
value traps.

Q. If the fund has value factors, then why does it have high PE stocks and trades at higher PE and PB
relative to the benchmark

A. The model chooses companies based on an aggregate rank on quality, growth, and value. Thus it
follows a relative ranking approach rather than an absolute cut-off for every parameter. It also eliminates
companies that may be trading at cheap valuations relative to market. Given its quality tilt, the portfolio
typically would have some premium valuation relative to market. However, because of the valuation
anchor, it avoids companies that are trading at very extreme valuations. As shown by the below chart,
the Model typically has PE ratios of 10% to 30% premium compared to the underlying index PE.

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Source: BSE
Q. Quant funds have not shown good performance of late. In what market conditions will DSP Quant
Fund underperform

A. Quant Fund is a generic term used for several different strategies, including momentum strategies,
macro models or other high frequency trading strategies among many others. All strategies and fund
manager styles go through periods of underperformance and we would not be able to comment on
other funds. The Quant Model is based on principles of good investing and is a low turnover strategy. We
have indicated periods where the strategy may underperform its benchmark BSE200 such as in euphoric
market conditions (not backed by fundamentals) or short term market reactions based on expected or
actual changes in policy. The fund may not be able to fully capture ‘hope trades’ or ‘turnaround stories’
where actual numbers are weak but market is pricing in a sharp future improvement

Q. Backtests always show good results. But funds underperform when live

A. A backtest is a simulation of an investment strategy used to evaluate how effective the strategy might
have been if it were followed historically. Backtesting is used by quants and researchers to test investment
strategies before real capital is applied.

Often strategies look great in simulation but fail to live up to their promise when in live portfolios. There
are a number of reasons for these failures, some of which are beyond the control of a quant. But
several failures are caused by common pitfalls in backtesting methodologies which can be avoided or
controlled. If common pitfalls are avoided, we believe that the strategies are more likely to represent
real life performance. We have published a detailed article on how the Quant Model has followed best
practises in backtesting and avoiding common pitfalls

Q. Does Quant Model follow momentum or high trading style

A. No, while there are such strategies, the Quant Model does not follow this style as it is designed as a core
allocation to a portfolio. The fund has a low expected turnover of 40-50% per annum and re-balances
only twice a year in March and September to avoid excessive transaction cost and turnover. The Fund
does not incorporate price momentum based signals in its strategy.

Q. What fees and impact costs are considered for calculating the performance of the Model?

A. An annual deduction of 3% has been considered as fees for the Model. This 3% includes the following:

a. Expense Ratio
b. Potential Trading Cost
c. Potential Impact Cost

The reason is to make the backtest performance a more realistic depiction

Page 8 of 17
Q. What is the current sector split vs. S&P BSE 200?

Quant Model
Sector BSE 200 Top Weights
Weight
Financials 31.50% 35.70% HDFC Bank, IndusInd Bank, Bajaj Finance
Consumer Discretionary 13.50% 8.50% Maruti Suzuki, Bajaj Auto, Hero Motocorp
Information Technology 16.20% 11.20% TCS, Infosys, Wipro
Consumer Staples 15.00% 10.00% ITC, Hindustan Unilever, Nestle
Materials 13.10% 8.10% Asian Paints, Hindustan Zinc, Pidilite Industries
Energy 0% 10.50% None
Utilities 0% 3.10% None
Industrials 5.10% 6.00% Voltas, Cummins India, Amara Raja Batteries
Communication Services 2.00% 0.80% Sun TV network
Health Care 4.80% 4.60% Dvi’s Laboratories, Natco Pharma, Abbott India

Current re-balance (March 2019) does not include Energy and Utilities as stocks are either eliminated
or have low scores on aggregate Quality/Growth/Value ranks. However, it may be possible for these
sectors to have representation in future re-balances if stocks get a higher aggregate score.
The sector(s)/stock(s)/issuer(s) mentioned in this presentation do not constitute any research report/recommendation of the same and the Fund
may or may not have any future position in these sector(s)/stock(s).

Q. How does the optimizer assign weights?

A. The optimiser assigns weights to the selected 40-50 stocks with an objective of achieving the maximum
portfolio weighted score (inputs to the optimiser are each stocks aggregate score to the five descriptors
described in the selection criteria). The optimiser gives the best solution that also meets the following
boundary conditions or constraints embedded for achieving adequate diversification and liquidity.

1. Single stock weight less than or equal to 10% (concentration constraint)

2. Single stock weight less than or equal to 10times their weight in BSE200 (liquidity constraint)
3. Sector active overweight/underweight relative to its weight in BSE200 less than or equal to 10%
(sector concentration constraint)
4. Limits sector concentration limit of +/- 10% to the sector weights in the benchmark
Page 9 of 17
Q. How will the strategy react to negative news-flow to portfolio constituent between rebalances? What
will cause an unscheduled rebalance

A. Unscheduled and out-of-turn rebalances will not be undertaken unless extreme circumstances necessitate
the same. Out of turn/ unscheduled rebalance can occur when any of the following occurs:

1. Merger/Acquisition of a portfolio constituent

2. Issuer level ratings downgrade to non-investment grade
3. Adverse news-flow that would completely negate original investment thesis
4. Notification to exchanges regarding significant changes to the composition of board of a portfolio
constituent, change of auditors, earnings restatement, adverse outcome in pending litigation
proceedings

The decision to do an unscheduled re-balance must be ratified by the investment committee

Q. What happens with passive breaches due to price impact

A. The Fund manager does not react to passive issuer concentration breaches in the portfolio. The fund
adheres to all constraints at the time of re-balance

Q. How protecting drawdowns helps the strategy outperform the benchmark over the long term

A. The strategy, given its quality tilt, has faced lower drawdowns in risk adverse markets, thus helping to
minimise loss of investment capital. The below table shows how a shallower drawdown helps in faster
recovery of the invested capital

% Drawdown % Return required to get back to previous peak NAV

5% 5.3%
10% 11.1%
15% 17.6%
20% 25.0%
25% 33.3%
30% 42.9%
35% 53.8%
45% 81.8%
50% 100.0%
55% 122.2%
60% 150.0%
Source: Internal
Page 10 of 17

Q. What is the expected strategy turnover and what is motivation for a semi-annual rebalance?

A. The strategy has seen a 40-50% annual turnover in backtests.

Q. How do we address liquidity/capacity constraints for the strategy?

A. We cap individual constituent level portfolio weights to 10%, or 10X of weight in BSE 200, whichever is
lower to avoid concentration, ensure liquidity and capacity.

Q. What is the role of a Fund manager in a Quant strategy?

A. The portfolio construction will be based on the model, done by the Risk & Quantitative Analysis team at
every re-balance. The role of the fund manager will be:

1. Best execution during rebalances

2. Limit cash drag
3. Minimize impact costs

Q. By restricting universe to BSE 200, are we missing out of IPO opportunities?

A. The fund will be eligible to buy any stocks that are part of the BSE200 at the time of re-balance. Other
stocks will not be eligible. The objective is to outperform BSE200 by eliminating weaker stocks and
selecting good stocks. Fund will not be able to capture each and every good opportunity

Q. Why is the relevant peer set for the strategy taken to be Large Cap funds given that the universe is
BSE 200 index?

A. Since the strategy exposure to Large caps has been upwards of 75% across time, the relevant peer set
for the strategy has been taken to be the Large Cap funds.

Q. Will the model adapt to new academic research on factors and changes to market structure?

A. The research team keep abreast with new academic research in the field of factor investing and quant
finance. The team will continuously work to enhance existing factors and elimination criteria. The
investment committee will review the model on an annual basis and take the inputs of the investment
research team and undertake changes to the Quant model if it is deemed necessary. Any changes to the
model however will be within the confines of the fundamental attributes of the scheme.

Q. Under what circumstances is the strategy likely to underperform the benchmark?

A. While our backtests suggest that the strategy will likely outperform the benchmark over the entire
business cycle, there could be underperformance over a shorter time frame typically for the below
reasons

a. Sentiment driven rallies / Market Euphoria (Not backed by fundamentals) Example: 2007 Commodity
Super-cycle peak and 2014 Change in Govt. regime
Page 11 of 17

b. Market reactions based on actual or expected changes in policy/regulation or events. Example: PSU
Bank recap of Oct 2017
c. The fund may not be able to fully capture ‘hope trades’ or ‘turnaround stories’ where actual historical
numbers are poor but market is pricing in a sharp future improvement
Q. Why semi-annual re-balance? (Why not quarterly or annually)

A. The objective of not having very frequent re-balances was that the strategy is not a high turnover
or momentum strategy. However, the thought was to have semi-annual rebalance to capture material
changes in aspects such as growth expectations or valuation changes, as well as changes in reported
numbers of companies

Q. Will the Quant strategy take cash calls?

A. No. The strategy will be fully invested, with minimum cash for managing day to day portfolio flows and
liquidity

Q. Will the strategy have any Target price related exit strategy?

A. No. The strategy does not incorporate target prices.

Q. At every rebalance, how many stocks do we expect to be in the portfolio?

A. We expect approx 40-50 stocks in the portfolio. This could vary slightly at each rebalance

Q. Performance numbers for the fund

Point to Point Performance

S&P BSE 200 Nifty Next 50 SEBI defined Large
Quant Model Nifty 50 TRI
TRI TRI Cap Funds
1M 4.5% 7.7% 7.8% 6.8% 7.6%
3M 1.4% 5.7% 7.3% 0.6% 5.7%
6M 2.9% 6.5% 6.8% 4.1% 6.2%
1 Yr 5.6% 12.1% 16.4% 0.2% 9.3%
3 Yr 14.9% 16.9% 16.8% 17.1% 13.3%
5Yr 16.2% 14.5% 13.1% 17.8% 13.0%
7Yr 17.2% 14.4% 13.7% 17.3% 13.1%
10Yr 22.7% 17.5% 16.0% 22.4% 15.8%
SI 17.9% 13.1% 13.1% 14.6% 12.7%
Source – Internal, MFIE. Past performance may or may not sustain in the future. Average performance of large cap funds defined by SEBI currently
which have history since Sept 2005 are taken in to consideration. Expense ratio of 3% per annum is considered for the Quant Model. PR values for
BSE 200 is taken up till Aug 2006 post that TR values are taken. Performance as on March 2019. These figures pertain to performance of the model
and do not in any manner indicate the returns/performance of the Scheme
Page 12 of 17
Standard Deviation
S&P BSE 200 Nifty Next 50 SEBI defined Large
Quant Model Nifty 50 TRI
TRI TRI Cap Funds
1 Yr 12.8% 12.6% 12.4% 16.2% 11.8%
3 Yr 11.8% 11.9% 11.7% 15.1% 11.4%
5Yr 12.5% 13.6% 13.4% 16.8% 13.3%
7Yr 12.5% 14.1% 14.2% 16.7% 13.7%
10Yr 14.4% 17.3% 17.6% 19.6% 16.0%
SI 18.9% 22.3% 22.6% 25.1% 20.1%

Return/Risk

S&P BSE 200 Nifty Next 50 SEBI defined Large

Quant Model Nifty 50 TRI
TRI TRI Cap Funds
1 Yr 0.44 0.96 1.32 0.01 0.79
3 Yr 1.26 1.42 1.44 1.13 1.16
5Yr 1.30 1.06 0.97 1.06 0.98
7Yr 1.38 1.03 0.96 1.04 0.96
10Yr 1.58 1.01 0.91 1.14 0.99
SI 0.95 0.59 0.58 0.58 0.63

Calendar Year Performance

S&P BSE 200 Nifty Next 50 SEBI defined Large
Quant Model Nifty 50 TRI
TRI TRI Cap Funds
2006 40.7% 40.2% 41.9% 30.0% 39.7%
2007 42.6% 62.3% 56.8% 77.4% 58.8%
2008 -46.2% -55.9% -51.3% -63.1% -51.3%
2009 94.7% 90.9% 77.6% 130.5% 74.5%
2010 36.8% 17.8% 19.2% 18.9% 18.4%
2011 -15.7% -26.0% -23.8% -31.1% -22.2%
2012 36.8% 33.2% 29.4% 49.8% 28.0%
2013 14.9% 6.1% 8.1% 6.0% 5.3%
2014 39.0% 37.4% 32.9% 46.4% 41.3%
2015 9.6% -0.2% -3.0% 8.1% 0.2%
2016 3.2% 5.4% 4.4% 8.4% 3.8%
2017 32.6% 35.0% 30.3% 47.7% 29.1%
2018 3.4% 0.8% 4.6% -7.9% -2.4%
YTD
1.4% 5.7% 7.3% 0.6% 5.7%
2019
Outperformance (in yrs) 9 9 7 9
Page 13 of 17

Source – Internal, MFIE. Past performance may or may not sustain in the future. Average performance of large cap funds defined by SEBI currently
which have history since Sept 2005 are taken in to consideration. Expense ratio of 3% per annum is considered for the Quant Model. PR values for
BSE 200 is taken up till Aug 2006 post that TR values are taken. Performance as on March 2019. These figures pertain to performance of the model
and do not in any manner indicate the returns/performance of the Scheme.
The Model has outperformed all indices in 5 calendar years and individual indices as indicated in the
table above.
SIP Return as on March, 2019
DSP Quant S&P BSE 200 Nifty 50 TRI Nifty Next 50 SEBI defined Large
Fund TRI TRI Cap Funds
3 Year 9.5% 12.6% 14.2% 7.9% 9.1%
5 Year 11.4% 12.0% 12.2% 11.6% 9.4%
7 Year 14.6% 13.7% 13.1% 15.4% 11.8%
Since Inception 17.1% 12.8% 12.3% 15.3% 11.8%
Source – Internal, MFIE. Past performance may or may not sustain in the future. Average performance of large cap funds defined by SEBI currently
which have history since Sept 2005 are taken in to consideration. Expense ratio of 3% per annum is considered for the Quant Model. PR values for
BSE 200 is taken up till Aug 2006 post that TR values are taken. Performance as on March 2019. These figures pertain to performance of the model
and do not in any manner indicate the returns/performance of the Scheme.

Rolling Returns

1 Year daily Nifty Next 50 SEBI defined Large

Quant Model S&P BSE 200 Nifty 50 TRI
rolling return TRI Cap Funds
Min -49.6% -59.0% -55.4% -66.3% -53.9%
Max 136.6% 126.2% 100.5% 197.7% 97.3%
Average 20.6% 15.6% 14.4% 20.8% 14.2%
Negative 13% 22% 21% 24% 23%
0% to 8% 14% 16% 16% 14% 19%
8% to 12% 5% 10% 10% 7% 11%
Above 12% 68% 52% 54% 56% 47%

3 Year daily Nifty Next 50 SEBI defined Large

Quant Model S&P BSE 200 Nifty 50 TRI
rolling return TRI Cap Funds
Min -6.8% -9.2% -5.2% -15.6% -6.7%
Max 43.3% 32.8% 29.9% 43.8% 28.0%
Average 17.5% 11.1% 10.4% 14.9% 10.9%
Negative 2% 7% 2% 8% 5%
0% to 8% 2% 26% 33% 17% 30%
8% to 12% 11% 21% 28% 9% 24%
Above 12% 84% 47% 37% 66% 41%

5 Year daily Nifty Next 50 SEBI defined Large

Quant Model S&P BSE 200 Nifty 50 TRI
rolling return TRI Cap Funds
Min 10.2% -0.9% 0.0% 0.1% -0.3%
Max 32.7% 23.7% 22.5% 30.2% 22.0%
Average 18.7% 11.8% 11.2% 15.5% 11.7%
Negative 0% 1% 0% 0% 0%
Page 14 of 17

0% to 8% 0% 25% 28% 14% 20%

8% to 12% 4% 20% 20% 15% 23%
Above 12% 96% 54% 52% 71% 57%
 10 Year daily Nifty Next 50 SEBI defined Large
Quant Model S&P BSE 200 Nifty 50 TRI
rolling return TRI Cap Funds
Min 14.4% 7.0% 6.5% 10.4% 6.9%
Max 24.3% 18.9% 17.2% 24.3% 16.7%
Average 18.1% 11.6% 10.9% 15.4% 11.3%
Negative 0% 0% 0% 0% 0%
0% to 8% 0% 5% 9% 0% 5%
8% to 12% 0% 61% 67% 7% 64%
Above 12% 100% 34% 25% 93% 31%
% times
14.4% 7.0% 6.5% 10.4% 6.9%
outperformed
Source – Internal, MFIE. Past performance may or may not sustain in the future. Average performance of large cap funds defined by SEBI currently
which have history since Sept 2005 are taken in to consideration. Expense ratio of 3% per annum is considered for the Quant Model. PR values for
BSE 200 is taken up till Aug 2006 post that TR values are taken. Performance as on March 2019. These figures pertain to performance of the model
and do not in any manner indicate the returns/performance of the Scheme.

Performance vs Category

Large Cap
Average 1st Average 2nd
Quant Model Average LC Median LC
quartile quartile
2006 40.7% 39.6% 42.6% 47.8% 44.4%
2007 42.6% 57.5% 61.8% 67.3% 63.0%
2008 -46.2% -51.5% -50.0% -46.8% -48.8%
2009 94.7% 76.8% 77.2% 91.8% 81.6%
2010 36.8% 18.6% 18.0% 24.3% 18.5%
2011 -15.7% -22.4% -22.6% -16.7% -20.4%
2012 36.8% 28.3% 28.3% 35.0% 29.3%
2013 14.9% 5.9% 6.6% 10.4% 7.8%
2014 39.0% 40.8% 40.7% 49.0% 42.9%
2015 9.6% 0.7% 0.9% 5.1% 2.0%
2016 3.2% 3.1% 2.9% 7.2% 4.0%
2017 32.6% 30.3% 29.9% 35.9% 31.5%
2018 3.4% -2.0% -2.7% 2.2% -1.0%
YTD 2019 1.4% 5.4% 5.5% 7.0% 5.9%
CAGR 17.3% 12.3% 12.9% 18.7% 14.5%
Outperformance 11 10 8 9
Page 15 of 17
Multi Cap
Average Multi Median Multi Average 1st Average 2nd
Quant Model
Cap Cap quartile quartile
2006 40.7% 36.3% 35.9% 50.3% 44.6%
2007 42.6% 61.7% 54.9% 86.6% 61.7%
2008 -46.2% -53.8% -53.9% -47.1% -50.7%
2009 94.7% 86.9% 85.4% 104.3% 90.0%
2010 36.8% 20.5% 20.3% 30.7% 21.9%
2011 -15.7% -23.9% -22.0% -17.2% -20.2%
2012 36.8% 34.2% 33.3% 43.3% 35.2%
2013 14.9% 5.2% 5.6% 8.8% 6.3%
2014 39.0% 52.2% 52.9% 62.1% 55.0%
2015 9.6% 2.6% 2.8% 10.2% 4.4%
2016 3.2% 3.5% 2.8% 9.9% 4.8%
2017 32.6% 36.6% 36.9% 44.1% 38.4%
2018 3.4% -4.9% -4.7% 1.4% -3.4%
YTD 2019 1.4% 4.9% 4.7% 7.3% 5.6%
CAGR 17.3% 13.6% 13.3% 23.1% 16.2%
Outperformance 9 10 5 8

Mid Cap
Average Mid Median Mid Average 1st Average 2nd
Quant Model
Cap Cap quartile quartile
2006 40.7% 30.6% 27.0% 53.7% 38.8%
2007 42.6% 63.4% 63.1% 85.2% 66.8%
2008 -46.2% -61.2% -61.4% -49.1% -59.6%
2009 94.7% 96.1% 100.7% 116.2% 106.9%
2010 36.8% 20.3% 19.6% 28.4% 22.2%
2011 -15.7% -24.5% -25.3% -16.6% -23.4%
2012 36.8% 40.5% 41.6% 50.6% 44.8%
2013 14.9% 4.0% 6.2% 10.6% 7.4%
2014 39.0% 70.2% 75.8% 85.9% 77.7%
2015 9.6% 7.7% 7.9% 13.7% 9.4%
2016 3.2% 3.9% 3.5% 10.9% 5.8%
2017 32.6% 42.4% 42.9% 49.9% 44.0%
2018 3.4% -11.6% -12.4% -4.0% -11.1%
YTD 2019 1.4% 3.1% 2.8% 5.3% 4.0%
Page 16 of 17

CAGR 17.3% 13.4% 13.6% 25.3% 16.7%

Outperformance 7 7 5 7
 Small Cap
Average Median Small Average 1st Average 2nd
Quant Model
Small Cap Cap quartile quartile
2006 40.7% 29.3% 30.9% 32.7% 31.0%
2007 42.6% 55.7% 56.1% 81.1% 61.1%
2008 -46.2% -52.8% -61.5% -7.9% -54.1%
2009 94.7% 89.5% 101.8% 113.9% 104.7%
2010 36.8% 19.3% 19.0% 26.7% 21.2%
2011 -15.7% -25.0% -25.9% -10.1% -24.2%
2012 36.8% 37.4% 40.5% 51.0% 44.9%
2013 14.9% 4.7% 7.5% 12.6% 8.1%
2014 39.0% 77.7% 84.7% 107.1% 90.9%
2015 9.6% 10.3% 9.6% 18.7% 11.5%
2016 3.2% 5.8% 5.8% 11.1% 8.7%
2017 32.6% 50.1% 49.8% 69.4% 58.4%
2018 3.4% -17.3% -17.4% -4.8% -15.7%
YTD 2019 1.4% 3.3% 3.3% 5.9% 4.1%
CAGR 17.3% 14.7% 14.2% 32.8% 18.2%
Outperformance 7 6 4 6

Product Labelling Riskometer

DSP Quant Fund
(Open Ended Equity Scheme investing based on a quant model theme)

This open ended equity Scheme is suitable for investors who are seeking*
• Long term capital growth
• Investment in active portfolio of stocks screened, selected, weighed and
rebalanced on the basis of a pre-defined fundamental factor model
* Investors should consult their financial advisers if in doubt about whether
the Scheme is suitable for them.
NFO Period: May 20, 2019 to June 03, 2019
Disclaimer: Past performance of the sponsor/AMC/mutual fund does not indicate the future performance of the Scheme. Investors in the Scheme are not being offered a guaranteed or
assured rate of return. Each Scheme is required to have (i) minimum 20 investors and (ii) no single investor holding>25% of corpus. If the aforesaid point (i) is not fulfilled within the prescribed
time, the Scheme concerned will be wound up and in case of breach of the aforesaid point (ii) the application to the extent of exposure in excess of the stipulated 25% limit would be liable
to be rejected and the allotment would be effective only to the extent of 25% of the corpus collected. Consequently, such exposure over 25% limits will lead to refund within 5 Business days
from the closure of the NFO period. The name of the Scheme do not in any manner indicate the quality of the Schemes, its future prospects or returns. All figures and other data given in this
document are dated (unless otherwise specified) and the same may or may not be relevant in future and the same should not be considered as solicitation/recommendation/guarantee of
future investments by DSP Investment Managers Pvt. Ltd. or its affiliates. The data or figures mentioned in this presentation shall not be construed as indicative yields/returns of any of the
Schemes of DSP Mutual Fund (‘Fund’). Past performance may or may not be sustained in the future. Investors are advised to consult their own legal, tax and financial advisors to determine
possible tax, legal and other financial implication or consequence of subscribing to the units of the Fund. The sector(s)/stock(s)/issuer(s) mentioned in this presentation do not constitute any
research report/recommendation of the same and the Fund may or may not have any future position in these sector(s)/stock(s)/issuer(s). For Complete details of Investment Objective, asset
allocation, exit load & Schemes specific risk factors please refer the Scheme Information Document (‘SID’). For further details, please refer the Statement of Additional Information, SID and Key
Information Memorandum cum Application Forms of the respective Schemes, which are available at AMC and Registrar Offices and Investor Service Centres/AMC website viz. www.dspim.com.
Page 17 of 17

The portfolios of the Scheme are rebalanced every March and September. The single pager indicates the strategy/investment approach currently followed by the Schemes and the same may
change in future depending on market conditions and other factors.
The S&P BSE 100, S&P BSE 200, S&P BSE Small Cap Index, S&P BSE Teck, S&P BSE Metals, S&P BSE Oil, Gas & S&P BSE SENSEX and S&P Healthcare are product of Asia Index Private Limited,
which is a joint venture of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”) and BSE, and has been licensed for use by DSP Investment Managers Pvt. Ltd. Standard & Poor’s® and S&P® are
registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); BSE® is a registered trademark of BSE Limited (“BSE”); and Dow Jones® is a registered trademark of Dow Jones
Trademark Holdings LLC (“Dow Jones”). © Asia Index Private Limited 2014. All rights reserved.
Mutual Fund investments are subject to market risks, read all scheme related documents carefully.