DSP Quant Fund

DSP Quant Fund
(An open-ended equity scheme investing based on a quant model theme)
June 2023
Portfolio Updates

2
DSP Quant Fund Performance (as of 30 Jun 2023)
YTD 3 month 1 year Inception
Fund-Dir 7.9% 12.3% 22.5% 15.0%
Fund-Reg 7.5% 12.1% 21.6% 14.2%
Index 6.2% 12.6% 23.2% 14.9%
Risk Metrics^ Direct - G Regular - G Index
Jensen's Alpha 1.0% 0.1%
Beta 0.90 0.90 1.00
Standard Deviation 19% 19% 20%
Information Ratio 0.02 -0.12
Sharpe Ratio 0.44 0.39 0.40
Sortino Ratio 0.49 0.44 0.45
Up capture 87% 85%
Down capture 91% 92%
Refer to Annexure 1 and 2 for performance in SEBI prescribed format and of other schemes managed by same Fund Manager. Past performance may or
may not sustain in future and should not be used as a basis for comparison with other investments. It is not possible to directly invest in index
Source: MFIE-ICRA analytics, Internal; The performance numbers are total return series from 10-Jun-2019 to 30-Jun-2023 for the direct and regular growth option. Benchmark index is S&P BSE200 TRI
Jensen's Alpha is a risk-adjusted performance measure of the excess returns of the portfolio above or below that predicted by the CAPM or capital asset pricing model, given the portfolio’s beta and
the market returns. Beta is a measure of the volatility or systematic risk of a portfolio to that of market represented by fund’s benchmark. Standard deviation is a measure of volatility which measures
how widely individual performance returns, within a performance series, are dispersed from the average or mean value. Lower standard deviation is considered to be better. Information ratio is a
measure of risk adjusted return. It divides the portfolio’s excess return relative to benchmark by its tracking error vs. the benchmark. Sharpe ratio is a risk-adjusted measure calculated as the ratio of
excess portfolio return over the risk free rate divided by the portfolio standard deviation. The Sharpe ratio determines return per unit of risk. Sortino ratio is a variation of the Sharpe ratio that
differentiates downside volatility from total volatility. It is calculated as the ratio of excess return (portfolio return less risk free rate) to the standard deviation of negative returns (downside
deviation) instead of the total standard deviation of portfolio returns. A higher Information Ratio, Sharpe Ratio and Sortino ratio is considered to be better. Up/Down capture measures annualized
performance of the portfolio in up/down markets relative to the market benchmark. A ratio above 1 is considered to be better. Risk free rate (6.90% end Jun’23) is represent by overnight MIBOR rate
published by FBIL
Benchmark index is S&P BSE200 TRI. Returns <1 year are absolute and >1 year are
compounded annualized.
^ Risk Metrics is for the period since inception to 30 Jun 2023, in annualized term
6,000
8,000
10,000
12,000
14,000
16,000
18,000
20,000
Jun-19
Aug-19
Oct-19
Dec-19
Feb-20
Apr-20
Jun-20
Aug-20
Oct-20
Dec-20
Feb-21
Apr-21
Jun-21
Aug-21
Oct-21
Dec-21
Feb-22
Apr-22
Jun-22
Aug-22
Sep-22
Dec-22
Jan-23
Mar-23
Jun-23
INR
Value
Growth of INR 10,000 Investment at Inception
Direct
Regular
Index

3
Portfolio Details
The sector(s)/stock(s)/issuer(s) mentioned in this presentation do not constitute any research report/recommendation of the same and may or may not have any future position in these
sector(s)/stock(s)/issuer(s).. The portfolio of the scheme is rebalanced every quarter end.
Portfolio details as on 19 July 2023 which reflect the June end rebalance. New entries AU Small Finance and Maruti Suzuki.
Data Source: FactSet
L = Large Cap (1-100th Rank by Mkt. Cap.), M = Mid Cap (101-250th Rank by Mkt. Cap.)
Name Mkt Cap % of Assets Name Mkt Cap % of Assets Name Mkt Cap % of Assets
HDFC Bank L 8.7 LTIMindtree L 2.1 Sun Pharma L 1.4
ICICI Bank L 5.7 HCL Technologies L 2.1 Torrent Pharma. L 1.3
Bajaj Finance L 4.6 Infosys L 2.0 Abbott India M 1.2
Kotak Mahindra Bank L 4.5 Wipro Limited L 1.9 Dr. Reddy's L 1.2
Bajaj Finserv L 3.2 Tech Mahindra L 1.8 Alkem M 1.0
AU Small Finance Bank M 3.2 TCS L 1.7 IPCA Laboratories M 0.9
HDFC Life Insurance L 3.1 Mphasis M 1.1 Cipla L 0.8
ICICI Lombard L 2.0 IT 12.7 Healthcare 7.9
Financials 35.0
Bajaj Auto L 2.0 Astral M 2.0 UltraTech Cement L 3.3
Hero Motocorp L 1.9 Larsen & Toubro L 2.0 Asian Paints L 2.9
Balkrishna Ind. M 1.6 Havells India L 1.7 Pidilite Industries L 2.9
Maruti Suzuki L 1.6 Cummins India M 1.2 JSW Steel L 2.8
Page Industries M 1.4 L&T Technology M 0.9 Coromandel M 0.8
Crompton Greaves M 1.2 Industrials 7.7 Materials 12.6
Cons. Disc 9.7
Britannia Industries L 2.5
Nestle India L 2.4
Marico L 1.8
HUL L 1.7
ITC L 1.7
Colgate-Palmolive M 1.6
Dabur India L 1.4
Cons. Staple 13.2

4
Top contributors and detractors (Quarter ended Jun’23)
Source: Factset, Portfolio – DSP Quant Fund; Benchmark – S&P BSE 200 TRI; The portfolio of the scheme is rebalanced quarterly
Returns presented are gross basis; Attribution data has been sourced from FactSet which uses bottom up methodology whereby constituents of both the index and the Fund are priced at the same point
in time. FactSet returns do not take into account Transaction costs or Management fees. FactSet assumes trades go through at closing prices rather than the actual price that may have been traded at
during the day. This data is not of audit quality but is considered useful management information i.e. it will fail to pick up the impact of transaction prices differing from daily closing prices.
Portfolio Benchmark Alpha
Holding Avg. Wgt % Total Rtn % Avg. Wgt % %
Top 5 relative stock contributors
Astral Limited 1.9 48.3 0.2 0.6
Infosys Limited 2.0 -5.2 4.4 0.5
HDFC Life Insurance Co. Ltd. 3.0 30.9 0.5 0.4
Bajaj Finance Limited 3.8 28.0 1.6 0.3
Bajaj Auto Limited 2.9 24.4 0.5 0.3
Bottom 5 relative stock contributors
IPCA Laboratories Limited 0.9 -8.3 0.1 -0.2
Page Industries Limited 1.7 -0.5 0.2 -0.2
Tech Mahindra Limited 2.2 2.6 0.6 -0.2
Crompton Greaves Consumer Electricals Ltd. 1.2 -1.2 0.2 -0.2
ITC Limited 1.7 20.2 3.5 -0.1
Refer to Annexure 1 and 2 for performance in SEBI prescribed format and of other schemes managed by same Fund Manager. Past performance may or may not
sustain in future and should not be used as a basis for comparison with other investments. It is not possible to directly invest in index
The sector(s)/stock(s)/issuer(s) mentioned in this presentation do not constitute any research report/recommendation of the same and may or may not have any future position in
these sector(s)/stock(s)/issuer(s).
• Contributors: Astral, Bajaj Finance, HDFC Life Insurance, Bajaj Auto etc. rebounded strongly in the June quarter. Underweight position relative to
benchmark on Infosys was also a contributor.
• Detractors: IPCA and Crompton Greaves saw declines in prices because of an acquisition announcement and a change in management respectively.

5
Performance of DSP Quant Fund v/s Individual factors - Quarterly
The performance numbers are total return series from 10-Jun-2019 to 30-Jun-2023. DSP Quant Fund performance numbers are for direct plan growth option. Factor portfolios are created using factor tilting
approach representing equal weighted stock portfolio having 40 stocks out of BSE200 displaying the highest values on the respective factor. The factor portfolios are rebalanced every quarter end.
Data Source: FactSet, Barra, Bloomberg, Internal.
Refer to Annexure 1 and 2 for performance in SEBI prescribed format and of other schemes managed by same Fund Manager. Past performance may or may not sustain
in future and should not be used as a basis for comparison with other investments. Refer Scheme information document for detailed investment strategy. Figures
mentioned for performance of the Factors of the Quant Model do not in any manner indicate the returns/performance of the scheme. the portfolio of the scheme is
rebalanced at end of every quarter.
• So far, 2023 has seen low dispersion across factor returns (2022 was characterized by a sharp dispersion with value factor hugely outperforming the
other factors)
8.5%
26.7% 27.6%
-6.8%
7.9%
2.8%
17.9%
29.1%
5.7% 6.2%
4.3%
33.5% 32.3%
-9.1%
11.7%
3.4%
20.0%
49.9%
7.1% 8.7%
-11.8%
11.6%
45.9%
30.0%
8.6%
2019 2020 2021 2022 2023
DSP Quant Fund S&P BSE 200 TRI Quality Growth Value

6
Performance of DSP Quant Fund v/s Individual factors (annualized, since
inception)
Combining multiple factors instead of using single factors is expected to provide diversification benefits
The performance numbers are total return series from 10-Jun-2019 to 30-Jun-2023, depicted in annualized terms. DSP Quant Fund performance numbers are for direct plan growth option.
Factor portfolios are created using factor tilting approach representing portfolios having stocks displaying high values on the respective factor. The factor portfolios are rebalanced every quarter
end. Data Source: FactSet, Bloomberg, Internal.
Refer to Annexure 1 and 2 for performance in SEBI prescribed format and of other schemes managed by same Fund Manager. Past performance may or may not sustain
in future and should not be used as a basis for comparison with other investments. Refer Scheme information document for detailed investment strategy. Figures
mentioned for performance of the Factors of the Quant Model do not in any manner indicate the returns/performance of the scheme. The portfolio of the scheme is
rebalanced at end of every quarter.
16.0%
20.7%
17.6%
15.0% 14.9%
0%
5%
10%
15%
20%
25%
Quality
Factor
Growth
Factor
Value
Factor
DSP
Quant
Fund
S&P
BSE
200
TRI
DSP QUANT FUND V/S INDIVIDUAL FACTORS (10th Jun 2019 – 30th Jun 2023)

7
Performance of DSP Quant Fund v/s Eliminated buckets
Highlights the importance of the ELIMINATION STAGE in the overall investment process
Decomposing the performance
of stock baskets on the basis of
each elimination criteria
Majority of the baskets
highlighted by the elimination
criteria DETRACTED VALUE
from the index performance
The performance numbers are total return series from 10-Jun-2019 to 30-Jun-2023 for DSP Quant Fund Direct plan growth option. Eliminated basket portfolios are created using cap weighted methodology for the Eliminated
Baskets. Data Source: FactSet, Bloomberg, Internal.
Refer to Annexure 1 and 2 for performance in SEBI prescribed format and of other schemes managed by same Fund Manager. Past performance may or may not sustain in future and should
not be used as a basis for comparison with other investments. Refer Scheme information document for detailed investment strategy. It is not possible to invest directly in an index. Figures
mentioned for performance of the Factors of the Quant Model do not in any manner indicate the returns/performance of the scheme. the portfolio of the scheme is rebalanced at end of
quarter.
11.8%
9.3%
20.8%
14.4% 15.0% 14.9%
0%
5%
10%
15%
20%
25%
Forensic
analysis
RED
Flags
High
Beta
High
Leverage
Public
Sector
Undertakings
DSP
Quant
Fund
S&P
BSE
200
TRI
DSP QUANT FUND V/S ELIMINATED BASKETS (10th JUN 2019 – 30th Jun 2023)

8
Performance of DSP Quant Fund v/s Composite eliminated basket
Alpha generated via the elimination process
Composite eliminated basket
DETRACTED VALUE from Index
performance
Highlights the importance of the
ELIMINATION STAGE in the overall
investment process
The performance numbers are total return series from 10-Jun-2019 to 30-Jun-2023 for DSP Quant Fund Direct plan growth option. Performance is in annualized terms for periods greater than 1 year and in absolute terms for periods of
less than 1 year. Eliminated basket portfolios are created using cap weighted methodology for the Eliminated Baskets. Data Source: FactSet, Bloomberg, Internal.
Refer to Annexure 1 and 2 for performance in SEBI prescribed format and of other schemes managed by same Fund Manager. Past performance may or may not sustain in future and should
not be used as a basis for comparison with other investments. Refer Scheme information document for detailed investment strategy. It is not possible to invest directly in an index. Figures
mentioned for performance of the Factors of the Quant Model do not in any manner indicate the returns/performance of the scheme. the portfolio of the scheme is rebalanced at end of
quarter.
15.0% 14.9%
11.5%
0%
10%
20%
DSP
QUANT
FUND
S&P
BSE
200
TRI
COMPOSITE
ELIMINATED
BASKET
DSP QUANT FUND V/S ELIMINATED BASKETS (Inception to 30th Jun 2023)

9
Calendar year returns
2023 = YTD as of 30 Jun 2023. Source: MFIE-ICRA Analytics and FactSet. Past performance may or may not sustain in future and should not be used as a basis for comparison with
other investments. The index returns are shown on a gross basis, the Quant Fund returns are shown for regular plan (net of expenses). Figures mentioned for performance of the
Quant Model do not in any manner indicate the returns/performance of the scheme. Refer to Annexure 1 and 2 for performance in SEBI prescribed format and of other schemes
managed by same Fund Manager.
Given performance are as on 30 Jun 2023.

11
Investment Process
ELIMINATE STOCKS
from the S&P BSE 200 Index
SELECT GOOD COMPANIES
from the above shortlist
ASSIGN WEIGHTS
to create the final portfolio
200 stock
universe
~ 100 stocks
30 – 50 stocks
Exclude stocks which may destroy value
× High debt
× Excessive volatility in stock prices
× Inefficient capital allocators
× Poor quality of reported earnings
Select final list by ranking stocks based on average scores for:
✅ Quality
✅ Growth
✅ Value
Weights assigned to manage risks
 Single Stock exposure limits
 Single Sector exposure limits
 Exposure limits based on stock liquidity
Model converts sound investing principles into a RULES BASED investment process
BASED ON A QUANT MODEL
REVIEW & REBALANCE every quarter

12
Stage 1 : Criteria used for elimination
Difficulty to service
interest payments
Raises risk of defaults
which further
tightens liquidity
In case of defaults,
creditors get
preference over
equity holders
× High DEBT TO EQUITY
(applicable to all sectors
ex financials)
HIGHLY LEVERAGED
COMPANIES
× High BETA
HIGHLY VOLATILE
STOCKS
NON-ALIGMENT OF
MANAGEMENT
INCENTIVES
POOR QUALITY OF
REPORTED
EARNINGS
× High PRICE
VOLATILITY
Typically highly
cyclical businesses
Disproportionately
high stock price
volatility on a relative
& absolute basis
Potential red flag
Haven’t added value
to equity holders over
the long term
× Ownership
Criteria
Shareholder wealth
creation is not a
primary goal
Business decisions
maybe driven by
other considerations
Minority shareholders
get sub-optimal
returns
× LOW reliability of earnings
× WEAK balance sheets
× POOR cash conversion
× Potential governance issues
Accounting &
Management issues
can lead to severe
value destruction
Forensic analysis of
financials disclosures
can throw up
potential red flags
Extensive criteria to identify and eliminate potential value destroyers from the investible universe

13
Details of Forensic Analysis
PARAMETERS CONSIDERED IN THE FORENSIC OVERLAY
REPORTED
EARNINGS
QUALITY
BALANCE
SHEET HEALTH
WORKING
CAPITAL CYCLE
ANALYSIS FOR
FINANCIALS :
ALM, ASSET
QUALITY ETC.
MANAGEMENT
ACTIONS
Large divergence in accounting v/s cash flow
entries suggest aggressive accounting policies
Examples: Divergence in
× EBITDA (earnings before interest, taxes, depreciation and
amortization ) v/s Cash Flow from Operations
× Interest entry in Cash Flow Statement v/s P&L Statement
× Annual depreciation rates
Badly managed balance sheets at
higher risk of financial distress
Examples: Weak metrics on
× Interest coverage ratio
× Debt/Equity market capitalization
× Credit rating
Cash flow conversion & liquidity issues
are early signs of business problems
Example: Variability and deterioration in
× Debtor days, inventory days and creditor
days
Aggressive growth -> Asset quality issues->
Solvency risk
High short term funding -> Liquidity risk
Examples:
× High NPA(Non Performing Assets)
growth
× High Short term debt to total debt
× Provisioning cover
Imprudent management actions can
destroy minority shareholder value
Examples:
× High promoter pledge
× High related party transactions
× High loans and advances
Forensic analysis is a critical part of the elimination process
EBITDA –Earnings before Interest, Taxes, Depreciation and Amortization , NPA-Non Performing Assets, ALM-Asset Liability Management

14
Stage 2 : Selection process
EVALUATING FACTORS
Determine core
investment
principles also
known as Factors*
Select metrics for
each factor, rank
each company on
every factor and
arrive at an average
factor score
Select companies
with the highest
average factor
scores
SELECTION PROCESS FLOW
~ 100 STOCKS
(remaining after the
elimination stage)
30 – 50 STOCKS
(final portfolio
selection)
Showing a
history of
generating
alpha
Used to arrive at
factors which
are quantifiable
And ideally have
low correlation
with each other
Help to
construct a
diversified
portfolio
Which is constantly
reviewed for adherence to
the core principles
Core
investment
principles
Factors convert core investment
principles into easily measurable metrics
Factors have historically been principal
drivers of alpha
*Based on research, established in back-tests

15
Stage 2 : Selection of good companies
(with)
GOOD
PROSPECTS
(at a)
GOOD PRICE
(a) GOOD
COMPANY
QUALITY FACTOR
✔ High RETURN ON EQUITY
✔ CONSISTENT Earnings growth
Profitable and well
run companies
Steady earnings
streams
Receive a premium in
the market
GROWTH FACTOR
✔ High EARNINGS GROWTH
(consensus estimates)
Strong growth
prospects
Attract investor
interest
VALUE FACTOR
✔ Attractive DIVIDEND YIELD
✔ High FREE CASH FLOW YIELD
Relatively inexpensive
stocks compared to
the market
Potential to generate
excess returns during
phases of value
discovery
Receive a premium
in the market
EVALUATING COMPANIES ACROSS MULTIPLE FACTORS
Using a multi-factor approach to assess companies in a holistic manner

16
Stage 3 : Optimization process
Optimized
weights for each
selected stock
Maximize
portfolio
factor
exposure
Stock level
constraints
Sector level
constraints
Quarterly
rebalancing
LOWER OF 10% OR 10X OF
WEIGHT IN S&P BSE 200 INDEX
(avoid concentration, ensure
liquidity/capacity)
MAX SECTOR ACTIVE WEIGHT = 10%
(avoids risk of sector rotation)
MAXIMIZE PORTFOLIO FACTOR SCORE
(weighted average factor score)
QUARTERLY REBALANCING
(to minimize turnover)
ASSIGN WEIGHTS TO 30 – 50 SELECTED STOCKS AND CREATE FINAL PORTFOLIO
Optimization done with the objective of creating a diversified portfolio

17
Risk Management embedded into the Quant model
 No sector concentration (sector weights not more than 10% of the benchmark weight)
 No stock concentration (stock weights capped at 10% and stock active weights also capped)
 Stocks with limited/low liquidity assigned weights of no more than 1% (measured through days
taken to liquidate the position using average market volumes)
 Avoiding stocks with high leverage, forensic red flags, high price volatility – highly volatile stocks
 Avoiding stocks that show weakening growth, profits and margins – disrupted business models
 Valuation risk managed through relative ranking approach that automatically penalizes companies
which do not pay dividend or do not generate meaningful free cash flows
 Relative ranking model avoids loss making companies
Disclaimer : The above indicates the strategy/investment approach currently followed by the Scheme(s) and the same may change
in future depending on market conditions and other factors.

18
Risks of investing in the Scheme
 The Quant model may go through periods of underperformance and there is no guarantee that the
backtested results will be achieved
 The scheme invests in equities and is subject to general risks associated with investments in equity
markets such as price risk, liquidity risk

19
Annexure 1 – Performance of DSP Quant Fund in SEBI prescribed format
Performance details provided herein are of regular plan growth option as of 30 Jun 2023

20
Annexure 1 – Performance of DSP Quant Fund in SEBI prescribed format
Performance details provided herein are of direct plan growth option as of 30 Jun 2023
Anil Ghelani Managing this fund since June 2019.
Diipesh Shah Managing this fund since November 2020.
Aparna Karnik Managing this fund since May 2022.
Prateek Nigudkar Managing this fund since May 2022.

21
Annexure 2 – Performance of schemes managed by same Fund Managers

22

23

24

25
Product labelling details
Fund Product Suitability Scheme Riskometer Benchmark Riskometer
S&P BSE 200 TRI
DSP Quant Fund
(An 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 predefined
fundamental factor model
* Investors should consult their financial advisers if in doubt about whether the Scheme is suitable for them.

26
Disclaimer
In this material DSP Asset Managers Private Limited (the AMC) has used information that is publicly available, including information developed in-house. Information gathered
and used in this material is believed to be from reliable sources. The AMC however does not warrant the accuracy, reasonableness and / or completeness of any information.
The data/statistics are given to explain general market trends in the securities market, it should not be construed as any research report/research recommendation. We have
included statements / opinions / recommendations in this document, which contain words, or phrases such as “will”, “expect”, “should”, “believe” and similar expressions or
variations of such expressions that are “forward looking statements”. Actual results may differ materially from those suggested by the forward looking statements due to risk or
uncertainties associated with our expectations with respect to, but not limited to, exposure to market risks, general economic and political conditions in India and other
countries globally, which have an impact on our services and / or investments, the monetary and interest policies of India, inflation, deflation, unanticipated turbulence in
interest rates, foreign exchange rates, equity prices or other rates or prices etc. The sector(s)/stock(s)/issuer(s) mentioned in this presentation do not constitute any research
report/recommendation of the same and may or may not have any future position in these sector(s)/stock(s)/issuer(s). The portfolio of the scheme is subject to changes
within the provisions of the Scheme Information document of the scheme. There is no assurance of any returns/potential/capital protection/capital guarantee to the
investors in this Scheme. Past performance may or may not sustain in future and should not be used as a basis for comparison with other investments. This document
indicates the investment strategy/approach/framework currently followed by the Scheme and the same may change in future depending on market conditions and other
factors. All figures and other data given in this document are as on 30 JUN 2023 (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 the AMC or its affiliates. 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 schemes of DSP Mutual Fund. For complete
details on investment objective, investment strategy, asset allocation, scheme specific risk factors please refer the scheme information document and key information
memorandum of the scheme, which are available at AMC and registrar offices and investor service centres/AMC website- www.dspim.com.
Mutual Fund investments are subject to market risks, read all scheme related documents carefully.

DSP Quant Fund

More Related Content

Similar to DSP Quant Fund (20)

More from DSP Mutual Fund (20)

Recently uploaded (20)

DSP Quant Fund