![[Title to come]
[Sub-Title to come]
Strictly for Intended Recipients OnlyDate
* DSP India Fund is the Company incorporated in Mauritius, under which ILSF is the corresponding share class
November 2019
| People | Processes | Performance |
DSP Quant Fund
Portfolio Updates](https://image.slidesharecdn.com/dspquantfund-portfolioupdates-191111115319/85/DSP-Quant-Fund-Portfolio-Updates-1-320.jpg)
DSP Quant Fund - Portfolio Updates
- 1. [Title to come] [Sub-Title to come] Strictly for Intended Recipients OnlyDate * DSP India Fund is the Company incorporated in Mauritius, under which ILSF is the corresponding share class November 2019 | People | Processes | Performance | DSP Quant Fund Portfolio Updates
- 2. 2 Executive Summary UPDATE - JUN 19 to SEP 19 The model generated an alpha of 6.1% over the S&P BSE 200 TRI during the period* under observation It’s multi-factor model which incorporates QUALITY, GROWTH and VALUE outperformed the individual Style factor portfolios on the same underlying components of the S&P BSE 200 Index The elimination stage enabled the avoidance of significant value destroyers during the period under observation The QUANT MODEL delivered absolute return of 3.1% during a period of high volatility in the broader market Rules driven approach using sound investment principles *The performance numbers are total return series from 10-Jun-2019 to 30-Sep-2019. These figures pertain to performance of the model and do not in any manner indicate the returns/performance of the Scheme. Past performance may or may not sustain in future and should not be used as a basis for comparison with other investments. Indices are unmanaged and one cannot invest directly in an index.
- 3. 3 Performance of Quant model v/s Eliminated buckets Highlighted the importance of the ELIMINATION STAGE in the overall investment process -10.4% -22.1% -1.5% -29.4% -10.3% 3.1% -3.0% -30% -25% -20% -15% -10% -5% 0% 5% ForensicanalysisREDFlags HighBeta HighLeverage HighResidualVolatility PublicSectorUndertakings QuantModel S&PBSE200TRI QUANT MODEL V/S ELIMINATED BASKETS (10th JUN 2019 – 30th SEP 2019) 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-Sep-2019. Eliminated basket portfolios are created using cap weighted methodology for the Eliminated Baskets. Data Source: FactSet, Bloomberg, DSP Investment Managers. These figures pertain to performance of the model and do not in any manner indicate the returns/performance of the Scheme. 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 invest directly in an index.
- 4. 4 Performance of Quant model v/s Composite eliminated basket Alpha generated via the elimination process 3.1% -3.0% -14.0% -16% -14% -12% -10% -8% -6% -4% -2% 0% 2% 4% QUANT MODEL S&P BSE 200 TRI COMPOSITE ELIMINATED BASKET QUANT MODEL V/S ELIMINATED BASKETS (10th JUN 2019 – 30th SEP 2019) Composite eliminated basket DETRACTED SUBSTANTIAL VALUE from Index performance (26.3% of S&P BSE 200 index by weight) Highlighted the importance of the ELIMINATION STAGE in the overall investment process The performance numbers are total return series from 10-Jun- 2019 to 30-Sep-2019. Eliminated basket portfolios are created using cap weighted methodology for the Eliminated Baskets. Data Source: FactSet, Bloomberg, DSP Investment Managers. These figures pertain to performance of the model and do not in any manner indicate the returns/performance of the Scheme. 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 invest directly in an index.
- 5. 5 Performance of Quant model v/s Individual factors TESTING THE EFFECTIVENESS OF THE MULTI-FACTOR SELECTION PROCESS Portfolios combining multiple factors can outperform those using single factors 0.7% -0.6% -8.2% 3.1% -3.0% -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% QualityFactor GrowthFactor ValueFactor QuantModel S&PBSE200TRI QUANT MODEL V/S INDIVIDUAL FACTORS (10th JUN 2019 - 30th SEP 2019) The performance numbers are total return series from 10- Jun-2019 to 30-Sep-2019. 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 March and September. Data Source: FactSet, Bloomberg, DSP Investment Managers. These figures pertain to performance of the model and do not in any manner indicate the returns/performance of the Scheme. Past performance may or may not sustain in future and should not be used as a basis for comparison with other investments.
- 6. 6 Quant model – GICS Sector weight changes - Sep 30th 2019 rebalance -2.1% 4.5% 4.4% -10.1% -1.7% 4.0% -3.4% 4.0% 3.7% -0.4% -2.9% -12% -10% -8% -6% -4% -2% 0% 2% 4% 6% CommunicationServices ConsumerDiscretionary ConsumerStaples Energy Financials HealthCare Industrials InformationTechnology Materials RealEstate Utilities QUANT MODEL V/S BENCHMARK - SEP 30, 2019 1.7% 6.7% 5.4% -10.6% -5.3% -4.7% 1.3% 7.4% 1.3% -0.3% -3.0% -12% -10% -8% -6% -4% -2% 0% 2% 4% 6% 8% 10% CommunicationServices ConsumerDiscretionary ConsumerStaples Energy Financials HealthCare Industrials InformationTechnology Materials RealEstate Utilities QUANT MODEL V/S BENCHMARK - MAR 30, 2019 TRACKING ACTIVE SECTOR EXPOSURE CHANGES Portfolio bias towards consumer-facing asset-light companies continues OVERWEIGHT SECTORS Consumer, Healthcare, Technology & Materials Based on rebalance dated 31st Mar 2019. 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). Data Source: FactSet, Bloomberg, DSP Investment Managers. It is not possible to invest directly in an index Based on rebalance dated 30th Sep 2019. 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). Data Source: FactSet, Bloomberg, DSP Investment Managers. It is not possible to invest directly in an index
- 7. 7 Quant model - Portfolio details - Sep 30th 2019 rebalance GICS* SECTOR QUANT MODEL (MAR 31ST 2019) QUANT MODEL (SEP 30TH 2019) S&P BSE 200 INDEX (SEP 30TH 2019) QUANT MODEL - TOP WEIGHTS Financials 31.5% 34.9% 36.6% HDFC Bank, HDFC Ltd., Bajaj Finance Consumer Discretionary 13.5% 12.6% 8.1% Maruti Suzuki, Bajaj Auto, Exide Information Technology 16.2% 15.2% 11.2% TCS, Tech Mahindra, HCL Tech Consumer Staples 15.0% 14.5% 10.1% Colgate-Palmolive, HUL, Nestle Materials 13.1% 11.5% 7.8% Asian Paints, Shree Cement, Pidilite Ind. Energy 0% 0% 10.1% None Utilities 0% 0% 2.9% None Industrials 5.1% 3.0% 6.4% Havells India Communication Services 2.0% 0% 2.1% None Health Care 4.8% 8.3% 4.3% Divi’s Lab., Dr. Reddy’s Lab, Abbott India TRACKING ACTIVE SECTOR EXPOSURE CHANGES *Global Industry Classification Standard. Based on rebalance dated 31st Mar 2019 and on 30th Sep 2019. 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). Data Source: FactSet, Bloomberg, DSP Investment Managers
- 8. 8 Quant model - Factor scores - Sep 30th 2019 rebalance GICS SECTOR QUANT MODEL WEIGHTAGE QUALITY VALUE GROWTH Consumer Discretionary 12.6% 66.7% 54.1% 46.9% Consumer Staples 14.5% 81.6% 62.1% 50.9% Financials 34.9% 73.5% 36.2% 64.3% Health Care 8.3% 50.7% 55.9% 72.0% Industrials 3.0% 61.0% 34.3% 57.9% Information Technology 15.2% 78.4% 74.3% 30.9% Materials 11.5% 68.1% 41.7% 64.6% FACTOR SCORES FOR SECTORS REPRESENTED IN THE QUANT MODEL PORTFOLIO Scores are depicted as percentiles. High percentiles show higher relative scores within S&P BSE 200 for respective factors Sectors need to have scores across all 3 factors to be selected – SINGLE FACTOR SKEW UNDESIRABLE Factor score > 50% represents a meaningful factor tilt for the sector – HELPS TO DIVERSIFY EXPOSURES Multi-factor exposure allows benefit of diversification in the portfolio 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).
- 9. 9 Quant Model – Portfolio entries & exits – Sep 30th 2019 rebalance NAME GICS SECTOR QUANT MODEL (30 SEP 2019) Remarks HDFC Ltd. Financials 7.3% Higher Growth score Havells India Industrials 3.0% Higher Quality and Value scores Dr. Reddy's Lab Health Care 2.8% Higher Growth and Value scores Shree Cement Materials 2.3% Higher Growth and Value scores HDFC AMC Financials 1.3% New Entry in S&P BSE 200 Titan Consumer Disc. 1.2% Higher Value score Bata India Consumer Disc. 1.2% New Entry in S&P BSE 200 Jubilant FoodWorks Consumer Disc. 1.2% Higher Value score Honeywell Automation Information Tech. 1.0% New Entry in S&P BSE 200 Sanofi India Health Care 0.9% New Entry in S&P BSE 200 Pfizer Health Care 0.8% New Entry in S&P BSE 200 ENTRIES SUGGESTED BY QUANT MODEL Based on rebalance dated 30th Sep 2019. 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). Data Source: FactSet, Bloomberg, DSP Investment Managers Quant Model – Suggested Exits – Indusind Bank, Voltas Ltd., Wipro Ltd., Tata Chemicals, Crompton Greaves Consumer Electricals, UPL Ltd., Cummins India, Bharat Forge, Muthoot Finance, Oracle Financial Services Software, Amara Raja Batteries, Natco Pharma, P&G Health and Hygiene, Hindustan Zinc, Emami ltd., Sun TV Network and Crisil Ltd.
- 10. 10 Product labelling details Fund Product Suitability Riskometer 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/tax advisors if in doubt about whether the product is suitable for them.
- 11. 11 Disclaimer In this material DSP Investment Managers Pvt. Ltd. (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 the Fund 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. Please refer to the SID for investment pattern, strategy and risk factors which is available at www.dspim.com. Past performance may or may not sustain in future and should not be used as a basis for comparison with other investments. DSP Mutual Fund and its schemes are not registered in any jurisdiction, except the Schemes viz. DSP Equity Opportunities Fund and DSP Dynamic Asset Allocation Fund, which are registered with the Securities and Commodities Authority (“the SCA”) in the United Arab Emirates (UAE). The distribution of the Schemes in UAE would be undertaken by Barjeel Geojit Securities LLC, which is a licensed local distributor registered with SCA. .The distribution of this material in certain jurisdictions may be restricted or subject to registration requirements and, accordingly, persons who come into possession of this material in such jurisdictions are required to in form themselves about, and to observe, any such restrictions. The strategy mentioned has been currently followed by the Scheme and the same may change in future depending on market conditions and other factors. There is no guarantee of returns/income generation in the Scheme. Further, there is no assurance of any capital protection/capital guarantee to the investors in the Scheme. 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. All figures and other data given in this document for the fund and the Quant model are as on Sep 30th 2019 (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. 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 DSP Mutual Fund. For complete details on risk factors, event of suspension of subscriptions and more details, investors are requested to read the Scheme Information Document (SID) of the Scheme. Mutual Fund investments are subject to market risks, read all scheme related documents carefully.