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Crisil study methodology
February 03, 2004 10:32 IST
The Crisil composite performance ranking (CPR) is the relative performance ranking of mutual fund schemes within the peer group.
The basic eligibility criteria for inclusion in the ranking universe are two years net asset value (NAC) history (one year for liquid and debt short), minimum corpus depending on asset class and 100 per cent portfolio disclosure on the ranking date.
The ranking is done on following parameters depending on the asset class.
Superior return score (SRS): SRS is the relative measure of the return and the risk for the schemes compared to their peer group. It is computed for diversified equity, debt, balance, monthly income plan and gilt schemes for two years.
Mean return and volatility: For liquid and debt-short term schemes mean return and volatility are considered separately.
Mean return is the average of daily return on fund NAV for one year and the volatility is the deviation of the returns.
The weightages for the four six monthly or quarterly (liquid and debt-short schemes) period starting from the latest are 32.5 per cent, 27.5 per cent, 22.5 per cent and 17.5 per cent, respectively.
Portfolio concentration analysis: Concentration measures the risk arising out of improper diversification. For equity portfolio, NIFTY is used as the benchmark and deviations are computed for both over and under exposure.
For the debt and liquid portfolios, the concentration is analysed only for over exposure in gilt, manufacturing, non-banking finance companies, securitised debt and banking, financial institution and housing finance companies.
Liquidity analysis: It measures the ease with which the portfolio can be liquidated. In case of equity, the liquidity is computed by comparing the security level turnover of the security with the average six monthly turnover of that particular security on the Bombay Stock Exchange and the National Stock Exchange.
The gilt liquidity is measured by comparing the security level turnover with the market turnover, days traded and size of trade for six months period for that security.
Corporate debt liquidity is computed by classifying the portfolio into three components - liquid, semi liquid and illiquid.
Asset quality: Asset quality measures the probability of default by the issuer to honour the debt obligation in time. Regrouping the portfolio in the various ranking group and multiplying the percent exposure in each rating category by relevant default/migration statistics gives a measure of asset quality.
Average maturity: Average maturity is considered across all debt categories to capture the interest rate of the portfolio. Lower the value better it is.
Downside risk probability (DRP): DRP gives the probability of capital destruction. It is measured by summing of number of times the fund's return falling below the risk free return over the period of analysis. Risk-free return is the 91-day treasury bill yield over the period.
Asset size: It is considered only for debt-short and liquid schemes to take into account the effect of large fund flows on the funds performance. Higher the asset size better it is.
CPR Category | Interpretation |
CRISIL~CPR 1 | Very Good performance in the category
(top 10% of the universe) |
CRISIL~CPR 2 | Good performance in the category
(next 20%) |
CRISIL~CPR 3 | Average performance in the category
(next 40%) |
CRISIL~CPR 4 | Below average performance in the category
(next 20% ) |
CRISIL~CPR 5 | Poorest performance in the category
(last 10%) |
Detailed methodology available on our website http://www.crisil.com |