While preparing this month’s equity mutual fund screener, something caught our eye. ICICI Prudential Equity & Debt Fund gained 19.8% over the last year (trailing 1Y return) compared to only a 6.2% gain by Nifty 100 TRI (as of 3rd June 2022). So we dig deeper and find out how consistently the Fund has performed wrt Nifty 100 TRI and CRISIL 65:35 Aggressive Hybrid Index.
Disclaimer: Fund performance reports present return and risk analysis of a fund with representative benchmarks and not investment recommendations. It must be expressly understood that the data below reflect only past performance and is in no way an indication of future performance. Our investment recommendations can be found here: Handpicked List of Mutual Funds (PlumbLine).
The last 1Y trailing performance is shown below.
Readers must not make the mistake of getting carried away by this recent performance and must dig deeper.
The asset allocation history of the ICICI Equity and Debt Fund is shown below. The equity: debt ratio has been fairly stable over the years.
The market cap allocation history is shown below. The “others” represents the fixed income (bonds/cash) component. The fund’s large cap orientation is clear from the graph.
We will use three metrics to analyze performance consistency versus benchmarks. Analysis such as this can be found for 350+ equity funds in our monthly mutual fund screener.
1 Rolling return outperformance consistency: the fund returns are compared with category benchmark returns over every possible 3Y,4Y, and 5Y period. Higher the outperformance consistency, the better. Suppose 876 fund returns were compared with 876 benchmark returns, and the Fund has beaten the benchmark 675 times. The consistency score will be 675/876 ~ 77%.
Three years
| Benchmark | Crisil6535 | Nifty 100 TRI |
| No of rolling return entries Index (3 Years) | 1578 | 1578 |
| No of rolling return entries Fund (3 years) | 1578 | 1578 |
| No of times the Fund has outperformed the index (3 years) | 1166 | 1060 |
| rolling return outperformance Consistency Score (3 years) | 74% | 67% |
Four years
| Benchmark | Crisil6535 | Nifty 100 TRI |
| No of rolling return entries Index (4 Years) | 1333 | 1333 |
| No of rolling return entries Fund (4 years) | 1333 | 1333 |
| No of times the Fund has outperformed the index (4 years) | 1061 | 937 |
| rolling return outperformance Consistency Score (4 years) | 80% | 70% |
Five years
| Benchmark | Crisil6535 | Nifty 100 TRI |
| No of rolling return entries Index (5 Years) | 1085 | 1085 |
| No of rolling return entries Fund (5 years) | 1085 | 1085 |
| No of times the Fund has outperformed the index (5 years) | 889 | 811 |
| rolling return outperformance Consistency Score (5 years) | 82% | 75% |
That is reasonably consistent outperformance of both indices.
2 Upside performance consistency over every possible 3Y,4Y, 5Y: Higher the better. A score of 70% means, 7 out of 10 times, the Fund performed better than the category benchmark when the benchmark was moving up. This is a measure of reward. It is computed from rolling upside capture data (see link below).
| Benchmark | Crisil6535 | Nifty 100 TRI |
| upside performance consistency (3 years) | 69% | 44% |
| upside performance consistency (4 years) | 70% | 38% |
| upside performance consistency (5 years) | 72% | 41% |
The Fund typically does better than the hybrid index when the index is doing well. The opposite is true for Nifty 100 TRI.
3 Downside performance consistency over every possible 3Y,4Y, 5Y. Higher, the better. A score of 60% means, 6 out of 10 times, the Fund performed better than the category benchmark when the benchmark was moving down. This is a measure of risk protection. It is computed from rolling downside capture data. Read more: An introduction to Downside and Upside Capture Ratios.
| Benchmark | Crisil6535 | Nifty 100 TRI |
| downside protection consistency (3 years) | 73% | 96% |
| downside protection consistency (4 years) | 68% | 100% |
| downside protection consistency (5 years) | 61% | 96% |
The Fund typically falls lower than both indices when they fall. The performance is expectedly better wrt Nifty 100 because the hybrid index has bonds which offer downside protection.
in summary, ICICI Prudential Equity & Debt Fund has performed consistently and can be considered for long-term goals. However, they must keep in mind that the recent outperformance is unlikely to last and should not be the basis for choosing this Fund.
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Dr M. Pattabiraman(PhD) is the founder, managing editor and primary author of freefincal. He is an associate professor at the Indian Institute of Technology, Madras. He has over nine years of experience publishing news analysis, research and financial product development. Connect with him via Twitter or Linkedin or YouTube. Pattabiraman has co-authored three print books: (1) You can be rich too with goal-based investing (CNBC TV18) for DIY investors. (2) Gamechanger for young earners. (3) Chinchu Gets a Superpower! for kids. He has also written seven other free e-books on various money management topics. He is a patron and co-founder of “Fee-only India,” an organisation for promoting unbiased, commission-free investment advice.
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