AMFI issues circular on ‘stress test’ of mutual fund schemes; all you need to know
Also Read: Mid & small cap mutual funds: Regulators took these 4 steps to protect investors from high valuations AMCs must publish the stress test results on their own websites and on AMFI's website on a monthly basis, within 15 days after the end of each month. This reporting will begin with the disclosure for the month of February 2024, due by March 15.
The format of the disclosure, agreed upon by both AMFI and SEBI, will encompass several key metrics. Firstly, it will include the annualized standard deviation for both the scheme portfolio and the scheme benchmark index.
Additionally, the disclosure will feature the portfolio's trailing 12-month PE for both the scheme portfolio and the scheme benchmark index. Another important metric to be included is the portfolio beta, which provides insight into the scheme's risk relative to the overall market.
Lastly, the disclosure will incorporate details on the portfolio turnover, shedding light on the frequency with which assets within the scheme are bought and sold.
Also Read: Around two-third of small-caps have become multi-baggers in last 4 years: DSP Report In addition to the above metrics, AMCs are also required to assess the portfolio liquidity under stress scenarios for mid-cap and small-cap funds. This assessment will determine the number of days needed to liquidate 25% and 50% of the portfolio in case of a stress event.
