Mutual Fund News : ICICI Prudential Mutual Fund Introduces ICICI Prudential Quant Fund

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ICICI Prudential Mutual Fund has introduced an open ended equity scheme – ICICI Prudential Quant Fund.

The scheme will follow Quant based investing theme and will invest in equity and equity related instruments selected based on quant model.

The investment objective of the scheme is to generate long-term capital appreciation by predominantly investing in equity and equity related instruments selected based on a quantitative model. However, there can be no assurance or guarantee that the investment objective of the scheme would be achieved.

Under normal circumstances, 95% to 100% of the funds portfolio will be invested in equity and equity related instruments.

The fund can also hold up to 5% of its assets in Debt & Money Market Instruments or Units of Mutual Fund Schemes or Units issued by REITs and InvITs.

ICICI Prudential Quant Fund shall invest in equity and equity related securities selected based on the Quantitative Model. The scheme will consider various quantitative parameters while constructing the portfolio.

The stock selection and portfolio construct of ICICI Prudential Quant Fund will be based on following strategy:

  1. Universe: The universe for stock selection is the S&P BSE 200 Index.
  2. Stock Selection:
    1. Negative screening: Companies may be excluded from investable universe based on certain standard exclusions (negative list stocks), broadly comprising of companies with poor corporate governance standards, liquidity constrains, high default risk, etc.
    2. Parameters considered: Quantitative model will be used for screening the stocks i.e. to make the stock selection. The stock level exposures would be measured by combination of various parameters considered for stock screening/selection.
      1. Price to Book
      2. Price to Earnings
      3. Return on Equity
      4. Dividend yield
      5. Earnings per share change
      6. Interest Coverage Ratio
      7. Analyst Ratings
      8. Return on Invested Capital
      9. Return on Assets
  3. Assigning Stock Weight and Portfolio Construction: Based on the stock screening/selection process, an investable universe will be arrived. The Scheme shall invest in approximately 30-60 stocks from the investable universe of S&P BSE 200 index stocks.
  4. Review and Rebalance:
    1. Quantitative Model: The parameter applied for stock selection process shall be reviewed by the Fund manager in consultation with the Chief Investment Officer on an annual basis.
    2. Portfolio Rebalance:
      1. Rebalancing of asset allocation pattern
      2. Rebalancing as per quantitative model
      3. Ad hoc Rebalancing

The Fund Manager shall review any such aforesaid development and may rebalance as deemed fit considering the best interests of the Investors.

ICICI Prudential Quant Fund’s performance will be benchmarked against S&P BSE 200 TRI (Total Return Index).

The fund will be managed by Mr Roshan Chutkey.

The NFO opens for subscription on November 23, 2020 and closes on December 07, 2020. The scheme will reopen for continuous Sale and Repurchase within 5 business days from the date of allotment.

The fund’s NAV is priced at Rs 10/- per unit during the NFO period. The minimum subscription amount is Rs 1,000 and in multiples of Rs 1 thereafter.

The fund offers Regular Plan and Direct Plan having Growth Option and Dividend Option (Dividend Re-investment and Dividend Pay-out facilities).