Uti Asset Management Co. Ltd. · NSE:UTIAMC
Uti Asset Management — Investor Presentation (August 2023)
27 slides from Uti Asset Management's investor presentation, Aug 31, 2023
Slide 1: UTI Arbitrage Fund
UTI Arbitrage Fund August 2023 Benchmark - Nifty 50 An open ended scheme investing in arbitrage opportunities Scheme Riskometer Arbitrage Index This product is suitable for investors who are seeking*: • Capital appreciation over medium to long term • Takes advantage of arbitrage opportunities in cas
Slide 2: What is Arbitrage?
What is Arbitrage ? A process of identifying price gap between cash (spot) & futures segment of Equity market at a particular time. Equity arbitrage identifies such spread available in the market and locks into for profit in an efficient manner The demand for contract increases and future prices sta
Slide 3: An example of Arbitrage – 1: Unwinding at Parity
An example of Arbitrage – 1: Unwinding at Parity Mark-to-Market Movement between two expiry dates 103 102.5 102 101.5 101 100.5 100 99.5 99 28/06/2023 05/07/2023 12/07/2023 19/07/2023 26/07/2023 Spot Price Future Price Date Cash Market Future Market Spreads Future Market Initial Creation of Buy at ₹
Slide 4: An example of Arbitrage – 2: Unwinding at Profit
An example of Arbitrage – 2 : Unwinding at Profit Mark-to-Market Movement between two expiry dates 101 100 99 98 97 96 95 28/06/2023 05/07/2023 12/07/2023 19/07/2023 26/07/2023 Spot Price Future Price Date Cash Market Future Market Spreads Future Market Initial Creation of Buy at ₹100 Sell at ₹100.6
Slide 5: What are Arbitrage Funds?
What are Arbitrage Funds? • Arbitrage Funds are • The minimum exposure to • The remaining 0 to 35% equity-oriented funds equity is 65% of the asset is invested in debt and under the hybrid while the balance portion money market category is invested into debt instruments. segment. • The Fund simultan
Slide 6: Factors affecting Arbitrage Spreads
Factors affecting Arbitrage Spreads Stocks in F&O Participation category and Market Interest in the liquidity of Sentiments Rates Markets instruments 6
Slide 7: Types of Arbitrage Activities
Types of Arbitrage Activities Fresh Arbitrage (FA) Reverse Arbitrage (RA) Buying in Cash and simultaneously selling Future of the Unwinding the existing arbitrage position if futures premium same stock. is low or negative i.e. selling in Cash and simultaneously buying/ covering existing short po
Slide 8: How does the fund generate returns?
How does the fund generate returns? Equity: Hedged Position Through strategies such as Fresh Arbitrage, Reverse Arbitrage, Churning and Short Rolls Debt: Conservative Approach Controlled interest rate risk with duration management in short maturity buckets. Controlled risk management with expo
Slide 9: Why investment horizon is important?
Why investment horizon is important ? With investment horizon of 3 months and more, the volatility of returns get significantly reduced Time Period 1 Month 3 Months 6 Months 10.00 Standard Deviation 1.97 1.50 1.28 9.00 8.00 7.00 6.00 5.00 4.00 3.00 2.00 1.00 0.00 Sep-20 Feb-21 Jul-21 Dec-21 May-22 O
Slide 10: How Arbitrage Fund benefits in a rising interest rate scenario?
How Arbitrage Fund benefits in a rising interest rate scenario? Futures Price = Spot price * [1+ rf*(x/365)] – d, where rf = Risk-free rate, d = dividend and x = number of days to expiry. Generally, one can take the RBI’s 91 day Treasury bill as a proxy for the short term risk- free rate. Here is an
Slide 11: Spreads vs AUM/Open Interest
Spreads vs AUM/Open Interest Spreads vs AUM/OI 60% 90 82 74 80 50% 70 71 67 70 65 40% 54 60 53 47 50 30% 42 42 40 40 35 40 32 20% 30 18 20 10% 10 54% 49% 45% 35% 40% 40% 38% 38% 35% 38% 31% 28% 27% 27% 28% 29% 0% 0 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 M
Slide 12: Tax Efficiency of Arbitrage Funds
Tax Efficiency of Arbitrage Funds Arbitrage Funds being equity-oriented schemes enjoys tax treatment of Equity funds. Short Term Capital Long Term Capital Gains Gains ARBITRAGE FUND 15% Nil up to 1 lakh after 1 year ^ DEBT FUND Marginal Rate Marginal Rate ^ Income-tax at the rate of 10% (without ind
Slide 13: Tax Efficiency of the Fund
Tax Efficiency of the Fund Resident Individual/ HUF/ Domestic Growth Option Companies Details UTI Arbitrage Fund Liquid/Overnight Fund Short Term Capital Gains Investment Period Upto 1 Year Tax Arbitrage of 0.93% Investment Yield (Annualized) 6.00% 6.00% Short Term Capital Gains Tax Rate 15.60% 31.2
Slide 14: Product Positioning
Product Positioning Short Duration Fund Low Duration Fund Ultra Short Duration Fund Income generation + RISK Liquidity + Tax efficiency with UTI Arbitrage Fund moderate risk Liquid Fund Overnight Fund RETURN 14
Slide 15: Product Suitability
Product Suitability Short term parking One of the of surpluses alternatives to liquid & bank deposits Low volatility returns with tax efficiency 15
Slide 16: Why invest in UTI Arbitrage Fund?
Why invest in UTI Arbitrage Fund? Low expense structure Cost Effective compared to peer average Fully hedged portfolio eliminates Volatility the risk normally attached to directional calls Management Equity Tax Equity status of the fund lowers the incidence of capital gains Advantage tax 15
Slide 17: Comparative Analysis of Performance
Comparative Analysis of Performance Schemes 1 Month 3 Months 6 Months 1 Year Pre-Tax Post-Tax Pre-Tax Post-Tax Pre-Tax Post-Tax Pre-Tax Post-Tax UTI Arbitrage Fund 8.61 7.27 7.49 6.32 7.18 6.06 6.58 5.55 Industry average 6.44 4.43 6.27 4.31 6.39 4.40 6.38 4.39 Overnight Fund Industry average 6.91 4.
Slide 18: Portfolio details
Portfolio details Asset Allocation Month-End AUM: 3,145 Cr. Monthly Average AUM: 3,177 Cr. Quantitative indicators (Fund) Mutual Fund Units, 13.00 Rollover Yield: 74 bps Net Current Std Deviation: 0.89 Assets, 3.97 Beta: 0.27 Commercial Portfolio turnover ratio (Annual) 12.02 Papers, 9.97 Key Debt S
Slide 19: Rolling Returns
Rolling Returns Return Bucketing (3 months rolling return) Fund Returns UTI Arbitrage fund has given average return of around 7% Less than 0 0% Minimum 0.8% on a 3 & 6 months rolling return 0-4% 15% Maximum 14% basis since inception. 4%-6% 25% Average 7% Above 6% 60% Std.Deviation 2% The fund ha
Slide 20: Fund Facts
Fund Facts To generate capital appreciation through arbitrage opportunities between cash and derivative market and arbitrage opportunities within the derivative segment and by deployment of surplus cash in debt securities and money market instruments . Investment Objective However there can be no as
Slide 21: Performance of UTI Arbitrage Fund
Performance of UTI Arbitrage Fund Fund Performance Vs Benchmark (as of 31/08/2023) Returns (%) Growth of ₹10,000/- (INR) Period B:Nifty 50 Arbitrage AB: Crisil 1 Yr. T-Bill B:Nifty 50 Arbitrage AB: Crisil 1 Yr. T-Bill Scheme Scheme (%) Index (%) (%) Index (%) 1 Year 6.59 7.01 6.41 10659 10701 10641
Slide 22: Performance details of other schemes managed by the Fund Managers
Performance details of other schemes managed by the Fund Managers Performance details of other schemes managed by Fund manager – Mr. Sharwan Kumar Goyal Top 3 Schemes managed by the Fund Manager Managing the 1 Year (%) 3 Years (%) 5 Years (%) Scheme Name Inception Date Fund Benchmark Fund Since Fund
Slide 23: Performance details of other schemes managed by the Fund Managers
Performance details of other schemes managed by the Fund Managers Performance details of other schemes managed by Fund Manager – Mr. Amit Sharma 1 Year (%) 3 Years (%) 5 Years (%) Managing Inception Scheme Name the Fund Fund Benchmark Date Fund Benchmark Fund Benchmark Fund Benchmark Since CRISIL Li
Slide 24: Key terms
Key terms • The money which is required to enter into derivative contracts of underlying securities of a portfolio. Margin Money Generally, the margin money is held in the form of term deposits , cash or cash equivalents. The margin needs to be paid to the broker on an up-front basis before taking t
Slide 25: About Fund Managers
About Fund Managers Sharwan Kumar Goyal is Head – Passive, Arbitrage and Quant Strategies. He is a CFA Charter holder from CFA Institute, USA and also holds a Post-graduate degree in Management (MMS) from Welingkar Institute of Management Development & Research, Mumbai. He began his career with UTI
Slide 26: Disclaimer
Disclaimer REGISTERED OFFICE: UTI Tower, ‘GN’ Block, Bandra Kurla Complex, Bandra (E), Mumbai - 400051. Phone: 022 – 66786666. UTI Asset Management Company Ltd (Investment Manager for UTI Mutual Fund) Email: invest@uti.co.in. (CIN-U65991MH2002GOI137867). For more information, please contact the near
Slide 27: Thank You
Thank You 27 Mutual Fund Investments are subject to market risks, read all scheme related documents carefully.
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