DSP Arbitrage Fund
An open ended scheme investing in arbitrage opportunities
DSP Arbitrage Fund
An open ended scheme investing in arbitrage opportunities

Fund Manager

M. Suryanarayanan (Equity Portion)
Total work experience of 11 years.
Managing this Scheme since September, 2018

Kedar Karnik
Total work experience of 14 years.
Managing this Scheme since June 2020.

Fund Category

Arbitrage

Inception date

January 25, 2018

Benchmark

NIFTY 50 Arbitrage Index

NAV
Regular Plan  
Growth: ₹ 11.620
Direct Plan  
Growth: ₹ 11.817
Total aum

₹ 1,017 Cr

Monthly average aum

₹ 1,007 Cr

Portfolio Turnover Ratio(Last 12 months):

12.09

Month End Expense Ratio
Regular Plan : 0.95%
Direct Plan : 0.36%
Average Maturity

0.17 years

Modified Duration

0.16 years

Portfolio YTM

4.26%

Portfolio Macaulay Duration

0.17 years

Tenure

2 Yr 9 Mn

Exit Load

• If the units redeemed or switched-out are upto 10% of the units (the limit) purchased or switched within 30 days from the date of allotment: Nil;
• If units redeemed or switched out are in excess of the limit within 30 days from the date of allotment: 0.25%;
• If units are redeemed or switched out on or after 30 days from the date of allotment: Nil.

Data As On October 31, 2020

Name of Instrument % to Net Assets
EQUITY & EQUITY RELATED
Listed / awaiting listing on the stock exchanges
Banks 18.66
✔ ICICI Bank Limited 7.81
✔ IndusInd Bank Limited 7.29
Axis Bank Limited 2.03
The Federal Bank Limited 1.22
Bandhan Bank Limited 0.29
State Bank of India 0.02
RBL Bank Limited *
Petroleum Products 9.04
✔ Reliance Industries Limited 7.90
Bharat Petroleum Corporation Limited 0.75
Hindustan Petroleum Corporation Limited 0.39
Telecom - Services 8.36
✔ Bharti Airtel Limited 7.83
Vodafone Idea Limited 0.53
Finance 7.79
✔ Housing Development Finance Corporation Limited 5.45
Piramal Enterprises Limited 0.65
Manappuram Finance Limited 0.42
Max Financial Services Limited 0.42
Mahindra & Mahindra Financial Services Limited 0.33
Muthoot Finance Limited 0.20
SBI Life Insurance Company Limited 0.19
ICICI Prudential Life Insurance Company Limited 0.05
HDFC Life Insurance Company Limited 0.04
L&T Finance Holdings Limited 0.04
Pharmaceuticals 4.29
✔ Aurobindo Pharma Limited 3.95
Lupin Limited 0.19
Cipla Limited 0.05
Dr. Reddy's Laboratories Limited 0.05
Torrent Pharmaceuticals Limited 0.04
Sun Pharmaceutical Industries Limited 0.01
Cement 3.25
Grasim Industries Limited 1.98
Ambuja Cements Limited 1.18
UltraTech Cement Limited 0.08
Ferrous Metals 2.66
✔ Jindal Steel & Power Limited 2.45
Steel Authority of India Limited 0.19
JSW Steel Limited 0.02
Non - Ferrous Metals 2.46
Vedanta Limited 2.35
National Aluminium Company Limited 0.09
Hindalco Industries Limited 0.03
Trading 2.40
✔ Adani Enterprises Limited 2.40
Consumer Non Durables 1.08
Colgate Palmolive (India) Limited 0.34
Hindustan Unilever Limited 0.33
ITC Limited 0.18
United Spirits Limited 0.17
Berger Paints (I) Limited 0.04
Asian Paints Limited 0.01
Auto 1.07
Tata Motors Limited 0.48
Bajaj Auto Limited 0.32
Escorts Limited 0.27
Pesticides 0.89
UPL Limited 0.89
Transportation 0.88
Adani Ports and Special Economic Zone Limited 0.88
Media & Entertainment 0.67
Zee Entertainment Enterprises Limited 0.52
Sun TV Network Limited 0.16
Auto Ancillaries 0.62
Balkrishna Industries Limited 0.57
MRF Limited 0.03
Exide Industries Limited 0.01
Oil 0.31
Oil & Natural Gas Corporation Limited 0.31
Software 0.29
Tech Mahindra Limited 0.29
Consumer Durables 0.29
Havells India Limited 0.15
Titan Company Limited 0.14
Industrial Capital Goods 0.27
Bharat Heavy Electricals Limited 0.26
Bharat Electronics Limited *
Industrial Products 0.19
Bharat Forge Limited 0.19
Construction Project 0.12
GMR Infrastructure Limited 0.12
Power 0.09
Tata Power Company Limited 0.09
Gas 0.03
Mahanagar Gas Limited 0.03
Construction 0.02
DLF Limited 0.02
Total 65.72%
Name of Instrument % to Net Assets
MONEY MARKET INSTRUMENTS
Certificate of Deposit
National Bank for Agriculture and Rural Development IND A1+ 1.46
Total 1.46
Commercial Papers
Listed / awaiting listing on the stock exchanges
National Bank for Agriculture and Rural Development IND A1+ 1.46
Total 1.46
Treasury Bill
✔ 364 DAY T-BILL 04032021 SOV 4.38
364 DAY T-BILL 11032021 SOV 1.94
Total 6.32
TREPS / Reverse Repo Investments / Corporate Debt Repo 6.11
Total 6.11
Mutual Funds
✔ DSP Liquidity Fund - Direct - Growth 8.09
Total 8.09
ICICI Bank Limited 09 Nov 2020 (Duration - 367 Days) Unrated 0.52
ICICI Bank Limited 11 Nov 2020 (Duration - 366 Days) Unrated 0.52
ICICI Bank Limited 13 Nov 2020 (Duration - 366 Days) Unrated 0.21
ICICI Bank Limited 07 Dec 2020 (Duration - 367 Days) Unrated 0.21
Bank of Baroda 07 Dec 2020 (Duration - 367 Days) Unrated 0.21
ICICI Bank Limited 05 Jan 2021 (Duration - 393 Days) Unrated 0.21
ICICI Bank Limited 06 Jan 2021 (Duration - 393 Days) Unrated 0.21
ICICI Bank Limited 06 Jan 2021 (Duration - 392 Days) Unrated 0.21
ICICI Bank Limited 07 Jan 2021 (Duration - 392 Days) Unrated 0.21
ICICI Bank Limited 11 Jan 2021 (Duration - 395 Days) Unrated 0.21
ICICI Bank Limited 14 Jan 2021 (Duration - 395 Days) Unrated 0.21
ICICI Bank Limited 15 Jan 2021 (Duration - 395 Days) Unrated 0.21
ICICI Bank Limited 13 Jan 2021 (Duration - 392 Days) Unrated 0.21
ICICI Bank Limited 18 Jan 2021 (Duration - 396 Days) Unrated 0.21
ICICI Bank Limited 19 Jan 2021 (Duration - 396 Days) Unrated 0.21
ICICI Bank Limited 20 Jan 2021 (Duration - 393 Days) Unrated 0.21
ICICI Bank Limited 05 Feb 2021 (Duration - 393 Days) Unrated 0.21
ICICI Bank Limited 08 Feb 2021 (Duration - 395 Days) Unrated 0.21
ICICI Bank Limited 09 Feb 2021 (Duration - 393 Days) Unrated 0.21
Punjab National Bank 15 Jan 2021 (Duration - 367 Days) Unrated 0.21
Punjab National Bank 14 Jan 2021 (Duration - 366 Days) Unrated 0.21
Punjab National Bank 20 Jan 2021 (Duration - 372 Days) Unrated 0.21
ICICI Bank Limited 10 Feb 2021 (Duration - 393 Days) Unrated 0.21
Punjab National Bank 19 Jan 2021 (Duration - 371 Days) Unrated 0.21
Punjab National Bank 18 Jan 2021 (Duration - 370 Days) Unrated 0.21
ICICI Bank Limited 11 Feb 2021 (Duration - 393 Days) Unrated 0.21
ICICI Bank Limited 12 Feb 2021 (Duration - 393 Days) Unrated 0.21
Punjab National Bank 19 Jan 2021 (Duration - 368 Days) Unrated 0.21
Punjab National Bank 18 Jan 2021 (Duration - 367 Days) Unrated 0.21
Bank of Baroda 25 Jan 2021 (Duration - 370 Days) Unrated 0.21
Bank of Baroda 27 Jan 2021 (Duration - 372 Days) Unrated 0.21
Bank of Baroda 21 Jan 2021 (Duration - 366 Days) Unrated 0.21
Bank of Baroda 28 Jan 2021 (Duration - 373 Days) Unrated 0.21
Bank of Baroda 22 Jan 2021 (Duration - 367 Days) Unrated 0.21
Bank of Baroda 08 Feb 2021 (Duration - 383 Days) Unrated 0.21
Bank of Baroda 05 Feb 2021 (Duration - 380 Days) Unrated 0.21
Bank of Baroda 12 Feb 2021 (Duration - 386 Days) Unrated 0.21
Bank of Baroda 15 Feb 2021 (Duration - 389 Days) Unrated 0.21
Bank of Baroda 23 Feb 2021 (Duration - 396 Days) Unrated 0.21
Bank of Baroda 22 Feb 2021 (Duration - 395 Days) Unrated 0.21
Bank of Baroda 25 Feb 2021 (Duration - 395 Days) Unrated 0.21
Bank of Baroda 26 Feb 2021 (Duration - 395 Days) Unrated 0.21
Bank of Baroda 01 Mar 2021 (Duration - 391 Days) Unrated 0.20
Bank of Baroda 03 Mar 2021 (Duration - 393 Days) Unrated 0.20
Bank of Baroda 02 Mar 2021 (Duration - 392 Days) Unrated 0.20
Bank of Baroda 04 Mar 2021 (Duration - 394 Days) Unrated 0.20
Bank of Baroda 05 Mar 2021 (Duration - 395 Days) Unrated 0.20
Bank of Baroda 09 Mar 2021 (Duration - 398 Days) Unrated 0.20
Bank of Baroda 12 Mar 2021 (Duration - 401 Days) Unrated 0.20
Bank of Baroda 15 Mar 2021 (Duration - 404 Days) Unrated 0.20
Bank of Baroda 10 Mar 2021 (Duration - 399 Days) Unrated 0.20
Bank of Baroda 16 Mar 2021 (Duration - 405 Days) Unrated 0.20
Bank of Baroda 08 Mar 2021 (Duration - 397 Days) Unrated 0.20
Total 11.64
Cash & Cash Equivalent
Cash Margin 2.70
Net Receivables/Payables -3.50
Total -0.80
GRAND TOTAL 100.00

as on 30th Oct'20

✔ Top Ten Holdings
* Less than 0.01%

@@Computed on the invested amount for debt portfolio.
Notes : 1. All corporate ratings are assigned by rating agencies like CRISIL, CARE, ICRA, IND


Growth of Rs. 1 L invested at inception: 1.16 L

SIP Returns(In %)
SI*
5.17
*SI - Since inception
Outperformed Benchmark TRI (calendar year)(%) NIFTY 50 Arbitrage Index
31%

Rolling Return
  1 yr
Minimum4.2
Maximum6.9
Average6.0
% times negative returns–
% of times returns are in
excess of 7%		–
Past performance may or may not be sustained in future and should not be used as a basis for comparison with other investments. Returns are for Regular Plan - Growth Option Click here for performance in SEBI prescribed format.

Large Cap: 1st -100th company in terms of full market capitalization
Mid Cap: 101st -250th company in terms of full market capitalization
Small Cap: 251st company onwards in terms of full market capitalization.

Investment Objective

The investment objective of the Scheme is to generate income through arbitrage opportunities between cash and derivative market and arbitrage opportunities within the derivative market. Investments may also be made in debt & money market instruments.
There is no assurance that the investment objective of the Scheme will be realized.

Product Labelling

This open ended Scheme is suitable for investors who are seeking*
• Income over a short-term investment horizon
• Investment in arbitrage opportunities in the cash & derivatives segment of the equity market

* Investors should consult their financial advisors if in doubt whether the product is suitable for them.