ICICI Prudential Alpha Low Vol 30 ETF - New Fund Offer Opens on: August 03, 2020 New Fund Offer Closes on: August 10, 2020
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ICICI Prudential
Alpha Low Vol 30 ETF
(An open-ended Index Exchange Traded Fund tracking Nifty Alpha Low-Volatility 30 Index)
New Fund Offer Opens on: August 03, 2020
New Fund Offer Closes on: August 10, 2020
What is an ETF?
ETFs are generally passively managed mutual fund schemes tracking a benchmark index and reflect
the performance of that index.
The common types of ETFs are as under
Equity ETFs Debt ETFs Commodity ETFs
Like an index fund Like a stock
Tracks an index Intraday trading on the exchange
Open ended mutual fund scheme Real time prices
Lower expense ratio compared to actively Put limit orders
managed schemes Minimum trading lot - 1 unit on the exchange
Lower turnover and higher transparency as Mandatory delivery into your Demat account
compared to actively managed schemes 2
What are the benefits offered by ETFs?
Provides diversification
Trading at real time NAV
benefits
Transparency in Index is based on research
holdings and price and back tested data
Adequate liquidity with Periodic portfolio
AMC & on stock exchange rebalancing
3
Growth of ETFs in India
Indian ETF industry has seen rapid growth in last 4 years.
Recent investments in ETFs:
EPFO’s apex decision making body is considering to increase investments in equity ETFs to 15% of the
investible deposits. The major contribution ETF AUM is by EPFO.
Data as on June 30, 2020. Data Source: MFI Explorer. MFI Explorer is a tool provided by ICRA Online Ltd. For their standard disclaimer please visit
http://www.icraonline.com/legal/standard-disclaimer.html. EPFO: Employee Provident Fund Organisation. 4
Investing based on Style-Factors
Single factor based investing Multi-factor based investing
Exposure to only one factor Exposure to a combination of more
than one factor
01
ALPHA
ALPHA
04 02
VALUE QUALITY
LOW
QUALITY
VOLATILITY
03 LOW
VOLATILITY
VALUE
The above mentioned list of factors is not exhaustive.
5
More About The Multi-Factor Index Strategy
Provides exposure to a combination
of factors
Offers the best of two worlds in a
Multi-factor transparent, rule-based and cost
Index Strategy effective manner
Is A SMART Counters the impact of cyclicality of
Beta Strategy single-factor indices.
Can exhibit lower performance
swings
6
Aim For Growth + Stability
A combination of these two factors can provide smooth investment experience along
with diversification benefits
ALPHA LOW VOLATILITY
AIM FOR
Less price
Excess Returns
fluctuation than
GROWTH +
over the normal STABILITY
other stocks in
returns
universe
7
Presenting Nifty Alpha Low Volatility 30 Index
Nifty Alpha Low Volatility 30 Index - Methodology
UNIVERSE
From NIFTY 100 &
NIFTY Midcap 50 STOCK CAP
Individual Stock
NO. OF CONSTITUENTS Weight Capped At 5%
30 Stocks
WEIGHT DERIVATION
REBALANCING
Alpha (50%) & Low Volatility
(50%) Factor Scores Semi-Annually
8
Nifty Alpha Low Volatility 30 Index Details
Top 10 Index Constituents Sectoral Allocation(%)
Securities Weightage(%)
4.64 CONSUMER GOODS 36.19
Nestle India Ltd.
Dr. Reddy's Laboratories Ltd. 4.37 PHARMA 24.63
Divi's Laboratories Ltd. 4.30
IT 9.30
Dabur India Ltd. 4.28
4.09 OIL & GAS 9.01
Colgate Palmolive (India) Ltd.
Marico Ltd. 3.95 POWER 7.65
Asian Paints Ltd. 3.84
AUTOMOBILE 6.74
MRF Ltd. 3.79
CHEMICALS 3.33
Hindustan Unilever Ltd. 3.70
Berger Paints India Ltd. 3.45 CEMENT & CEMENT
3.15
PRODUCTS
Above index constituents and statistics are as on June 30, 2020. Data source: www.nseindia.com. 9
The sector(s)/stock(s) mentioned in this document do not constitute any recommendation of the same and ICICI Prudential Mutual Fund may or may not have any future positions in the sector(s)/stock(s).Calendar Year Returns
NIFTY Alpha Low
Nifty 100 TRI S&P BSE 500 TRI Nifty 50 TRI
Volatility 30 TRI
2010 31% 19% 18% 19%
2011 -12% -25% -26% -24%
2012 35% 33% 33% 29%
2013 16% 7% 4% 7%
NIFTY Alpha Low
2014 49% 35% 39% 33% Volatility 30 TRI
2015 14% -1% 0% -3% has outperformed
2016 9% 5% 5% 4% the other indices
2017 45% 33% 38% 30% 8 out of 10 times
till 2019.
2018 4% 3% -1% 6%
2019 5% 11% 9% 13%
2020 (YTD) -8% -8% -9% -15%
Data as on July 22, 2020. Data source: MFI Explorer. Figures in the chart are rebased to 100. Past performance may or may not be sustained in the future. The Total Return Variant of the Index has been used. The performance
figures pertain to the Index and do not in any manner indicate the returns/performance of the Scheme. MFI Explorer is a tool provided by ICRA Online Ltd. For their standard disclaimer please visit 10
http://www.icraonline.com/legal/standard-disclaimer.html.Growth of Rs.100
Nifty Alpha Low Volatility 30 Index has outperformed the broad market indices over the long run
500.00
450.00
400.00 403
350.00
Rebased to Rs.100
300.00
250.00
218
200.00 211
150.00 197
100.00
50.00
0.00
NIFTY Alpha Low Volatility 30 TRI Nifty 100 TRI Nifty 50 TRI S&P BSE 500 TRI
Data as on July 22, 2020. Data source: MFI Explorer. Figures in the chart are rebased to 100. Past performance may or may not be sustained in the future. The Total Return Variant of the Index
has been used. The performance figures pertain to the Index and do not in any manner indicate the returns/performance of the Scheme.
MFI Explorer is a tool provided by ICRA Online Ltd. For their standard disclaimer please visit http://www.icraonline.com/legal/standard-disclaimer.html
11Performance
Historically, Nifty Alpha Low Volatility 30 Index has given better risk adjusted returns over the long period.
NIFTY Alpha Low Volatility
CAGR Nifty 100 TRI Nifty 50 TRI S&P BSE 500 TRI
30 TRI
1 year 0.76% -0.69% -0.78% -1.94%
3 years 18.93% 13.74% 16.48% 4.76%
5 years 9.74% 6.56% 6.53% 4.91%
10 years 15.78% 8.97% 8.74% 7.02%
Risk
NIFTY Alpha Low Volatility
Adjusted Nifty 100 TRI Nifty 50 TRI S&P BSE 500 TRI
30 TRI
Returns
1 year 0.03% -0.02% -0.03% -0.07%
3 years 1.10% 0.70% 0.82% 0.25%
5 years 0.62% 0.37% 0.36% 0.28%
10 years 1.12% 0.52% 0.50% 0.42%
Returns are as on July 22, 2020. Data source: MFI. Past performance may or may not be sustained in the future. The Total return variant of the Index has been used. Returns more than 1 year are CAGR. Risk Adjusted returns are
calculated by dividing the returns of the respective periods with the Annualized standard deviation. The performance figures pertain to the Index and do not in any manner indicate the returns/performance of the Scheme. 12
MFI Explorer is a tool provided by ICRA Online Ltd. For their standard disclaimer please visit http://www.icraonline.com/legal/standard-disclaimer.htmlRolling Returns
5 YEARS ROLLING RETURN
Since 01-April-2005 (First Observation on 01-April-2010) till 22-July-2020
Total Number of Observations: 2558
NIFTY Alpha Low
Particulars Nifty 100 TRI Nifty 50 TRI S&P BSE 500 TRI
Volatility 30 TRI
Minimum 4.1% -0.7% -1.0% -2.9%
Maximum 28.4% 24.4% 24.3% 22.0%
Average 18.8% 11.8% 11.2% 10.1%
Returns are as on July 22, 2020. Data source: MFI. Past performance may or may not be sustained in the future. The Total return variant of the Index has been used. Returns are in CAGR terms.
The performance figures pertain to the Index and do not in any manner indicate the returns/performance of the Scheme.
MFI Explorer is a tool provided by ICRA Online Ltd. For their standard disclaimer please visit http://www.icraonline.com/legal/standard-disclaimer.html 13Why invest in ICICI Prudential Alpha Low Vol 30 ETF
It intends to counter the cyclicality of Provides investors a choice to take
single factor index strategy exposure to multiple factors through a
single index product
Provides exposure to a portfolio of Opportunity to diversify equity
stocks selected based on top investments across various sectors
combination of Alpha and Low Volatility
Opportunity to invest across large and
top 50 mid capitalization stocks
14ICICI Prudential Alpha Low Vol 30 ETF
New Fund Offer Opens on: August 03, 2020
NFO Period
New Fund Offer Closes on: August 10, 2020
RTGS and transfer cheques Till end of business hours on August 10, 2020.
MICR cheques Till the end of business hours up to August 06, 2020.
Switches Switches are not allowed
Minimum Application Amount during the
Rs.5,000/- (plus in multiple of Re.1 thereafter)
NFO
Benchmark Nifty Alpha Low Volatility 30 TRI
Fund Manager Kayzad Eghlim
Basket size^ 18,000 units
Listing Units will be listed on NSE & BSE.
^It is applicable post NFO and on investing with AMC directly. It is to be distinctly understood that the permission given by NSE/BSE should not in any way be deemed or construed that the Scheme Information Document (SID) has
15
been cleared or approved by NSE/BSE nor does it certify the correctness or completeness of any of the contents of the SID. The investors are advised to refer to the SID for the full text of the Disclaimer clause of the NSE/BSE.Riskometer and Disclaimers
ICICI Prudential Alpha Low Vol 30 ETF is suitable for investors who are seeking:*
• Long Term wealth creation Moderate
• An Exchange Traded Fund that aims to provide returns that closely correspond to the returns provided by Investors understand
Nifty Alpha Low-Volatility 30 Index, subject to tracking error. that their principal will
be at moderately high
risk
LOW HIGH
*Investors should consult their financial advisors if in doubt about whether the product is suitable for them.
Mutual Fund investments are subject to market risks, read all scheme related documents carefully.
Disclaimer: All figures and data given in the document are dated unless stated otherwise. In the preparation of the material contained in this document, the AMC has used
information that is publicly available, including information developed in-house. Some of the material used in the document may have been obtained from members/persons
other than the AMC and/or its affiliates and which may have been made available to the AMC and/or to its affiliates. Information gathered and material used in this document is
believed to be from reliable sources. The AMC however does not warrant the accuracy, reasonableness and / or completeness of any information. We have included
statements / opinions / recommendations in this document, which contain words, or phrases such as “will”, “expect”, “should”, “believe” and similar expressions or
variations of such expressions, that are “forward looking statements”. Actual results may differ materially from those suggested by the forward looking statements due to risk
or uncertainties associated with our expectations with respect to, but not limited to, exposure to market risks, general economic and political conditions in India and other
countries globally, which have an impact on our services and / or investments, the monetary and interest policies of India, inflation, deflation, unanticipated turbulence in
interest rates, foreign exchange rates, equity prices or other rates or prices etc.
The AMC (including its affiliates), the Mutual Fund, the trust and any of its officers, directors, personnel and employees, shall not liable for any loss, damage of any nature,
including but not limited to direct, indirect, punitive, special, exemplary, consequential, as also any loss of profit in any way arising from the use of this material in any manner.
The recipient alone shall be fully responsible/are liable for any decision taken on this material.
Investors are advised to consult their own legal, tax and financial advisors to determine possible tax, legal and other financial implication or consequence of subscribing to the
units of ICICI Prudential Mutual Fund.
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