Sheet 1 – "Nifty Long Duration G-Sec Index"
Purpose:
Replicate the index by entering each eligible bond’s data and computing its weight, then calculate the overall weighted yield a
Table Structure:
B: C: D: E: F: Weight I:
G: Weight H: Yield J: Contrib
A: ISIN Security Maturity Outstandi Turnover Compone Duration
(%) (%) Yield
Name Date ng (Cr) Score nt (yrs)
IN002024 =0.4E2+0.
GS 2039 ### 8500 40 #NAME? 6.80 9.5 0
0027 6D2
IN002020 =0.4E3+0.
GS 2025 ### 6000 35 #NAME? 7.00 10 0
0278 6D3
IN002024 =0.4E4+0.
GS 2064 ### 10000 45 #NAME? 7.20 11 0
0035 6D4
Total: 0 100% 0
Notes:
– In column F, the formula for each row is:
=0.4 * [Turnover Score] + 0.6 * [Outstanding (Cr)]
– "Total_F" is the sum of all weight components (cell F5, for example).
– Column G calculates each bond’s percentage weight:
=F2/$F$5 (drag down)
– Weighted Average Yield = SUM(Contrib Yield) (cell J5)
– Weighted Average Duration = SUM(Contrib Duration) (cell K5)
Example Result (using sample numbers):
– Weighted Average Yield ≈ 7.02%
– Weighted Average Duration ≈ 10.24 years
te the overall weighted yield and duration.
K: Contrib
Duration
0
Purpose:
Analyze the SBI Long Duration Fund by comparing performance, breaking down portfolio allocation, and performing return att
Table 1: Performance Comparison
Fund Benchma Excess
Metric Return rk Return Return
(%) (%) (%)
=7.10–
1-Year
7.1 6.52 6.52 →
Return
0.58
Since =9.38–
Inception 9.38 8.14 8.14 →
Return 1.24
Table 2: Portfolio Allocation Breakdown
Actual
Asset Descripti
Weight
Class on
(%)
Core
long-
Governm
duration
ent 85
G‑Secs
Securities
with low
credit risk
Investme
nt grade
Corporate
10 bonds to
Bonds
enhance
yield
Short-
term
Money
instrumen
Market
5 ts for
Instrume
liquidity
nts
managem
ent
(Percentages based on latest disclosure from SBI Mutual Fund.)
Table 3: Return Attribution & Tracking Error
A. Duration Effect Calculation
Assume:
Portfolio Duration = 10.5 years
Rate Cut Scenario = 25 bps (0.25%)
Price Gain (%) = Duration × Rate Change
= 10.5 × 0.25%
≈ 2.625%
B. Tracking Error Calculation (Sample):
Assume monthly return differences (in %) over 12 months:
0.4, 0.6, 0.7, 0.5, 0.6, 0.8, 0.5, 0.7, 0.6, 0.7, 0.5, 0.6
1. Mean Difference = AVERAGE(range) → approximately 0.62%
2. Tracking Error = STDEV.P(range) → e.g., ≈ 0.10%–0.15%
(You can enter these values in Excel and use =STDEV.P(A2:A13) to compute tracking error.)
tion, and performing return attribution and tracking error calculations.
Purpose:
Examine macro inputs and perform sensitivity analysis to understand how rate changes affect bond prices.
Section A: Macro Inputs
Parameter
RBI Repo Rate
10-Year UST Yield
Current Liquidity Position
Expected Rate Cut
Enter these values in designated cells (e.g., B2:B5).
Section B: Sensitivity Analysis Table
Scenario
Scenario A: Mild Cut
Scenario B: Moderate Cut
(Use an input cell for Duration and multiply by the rate change; these formulas update dynamically.)
Section C: FPI Inflow Impact (Qualitative + Calculation)
Parameter
Expected FPI Inflow
Expected Yield Impact
ct bond prices.
Input Unit/
Value Notes
7.5 (%)
3.8 (%)
Trillion
-1.5 INR
(deficit)
(%) or 25
0.25
bps
Formula:
Rate
Price Result
Change
Impact Example
(bps)
(%)
For
Duration
10 yrs →
25 #NAME?
10 ×
0.25% =
2.5%
For
Duration
10 yrs →
50 #NAME?
10 ×
0.50% =
5.0%
Value Notes
Billion
USD
30 (midpoint
between
25-35 bn)
Qualitativ
e impact;
add a
note or
Err:508 use
condition
al
formattin
g.
Purpose:
Provide a visual summary using charts and key metrics.
Key Metric Table (Textual Representation)
Source/
Metric Value Calculatio
n
From
Weighted
7.02% Sheet 1
Average
(Compute (SUMPRO
Yield
d) DUCT(H2:
(Index)
H4, I2:I4))
From
Weighted 10.24
Sheet 1
Average years
(SUMPRO
Duration (Compute
DUCT(H2:
(Index) d)
H4, J2:J4))
1-Year
From
Fund
0.58% Sheet 2,
Excess
Table 1
Return
Calculate
d using
Tracking
0.12% =STDEV.P
Error
(approx.) (return
(Sample)
difference
s)
Charts Suggested:
Bar Chart: Compare computed vs. published yield and duration (link data from Sheet 1).
Pie Chart: Show asset allocation breakdown from Sheet 2, Table 2.
Line Chart: Plot sensitivity analysis scenarios (from Sheet 3 Section B).
In Excel, you can create these charts using the “Insert” tab and linking them to the respective tables.
