Tata Arbitrage Fund (An open ended scheme investing in arbitrage opportunities.) As on 30th June 2020 PORTFOLIO % to % to NAV % to % to NAV Company name Company name INVESTMENT STYLE NAV Derivative NAV Derivative The scheme invests in equity and equity related instruments that tries Hedge Positions 65.55 -65.33 Punjab National Bank 0.34 -0.34 to take advantage of the difference in prices of a security in the cash Reliance Industries Ltd. 2.34 -2.33 Sun Tv Network Ltd. 0.32 -0.32 segment and derivatives segment by turning market volatility to its ICICI Bank Ltd. 2.14 -2.13 Hindalco Industries Ltd. 0.29 -0.29 advantage. Housing Development Finance Corporation Ltd. 2.12 -2.10 ICICI Prudential Life Insurance Company Ltd. 0.24 -0.24 ITC Ltd. 1.94 -1.94 Axis Bank Ltd. 0.22 -0.22 INVESTMENT OBJECTIVE Tata Consumer Products Ltd. 1.54 -1.54 Larsen & Toubro Ltd. 0.22 -0.22 The investment objective of the Scheme is to seek to generate Sbi Life Insurance Company Ltd. 1.53 -1.53 Gmr Infrastucture Ltd. 0.20 -0.20 HCL Technologies Ltd. 1.52 -1.51 Mindtree Ltd. 0.17 -0.17 reasonable returns by investing predominantly in arbitrage Colgate-Palmolive India Ltd. 1.46 -1.46 Coal India Ltd. 0.16 -0.15 opportunities in the cash and derivatives segments of the equity Titan Company Ltd. 1.44 -1.44 Mahanagar Gas Ltd. 0.15 -0.15 markets and by investing balance in debt and money market Hindustan Unilever Ltd. 1.42 -1.42 Century Textiles & Industries Ltd. 0.11 -0.11 instruments. There is no assurance that the objective of the Scheme United Spirits Ltd. 1.35 -1.35 Tata Steel Ltd. 0.09 -0.09 will be realised and the Scheme does not assure or guarantee any Tech Mahindra Ltd. 1.35 -1.34 Rec Ltd. 0.08 -0.08 returns. Torrent Pharmaceuticals Ltd. 1.33 -1.33 Adani Enterprises Ltd. 0.08 -0.08 HDFC Life Insurance Co. Ltd. 1.32 -1.32 Torrent Power Ltd. 0.07 -0.07 DATE OF ALLOTMENT Tata Motors Ltd. 1.29 -1.29 National Aluminium Co. Ltd. 0.07 -0.07 December 18,2018 Vedanta Ltd. 1.28 -1.28 Srf Ltd. 0.07 -0.07 Aurobindo Pharma Ltd. 1.26 -1.26 LIC Housing Finance Ltd. 0.04 -0.04 FUND MANAGER Ultratech Cement Ltd. 1.25 -1.25 Tata Chemicals Ltd. 0.04 -0.04 Hindustan Petroleum Corporation Ltd. 1.21 -1.15 Equitas Holdings Ltd. 0.03 -0.03 Sailesh Jain (Managing Since 10-Dec-18 and overall experience of 15 Lupin Ltd. 1.20 -1.19 Bharat Forge Ltd. 0.03 -0.03 years) Siemens Ltd. 1.16 -1.16 Niit Technologies Ltd. 0.02 -0.02 Pidilite Industries Ltd. 1.14 -1.14 Apollo Tyres Ltd. 0.02 -0.02 BENCHMARK Dabur India Ltd. 1.13 -1.13 Eicher Motors Ltd. 0.02 -0.02 Nifty 50 Arbitrage Index Divi Laboratories Ltd. 1.11 -1.11 Bosch Ltd. 0.01 -0.01 Dr Reddys Laboratories Ltd. 1.05 -1.04 Godrej Properties Ltd. 0.01 -0.01 NTPC Ltd. 1.05 -1.05 Tata Consultancy Services Ltd. 0.01 -0.01 NAV ACC Ltd. 1.03 -1.02 Apollo Hospitals Enterprise Ltd. 0.01 -0.01 Direct - Growth : 11.1325 Voltas Ltd. 1.02 -1.01 MRF Ltd. 0.01 -0.01 Direct - Monthly Dividend : 10.6495 Britannia Industries Ltd. 0.99 -0.99 % to Godrej Consumer Products Ltd. 0.95 -0.95 Name of the Instrument Ratings Regular - Growth : 11.0048 NAV Regular - Monthly Dividend : 10.5229 Power Finance Corporation Ltd. 0.94 -0.94 Cadila Healthcare Ltd. 0.93 -0.93 Debt Instruments Upl Ltd. 0.86 -0.86 Non-Convertible Debentures/Bonds 6.81 FUND SIZE Bajaj Auto Ltd. 0.83 -0.83 07.00 % HDFC Ltd. CRISIL- AAA 1.00 Rs. 2061.68 (Rs. in Cr.) Mahindra & Mahindra Ltd. 0.83 -0.83 07.61 % Housing & Urban Development Corporation Ltd. ICRA- AAA 0.76 Wipro Ltd. 0.81 -0.81 08.60 % LIC Housing Finance Ltd. CRISIL- AAA 0.76 MONTHLY AVERAGE AUM Marico Ltd. 0.76 -0.76 08.20 % HDFC Ltd. CRISIL- AAA 0.75 Indian Oil Corporation Ltd. 0.75 -0.75 06.99 % Rec Ltd. CRISIL- AAA 0.74 Rs. 1898.76 (Rs. in Cr.) Bharti Airtel Ltd. 0.73 -0.73 07.62 % Housing & Urban Development Corporation Ltd. ICRA- AAA 0.51 Nestle India Ltd. 0.73 -0.73 07.40 % Power Finance Corporation CRISIL- AAA 0.50 TURN OVER Indraprastha Gas Ltd. 0.73 -0.73 06.32 % Rec Ltd. CRISIL- AAA 0.49 Portfolio Turnover (Total) 2239.41% Exide Industries Ltd. 0.71 -0.71 08.75 % LIC Housing Finance Ltd. CRISIL- AAA 0.30 Portfolio Turnover (Equity component only) 732.92% Maruti Suzuki India Ltd. 0.70 -0.70 08.45 % Sikka Ports And Terminals Ltd. (Mukesh Ambani Group) CRISIL- AAA 0.26 Info Edge (India) Ltd. 0.69 -0.69 08.50 % Rec Ltd. CRISIL- AAA 0.25 EXPENSE RATIO** Dlf Ltd. 0.69 -0.69 07.90 % India Infradebt Ltd. CRISIL- AAA 0.25 Adani Ports And Special Economic Zone Ltd. 0.69 -0.69 07.24 % LIC Housing Finance Ltd. CRISIL- AAA 0.25 Direct 0.38 Biocon Ltd. 0.62 -0.62 Money Market Instruments 0.48 Regular 1.13 Amara Raja Batteries Ltd. 0.62 -0.62 ICICI Bank Ltd. - CD ICRA- A1+ 0.48 **Note: The rates specified are actual month end expenses charged Federal Bank Ltd. 0.62 -0.62 Margin Deposits 22.35 as on June 30, 2020. The above ratio includes the Service tax on Power Grid Corporation Of India Ltd. 0.62 -0.62 Corporation Bank 1.13 Investment Management Fees. The above ratio excludes, Asian Paints (India) Ltd. 0.61 -0.61 Axis Bank 0.15 proportionate charge (out of maximum 30 bps on daily average net Bajaj Finserv Ltd. -0.59 assets allowed) in respect sales beyond T-30 cities assets, wherever 0.59 HDFC Bank Ltd. 7.12 applicable. Grasim Industries Ltd. 0.55 -0.55 Punjab National Bank 1.32 Muthoot Finance Ltd. 0.55 -0.55 Rbl Bank Ltd. 0.78 VOLATILITY MEASURES^ FUND BENCHMARK Berger Paints India Ltd. 0.50 -0.50 Bank Of Baroda 0.01 Jsw Steel Ltd. 0.47 -0.47 Au Small Finance Bank Ltd. 2.57 Std. Dev (Annualised) 0.91 0.80 Tata Power Company Ltd. 0.47 -0.46 Federal Bank Ltd. 7.93 Sharpe Ratio 0.80 0.49 Bata India Ltd. 0.47 -0.47 Union Bank Of India 1.23 Portfolio Beta 0.52 1.00 NMDC Ltd. 0.44 -0.44 CASH AS MARGIN 0.11 R Squared 0.33 1.00 Hero Motocorp Ltd. 0.44 -0.43 Treps 4.85 Treynor 0.40 0.11 Ambuja Cements Ltd. 0.41 -0.41 Jenson 0.15 NA Petronet Lng Ltd. 0.38 -0.37 Repo 0.34 Indusind Bank Ltd. 0.38 -0.38 Portfolio Total 100.40 Total stock in Portfolio 93 Cummins India Ltd. 0.35 -0.35 Net Current Liabilities -0.40 Net Assets 100.00 ^Risk-free rate based on the FBIL Overnight MIBOR rate of 3.89% as on Jun 30, 2020 SIP - If you had invested INR 10000 every month For calculation methodology please refer to Pg 61 1 Year 3 Year 5 Year 7 Year 10 Year Since Inception Total Amount Invested (Rs.) 120,000 NA NA NA NA 180,000 MINIMUM INVESTMENT/ Total Value as on Jun 30, 2020 (Rs.) 123,958 NA NA NA NA 189,007 MULTIPLES FOR NEW INVESTMENT Returns 6.20% NA NA NA NA 6.35% Rs. 5,000/- and in multiples of Re. 1/- thereafter. Total Value of B: Nifty 50 Arbitrage Index 121,948 NA NA NA NA 185,856 B: Nifty 50 Arbitrage Index 3.04% NA NA NA NA 4.13% ADDITIONAL INVESTMENT/ Total Value of AB: Nifty 50 TRI 115,000 NA NA NA NA 170,388 MULTIPLES FOR EXISTING INVESTORS AB: Nifty 50 TRI -7.67% NA NA NA NA -6.79% (Inception date :18-Dec-2018) (First Installment date : 01-Jan-2019) Rs. 1,000/- and in multiples of Re. 1/- thereafter. Past performance may or may not be sustained in the future. Returns greater than 1 year period are compounded annualized. Dividends are assumed to be reinvested and bonus is adjusted. Load is not taken in to consideration. For SIP returns, monthly investment of equal amounts invested on the 1st day of every month has been considered. LOAD STRUCTURE For scheme performance refer pages 49-61. *B: Benchmark Entry Load : Not Applicable Source: MFI Explorer Exit Load : 0.25 % of the applicable NAV, if redeemed/switched out/withdrawn on or before Top 10 Holdings Equity Sector Allocation expiry of 30 Days from the date of allotment. Issuer Name % to NAV Consumer Goods 16.31% Financial Services 11.16% Reliance Industries Ltd. 2.34 Pharma 7.50% Oil & Gas 5.56% Please refer to our Tata Mutual Fund website for ICICI Bank Ltd. 2.14 Automobile 5.48% Housing Development Finance Corporation Ltd. 2.12 IT 4.57% fundamental changes, wherever applicable Cement & Cement Products 3.24% ITC Ltd. 1.94 Metals 2.80% Power 2.20% Tata Consumer Products Ltd. 1.54 Industrial Manufacturing 1.61% Chemicals 1.18% V Sbi Life Insurance Company Ltd. 1.53 Construction 1.12% HCL Technologies Ltd. 1.52 Fertilisers & Pesticides 0.86% Services 0.77% Colgate-Palmolive India Ltd.