Modera erate tely Mod High to e H w at ig o er h L d o M V e r y w H Tata Arbitrage Fund o i L g (An open ended scheme investing in arbitrage opportunities.) h Riskometer Investors understand that their principal As on 31st January 2021 PORTFOLIO will be at Low Risk % 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 67.44 -67.74 Berger Paints India Ltd. 0.25 -0.25 to take advantage of the difference in prices of a security in the cash ICICI Bank Ltd. 1.90 -1.91 The Ramco Cements Ltd. 0.24 -0.24 segment and derivatives segment by turning market volatility to its Housing Development Finance Corporation Ltd. 1.90 -1.91 Bajaj Finance Ltd. 0.23 -0.23 Tata Steel Ltd. 1.73 -1.74 Indraprastha Gas Ltd. 0.22 -0.22 advantage. Bharti Airtel Ltd. 1.73 -1.74 Zee Entertainment Enterprises Ltd. 0.21 -0.21 Axis Bank Ltd. 1.71 -1.72 Mahanagar Gas Ltd. 0.20 -0.20 INVESTMENT OBJECTIVE ITC Ltd. 1.66 -1.67 Petronet Lng Ltd. 0.19 -0.19 State Bank Of India 1.63 -1.64 Shriram Transport Finance Co Ltd. 0.18 -0.18 The investment objective of the Scheme is to seek to generate Sun Pharmaceutical Industries Ltd. 1.57 -1.56 Torrent Power Ltd. 0.17 -0.17 reasonable returns by investing predominantly in arbitrage Asian Paints (India) Ltd. 1.57 -1.58 Aarti Industries Ltd. 0.17 -0.17 opportunities in the cash and derivatives segments of the equity Adani Ports And Special Economic Zone Ltd. 1.49 -1.50 Power Finance Corporation Ltd. 0.14 -0.15 Tech Mahindra Ltd. 1.40 -1.41 Upl Ltd. 0.14 -0.14 markets and by investing balance in debt and money market HCL Technologies Ltd. 1.40 -1.40 Dr. Lal Path Labs Ltd. 0.13 -0.13 instruments. There is no assurance that the objective of the Scheme Reliance Industries Ltd. 1.34 -1.35 Container Corporation Of India Ltd. 0.12 -0.12 will be realised and the Scheme does not assure or guarantee any Lupin Ltd. 1.33 -1.34 Coal India Ltd. 0.11 -0.11 Divi Laboratories Ltd. 1.30 -1.31 Steel Authority India Ltd. 0.11 -0.11 returns. Maruti Suzuki India Ltd. 1.29 -1.30 Motherson Sumi Systems Ltd. 0.10 -0.10 Larsen & Toubro Ltd. 1.24 -1.25 Gail ( India ) Ltd. 0.09 -0.09 DATE OF ALLOTMENT Hindustan Unilever Ltd. 1.23 -1.24 Gmr Infrastucture Ltd. 0.08 -0.08 Dabur India Ltd. 1.20 -1.20 Manappuram Finance Ltd. 0.07 -0.07 December 18,2018 Titan Company Ltd. 1.12 -1.12 Vodafone Idea Ltd. 0.07 -0.07 Dlf Ltd. 1.00 -1.00 Piramal Enterprises Ltd. 0.06 -0.06 FUND MANAGER Tata Motors Ltd. 1.00 -1.00 ICICI Prudential Life Insurance Company Ltd. 0.06 -0.06 Dr Reddys Laboratories Ltd. 0.98 -0.98 Biocon Ltd. 0.05 -0.05 Sailesh Jain (Managing Since 10-Dec-18 and overall experience of 17 Tata Consultancy Services Ltd. 0.94 -0.95 Godrej Properties Ltd. 0.04 -0.04 years) Nestle India Ltd. 0.92 -0.93 Havells India Ltd. 0.03 -0.03 Eicher Motors Ltd. 0.92 -0.92 Coforge Ltd. 0.03 -0.03 Sbi Life Insurance Company Ltd. 0.90 -0.91 Glenmark Pharmaceuticals Ltd. 0.02 -0.02 BENCHMARK Pidilite Industries Ltd. 0.88 -0.88 Apollo Hospitals Enterprise Ltd. 0.02 -0.02 Bajaj Auto Ltd. 0.86 -0.86 Page Industries Ltd. 0.00 0.00 Nifty 50 Arbitrage Index Vedanta Ltd. 0.84 -0.85 Bosch Ltd. 0.00 0.00 Tata Power Company Ltd. 0.80 -0.81 HDFC Asset Management Company Ltd. 0.00 0.00 NAV Hindalco Industries Ltd. 0.79 -0.79 % to Info Edge (India) Ltd. 0.79 -0.79 Name of the Instrument Ratings Direct - Growth : 11.3708 Cadila Healthcare Ltd. 0.78 -0.79 NAV NTPC Ltd. 0.78 -0.77 Direct - Monthly Dividend : 10.9025 United Spirits Ltd. 0.78 -0.78 Debt Instruments Regular - Growth : 11.1917 Cipla Ltd. 0.77 -0.77 Government Securities 7.41 Regular - Monthly Dividend : 10.7013 Aurobindo Pharma Ltd. 0.75 -0.76 GOI - 6.17% (15/07/2021) SOV 1.21 Mahindra & Mahindra Ltd. 0.75 -0.75 GOI - 7.16% (20/05/2023) SOV 1.11 Bajaj Finserv Ltd. 0.67 -0.67 GOI - 4.48% (02/11/2023) SOV 1.05 FUND SIZE Kotak Mahindra Bank Ltd. 0.67 -0.67 GOI - 6.84% (19/12/2022) SOV 0.79 Tata Consumer Products Ltd. 0.65 -0.65 GOI - 7.32% (28/01/2024) SOV 0.74 Rs. 3334.81 (Rs. in Cr.) NMDC Ltd. 0.65 -0.65 GOI - 7.37% (16/04/2023) SOV 0.70 Grasim Industries Ltd. 0.63 -0.63 GOI - 8.83% (25/11/2023) SOV 0.66 MONTHLY AVERAGE AUM ICICI Lombard General Insurance Co. Ltd. 0.61 -0.61 GOI - 8.08% (02/08/2022) SOV 0.48 Power Grid Corporation Of India Ltd. 0.59 -0.59 GOI - 7.94% (24-05-2021) SOV 0.30 Rs. 3042.60 (Rs. in Cr.) Bharat Petroleum Corporation Ltd. 0.57 -0.58 GOI - 5.09% (13/04/2022) SOV 0.21 Indian Oil Corporation Ltd. 0.56 -0.56 GOI 6.30% 9/4/2023 SOV 0.16 Marico Ltd. 0.53 -0.53 Non-Convertible Debentures/Bonds 7.05 TURN OVER Max Financial Services Ltd. 0.50 -0.50 04.95 % HDFC Ltd. CRISIL- AAA 1.50 07.18 % Nabard CRISIL- AAA 0.78 Portfolio Turnover (Total) 1660.52% Torrent Pharmaceuticals Ltd. 0.49 -0.49 Infosys Ltd. 0.49 -0.49 04.50 % HDFC Ltd. CRISIL- AAA 0.74 Portfolio Turnover (Equity component only) 463.67% Britannia Industries Ltd. 0.49 -0.49 07.00 % HDFC Ltd. CRISIL- AAA 0.62 Shree Cement Ltd. 0.47 -0.48 07.61 % Housing & Urban Development Corporation Ltd. ICRA- AAA 0.47 EXPENSE RATIO** MRF Ltd. 0.47 -0.48 08.60 % LIC Housing Finance Ltd. CRISIL- AAA 0.47 Jsw Steel Ltd. 0.47 -0.47 07.39 % LIC Housing Finance Ltd. CRISIL- AAA 0.47 Direct 0.38 ACC Ltd. 0.47 -0.47 08.20 % HDFC Ltd. CRISIL- AAA 0.46 Regular 1.13 HDFC Life Insurance Co. Ltd. 0.47 -0.47 07.62 % Housing & Urban Development Corporation Ltd. ICRA- AAA 0.31 Canara Bank 0.45 -0.45 07.40 % Power Finance Corporation CRISIL- AAA 0.31 **Note: The rates specified are actual month end expenses charged HDFC Bank Ltd. 0.44 -0.45 06.32 % Rec Ltd. CRISIL- AAA 0.31 as on Jan 31, 2021. The above ratio includes the Service tax on Ultratech Cement Ltd. 0.44 -0.45 08.45 % Sikka Ports And Terminals Ltd. (Mukesh Ambani Group) CRISIL- AAA 0.16 Investment Management Fees. The above ratio excludes, Muthoot Finance Ltd. 0.43 -0.43 08.50 % Rec Ltd. CRISIL- AAA 0.16 proportionate charge (out of maximum 30 bps on daily average net Ambuja Cements Ltd. 0.42 -0.43 07.90 % India Infradebt Ltd. CRISIL- AAA 0.15 assets allowed) in respect sales beyond T-30 cities assets, wherever Colgate-Palmolive India Ltd. 0.42 -0.42 07.24 % LIC Housing Finance Ltd. CRISIL- AAA 0.15 applicable. Bharat Forge Ltd. 0.41 -0.42 Margin Deposits 20.48 Mindtree Ltd. 0.41 -0.42 Corporation Bank 0.70 Punjab National Bank 0.40 -0.40 Axis Bank 0.09 VOLATILITY MEASURES^ FUND BENCHMARK LIC Housing Finance Ltd. 0.40 -0.40 HDFC Bank Ltd. 4.09 Std. Dev (Annualised) 0.95 0.94 Apollo Tyres Ltd. 0.40 -0.40 Punjab National Bank 0.82 Balkrishna Industries Ltd. 0.36 -0.36 Bank Of Baroda 0.00 Sharpe Ratio 0.60 0.25 Bata India Ltd. 0.33 -0.34 Au Small Finance Bank Ltd. 1.59 Portfolio Beta 0.64 1.00 Federal Bank Ltd. 0.33 -0.33 Federal Bank Ltd. 4.90 R Squared 0.51 1.00 Siemens Ltd. 0.32 -0.32 Union Bank Of India 1.29 Variable Margin 7.00 Treynor 0.25 0.07 Hindustan Petroleum Corporation Ltd. 0.32 -0.32 Tata Chemicals Ltd. 0.31 -0.31 Jenson 0.12 NA Ashok Leyland Ltd. 0.30 -0.30 Repo 5.88 Portfolio Total 108.26 Portfolio Macauley Duration : 0.95 Years Escorts Ltd. 0.30 -0.30 Sun Tv Network Ltd. 0.30 -0.30 Cash / Net Current Assets/ (Liabilities) -8.26 Modified Duration : 0.93 Years Net Assets 100.00 Average Maturity : 0.99 Years SIP - If you had invested INR 10000 every month Gross Yield to Maturity (For Debt Component)* - Excluding Net Current Assets : 4.93% 1 Year 3 Year 5 Year 7 Year 10 Year Since Inception * Computed on the invested amount for debt portfolio. Total Amount Invested (Rs.) 120,000 NA NA NA NA 250,000 Total stock in Portfolio 110 Total Value as on Jan 31, 2021 (Rs.) 122,334 NA NA NA NA 262,968 Returns 3.65% NA NA NA NA 4.76% ^Risk-free rate based on the FBIL Overnight MIBOR rate of 3.47% as Total Value of B: Nifty 50 Arbitrage Index 121,112 NA NA NA NA 258,208 on Jan 29, 2021 B: Nifty 50 Arbitrage Index 1.74% NA NA NA NA 3.02% For calculation methodology please refer to Pg 64 Total Value of AB: Nifty 50 TRI 150,996 NA NA NA NA 308,358 AB: Nifty 50 TRI 51.56% NA NA NA NA 20.75% MINIMUM INVESTMENT/ (Inception date :18-Dec-2018) (First Installment date : 01-Jan-2019) MULTIPLES FOR NEW INVESTMENT Past performance may or may not be sustained in the future.