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 July 2021 PORTFOLIO will be at Low Risk % to % to % to NAV Company name % to NAV Company name INVESTMENT STYLE NAV Derivative NAV Derivative The scheme invests in equity and equity related instruments that tries Equity & Equity Related Total 69.90 Srf Ltd. 0.21 -0.21 to take advantage of the difference in prices of a security in the cash segment and derivatives segment by turning market volatility to its Hedge Positions 69.90 -70.05 Power Finance Corporation Ltd. 0.21 -0.21 advantage. Sun Pharmaceutical Industries Ltd. 2.09 -2.09 Mahindra And Mahindra Financial Services Ltd. 0.21 -0.21 ITC Ltd. 1.84 -1.85 Jubilant Foodworks Ltd. 0.20 -0.20 INVESTMENT OBJECTIVE ICICI Bank Ltd. 1.82 -1.82 L&T Finance Holdings Ltd. 0.19 -0.19 The investment objective of the Scheme is to seek to generate Reliance Industries Ltd. 1.81 -1.82 Rec Ltd. 0.19 -0.19 reasonable returns by investing predominantly in arbitrage State Bank Of India 1.79 -1.80 Apollo Tyres Ltd. 0.18 -0.18 opportunities in the cash and derivatives segments of the equity Bharti Airtel Ltd. 1.77 -1.77 City Union Bank Ltd. 0.17 -0.17 markets and by investing balance in debt and money market Tata Consultancy Services Ltd. 1.76 -1.76 Eicher Motors Ltd. 0.16 -0.16 instruments. There is no assurance that the objective of the Scheme Tata Steel Ltd. -1.73 Aditya Birla Fashion & Retail Ltd. 0.16 -0.17 will be realised and the Scheme does not assure or guarantee any 1.73 returns. Vedanta Ltd. 1.62 -1.62 Max Financial Services Ltd. 0.15 -0.16 Jsw Steel Ltd. 1.59 -1.59 L&T Technology Services Ltd. 0.15 -0.15 DATE OF ALLOTMENT Larsen & Toubro Ltd. 1.43 -1.43 Bata India Ltd. 0.14 -0.14 December 18,2018 Dr Reddys Laboratories Ltd. 1.39 -1.39 Ashok Leyland Ltd. 0.14 -0.14 Adani Ports And Special Economic Zone Ltd. 1.38 -1.39 Aarti Industries Ltd. 0.13 -0.13 FUND MANAGER Hero Motocorp Ltd. 1.24 -1.25 Indian Oil Corporation Ltd. 0.12 -0.12 Sailesh Jain (Managing Since 10-Dec-18 and overall experience of 19 Tech Mahindra Ltd. 1.07 -1.07 Bharat Forge Ltd. 0.10 -0.10 years) NMDC Ltd. 1.06 -1.07 Larsen & Toubro Infotech Ltd. 0.09 -0.09 Dlf Ltd. 1.06 -1.05 Pi Industries Ltd. 0.08 -0.08 BENCHMARK Apollo Hospitals Enterprise Ltd. 1.01 -1.01 Tata Consumer Products Ltd. 0.08 -0.08 Nifty 50 Arbitrage Index HDFC Life Insurance Co. Ltd. 1.00 -1.01 Tvs Motor Company Ltd. 0.07 -0.07 HCL Technologies Ltd. 0.98 -0.98 Page Industries Ltd. 0.06 -0.06 NAV HDFC Bank Ltd. 0.97 -0.97 Bharat Heavy Electricals Ltd. 0.05 -0.05 Direct - Growth : 11.6840 Hindalco Industries Ltd. 0.92 -0.92 Marico Ltd. 0.05 -0.05 Direct - Monthly IDCW : 11.2020 Hindustan Unilever Ltd. 0.85 -0.85 Petronet Lng Ltd. 0.05 -0.05 Regular - Growth : 11.4558 Titan Company Ltd. 0.85 -0.86 NTPC Ltd. 0.04 -0.04 Regular - Monthly IDCW : 10.9530 Upl Ltd. 0.84 -0.84 Gujarat Gas Ltd. 0.04 -0.04 Jindal Steel & Power Ltd. 0.83 -0.83 Astral Ltd. (Erstwhile Astral Poly Technik Ltd.) 0.04 -0.04 FUND SIZE ACC Ltd. 0.83 -0.83 Mahanagar Gas Ltd. 0.04 -0.04 Rs. 10654.82 (Rs. in Cr.) Grasim Industries Ltd. 0.82 -0.82 Godrej Consumer Products Ltd. 0.02 -0.02 Adani Enterprises Ltd. 0.81 -0.81 Coromandel International Ltd. 0.02 -0.02 MONTHLY AVERAGE AUM Kotak Mahindra Bank Ltd. 0.81 -0.81 ICICI Lombard General Insurance Co. Ltd. 0.02 -0.02 Rs. 9591.24 (Rs. in Cr.) Tata Power Company Ltd. 0.78 -0.78 ICICI Prudential Life Insurance Company Ltd. 0.01 -0.01 Zee Entertainment Enterprises Ltd. -0.76 Wipro Ltd. 0.01 -0.01 TURN OVER 0.76 Havells India Ltd. 0.73 -0.73 Gmr Infrastucture Ltd. 0.01 -0.01 Portfolio Turnover (Total) 1673.30% Mahindra & Mahindra Ltd. 0.71 -0.71 Vodafone Idea Ltd. 0.00 0.00 Portfolio Turnover (Equity component only) 403.42% Aurobindo Pharma Ltd. 0.70 -0.70 Colgate-Palmolive India Ltd. 0.00 0.00 EXPENSE RATIO** Bajaj Finance Ltd. 0.69 -0.69 Exide Industries Ltd. 0.00 0.00 United Spirits Ltd. 0.69 -0.69 % to Direct 0.33 Name of the Instrument Ratings Regular 1.10 Asian Paints (India) Ltd. 0.68 -0.68 NAV Muthoot Finance Ltd. **Note: The rates specified are actual month end expenses charged 0.67 -0.67 Debt Instruments Tata Chemicals Ltd. -0.66 as on Jul 31, 2021. The above ratio includes the Service tax on 0.66 Government Securities 10.25 Investment Management Fees. The above ratio excludes, borrowing Cadila Healthcare Ltd. 0.65 -0.66 cost, wherever applicable. GOI - 5.09% (13/04/2022) SOV 1.30 Cholamandalam Investment & Finance Co Ltd. -0.65 0.65 GOI - 8.08% (02/08/2022) SOV 1.22 VOLATILITY MEASURES^ FUND BENCHMARK Mindtree Ltd. -0.65 0.65 GOI - 6.84% (19/12/2022) SOV 1.22 Indraprastha Gas Ltd. -0.63 Std. Dev (Annualised) 0.86 0.96 0.62 GOI 8.35% 14/5/2022 SOV 1.21 Sharpe Ratio 0.64 0.35 Bajaj Auto Ltd. -0.61 0.61 GOI - 8.15% (11/06/2022) SOV 1.07 Portfolio Beta 0.56 1.00 Shree Cement Ltd. -0.60 0.60 GOI - 8.13% (21/09/2022) SOV 0.76 R Squared 0.42 1.00 Dabur India Ltd. -0.57 0.56 GOI - 8.79% (08/11/2021) SOV 0.62 Treynor 0.28 0.10 Deepak Nitrite Ltd. 0.56 -0.56 Jenson 0.10 NA GOI 8.20% (15/02/2022) SOV 0.58 Housing Development Finance Corporation Ltd. -0.56 0.56 GOI - 3.96% (09/11/2022) SOV 0.52 Portfolio Macauley Duration : 0.70 Years Info Edge (India) Ltd. 0.55 -0.55 Modified Duration : 0.69 Years GOI - 7.16% (20/05/2023) SOV 0.34 Britannia Industries Ltd. -0.54 Average Maturity : 0.73 Years 0.54 GOI - 4.26% (17/05/2023) SOV 0.33 Lupin Ltd. 0.53 -0.53 Gross Yield to Maturity (For Debt Component)* GOI - 4.48% (02/11/2023) SOV 0.33 Federal Bank Ltd. -0.53 - Including Net Current Assets : 5.36% 0.53 GOI - 7.37% (16/04/2023) SOV 0.27 Steel Authority India Ltd. -0.49 * Computed on the invested amount for debt portfolio. 0.49 GOI - 7.32% (28/01/2024) SOV 0.23 Siemens Ltd. 0.48 -0.49 Total stock in Portfolio 131 GOI - 8.83% (25/11/2023) SOV 0.20 Punjab National Bank -0.48 0.48 GOI 6.30% 9/4/2023 SOV 0.05 ^Risk-free rate based on the FBIL Overnight MIBOR rate of 3.40% as Amara Raja Batteries Ltd. -0.47 0.47 Non-Convertible Debentures/Bonds 2.53 on Jul 30, 2021 Container Corporation Of India Ltd. -0.47 0.47 04.95 % HDFC Ltd. CRISIL AAA 0.47 For calculation methodology please refer to Pg 68 Biocon Ltd. -0.46 0.46 08.60 % Nabard CRISIL AAA 0.24 Cipla Ltd. -0.46 MINIMUM INVESTMENT/ 0.46 07.67 % L&T Finance Ltd. CRISIL AAA 0.24 Bank Of Baroda -0.45 MULTIPLES FOR NEW INVESTMENT 0.45 07.18 % Nabard CRISIL AAA 0.24 LIC Housing Finance Ltd. -0.41 0.41 04.50 % HDFC Ltd. CRISIL AAA 0.23 Rs. 5,000/- and in multiples of Re. 1/- thereafter. Indian Railway Catering And Tourism Corporation Ltd. -0.42 0.41 07.00 % HDFC Ltd. CRISIL AAA 0.19 Bharat Electronics Ltd. -0.40 0.40 07.61 % Housing & Urban Development ICRA AAA 0.15 ADDITIONAL INVESTMENT/ Ultratech Cement Ltd. 0.40 -0.40 Corporation Ltd. MULTIPLES FOR EXISTING INVESTORS Torrent Pharmaceuticals Ltd. -0.39 0.39 07.39 % LIC Housing Finance Ltd. CRISIL AAA 0.15 Rs. 1,000/- and in multiples of Re. 1/- thereafter. Alkem Laboratories Ltd. -0.38 0.38 08.60 % LIC Housing Finance Ltd. CRISIL AAA 0.14 Escorts Ltd. -0.38 0.38 07.62 % Housing & Urban Development ICRA AAA 0.10 Voltas Ltd. LOAD STRUCTURE 0.38 -0.38 Corporation Ltd. Bharat Petroleum Corporation Ltd. -0.37 0.37 06.32 % Rec Ltd. CRISIL AAA 0.09 Entry Load : Not Applicable National Aluminium Co. Ltd. -0.36 0.36 07.40 % Power Finance Corporation CRISIL AAA 0.09 Exit Load : 0.25 % of the applicable NAV, if Coal India Ltd. -0.34 0.35 07.90 % India Infradebt Ltd. CRISIL AAA 0.05 redeemed/switched out/withdrawn on or before HDFC Asset Management Company Ltd. 0.35 -0.35 expiry of 30 Days from the date of allotment. 07.24 % LIC Housing Finance Ltd. CRISIL AAA 0.05 MRF Ltd. -0.35 0.35 08.45 % Sikka Ports And Terminals Ltd. CRISIL AAA 0.05 Maruti Suzuki India Ltd.