360 ONE

Quant Fund
(Formerly known as IIFL Quant Fund)

(An open-ended equity scheme investing based on quant theme)

Dec 2023
360 ONE Quant Fund – Summary

Aim to invest in high-quality stocks (secular and

defensive*)

Disciplined approach to portfolio construction

Periodically rebalance and review

*Refer to SCDV framework as described on slide 13

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Human emotions are unpredictable

Investor Trying to time the

overconfidence market

Looking for trophy Replicate advice

investment without a thought

Over-exposure or Selling winners

under-exposure too early

Herd mentality

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What investment options are available to avoid human biases?

Index-linked Passive Funds Actively-reviewed, rule

based funds (Quant Fund)

Replicates the index

Ability to filter/select stocks

Market cap dominated

No market cap bias

Lack of better portfolio OR Method and portfolio

construction techniques
construction tested across
periods

Performance dominated by
larger companies
Possibility to capture
performance from smaller
companies

Source: Internal. Rule-based funds follow quantitative rules, and these rules are reviewed systematically

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Rule-based investing may work!

Traditional Passive Quant Approach

Approach Approach (Rule-based)

Stock Selection

Risk management

Investment process over discretion

Eliminate behavioral biases

Back-tested and validated

5 Source: Internal. Rule-based funds (named as Quant fund hereafter) follow quantitative rules, and these rules are viewed systematically 360 ONE Asset
Investment Strategy & Team
How quant investing works?

Absence of Compounding Institutional Objective

behavioural biases Of learning memory Back-testability

Unswayed by emotions Over time, models improve as Since strategies don't depend Strategies can be back-tested
new research is done for on human subjectivity, even as across multiple scenarios to
Quant strategies are fully better metrics, portfolio people come and go, check their sanity
systematic and rule-based construction methods, etc. strategies can continue to
perform.

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Myth & misconception about quantitative funds

Myth/Misconception Main Concern Passive+

Right Approach Approach
(Rule-based)
Human judgment is used for monitoring, and revision of active
Overdependence on Lack of human judgment and accountability
quantitative strategies
machine/models
Model has a fundamental basis and avoids overfitting
Overreliance on historical data

Black boxes Difficult to understand Not everything is a black box

Parameters are clearly laid out

Missing out on bottom-up Quantitative managers analyse less company- The models rely on a defined process to generate alpha (or
Stock picking specific information and miss out on good excess returns) applying the same signals across a set of
company investment thesis comparable stocks

The model works only on Over-fitting of models Emphasis on process over short term results
paper
Happy to live with underperformance over short term period vs
Reality is different from back-testing
drifting from process

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Our approach to momentum investing

Momentum Factor Portfolio Construction Weighting Methodology Sector Rotation

Composite momentum score Screening of quality stocks Based on an optimization Avoid too much sector
based on stock returns in based on proprietary function overweight or
the recent past investment framework underweight to reduce
Weighting is subject risk from sector rotation
Momentum score adjusted Portfolio is optimized to sector constraints
for quality of momentum for maximum exposure

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360 ONE Quant Fund philosophy

Bet on momentum
No extreme positions Transparency of
No manual overrides a widely tested strategy
We do not take extreme methodology
Keeping it Simple across markets, asset
position in stock or classes, and time periods
sector

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Differentiators among Quant Funds

Portfolio
Choice and Design Allocation and Rebalancing
Construction
Of Variables Constraints Frequencies
Methodology

Even though two Quant Funds may both be value funds, or momentum funds, their portfolios and performance can be very different. Why
two value funds should be different? This is because there are lots of parameters that define a value strategy. For example, some funds
might define value factor as low price to book ratio while others might take a combination of variables like price to book, price to
earnings, EV/EBITDA, dividend yield, etc., to define value factor. The choice of variables a fund manager uses can cause the resulting
portfolios tohave a very different outcome

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Investment strategy

Investment universe Top 200 stocks by market cap and liquidity

Calculate momentum score as the average of 6 month

Momentum score
and 12 month volatility adjusted returns

Retain only companies in secular and defensive

Filters
quadrants

Build portfolio with companies with highest momentum

Build portfolio scores subject to the following constraints:
• No single position to exceed 3% weight
• Sector level weights in portfolio not to be under- or
over-weight compared to benchmark by more than a
pre-set limit

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Quality filter based on SCDV : Investment framework

Select

Cyclical (C) Secular (S) Eliminate

BSE 200 BSE 200
Growth

15%
PAT

Value Traps (V) Defensives (D)

BSE 200 BSE 200

15%
Return on Equity

Sectors stated in SCDV investment framework are indicative and based on internal research. The scheme may or may not hold the securities in all the sectors as mentioned in the investment framework above.S-
13 Secular Companies with consistent ROE & PAT growth > 15%, C- Cyclical Companies with PAT growth > 15% but ROE < 15%, D- Defensive Companies with ROE > 15% but PAT growth < 15%, V- Value Traps 360 ONE Asset
Companies with both ROE & PAT growth < 15%. ROE = Return on Equity, PAT = Profit After Tax
Risk related to momentum investing

Momentum Crashes
In extreme market environments after a long market downturn, the market prices of past losers embody a very high premium. When
ntum
-only strategy, like 360 ONE Quant Fund, the impact of such
momentum crashes can lead to underperformance of the strategy

Tracking Error Risk

A momentum strategy portfolio can be concentrated in few sectors (sectors which have performed well) which can lead high tracking error

General Risk associated with Equity Investment

Investments in the equity shares of the Companies are subject to price fluctuation on daily basis. The volatility n
i the value of equity is due to
various micro and macro economic factors like economic and political developments, changes in interest rates, etc. affecting the securities
markets. This may have adverse impact on individual securities/sector and consequently on the NAV of Scheme

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Fund Details
Top sector and stock allocation

% to Net Sector Allocation (%)

Company Name Sector
Assets
Financial Services 26.39%
Power Finance Corporation Limited Financial Services 3.86% Capital Goods 18.84%

Hindustan Aeronautics Limited Capital Goods 3.83% Healthcare 9.55%

Oil Gas & Automobile and Auto Components 9.11%

Indian Oil Corporation Limited 3.60%
Consumable Fuels
Information Technology 8.82%
REC Limited Financial Services 3.57%
Fast Moving Consumer Goods 8.12%
Bharat Electronics Limited Capital Goods 3.44%
Oil Gas & Consumable Fuels 6.58%
Macrotech Developers Limited Realty 3.23%
Realty 3.23%

Dixon Technologies (India) Limited Consumer Durables 3.20% Consumer Durables 3.20%
Automobile and Diversified
Bajaj Auto Limited 3.18% 3.11%
Auto Components
Chemicals 2.14%
Aurobindo Pharma Limited Healthcare 3.17%

Automobile and Treps, Cash Equivalents 0.92%

TVS Motor Company Limited 3.17%
Auto Components

Data as on December 31, 2023. Sector Classification used is as per AMFI

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Scheme Performance and NAV Movement
Performance (in ₹) for 360 ONE Quant Fund*
Scheme/Benchmark 1 year PTP (₹) Since Inception PTP (₹)

360 ONE Quant Fund - Reg Growth 44.78% 14478.12 21.51% 15018.30
360 ONE Quant Fund - Dir - Growth 46.45% 14644.98 22.91% 15382.50
Benchmark* 24.48% 12448.21 15.05% 13401.13
Additional Benchmark** 20.33% 12032.72 13.20% 12954.30
Past performance may or may not be sustained in future. Different plans shall have different expense structure. Performance is as on December 31, 2023; Point to Point (PTP) returns are based on standard
investment of Rs.10,000; Since Inception date is Nov 29, 2021; *S&P BSE 200 TRI; **S&P BSE Sensex TRI; The performance of the scheme is benchmarked to the Total Return variant of the Index. *Mr. Parijat Garg
is the fund manager for 360 ONE Quant Fund. Mr. Garg is also managing 360 ONE ELSS Tax Saver Nifty 50 Index Fund, refer to slide 20 for performance of other schemes managed by the same fund manager.

NAV Movement Since Inception (Rebased to 100) 154

134
130

100
Aug-22

Sep-22

Oct-22

Aug-23

Sep-23

Oct-23
Dec-21

Feb-22

Dec-22

Feb-23

Dec-23
Nov-21

Jan-22

Mar-22

Apr-22

May-22

Jul-22

Nov-22

Jan-23

Mar-23

Apr-23

May-23

Jun-23

Jul-23

Nov-23
Jun-22

360 ONE Quant Fund - Direct Plan S&P BSE 200 - TRI S&P BSE SENSEX - TRI

17 Source: 360 ONE Asset Management Limited. Data as of December 31, 2023. Inception date of the fund is November 29, 2021 360 ONE Asset
Key terms

Particulars Details
The investment objective of the scheme is to generate long term capital appreciation for investors from a portfolio of equity and
equity related securities selected based on quant theme. However, there can be no assurance or guarantee that the investment
Investment objective
objective of the scheme would be achieved

Fund Manager Mr. Parijat Garg

Benchmark S&P BSE 200 TRI

Exit load 1% if redeemed/switched out, on or before 12 months from the date of allotment

Minimum investment New Purchase Rs. 1000 and in multiples of Re. 1 thereafter
amount Additional purchase - Rs. 1000 and in multiples of Re. 1 thereafter

Weekly option - Rs. 1000 per instalment for a minimum period of 6 weeks. Default day triggered every Tuesday.
Fortnightly- Rs. 1000 per instalment for a minimum period of 6 fortnights triggered on 2nd & 16th of every month
Minimum SIP amount Monthly option - Rs. 1000 per month for a minimum period of six months.
Quarterly Option Rs.1000 per quarter for a minimum period of 6 Quarters
Instruments^ % Risk Profile
Equity or *Equity Related Instruments 80% - 100% Medium to High
Asset Allocation Debt and money market instruments 0% - 20% Low to Medium
Units issued by REITs and Invits 0% - 10% Medium to High

18 ^Please refer to scheme SID for detailed asset allocation 360 ONE Asset
Investment team

Anup Maheshwari, Co-founder & CIO

Anup brings with him 28 years of investment experience. He joined 360 ONE Asset Management Limited (formerly known as
IIFL Asset Management Limited) from DSP Investment Managers Private Limited (formerly known as DSP BlackRock
Investment Managers Private Limited) in August 2018. He was associated with DSP BlackRock since July 1997 and was last
designated as the Chief Investment Officer, Equities.
For a brief period between December 2005 and May 2006, he was the CIO at HSBC Asset Management before returning to
DSP BlackRock. Previously he was also associated with Chescor, a British fund management firm managing three offshore
India equity funds. Anup is an alumnus of IIM Lucknow

Parijat Garg, Executive Vice President

Fund Manager- 360 ONE Quant Fund
Mr. Parijat has over 16 years of experience in the financial services industry including algorithmic trading, stock broking and
financial data services. Prior to joining 360 ONE Asset Management Limited (formerly known IIFL Asset Management
Limited), he was associated with Quadeye Securities LLP as a portfolio manager and prior to that, he has worked with Tower
Research Capital (India) as a quant analyst. Mr. Garg is a computer science engineer from IIT Bombay and a CFA charter
holder.
Mr. Parijat Garg also manages 360 ONE ELSS Tax Saver NIFTY 50 Index Fund (Formerly known as IIFL ELSS NIFTY 50 Tax
Saver Index Fund)

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Performance of other schemes managed by the fund manager

Performance for 360 ONE ELSS Tax Saver Nifty 50 Index Fund
Scheme/Benchmark 1 year Since Inception

360 ONE ELSS Tax Saver Nifty 50 Index Fund - Reg - Growth 20.12% 19.94%
360 ONE ELSS Tax Saver Nifty 50 Index Fund - Dir - Growth 20.42% 20.23%
Benchmark* 21.30% 21.00%
Additional Benchmark** 21.11% 20.83%
Past performance may or may not be sustained in future. Different plans shall have different expense structure. Performance is as on December 31, 2023; Since Inception date is Dec 28, 2022; Managed by the fund
manager since 28 December 2022 ;*Nifty 50 TRI; **S&P BSE Sensex 50 TRI; The performance of the scheme is benchmarked to the Total Return variant of the Index.

THIS PRODUCT IS SUITABLE FOR INVESTORS WHO ARE SEEKING* Scheme Risk-O-Meter Benchmark Risk-O-Meter
• Capital appreciation over long term
• Investment in stocks comprising the Nifty 50 Index in the same proportion as in the
index to achieve returns equivalent to the Total Returns Index of Nifty 50 Index, subject
to tracking error while offering deduction under Section 80C of IT Act, 1961

*Investors should consult their financial advisers if in doubt about whether the product is
suitable for them Nifty 50 TRI

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Disclaimer

Scheme Risk-O-Meter Benchmark Risk-O-Meter

Passive Passive+ Approach
THIS PRODUCT IS SUITABLE FOR INVESTORS WHO ARE SEEKING:
Approach (Rule-based)
Capital Appreciation over long term;
Investment predominantly in equity and equity related instruments selected based on quant
model
Investors should consult their financial advisers if in doubt about whether the product is suitable
for them

The above commentary/opinions/in house views/strategy incorporated herein is provided solely to enhance the transparency about the investment strategy / theme of the
Scheme and should not be treated as endorsement of the views / opinions or as an investment or tax advice. The above commentary should not be construed as a research
report or a recommendation to buy or sell any security. The information / data herein alone is not enough and be used for the development or implementation of an
investment strategy. The above commentary has been prepared based on information, which is already available in publicly accessible media or developed through analysis of
360 ONE Mutual Fund. The information/ views / opinions provided is for informative purpose only and may have ceased to be current by the time it may reach the recipient,
which should be considered before interpreting this commentary. The recipient should note and understand that the information provided above may not contain all the material
aspects relevant for making an investment decision and the stocks may or may not continue to form part of the portfolio in future. The decision of the Investment
Manager may not always be profitable as such decisions are based on the prevailing market conditions and the understanding of the Investment Manager. Actual market
movements may vary from the anticipated trends. The statements made herein may include statements of future expectations and other forward-looking statements that are
based on our current views and assumptions and involve known and unknown risks and uncertainties that could cause actual results, performance or events to differ materially
from those expressed or implied in such statements. This information is subject to change without any prior notice. The Company reserves the right to make modifications and
alterations to this statement as may be required from time to time. Neither 360 ONE Mutual Fund (Formerly known as IIFL Mutual Fund) / 360 ONE Asset Management Ltd, its
associates, directors or representatives shall be liable for any damages whether direct or indirect, incidental, punitive special or consequential including lost revenue or lost
profits that may arise from or in connection with the use of the information.

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 Thank you

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