Folio Lab/Documentation

Mutual Fund Optimization

Run portfolio optimization across Indian open-ended equity mutual funds. The platform uses MFAPI for daily NAV history and AMFI's NAVAll feed for SEBI category classification.

Mutual fund optimization is in beta

This feature is new and still being hardened. Coverage is limited to equity-oriented open-ended schemes. NAV history comes from MFAPI and category classification from AMFI; results may differ from broker statements. Treat outputs as exploratory and verify before using for live decisions.

How it works

On the Optimize page, switch the Asset Class toggle from Equities to Mutual Funds. The selector lets you search the full universe of equity-oriented schemes by scheme name or AMC, paginated against the backend. You then submit between 2 and 30 schemes for optimization, exactly the same way you submit a basket of stocks.

Internally, the backend resolves each scheme code to a daily NAV series via MFAPI, treats the NAV as a price series, and feeds the resulting return matrix through the same optimizer pipeline used for equities. All post-optimization metrics, rolling backtests, and PDF reports work the same way as for stock baskets.

Data sources

MFAPI (api.mfapi.in)

Provides the master scheme directory (~37,000 open-ended schemes) and the daily NAV history per scheme code. The master list is cached server-side for 24 hours; each scheme NAV pull is on-demand.

AMFI NAVAll feed

Provides the official SEBI category for each scheme (e.g. "Equity Scheme - Large Cap Fund", "Other Scheme - Index Funds"). Used to filter out non-equity schemes before they appear in search.

Why these sources

MFAPI exposes a clean public NAV history without scraping AMC websites, and AMFI's daily NAVAll text file is the regulator's own categorization. Combining the two gives a defensible filter without relying on scheme-name pattern matching.

Equity-only filter

Sharpe ratio, alpha, beta, Sortino, and most other performance metrics implicitly assume an equity return distribution and an equity benchmark. To keep the analytics meaningful, only equity-oriented categories are exposed:

Included

  • Large Cap Fund
  • Mid Cap Fund
  • Small Cap Fund
  • Large & Mid Cap Fund
  • Multi Cap Fund
  • Flexi Cap Fund
  • ELSS
  • Sectoral / Thematic Fund
  • Focused Fund
  • Dividend Yield Fund
  • Value Fund / Contra Fund
  • Equity Index Fund (e.g. NIFTY 50, SENSEX, NIFTY 500)

Excluded

  • Debt schemes (gilt, corporate bond, credit risk, banking & PSU, etc.)
  • Liquid and overnight schemes
  • Hybrid schemes (aggressive, balanced, conservative, dynamic asset allocation)
  • Arbitrage funds
  • Solution-oriented schemes (retirement, children's funds)
  • Gold and silver ETFs / fund of funds
  • Gilt index funds

Equity index funds (NIFTY 50, NIFTY Next 50, NIFTY 500, SENSEX, etc.) are included. Gilt and bond index funds are excluded even though they are categorised under "Other Scheme - Index Funds", because their return distribution is debt-like.

Limited-history caveat

MFAPI NAV history typically starts in the mid-2000s. For any mutual fund run, the limited-history acknowledgement always fires:

Limited price history for this configuration

Mutual fund NAV history (MFAPI) typically starts in the mid-2000s, and the selected benchmark may itself be shorter than NIFTY 50. The optimizer truncates the NAV series to align with the benchmark window so post-optimization metrics are computed on a consistent overlap.

See Supported Benchmarks for inception dates per benchmark.

Submission contract

The Optimize page submits a list of { scheme_code, label } objects to the backend instead of NSE / BSE tickers. The backend validates each scheme code is a positive integer present in the cached MFAPI master, and that its AMFI category is in the equity-oriented allow-list. Submission fails with a 400 if either check fails.

Minimum 2, maximum 30 schemes per run, matching the equity flow. Duplicates are rejected at the validation layer.

Known limitations

NAV is total-return implicit. MFAPI NAVs are growth-option NAVs, so dividends are reinvested by construction. Direct vs Regular plans have different NAV series; pick the plan you actually intend to hold.

Cut-off and pricing. NAVs are end-of-day, struck at AMC cut-off. There is no intra-day price; metrics like beta are computed at daily granularity only.

Benchmark mismatch. An NSE-listed equity benchmark is used for relative metrics. A flexi-cap or smallcap fund will mechanically exhibit higher tracking error against NIFTY 50 than against NIFTY 500 or NIFTY Smallcap 250.

Survivorship. Wound-up schemes are not in the live MFAPI master. Backtests on currently-live schemes therefore have an upward survivorship bias.

Expense ratio is implicit in NAV. Returns are net of TER, so "alpha" here is post-fee alpha, not gross.

References

MFAPI - daily NAV API for Indian mutual funds: api.mfapi.in

AMFI India - NAVAll daily file with SEBI scheme categorization: amfiindia.com

SEBI Circular on Categorization and Rationalization of Mutual Fund Schemes (SEBI/HO/IMD/DF3/CIR/P/2017/114).