NISM Series V-D Cheat Sheet: Funds, Futures and Options
Review fund calculations, SIF boundaries, derivative cash flows and interest-rate sensitivities before testing them in fresh practice.
Use this original reference after studying NISM’s materials. It is not an official formula sheet. Identify the date, units, cash-flow timing and contract convention before calculating.
Mutual-fund calculations
\[ \mathrm{NAV}=\frac{\text{assets}-\text{liabilities}}{\text{units outstanding}} \]For one initial unit with a cash distribution kept outside the scheme:
\[ R_{\mathrm{HP}}=\frac{\mathrm{NAV}_{1}-\mathrm{NAV}_{0}+\text{cash distribution}}{\mathrm{NAV}_{0}} \]If distributions are reinvested, track the additional units and their ending value. Do not add the same distribution twice. For a defined holding period of \(n\) years with no external cash flows:
\[ \mathrm{CAGR}=\left(\frac{V_1}{V_0}\right)^{1/n}-1 \]A 25% rise followed by a 20% fall returns capital to its starting value: \(1.25\times0.80=1\). Averaging the percentages would give a misleading growth measure. NAV-based returns already reflect scheme expenses; do not deduct TER again.
| Measure | Deciding distinction |
|---|---|
| Sharpe ratio | Excess return divided by return standard deviation: total-risk efficiency. |
| Treynor ratio | Excess return divided by beta: systematic-risk efficiency; near-zero beta can make ranking unstable. |
| Jensen’s alpha | Actual return less the return required by the stated benchmark model. |
| Tracking error | Standard deviation of active returns, using the stated sample and annualisation conventions; not average underperformance. |
| Suitability | Goal, horizon, liquidity, loss capacity and existing exposure; neither a risk label nor a low NAV proves fit. |
SIF distinctions
- The ordinary minimum is ₹10 lakh across strategies of the concerned SIF at PAN level; regular MF holdings do not count. Check accredited-investor and specified employee-investment exceptions.
- Read the ISID’s redemption windows and notice separately from subscription access. A five-level Risk-band is product disclosure, not a personal suitability decision.
- A NAV-only shortfall differs from an investor-initiated threshold breach. Check the applicable holding, redemption and rebalancing rules before recommending a transaction.
- The 25% unhedged-short limit is not a limit on every derivative position. Regulatory gross exposure, economic net exposure, option premium and margin are different measures. The specified derivative offset requires matching underlying and expiry.
Use the SEBI SIF investor FAQ and current MF Master Circular , checked October 15, 2026. For tax, establish the tax year, applicable Act, fund classification, acquisition/transfer dates and investor status before using a rate; TDS is not automatically final tax.
Futures: quantity, carry and cash
\[ \begin{aligned} \text{Notional}&=\text{futures price}\times\text{units per contract}\times N\\ \text{Long cumulative P/L}&=(F_T-F_0)\times\text{units per contract}\times N \end{aligned} \]Reverse the P/L sign for a short. Initial margin is collateral, not the purchase price or maximum loss. Daily settlement can require cash before an offsetting shareholding is sold.
For a non-dividend-paying underlying with simple financing, \(F_0=S_0(1+rT)\). With compatible continuous financing and dividend yields, \(F_0=S_0e^{(r-q)T}\). Discrete dividends require their actual timing. Carry-consistent pricing is not a guaranteed forecast of future spot.
For a long portfolio, the illustrative beta-adjusted short hedge is:
\[ N=\frac{(\beta_{\mathrm{current}}-\beta_{\mathrm{target}})V_P}{\text{futures price}\times\text{contract multiplier}} \]A positive result means sell under these conventions. Round as instructed and calculate the residual exposure. With basis defined as spot minus futures, a short hedge’s effective sale price is opening futures price plus closing basis. Early closure can leave basis risk.
Options: payoff is not profit
For a purchased option at expiry, per underlying unit:
\[ \begin{aligned} \text{Call profit}&=\max(S_T-K,0)-c\\ \text{Put profit}&=\max(K-S_T,0)-p \end{aligned} \]Here \(K\) is strike and \(c,p\) are premiums paid; interest and costs are ignored. Multiply by the covered quantity. An in-the-money option can still lose after premium. Physical exercise creates a delivery/payment obligation; cash settlement pays the specified difference instead. European exercise is at expiry; exercise style is separate from settlement method.
Interest-rate checks
For a small parallel yield move, ignoring convexity:
\[ \frac{\Delta P}{P}\approx-D_{\mathrm{mod}}\Delta y, \qquad \mathrm{PVBP}\approx P D_{\mathrm{mod}}\times0.0001 \]A position worth ₹50 lakh with modified duration 4 has a PVBP magnitude of about ₹2,000 per basis point. A 10-basis-point rise implies an approximate ₹20,000 decline. Use compatible value/yield units. A bond-price call is not a yield call, and a 100-minus-rate quotation applies only when the contract specifies it.
Before calling a spread an arbitrage, use executable buying/selling prices, financing, dividends, costs, deliverability and margin funding. Check the dated contract rather than assuming all Indian listed products share one lot, expiry or settlement convention.
Use the free practice exam to apply these distinctions and Official Resources when a rule or contract detail needs checking.