CRISIL Composite Bond Fund Index
The CRISIL Composite Bond Fund Index is a fixed income benchmark published by CRISIL Research, a division of CRISIL Limited (a subsidiary of S&P Global). It is designed to represent the performance of a blended portfolio of government securities and investment-grade corporate bonds with medium-to-long duration profiles, reflecting the mandate of composite or dynamic bond mutual fund schemes in India. The index is used by asset management companies (AMCs) to benchmark debt mutual fund schemes that do not confine themselves to a single maturity segment.
Publisher
CRISIL Limited is India’s foremost credit rating agency and analytical services company, established in 1987 and majority-owned by S&P Global since 2005. CRISIL Research, its research division, has developed and maintained a comprehensive family of fixed income indices for the Indian debt market since the late 1990s. These indices have become the standard benchmarks for Indian debt mutual funds, used across hundreds of schemes and tens of lakhs of crores of assets under management.
The CRISIL bond index family includes:
- CRISIL Composite Bond Fund Index (this article)
- CRISIL Liquid Fund Index
- CRISIL Short-Term Bond Fund Index
- CRISIL Ultra Short-Term Bond Fund Index
- CRISIL Dynamic Gilt Index
- CRISIL Medium-Term Debt Index
- Various duration-specific government securities indices
Composition and methodology
The CRISIL Composite Bond Fund Index blends government securities (G-secs) and AAA-rated corporate bonds across a medium-to-long maturity spectrum. The broad composition is approximately:
| Component | Approximate weight |
|---|---|
| Government securities (medium and long maturity) | 50-65% |
| AAA-rated corporate bonds | 25-40% |
| State Development Loans (SDL) | 5-15% |
The exact weights vary with CRISIL’s periodic methodology reviews and are set to reflect the average portfolio composition of composite bond fund schemes in India. The index is a price and accrual total return index: it captures both the mark-to-market price return (reflecting changes in yields) and the coupon income accrual on held securities.
Key methodology features:
- Securities are rebalanced monthly.
- Eligible securities must have a minimum residual maturity and a minimum outstanding notional amount.
- The index uses closing market prices from the Fixed Income Money Market and Derivatives Association (FIMMDA) and NDS-OM (Negotiated Dealing System – Order Matching) data.
- Duration is actively managed within a defined band to reflect the composite bond fund mandate.
Duration and interest rate sensitivity
The CRISIL Composite Bond Fund Index typically maintains a modified duration in the range of 3-7 years, reflecting the blended exposure of composite bond funds that can hold both medium and long maturity instruments. This makes the index sensitive to interest rate movements:
- A 1 percentage point rise in yields reduces the index level by approximately 3-7%, depending on the prevailing duration.
- Conversely, a 1 percentage point fall in yields produces a capital gain of similar magnitude.
This interest rate sensitivity is higher than shorter-duration benchmarks like the CRISIL Short-Term Bond Fund Index or the CRISIL Liquid Fund Index.
Historical returns
Approximate CAGR of the CRISIL Composite Bond Fund Index:
| Period | Approximate CAGR |
|---|---|
| 1-year | 6-9% |
| 3-year CAGR | 5-8% |
| 5-year CAGR | 6-9% |
| 10-year CAGR | 7-9% |
Returns are driven by: (a) prevailing yields at the time of investment, (b) changes in the yield curve over the holding period, and (c) coupon income accrual. Periods of significant yield compression (2014-16, 2019-21) produced index returns well above the coupon rate; periods of yield rise (2013, 2022) produced below-coupon or negative returns.
Mutual fund schemes using this index
The CRISIL Composite Bond Fund Index is used as the benchmark for:
- Dynamic bond funds: schemes that actively manage duration across short, medium, and long maturities based on the fund manager’s interest rate outlook.
- Medium duration funds: funds targeting a Macaulay duration of 3-4 years.
- Corporate bond funds (composite mandate): schemes investing in AAA/AA-rated corporate bonds across maturities.
AMCs using this benchmark include HDFC Mutual Fund, Nippon India Mutual Fund, ICICI Prudential Mutual Fund, Axis Mutual Fund, and others with composite debt offerings.
See also
- CRISIL Liquid Fund Index
- CRISIL Short-Term Bond Fund Index
- CRISIL Ultra Short-Term Bond Fund Index
- NIFTY 10-Year G-Sec Index
- NIFTY 5-Year G-Sec Index
- Mutual fund
- AMFI
References
- CRISIL Research. “CRISIL Fixed Income Indices Methodology.” crisil.com. Accessed 2026.
- SEBI. Circular SEBI/HO/IMD/DF3/CIR/P/2018/04 on total return benchmarks, dated 4 January 2018.
- FIMMDA. “Valuation methodology for government securities and corporate bonds.” fimmda.org. 2025.
- AMFI. “Benchmark mapping for debt mutual fund categories.” amfiindia.com. 2025.