Performance analysis
Rolling returns in quartiles
The 3 year excess rolling returns are negative across the corporate bond. The blue line is mostly in the 2nd/3rd quartile.
The rolling returns of the fund is negative for the entire period. As of April 2023, the fund’s rolling return is about -0.5 %.
Rolling risk/return (Snail-trail)
The standard deviation on the 3 year excess returns range between -1% to 3%. overall there is high volatility in the fund.
The fund at start was generating positive returns with high volatility. But now, the fund is generating negative returns of -0.8 % and is having a risk of 2.5%.
Tracking error
The tracking error ranges between 0 to 2
The TE was at its peak in the month of April 2021 having 1.85% and then gradually started decreasing. As of May 2023, the TE is at 0.2%.
Information ratio
The information ratio ranges between 0 to -3.5. The overall ratio has been mostly below 0.
The IR was in between -1 and 1 from May 2020 to April 2022. But after that the IR started decreasing and as of May 2023, the IR is at almost -5%.
Prepared by – Ganesh Hulke
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