Performance analysis
Rolling returns in quartiles
The 3-year excess rolling returns are decreasing across the hybrid aggressive bond. The blue line is mostly in the 2nd/3rd quartile.
The fund has generated mostly 0% returns for the entire period of 3 years. The blue line’s time above the median line indicates that the fund has outperformed the performance of the median. In Oct 2022, the excess returns were around -1% per annum.
Rolling risk/return (Snail-trail)
The standard deviation on the 3-year excess returns range between 2% to 5%. overall there is high volatility in the fund.
The fund has shown a significant time around 0.5% to -0.5% per annum, whilst higher than the index volatility of 1.5% per annum. However, in May 2023, the excess returns went down to around -0.7%.
Tracking error
The tracking error ranges between 2 to 8.
The tracking error was the highest at 3.7% in the year 2020 and 2022. However, in Oct 2022, the tracking error was around 3.6%. The overall range has been around 2% to 3.6%.
Information ratio
The information ratio ranges between 2 to -2. The overall ratio has been mostly below 0.
In July 2021, the information ratio reached the peak at 1.8. However, in Oct 2022, the ratio came down to -1.2. The overall range has been around 2 to -1.
Prepared by – Ganesh Hulke, June 2023
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