Rolling returns in quartiles
The 3-year excess rolling returns are below the zero mark (ranging from 0 to -2%) across the hybrid conservative bond. The median returns have gradually come down from +2 % in May 2016 to -1% in April 2023. The dispersion between upper and lower quartile is very wide at +6 to -2% p.a.
The fund has generated positive excess returns during the period between May 2016 – May 2019. Thereafter, the fund has given negative returns and again gave positive returns from February 2022. In Feb 2023, the excess returns were around 6% per annum.
Rolling risk/return (snail trail)
Funds in this category have shown slightly higher ( 0 to 4.5) standard deviation compared to the volatility of the index.
The fund has shown a significant time around 0 to 6% per annum, whilst higher than the index volatility of 4 to 5.5% per annum. However, in May 2023, the excess returns went up to around 6.2%.
Tracking error
The tracking error ranges between 1% to 4% for the period May 2016 to May 2023.
The tracking error was the highest at 8.5% in Feb 2021 and came down to 2 in 2023. However, in May 2023, the tracking error came down to around 2%. The overall range has been around 2 to 6%.
Information ratio
The rolling IR has been quite volatile ranging from -2.5 to +2 making it difficult to discern any skill.
In April 2021, the information ratio reached the peak at 3.9. However, in May 2023, the ratio came down to -0.1. The overall range has been around -3 to 3.
Prepared by – Akash Damani, June 2023
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