ISIN
Performance analysis
Rolling returns in quartiles
The 3-year rolling excess median return has gradually come down from around 4% from May 2016 to -1.77% in April 2023. The dispersion between upper and lower quartile is still wide at +12.43% and -7.78% pa.
The fund has generated negative excess returns during the period between March 2017 – April 2023. The blue line’s time along the median line indicates that the fund has tried matching the performance of the median.
Rolling risk/return (Snail-trail)
Funds in this category have shown slightly higher (-3.5 to +7) standard deviation compared to the volatility of the index.
The fund has shown a significant time around 0% to -1% per annum, whilst lower than the index volatility of 0% to -0.5% per annum. However, in May 2023, the excess returns came down to around -3%. The fund has given negative returns with low volatility.
Tracking error
The tracking error ranges between 1% to 16% for the period May 2020 to May 2023.
The tracking error was the highest at 4.7% in Dec 2020. However, in May 2023, the tracking error came down to around 4.2%. Overall the tracking error has been above 3%.
Information ratio
The rolling IR has been quite volatile ranging from -5 to 5 making it difficult to discern any skill.
In June 2020, the information ratio reached the peak at 1. However, in May 2023, the ratio came down to -0.3 The overall range has been around 1 to -2.5.
Prepared by – Oraina Dsouza, June 2023
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