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 positive excess returns during the period between May 2016 – Jan 2020. From June 2022, the fund has given positive returns consistently. The blue line’s time above the median line indicates that the fund has outperformed the performance of the median. In March 2023, the peak of the excess return was at 13% per annum. However, in April 2023, the excess returns came down to 12% per annum.
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 -5% per annum, whilst higher than the index volatility of 6% – 8% per annum. However, in May 2023, the excess returns went up to around 13% per annum.
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 16% in Feb 2021. However, in May 2023, the tracking error came down to around 3%. 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 Feb 2023, the information ratio reached the peak at 4. However, in May 2023, the ratio came down to 3. The overall range has been around 4 to -2.
Prepared by – Oraina Dsouza, June 2023
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