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 fund was consistent for the entire period having rolling returns of about -3 %. The fund was always in the 3rd and 4th quartile for the entire period.
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 snail trail for the past few years does not show any growth in the fund. Now the fund has negative returns of about -1.7 % and has a risk of 0.9 %.
Tracking error
The tracking error ranges between 0 to 2
The TE is seen gradually decreasing for the entire period. It was at its peak having TE 1.80 % in the month of Oct 2021. It took a steep jump of around 0.4% in the month of Feb 2022. Now, the TE is at around 0.55 %.
Information ratio
The information ratio ranges between 0 to -3.5. The overall ratio has been mostly below 0.
The IR was never on the positive side. It went down to -3.7 in the month of Sep 2022.
Prepared by – Ganesh Hulke
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