ICICI Prudential Small cap Fund – Direct Plan


Overall analysis 

3-yr rolling excess returns was giving negative return till march 2020 but from june 2019 it went to 10% in july 2021. Tracking error of the fund range is between 4-6%. The snail trail chart shows that the fund has given higher returns with high risk.The fund has given a high excess return in comparison to its peers. 

Performance analysis 

Rolling returns in quartiles

The rolling return chart shows excess 3-year annualised returns in context of peer return quartiles. The blue line’s time above the third green median line indicates the fund’s better than median performance.

The rolling return chart shows that the fund from June 2016 to June 2019 was giving negative returns but from June 2019 it has been above the green median line and it was around 9% in june 2023 indicates fund ‘s performance is better than the benchmark. 

Rolling risk/return (Snail-trail) 

The rolling risk/return chart shows excess 3-year annualised returns relative to the index. The top left quadrant would indicate higher returns with lower volatility than index.

This fund has shown impressive 3-year excess returns, giving high returns in the start, touching 10% per annum and a significant time around the 5-10% pa, whilst higher than index volatility of 2-3% pa. However, the excess return came down to around -14.03% October 2016.

Tracking error

The tracking error chart shows how the fund ‘tracks’ against the index. The higher the TE, the more active the fund’s return has been, with the 2-4% range considered to be barely active, 4-6% range considered to be reasonably active and anything higher attributed to concentrated/focused funds. Funds with TE of less than 2% can be considered to be closet indexers.

The tracking error of the fund was 12% in june 2016 but then it decreased to 7% in June 2023 indicates active fund.

Information ratio

The information ratio is a measure of ‘risk-adjusted return’ as it’s the excess return per unit of excess volatility. Active funds should have IR of higher than 1, ideally higher than 1.3 at least to indicate skill. 

The information ratio of the fund was negative in June 2016 which was not ideal and it has gone up to 3.5 which is good for the fund and in June 2023 -0.1 which is not ideal.

Portfolio analysis

Stock style chart

Morningstar’s stock style chart shows the ‘style’ of the stocks in the portfolio in terms of size and value/growth style. The centroid shows the weighted average while the zone circle shows how varied the stock styles are.

The stock style shows that the fund is typically a mid and small growth fund,

Factor profile chart

Morningstar’s factor profile shows the historical style analysis of the stocks in the portfolio in terms of size, value/growth style and other key factors. The blue circle shows the fund relative to the black dot for the category average.

The factor profile chart shows that the fund style is growth oriented, yield is very low, momentum factor has shown wide range in the 5-yr historical range whereas category average high. The quality of the fund is high, volatility is moderate, liquidity is low compared to the 5-yr historical range.

Prepared by – Shreyas Walve, August 2023


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