Performance analysis
Rolling returns in quartiles
The 3-year excess rolling returns are decreasing across the hybrid aggressive bond. The blue line is mostly in the 2nd/3rd quartile.
The fund has generated negative excess returns for the entire period from 2021 to 2023. The blue line’s time above the median line indicates that the fund has outperformed the performance of the median. In April 2023, the excess returns were around -1% per annum.
Rolling risk/return (Snail-trail)
The standard deviation on the 3-year excess returns range between 2% to 5%. overall there is high volatility in the fund.
The fund has shown a significant time around -3% to -2% per annum, whilst higher than the index volatility of 1% to 1.5% per annum. However, in May 2023, the excess returns were around -0.2%.
Tracking error
The tracking error ranges between 2 to 8.
The tracking error was the highest at 5.8% in Aug 2021. However, in May 2023, the tracking error came down to around 2%. The overall range has been around 5.5% to 2%.
Information ratio
The information ratio ranges between 2 to -2. The overall ratio has been mostly below 0.
In May 2021, the information ratio reached the peak at 0.9. The overall range has been around -1.5 to 1.
Prepared by – Ganesh Hulke, June 2023
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