JM Value Fund – Direct

ISIN INF00XX01AQ6

Overall analysis 

The 3Y rolling return is not generating alpha returns as per the benchmark. TE of the fund seems to be reasonably active. IR of the fund is also upto the benchmark.

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.

The3Y rolling return chart shows that the fund has given impressive returns in the start with 13.7% in Jan 2017. from mid 2019 to mid 2021 the fund generated negative returns where -5.11% was the lowest. The fund’s return after was between 0 to 3% till 2023. Currently it’s at 4.8%.

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.

The snail trail chart of the fund rolling excess risk/return shows that the fund was giving high returns in the start and later it did decline towards the negative returns for a couple of years. It spent a significant time around 0-5%. By the end the rolling excess risk/return was 3.9%.

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.

TE of the fund shows that the fund is actively managed and there seems to be a constant attempt to secure or beat the index return, except mid 2018. The fund had TE between 3% to seems to be reasonably active. 

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 IR of the fund has been below 1% for most of the months, although it has crossed 1% a few times. The lowest IR Of the fund was -4% in Sep 2018. Currently the fund has exceeded the benchmark with 2.8% IR.

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 of the fund shows that the fund’s weightage is in the Large blend ( fund’s that own a mixture of growth and value)  section. Which means that the fund has a large market  capitalization and it‘s investment style is blend as it invests in both growth and value stocks.

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 fund’s factor profile shows that the style of the fund is closer to the growth orientation. The yield section is quite low which indicates that the fund’s dividend/buyback yield is low. The momentum of the fund is quite higher than the category average, which indicates that the fund’s returns has been rising, also the 5-yr historical range is wide. 

The quality of the fund is low means that the fund’s profitability and financial leverage is low. The volatility and liquidity of the fund is low but in volatility’s historical range it can be seen that the fund was very volatile.The market capitalization is below the category average and closer to the small cap.

Prepared by – Ayushi Shervegar, August 2023