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 negative excess returns during the period between Sep 2021 – April 2023. The blue line’s time above the median line indicates that the fund has outperformed the performance of the median. However, in March 2023, the peak of the excess return was at 3% 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 -0.5% to -1% per annum, whilst higher than the index volatility of 1.5% to 2% per annum. However, in May 2023, the excess return went up to around 1.3% 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 6.7% in 2020-21. However, in May 2023, the tracking error came down to around 2.5%. The overall range has been around 6.7% to 2.5%.
Information ratio
The rolling IR has been quite volatile ranging from -5 to 5 making it difficult to discern any skill.
In 2021 and 2023, the information ratio reached the peak at 1. However, in May 2023, the ratio came down to 0.3. The overall range has been around 1.2 to -2.
Prepared by – Oraina Dsouza, June 2023
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