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 gave positive excess returns during the period between May 2016 – May 2017, thereafter the fund gave negative returns over the years. In May 2016, the peak of the excess return was at 9% per annum. However, in April 2023, the excess returns came down to -4% 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 -3% to -4% per annum, whilst lower than the index volatility of -2% to -1% per annum. However, in May 2023, the excess returns came down to around -4% per annum. The fund has given negative returns with low volatility.
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 5.2% in 2020 – 2021. However, in May 2023, the tracking error came down to around 3.5%. Overall the tracking error has been above 3%.
Information ratio
The rolling IR has been quite volatile ranging from -5 to 5 making it difficult to discern any skill.
In Sep 2020, 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 to -3.
Prepared by – Oraina Dsouza, June 2023
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