L&T Gilt Fund – Direct Plan

ISIN INF917K01FI7

Performance analysis

Rolling returns in quartiles

The 3-year rolling excess median return has gradually come down from around 0.57% from May 2016 to -0.20% in April 2023. The dispersion between upper and lower quartile is still wide at +1.58% and -1.67% pa.

The fund has generated positive excess returns during the period between May 2016 to Oct 2019. In May 2016, the peak of the excess return was at 3.51% per annum. However, in April 2023, the excess returns came down to 0.21% per annum.

Rolling risk/return (Snail-trail) 

Funds in this category have shown slightly higher (-2 to +1.8) standard deviation compared to the volatility of the index.

The fund has shown 3 – year excess returns touching 0.50% per annum and a significant time around -0.30% to -0.40% per annum, whilst higher than the index volatility of 0.50% to 1% per annum. However, in May 2023, the excess returns came down to around -0.20%.

Tracking error

The tracking error ranges between 2.60% to 0.60% for the period May 2020 to May 2023.

The tracking error was the highest at 2.3% in 2022. However, in May 2023, the tracking error came down to 1.29%. The overall range has been around 2.3% to 0.80%.

Information ratio

The rolling IR has been quite volatile ranging from -2.5 to 3 making it difficult to discern any skill.

In May 2022, the information ratio reached the peak at 0.8. However, in May 2023, the ratio came down to -1.8. The information ratio for the fund has mostly been above -0.5. The overall range has been around 0.8 to -1.

Prepared by – Oraina Dsouza, June 2023