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 did not show any changes in the excess returns during the entire period of last 2 years. 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 0% 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 -1% to -3% per annum, whilst higher than the index volatility of 0.1% – 0.2% per annum. However, in May 2023, the excess returns was around -0.1%.
Tracking error
The tracking error ranges between 2 to 8.
The tracking error was the highest at 3.9% in April 2022. However, in May 2023, the tracking error came down to around 2.8%. The overall range has been around 3.9% to 2.8%.
Information ratio
The information ratio ranges between 2 to -2. The overall ratio has been mostly below 0.
The information ratio was always negative for the entire period of 2 years. In May 2022, It reached the peak at 0. However, in May 2023, the ratio came down to -0.1. The overall range has been around -1.4 to -0.
Prepared by – Ganesh Hulke, June 2023
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