PGIM India Small cap Fund-Direct Plan 


Overall analysis 

1-yr rolling excess returns has not given higher returns compared to benchmark and TE ranges between 4-6% and in April 2023 it crossed 7% which indicates the fund is active; but the funds’ performance in the short run has decreased. The fund had given the higher excess return in comparison to its peers; but has dropped to below the first quartile over the past 1 year.

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.

Looking at the rolling return chart of the fund as it is of 1 year the fund was above the third green median line but between August 2022 – November 2022 but then started going down and now in June 2023 it is below the line so it is not better than median performance

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.

This fund has shown good 1-year excess returns, touching 6.42% per annum and a significant time around the 0-5% pa, whilst lower than index volatility of 2-3% pa. However, the excess return came down to around -11.46% in June 2023.

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.

The tracking error of the fund was at 3.33% in August 2022 which is barely active but has gone way up from March 2023 from 4.50% to 7% which is too much 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. 

At the start in August 2022 it was 1.9 which is ideal but now it has come down to -1.7 in June 2023 which is not at all ideal.

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 chart shows that fund is a mid cap growth fund.

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 factor profile chart shows that the fund is growth oriented. The momentum and volatility factors have shown a wide range in the 5-yrs historical range and the category average is also high. Liquidity factor is low compared to the 5-yrs historical range.

Prepared by – Shreyas Walve, August 2023


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