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 has generated positive excess returns during the period between May 2016 – Feb 2020. Thereafter, the fund has given negative returns. The blue line’s time above the median line indicates that the fund has outperformed the performance of the median. In Feb 2023, the excess returns were around 2% 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 4% to 6% per annum, whilst higher than the index volatility of 1% – 3% per annum. However, in May 2023, the excess returns went up to around 2.5%.
Tracking error
The tracking error ranges between 2 to 8.
The tracking error was the highest at 3.7% in Feb 2021. However, in May 2023, the tracking error came down to around 1.9%. The overall range has been around 3.8% to 1.8%.
Information ratio
The information ratio ranges between 2 to -2. The overall ratio has been mostly below 0.
In Oct 2021, the information ratio reached the peak at 4. However, in May 2023, the ratio came down to -0.5. The overall range has been around -2 to 4.
Prepared by – Ganesh Hulke, June 2023
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