Performance analysis
Rolling returns in quartiles
The 3 year excess rolling returns are negative across the corporate bond. The blue line is mostly in the 2nd/3rd quartile.
The rolling returns were between -1 to 1 % for the entire period. As of April 2023, the rolling returns is at -0.3%.
Rolling risk/return (Snail-trail)
The standard deviation on the 3 year excess returns range between -1% to 3%. overall there is high volatility in the fund.
The snail trial generated positive returns when started and had a higher risk of more than 3%. Now at the end the fund is generating negative returns with a risk of 1%.
Tracking error
The tracking error ranges between 0 to 2
The TE started at 1.95 % in the month of May 2020. From Feb 2022, the TE was consistent with almost 0.3%. as of May 2023, the TE is at 0.3%.
Information ratio
The information ratio ranges between 0 to -3.5. The overall ratio has been mostly below 0.
The IR showed many fluctuations and was positive only in the month from May 2020 to Oct 2020. For the rest of the period the IR is negative. As of May 2023, the IR is at -1.95%.
Prepared by – Ganesh Hulke
You must be logged in to post a comment.