Heatmap ready
Top-down attribution is appropriate for funds that allocate sector weights w.r.t. benchmark sector weights and subsequently
take stock selection calls within the sector. The hierarchical decision making is appropriately represented in the drill down of
performance from Portfolio to Sector to Security level.
True North: The performance snapshot
STATISTIC
FUND
INDEX
Return
Point to point return generated (Higher is better)
23.81%
40.02%
Alpha
Outperformance of the fund with respect to the benchmark (Higher is better)
-16.21%
Active Risk
Active Risk, also known as tracking error, is the extra risk taken in the fund to generate the outperformance. It's the volatility of daily alpha (Lower is better)
4.88%
Volatility
The measure of risk in the portfolio (Lower risk is better).
13.71%
13.83%
Beta
Beta explains the sensitivity of portfolio with respect to the benchmark.
0.93
1.00
Jensen Alpha
Outperformance that the fund manager would have generated by taking the same risk as benchmark. (Better if higher than Alpha)
-14.25%
Sharpe Ratio
Return per unit of risk generated by a portfolio used for comparing portfolios with volatility as the risk measure (Higher is better).
0.35
0.83
Treynor Ratio
Return over market expectations generated by the fund, given the same risk as market (Higher is better)
5.16%
11.54%
Information Ratio
Outperformance generated per unit of extra risk taken by the fund and used to compare funds (Higher is better)
-0.33
Sortino Ratio
Return per unit of risk generated, while risk refers to volatility during negative market days (Higher is better)
0.73
2.2
Alpha Drivers: Which skills have created outperformance
Allocation is the alpha from sector weighting decision and Selection is the alpha from the stock picking decision. Active Management effect is the alpha from transactions during a month, dividend declared by schemes (for dividend option only), undeclared portion of the portfolio and fund's expenses.
Sector Heat-map: What. Why. Where.
Heatmap shows a pictorial bird's eye view of fund performance drilled-down to sector level. The alpha is segregated to fund management decisions and the effectiveness is depicted using the green to red color gradient. The green shades represent the better decisions.
Bottom-up attribution is appropriate for funds that have stock picking as their investment style, regardless of the relative sector exposure (w.r.t. the index). Stocks that outperform the index would
generate alpha and the calls within/outside index can be clearly analyzed.