* Period ending 31st January, 2024 ** Among multicap PMSes for five year period *** Five year Period
In the month of January, the benchmark S&P BSE 500 TRI has grown by 1.9%. Against that, Sameeksha PMS (Portfolio Management Service = Separately Managed Accounts) gained 3.4% (net of all fees and expenses) while having cash levels of 7.6% at start of the month and 5.7% at the end of the month. Sameeksha AIF (Alternative Investment Fund = “Hedge Fund”) also gained 3.4% (post fees and expenses), indicating outperformance.
We summarize key aspects of our performance as follows:
Sr. No. |
Vehicle |
Particulars |
Summary of our performance |
1. |
PMS |
Aggregate (Refer Table 1, Table 2 and Figure 1) |
|
2. |
AIF |
Aggregate (Refer Table 10, Table 11 and Table 12) |
|
3. |
PMS |
Fund (Refer |
|
4. |
PMS |
Risk (Refer |
|
5. |
AIF |
Risk (Refer |
|
6. |
PMS |
PMS (Refer |
|
7. |
AIF |
AIF (Refer |
|
8. |
PMS |
Returns (Refer |
|
9. |
PMS |
Performance (Refer |
|
10. |
PMS |
Portfolio (Refer |
|
1. Inception is 01/04/2016 2. Inception is 10/02/2022 3. As on 31st January, 2024 4.Period ending 31st January, 2024 5. Benchmark is BSE500TRI
PMS Performance and other details
Three important things must always be kept in mind when looking at performance data. First, for funds such as ours that do not follow model portfolio strategy, the performance of individual clients for different duration is important to look at. Second, some PMSes may be charging fees outside the PMS and hence after fees, performance data may not be comparable to ours. Third, it is important to look at not only portfolio returns but also risk adjusted ratios. We provide data to address all three points later in this note.
Aggregate Portfolio Returns over various time periods
Sameeksha PMS has delivered a substantial aggregate annual alpha of 65.1% over BSE500 TRI over the eight financial years (including the current incomplete financial year) implying an average alpha of 8.1% since inception (Table 1).
Table 1: Key data on alpha generation over eight2 financial years since inception1 |
|||
Key Indices |
Aggregate alpha generated % |
Average alpha generated% |
% times alpha generated over 8 FYs |
BSE500 TRI |
65.1 |
8.1 |
75% |
1. Inception Date 1/4/2016 2. Current financial year upto 31st January, 2024
It is important to note that we have maintained relatively higher levels of cash (13.1% on average over the entire period from inception) from time to time over the duration of managing the portfolio. Notwithstanding the same, from inception, over five years and over three years respectively, we have generated returns of 24.0%, 33.3% and 32.1% in INR terms and 20.5%, 29.3% and 26.5% in USD terms thus generating substantial alpha over the Indian benchmark BSE500 TRI returns and SPY ETF (ETF tracking US S&P 500 index), respectively. Also, we have delivered strong returns relative to benchmark across various key time periods (Table 2 and Figure 1).
Table 2: Portfolio performance since inception |
|||||||
Period |
Portfolio Return % (INR) 1 2 (A) |
Benchmark Returns4 % (B) |
Alpha vs the Benchmark4% |
Portfolio Returns % (USD) (C) |
US Market5 % (D) |
Alpha vs US Market5 % |
Average Cash Levels |
Since |
24.0 |
16.9 |
7.2 |
20.5 |
11.4 |
9.1 |
13.1 |
5 Years |
33.3 |
18.5 |
14.8 |
29.3 |
12.3 |
17.0 |
9.3 |
3 Years |
32.1 |
21.9 |
10.3 |
26.5 |
9.3 |
17.3 |
10.9 |
2 Years |
26.1 |
16.5 |
9.6 |
19.5 |
3.6 |
15.9 |
10.4 |
1 Year |
58.1 |
33.4 |
24.7 |
55.7 |
20.5 |
35.1 |
9.0 |
6 Month |
26.4 |
16.2 |
10.2 |
25.1 |
5.5 |
19.6 |
11.7 |
3 Month |
16.6 |
17.9 |
-1.3 |
16.9 |
15.5 |
1.5 |
10.2 |
1 Month |
3.4 |
1.9 |
1.5 |
3.7 |
2.2 |
1.5 |
5.7 |
1. Post Fees and Expenses, 2. Aggregate Portfolio , 3. From inception (1/4/2016) till 31st January, 2024 4. S&P BSE500TRI 5. SPY ETF
Aggregate Portfolio Performance and ranking on a rolling periods basis
Rolling returns are a more useful indicator of consistency in performance versus single period returns. For rolling three year periods applicable to our entire operating history, Sameeksha PMS has delivered aggregate annualized alpha 97% of the times (56 out of 58 observations) ranging from 0.4% to 23%. For the rolling five year periods applicable, Sameeksha PMS has delivered aggregate annualized alpha 100% of the time (35 out of 35 observations) ranging from 5% to 16% (Table 3).
Table 3: Number of times alpha1 generated over rolling five and three year periods |
||
Particulars |
Rolling Five Year periods |
Rolling Three Year periods |
Number of observations 2 |
35 |
58 |
Number of times alpha generated |
35 |
56 |
% times alpha generated |
100% |
97% |
Median annualized alpha |
7% |
9% |
Maximum annualized alpha |
16% |
23% |
Minimum annualized alpha |
5% |
0.4% |
1. For this calculation, alpha is calculated over BSE500 TRI
For rolling three year periods applicable to our entire operating history, we have been ranked among the multicap universe in the Top Decile 60% of the time (35 out of 58 observations) and in the Top Quartile 93% of the time (54 out of 58 observations). For the remaining 7% observations, we were ranked in the Second Quartile (Tables 4 and 5). For rolling five year periods applicable to our entire operating history, we have been ranked among the multicap universe in the Top Decile 100% of the time (35 out of 35 observations).
Table 4 : Decile distribution of our rank within the Multicap |
|||
Particulars |
Five years |
Three years |
One year |
Number of Observations |
35 |
58 |
58 |
Top Decile1 |
100% |
60% |
45% |
9th Decile2 |
0% |
29% |
22% |
8th Decile |
0% |
7% |
12% |
7th Decile |
0% |
2% |
2% |
6th Decile |
0% |
2% |
7% |
5th Decile |
0% |
0% |
3% |
4th Decile |
0% |
0% |
5% |
3rd Decile |
0% |
0% |
3% |
Total |
100% |
100% |
100% |
1. Top Decile = in top 10%, outperformed 90% of the funds 2.. 9th Decile = in top 20%, outperformed 80% of the funds
Table 5: Quartile distribution of our rank within the Multicap PMS universe on a rolling basis since April 2019 |
|||
Particulars |
Five Years |
Three Years |
One Year |
No. of Observations |
35 |
58 |
58 |
Top Quartile 1 |
100% |
93% |
74% |
2nd Quartile 2 |
0% |
7% |
19% |
3rd Quartile |
0% |
0% |
3% |
4th Quartile |
0% |
0% |
3% |
Total |
100% |
100% |
100% |
1. Top Quartile = in the top 25%, i.e. outperformed 75% of the funds 2. 2nd Quartile = in the top 50% i.e. outperformed 50% of the funds
Risk Adjusted Ratios: Not all returns are the same, Higher Returns at lower Risk
When compared on a risk adjusted basis, our PMS has shown an even stronger performance. The Information Ratio(IR) measures the excess return of a portfolio over a benchmark per unit of active risk. A higher Information Ratio suggests better risk-adjusted performance.The higher five year IR indicates better performance over the longer period in comparison to the IR in the 3 year period. The Sortino ratio measures the risk-adjusted return of an investment, focusing only on the downside risk. A higher Sortino ratio indicates better risk-adjusted returns, particularly with respect to downside risk.
Moreover, Upside Capture measures how well a fund performs as compared to a benchmark when the benchmark has positive returns. A higher upside capture ratio (> 100%) indicates that the fund captures more of the benchmark’s positive movements. Whereas, Downside Capture measures how well a fund performs compared to a benchmark when the benchmark has negative returns. A lower downside capture ratio (< 100%) indicates that the fund preserves capital better during market downturns.
Furthermore, other risk-adjusted returns – Sharpe ratio is also significantly higher (Table 6).
Table 6: Risk Adjusted Performance Ratios |
||
Performance Indicator |
5 Year |
3 Year |
Sharpe Ratio |
1.2 |
1.7 |
Information Ratio (IR) |
1.7 |
1.3 |
Sortino Ratio |
2.0 |
4.0 |
Upside Capture |
115% |
107% |
Downside Capture |
58% |
43% |
1. As of 31st January, 2024 2. S&P BSE500TRI
Performance within the PMS Universe
We continue to maintain our top rankings both within the multicap PMS universe as well as the entire PMS universe for key periods of three and five years. The multicap PMS universe rankings are more relevant to us since we follow the multicap strategy.
In the interest of a fair comparison, we present our rankings among those multicap PMSes with AUM more than INR 100 crs. Within this universe, we are 2nd out of 63 PMSes for the five year period and 15th out of 84 PMSes for three year period, highlighting our superior performance over the long term periods (Table 7). Among the multicap universe (considering all AUM), we are consistently ranked in the Top Decile for the five year period for all 35 out of 35 observations reflecting well on the consistency of our performance.
Table 7: Comparison with PMS Multicap Universe as of 31st January 2024 |
||||
Fund or Category / Returns Generated 1 2 |
Five year (%) |
Three year (%) |
Two year (%) |
One year (%) |
Sameeksha PMS |
33.3 |
32.1 |
26.1 |
58.1 |
Multicap Universe Average |
20.8 |
24.6 |
18.3 |
43.1 |
Decile Rank within the Multicap Universe |
Top Decile |
9th Decile |
9th Decile |
9th Decile |
Percentile Rank within the Multicap Universe |
Top 2% |
Top 17% |
Top 17% |
Top 16% |
Rank within the Multicap Universe 3 4 5 6 |
2nd out of 63 |
15th out of 84 |
16th out of 93 |
15th out of 93 |
1. Post fees and expenses 2. Aggregate Portfolios 3. 63 Funds 4. 84 Funds 5. 93 Funds 6. 93 Fund
Returns of Individual Portfolios
Because we don’t follow model portfolio strategy, the performance of individual clients is far more important than overall portfolio aggregate returns (Figure 2). For investors who are with us for 3 years and more, Sameeksha PMS has returned a very substantial alpha with an average annualized alpha of approx. 9.1% for the three year period ending 31st January, 2024. Similarly, for investors who are with us for 5 years or more, Sameeksha PMS has returned substantial alpha with an average annualized alpha of approx. 15.1% for the five year period ending 31st January, 2024. The Figure below shows the average annualized returns and alpha over different periods of time of all the clients as on 31st January, 2024.
Performance Of PMS Over The Covid Timeline (Pre, During, And Post)
The Covid Pandemic induced significant volatility in the equity markets. Hence, it is useful to look at the performance across three time slices : Pre Covid, During Covid and Post Covid. Sameeksha PMS has outperformed the benchmark across all of these three time periods with meaningful alpha (Table 8). This consistency of performance may be an important factor in comparing us with the other funds.
Table 8: Absolute and Annualised returns1 – Pre, During, and Post Covid |
||||||
Duration |
Absolute Portfolio Returns(%) (A) |
Absolute Benchmark Returns2 (%) (B) |
Alpha % (A-B) |
Annualised Portfolio Returns (%) (C) |
Annualised Benchmark Returns2 (%) (D) |
Alpha % (C-D) |
01.07.2022 to 31.1.2024 (Post Covid) |
82.2 |
49.6 |
32.6 |
46.1 |
29.0 |
17.1 |
01.03.2020 to 30.06.2022 (During Covid) |
76.0 |
50.4 |
25.6 |
27.5 |
19.1 |
8.3 |
01.04.2016 to 29.02.2020 (Pre Covid) |
67.6 |
50.6 |
17.0 |
14.1 |
11.0 |
3.1 |
1. Post fees and expenses 2. S&P BSE500TRI
Aggregate Portfolio Performance on a financial year and calendar year basis
For the month of January, Sameeksha PMS has outperformed the benchmark BSE 500 TRI by generating 3.42% returns against the benchmark BSE500TRI returns of 1.92%. For Financial Year 2023-24 till date, we have outperformed BSE500 TRI by 24.0%. Looking at our performance over the financial years (Figure 3), we have outperformed our benchmark in six out of eight financial years (including the current incomplete financial year). Key however is that the sum of outperformance of 74.9% in those six years far exceeds the sum of underperformance of 9.8% in the remaining two years. Furthermore, if we are able to sustain the outperformance achieved so far in this financial year for the rest of the year, it will become a streak of five consecutive years of generating alpha.
For the calendar year 2024, we are outperforming the benchmark BSE500 TRI by 1.5%. We have outperformed the benchmark in six out of nine calendar years and the sum of outperformance of 83.3% in six years far exceeds the sum of underperformance of 16.5% in the remaining three years. (Figure 4)
It is important to note that we delivered this alpha despite maintaining an average cash level of 13.1% across the eight financial years.
Cumulative Performance versus the benchmark
Analyzing the sector performance during the month
During the month, sectors that showed growth in the indices include Crude Oil, IT, Healthcare and Automobile & Ancillaries. For Sameeksha PMS, Bank, Finance, Healthcare and Media & Entertainment sectors were major outperformers compared to the benchmark. However, what hurt us is the lack of sufficient exposure towards the Telecom and Power where we missed out on participating in the upturn. Below is the attribution analysis for the month of January 2024 (Table 9).
Table 9: Sectorwise Attribution Analysis for the month ending January 2024 |
|||
Sector |
Portfolio Contribution |
Benchmark Contribution1 |
Difference |
Bank |
0.88% |
-1.21% |
2.09% |
Finance |
1.82% |
0.18% |
1.64% |
Healthcare |
0.71% |
0.35% |
0.36% |
Media & Entertainment |
0.29% |
-0.06% |
0.35% |
FMCG |
0.00% |
-0.34% |
0.34% |
Retailing |
0.11% |
0.02% |
0.09% |
Electricals |
0.00% |
-0.04% |
0.04% |
Iron & Steel |
-0.02% |
-0.05% |
0.03% |
Plastic Products |
0.00% |
-0.02% |
0.02% |
Gas Transmission |
0.07% |
0.06% |
0.01% |
Alcohol |
0.00% |
0.00% |
0.00% |
Ratings |
0.00% |
0.00% |
0.00% |
Miscellaneous |
0.00% |
0.00% |
0.00% |
Paper |
0.00% |
0.00% |
0.00% |
Abrasives |
0.00% |
0.00% |
0.00% |
Diamond & Jewellery |
0.00% |
0.00% |
0.00% |
Ship Building |
0.00% |
0.01% |
-0.01% |
Hospitality |
0.07% |
0.08% |
-0.01% |
Diversified |
0.00% |
0.01% |
-0.01% |
Non – Ferrous Metals |
0.00% |
0.02% |
-0.02% |
Agri |
0.00% |
0.02% |
-0.02% |
Trading |
0.04% |
0.06% |
-0.02% |
Business Services |
0.00% |
0.02% |
-0.02% |
Consumer Durables |
0.00% |
0.03% |
-0.03% |
Textile |
-0.03% |
0.00% |
-0.03% |
Mining |
0.00% |
0.03% |
-0.03% |
Construction Materials |
0.00% |
0.04% |
-0.04% |
Inds. Gases & Fuels |
0.00% |
0.04% |
-0.04% |
Aviation |
-0.06% |
0.00% |
-0.06% |
Capital Goods |
-0.01% |
0.06% |
-0.07% |
Automobile & Ancillaries |
0.19% |
0.27% |
-0.08% |
Infrastructure |
0.00% |
0.09% |
-0.09% |
Logistics |
0.00% |
0.11% |
-0.11% |
Insurance |
-0.17% |
-0.02% |
-0.15% |
IT |
0.35% |
0.50% |
-0.15% |
Realty |
-0.06% |
0.10% |
-0.16% |
Telecom |
0.00% |
0.23% |
-0.23% |
Power |
0.00% |
0.25% |
-0.25% |
Chemicals |
-0.71% |
-0.25% |
-0.46% |
Crude Oil |
0.00% |
0.90% |
-0.90% |
1. BSE500TRI
AIF Performance and other details
Table 10: Sameeksha AIF performance in different periods since inception |
|||||||
Particulars |
Fund Returns12 % (INR) (A) |
Benchmark Returns4% (B) |
Alpha vs the Benchmark 4% (A-B) |
Fund Returns % (USD) (C) |
US Market5 (%) (D) |
Alpha vs US Market5(%) (C-D) |
Average Cash level% |
Since inception 3 |
31.3 |
15.9 |
15.4 |
25.2 |
3.7 |
21.5 |
19.7 |
1 year |
59.0 |
33.4 |
25.5 |
56.5 |
20.5 |
36.0 |
6.7 |
6 Months |
26.4 |
16.2 |
10.2 |
25.1 |
5.5 |
19.7 |
7.7 |
3 Months |
16.4 |
17.9 |
-1.5 |
16.7 |
15.5 |
1.2 |
8.5 |
1 Month |
3.4 |
1.9 |
1.5 |
3.6 |
2.2 |
1.5 |
2.8 |
1. Post Fees and Expenses, 2. Aggregate Portfolio , 3. From Inception (1/4/2016) till 31st January, 2024 4. S&P BSE500TRI 5. SPY ETF
Aggregate Fund Performance on a financial year and calendar year basis
For the month of January, Sameeksha AIF has outperformed the benchmark BSE 500 TRI by generating 3.4% returns against the benchmark BSE500TRI returns of 1.9%. Looking at our performance over the financial years (Table 11), we have outperformed our benchmark in FY 2023 and we continue to outperform in the current incomplete FY 2024. For the financial year 2024 till date, we have positioned ourselves well by outperforming the benchmark BSE500 TRI by 22.6%.
Table 11: Financial year wise fund performance since inception |
|||
Particulars |
Portfolio Returns3 % |
Benchmark Returns4 % |
Alpha vs the Benchmark4 % |
FY241 |
59.3 |
36.7 |
22.6 |
FY232 |
5.4 |
-0.9 |
6.3 |
1. From 1st April, 2023 to 31st January, 2024 2. Since Inception (10/02/2022) till 31st March, 2023 3. Post Fees Pre Tax 4. S&P BSE500TRI
For the calendar year 2024, we have outperformed the benchmark BSE500 TRI by 1.5%. Despite being a new fund, we were still able to produce alpha for calendar years 2022 and 2023 and outperformed the benchmark BSE500 TRI by 27.7%. (Table 12)
Table 12: Calendar year wise fund performance since inception |
|||
Particulars |
Portfolio Returns2 % |
Benchmark Returns3 % |
Alpha vs the Benchmark % |
CY241 |
3.4 |
1.9 |
1.5 |
CY23 |
54.2 |
26.5 |
27.7 |
CY224 |
7.5 |
3.8 |
3.6 |
1. From 1st January, 2024 to 31st January, 2024 2. Post Fees Pre Tax 3. S&P BSE50TRI 4. Since inception (10/02/2022) till 31st December, 2022
When compared on a risk adjusted basis, our PMS has shown an even stronger performance. The Information Ratio (IR) measures the excess return of a portfolio over a benchmark per unit of active risk. A higher Information Ratio (IR) suggests better risk-adjusted performance. The Sortino ratio measures the risk-adjusted return of an investment, focusing only on the downside risk. A higher Sortino ratio indicates better risk-adjusted returns, particularly with respect to downside risk.
Moreover, Upside Capture measures how well a fund performs as compared to a benchmark when the benchmark has positive returns. A higher upside capture ratio (> 100%) indicates that the fund captures more of the benchmark’s positive movements. Whereas, Downside Capture measures how well a fund performs compared to a benchmark when the benchmark has negative returns. A lower downside capture ratio (< 100%) indicates that the fund preserves capital better during market downturns.
Furthermore, other risk-adjusted returns – Sharpe ratio is also significantly higher (Table 13).
Table 13: Risk Adjusted Performance Ratios |
||
Performance Indicator |
Since Inception |
One Year |
Sharpe Ratio |
0.5 |
1.2 |
Information Ratio (IR) |
1.7 |
3.1 |
Sortino Ratio |
1.5 |
5.2 |
Upside Capture |
95% |
118% |
Downside Capture |
12% |
-85% |
1. Since inception ( 10.02.2022) to 31st January, 2024 2. S&P BSE500TRI
Performance within the AIF Universe
We present our rankings among Long Only Category III AIFs. For the period ending 31st January, 2024, we are ranked 8th out of 59 AIFs (Table 14), or 9th Decile. Because there is a lot of divergence in the way funds report their returns (post exp & tax; post exp, pre tax; gross returns; and post exp & tax pre perf. fees & tax) , we are doing comparison on a gross return basis to cover the entire applicable universe of funds.
Table 14 :Comparison of Sameeksha AIF with Long Only AIFs |
|
Returns Generated |
1 year |
Sameeksha AIF |
63.2% |
Average |
43.3% |
Median |
42.3% |
Median Among Top 5 AIFs |
58.4% |
Sameeksha AIF Rank within the Multicap Category |
8th out of 59 |
Sameeksha AIF Decile1 Rank within the Universe |
9th Decile |
Sameeksha AIF Percentile Rank |
Top 12% |
1. Top Decile = in top 10%, outperformed 90% of the funds, 9th Decile = in top 20%, outperformed 80% of the funds
Cumulative Performance versus the benchmark
Sameeksha AIF’s outperformance over its benchmark has continued to widen positively since inception. An investment of Rs. 100 with us since inception (Feb 10,2022) would have grown to Rs. 171, far outpacing what one would have earned by investing in a fund that achieved benchmark returns (Figure 6).
Analyzing the sector performance during the month
During the month, sectors that showed growth in the indices include Crude Oil, IT, Healthcare and Automobile & Ancillaries. For Sameeksha AIF, Bank, Finance, FMCG and Media & Entertainment were major outperformers compared to the benchmark. However, what hurt us is the lack of sufficient exposure towards the Telecomand Power where we missed out on participating in the upturn. Below is the attribution analysis for the month of January 2024 (Table 15).
Table 15: Sectorwise Attribution Analysis for the January, 2024 |
|||
Sector |
Portfolio Contribution |
Benchmark Contribution1 |
Difference |
Bank |
0.81% |
-1.21% |
2.02% |
Finance |
1.51% |
0.18% |
1.33% |
FMCG |
0.01% |
-0.34% |
0.35% |
Media & Entertainment |
0.25% |
-0.06% |
0.31% |
Healthcare |
0.51% |
0.35% |
0.16% |
Retailing |
0.10% |
0.02% |
0.08% |
Iron & Steel |
-0.01% |
-0.05% |
0.04% |
Electricals |
0.00% |
-0.04% |
0.04% |
Hospitality |
0.11% |
0.08% |
0.03% |
Gas Transmission |
0.08% |
0.06% |
0.02% |
Plastic Products |
0.00% |
-0.02% |
0.02% |
Alcohol |
0.00% |
0.00% |
0.00% |
Ratings |
0.00% |
0.00% |
0.00% |
Miscellaneous |
0.00% |
0.00% |
0.00% |
Paper |
0.00% |
0.00% |
0.00% |
Textile |
0.00% |
0.00% |
0.00% |
Abrasives |
0.00% |
0.00% |
0.00% |
Diamond & Jewellery |
0.00% |
0.00% |
0.00% |
Ship Building |
0.00% |
0.01% |
-0.01% |
Aviation |
-0.01% |
0.00% |
-0.01% |
Diversified |
0.00% |
0.01% |
-0.01% |
Non – Ferrous Metals |
0.00% |
0.02% |
-0.02% |
Agri |
0.00% |
0.02% |
-0.02% |
Business Services |
0.00% |
0.02% |
-0.02% |
Trading |
0.03% |
0.06% |
-0.03% |
Consumer Durables |
0.00% |
0.03% |
-0.03% |
Mining |
0.00% |
0.03% |
-0.03% |
Construction Materials |
0.00% |
0.04% |
-0.04% |
Inds. Gases & Fuels |
0.00% |
0.04% |
-0.04% |
Capital Goods |
-0.02% |
0.06% |
-0.08% |
Insurance |
-0.10% |
-0.02% |
-0.08% |
Infrastructure |
0.00% |
0.09% |
-0.09% |
Logistics |
0.00% |
0.11% |
-0.11% |
Automobile & Ancillaries |
0.14% |
0.27% |
-0.13% |
Realty |
-0.05% |
0.10% |
-0.15% |
IT |
0.31% |
0.50% |
-0.19% |
Telecom |
0.00% |
0.23% |
-0.23% |
Power |
0.00% |
0.25% |
-0.25% |
Chemicals |
-0.54% |
-0.25% |
-0.29% |
Crude Oil |
0.00% |
0.90% |
-0.90% |
1. BSE500TRI
Disclaimer – The information contained in this update is provided by our fund accounting platform and is not audited.