* Period ending 30th November, 2023 , ** Five year period among multicap PMSes
In the month of November, the benchmark S&P BSE 500 TRI has grown by 7.1%. Against that, Sameeksha PMS (Portfolio Management Service = Separately Managed Accounts) gained 8.4% (net of all fees and expenses) while having cash levels of 20.7% at start of the month and 17.4% at the end of the month. Sameeksha AIF (Alternative Investment Fund = “Hedge Fund”) also gained 8.3% (post expenses pre tax), also indicating meaningful outperformance.
We summarize key aspects of our performance as follows:
Sr. No. | Vehicle | Particulars | Summary of our performance |
1. | PMS | Aggregate portfolio returns till date³(Refer Table 1, Table 2 and Figure 1) |
|
2. | AIF | Aggregate fund returns till date³ (Refer Table 10, Table 11 and Table 12) |
|
3. | PMS | Fund performance on a rolling periods basis (Refer Table 3, Table 4 and Table 5) |
|
4. | PMS | Risk Adjusted Ratios: Lower risk, Higher Return (Refer Table 6) |
|
5. | AIF | Risk Adjusted Ratios: Lower risk, Higher Return (Refer Table 13) |
|
6. | PMS | PMS Universe rankings (Refer Table 7) |
|
7. | AIF | AIF Universe rankings (Refer Table 14) |
|
8. | PMS | Returns of Individual portfolios (Refer Figure 2) |
|
9. | PMS | Performance across pre, during and post Covid periods (Refer Table 8) |
|
10. | PMS | Portfolio performance on a Financial Year basis and Calendar Year basis (Refer Figure 3 and Figure 4) |
|
1. Inception is 01/04/2016 2. Inception is 10/02/2022 3. As on 30th November, 2023 4. Period ending 30th November, 2023 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 portfolio returns and risk adjusted ratios. We provide data to address all three points later in this note.
Aggregate Portfolio Returns over various time periods
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 | 66.4 | 8.3 | 75% |
1. Inception Date 1/4/2016 2. Current financial year upto 30th November, 2023
It is important to note that we have maintained relatively higher levels of cash (13.3% 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 23.5%, 31.2% and 32.2% in INR terms and 19.8%, 26.6% and 27.0% 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% (A-B) | Portfolio Returns % (USD) (C) | US Market5 (D) | Alpha vs US Market5 (C-D) | Average Cash Levels |
Since inception3 | 23.5 | 15.8 | 7.7 | 19.8 | 10.9 | 9.0 | 13.3 |
5 Years | 31.2 | 16.0 | 15.2 | 26.6 | 10.6 | 16.0 | 9.8 |
3 Years | 32.2 | 20.2 | 12.0 | 27.0 | 8.0 | 19.0 | 10.4 |
2 Years | 22.2 | 12.1 | 10.1 | 16.0 | 0.1 | 15.9 | 11.6 |
1 Year | 45.9 | 13.4 | 32.4 | 42.3 | 12.0 | 30.3 | 11.6 |
6 Month | 35.6 | 14.4 | 21.2 | 48.6 | 15.2 | 33.4 | 10.5 |
3 Month | 11.3 | 6.2 | 5.1 | 34.5 | 8.6 | 25.8 | 15.5 |
1 Month | 8.4 | 7.1 | 1.4 | 10.4 | 1.3 | 9.0 | 17.4 |
1. Post Fees and Expenses, 2. Aggregate Portfolio , 3. From Inception (1/4/2016) till 30th November, 2023 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 96% of the times (54 out of 56 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 (33 out of 33 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 | 33 | 56 |
Number of times alpha generated | 33 | 54 |
% times alpha generated | 100% | 96% |
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 63% of the time (35 out of 56 observations) and in the Top Quartile 93% of the time (52 out of 56 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 (33 out of 33 observations).
Table 4 : Decile distribution of our rank within the Multicap PMS universe on a rolling basis since April 2019 | |||
Particulars | Five years | Three years | One year |
Number of Observations | 33 | 56 | 56 |
Top Decile1 | 100% | 63% | 45% |
9th Decile2 | 0% | 27% | 21% |
8th Decile | 0% | 7% | 13% |
7th Decile | 0% | 2% | 2% |
6th Decile | 0% | 2% | 7% |
5th Decile | 0% | 0% | 4% |
4th Decile | 0% | 0% | 5% |
3rd Decile | 0% | 0% | 4% |
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 | 33 | 56 | 56 |
Top Quartile 1 | 100% | 93% | 73% |
2nd Quartile 2 | 0% | 7% | 20% |
3rd Quartile | 0% | 0% | 4% |
4th Quartile | 0% | 0% | 4% |
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 shows an even stronger performance with a risk-adjusted alpha generation of 7.7% over the broader market benchmark since its inception. While our portfolio beta has been materially lower than our benchmark, our returns have been higher than the benchmark since inception, implying superior strong risk adjusted returns.
Furthermore, other risk-adjusted returns – Sharpe ratio and Treynor ratio, are also significantly higher than the benchmark (Table 6).
Table 6: Risk-Adjusted Performance Ratios 1 | ||
Performance Indicators | V/s Benchmark2 | |
Portfolio | Index | |
Jensen’s Alpha (x) | 7.7 | 0 |
Treynor Ratio (x) | 24.5 | 16.3 |
Sharpe Ratio (x) | 1.2 | 1.0 |
CAPM Beta(x) | 0.9 | 1 |
1. From Inception (1/4/2016) till 30th November, 2023 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 1st out of 58 PMSes for the five year period and 9th out of 76 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 33 out of 33 observations reflecting well on the consistency of our performance.
Table 7: Comparison with PMS Multicap Universe as of 30th November 2023 | ||||
Fund or Category / Returns Generated 1 2 | Five year (%) | Three year (%) | Two year (%) | One year (%) |
Sameeksha PMS | 31.2 | 32.2 | 22.2 | 45.9 |
Multicap Universe Average | 18.7 | 23.5 | 14.4 | 25.2 |
Decile Rank within the Multicap Universe | Top Decile | 9th Decile | 9th Decile | Top Decile |
Percentile Rank within the Multicap Universe | Top 1% | Top 11% | Top 17% | Top 6% |
Rank within the Multicap Universe 3 4 5 6 | 1st out of 58 | 9th out of 76 | 15th out of 86 | 6th out of 87 |
1. Post fees and expenses 2. Aggregate Portfolios 3. 58 Funds 4. 76 Funds 5. 86 Funds 6. 87 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. 11.2% for the three year period ending 30th November, 2023. 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. 15.7% for the five year period ending 30th November, 2023. The Figure below shows the average annualized returns and alpha over different periods of time of all the clients as on 30th November, 2023.
Performance Of PMS Over The Covid Timeline (Pre, During, And Post)
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 | 69.5 | 35.9 | 33.6 | 45.2 | 24.2 | 21.0 |
01.03.2020 | 76.0 | 50.4 | 25.6 | 27.5 | 19.1 | 8.3 |
01.04.2016 | 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 November, Sameeksha PMS has outperformed the benchmark BSE 500 TRI by generating 8.4% returns against the benchmark BSE500TRI returns of 7.1%. For Financial Year 2023-24 till date, we have outperformed BSE500 TRI by 25.3%. 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 76.1% 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 2023 till date, we are outperforming the benchmark BSE500 TRI by 30.5%. We have outperformed the benchmark in five out of eight calendar years and the sum of outperformance of 85.4% in five 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 13.3% across the eight financial years.
Cumulative Performance versus the benchmark
Analyzing the sector performance during the month
Table 9: Sectorwise Attribution Analysis for the month ending November 2023 | |||
Sector | Portfolio Contribution | Benchmark Contribution1 | Difference |
Finance | 3.00% | 0.36% | 2.64% |
Chemicals | 0.73% | 0.20% | 0.53% |
Aviation | 0.53% | 0.03% | 0.50% |
Hospitality | 0.40% | 0.05% | 0.35% |
Trading | 0.20% | 0.03% | 0.17% |
Media & Entertainment | 0.16% | 0.01% | 0.15% |
Insurance | 0.30% | 0.15% | 0.15% |
Diamond & Jewellery | 0.19% | 0.08% | 0.11% |
Retailing | 0.31% | 0.24% | 0.07% |
Healthcare | 0.66% | 0.59% | 0.07% |
Textile | 0.06% | 0.01% | 0.05% |
Gas Transmission | 0.07% | 0.05% | 0.02% |
Paper | 0.00% | 0.00% | 0.00% |
Ratings | 0.00% | 0.00% | 0.00% |
Ship Building | 0.00% | 0.01% | -0.01% |
Business Services | 0.00% | 0.01% | -0.01% |
Abrasives | 0.00% | 0.01% | -0.01% |
Consumer Durables | 0.00% | 0.02% | -0.02% |
Plastic Products | 0.00% | 0.02% | -0.02% |
Miscellaneous | 0.00% | 0.02% | -0.02% |
Alcohol | 0.00% | 0.02% | -0.02% |
Inds. Gases & Fuels | 0.00% | 0.03% | -0.03% |
Agri | 0.00% | 0.03% | -0.03% |
Electricals | 0.00% | 0.04% | -0.04% |
Diversified | 0.00% | 0.04% | -0.04% |
Mining | 0.00% | 0.05% | -0.05% |
Logistics | 0.00% | 0.05% | -0.05% |
IT | 0.62% | 0.70% | -0.08% |
Non – Ferrous Metals | 0.00% | 0.08% | -0.08% |
Construction Materials | 0.00% | 0.11% | -0.11% |
Realty | 0.00% | 0.17% | -0.17% |
Capital Goods | 0.13% | 0.30% | -0.17% |
Infrastructure | 0.00% | 0.19% | -0.19% |
Iron & Steel | 0.00% | 0.20% | -0.20% |
Telecom | 0.00% | 0.22% | -0.22% |
Automobile & Ancillaries | 0.42% | 0.65% | -0.23% |
Bank | 0.67% | 0.97% | -0.30% |
Power | 0.00% | 0.35% | -0.35% |
FMCG | -0.12% | 0.25% | -0.37% |
Crude Oil | 0.00% | 0.50% | -0.50% |
1. BSE500TRI
AIF Performance and other details
Aggregate Fund Returns over various time periods
Since inception, we have maintained relatively higher levels of cash (21.2% on average over the entire period from inception) from time to time over the duration of managing the fund. Notwithstanding the same, from inception and over one year, we have generated returns of 29.5% and 46.7% in INR terms and 22.6% and 43.1% in USD terms beating the benchmark BSE500 TRI returns and ETF tracking S&P 500 index, respectively after fees before taxes. (Table 10).
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 | 29.5 | 11.4 | 18.0 | 22.6 | 0.9 | 21.7 | 21.2 |
1 year | 46.7 | 13.4 | 33.2 | 43.1 | 12.0 | 31.1 | 7.9 |
6 Months | 34.5 | 14.4 | 20.1 | 33.4 | 8.6 | 24.7 | 7.5 |
3 Months | 11.7 | 6.2 | 5.5 | 10.8 | 1.3 | 9.5 | 12.1 |
1 Month | 8.3 | 7.1 | 1.3 | 8.2 | 9.1 | -0.9 | 12.8 |
1. Post Fees and Expenses, 2. Aggregate Portfolio , 3. From Inception (1/4/2016) till 30th November, 2023 4. S&P BSE500TRI 5. SPY ETF
Aggregate Fund Performance on a financial year and calendar year basis
For the month of November, Sameeksha AIF has outperformed the benchmark BSE 500 TRI by generating 8.3% returns against the benchmark BSE500TRI returns of 7.1%. 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 24.1%.
Table 11: Financial year wise fund performance since inception | |||
Particulars | Portfolio Returns3 % | Benchmark Returns4 % | Alpha vs the Benchmark4 % |
FY241 | 48.3 | 24.2 | 24.1 |
FY232 | 5.4 | -0.9 | 6.3 |
1. From 1st April, 2023 to 30th November, 2023 2. Since Inception (10/02/2023) till 31st March, 2023 3. Post Fees Pre Tax 4. S&P BSE500TRI
For the calendar year 2023 till date, we have outperformed the benchmark BSE500 TRI by 31.3%. Despite being a new fund with gradual deployment of cash, we were still able to produce alpha for calendar year 2022 and outperformed the benchmark BSE500 TRI by 3.6%. (Table 12)
Table 12: Calendar year wise fund performance since inception | |||
Particulars | Portfolio Returns3 % | Benchmark Returns4 % | Alpha vs the Benchmark4 % |
CY231 | 48.4 | 17.1 | 31.3 |
CY222 | 7.4 | 3.8 | 3.6 |
1. From 1st January, 2023 to 30th November, 2023 2. Since Inception (10/02/2023) till 31st December, 2023 3. Post Fees Pre Tax 4. S&P BSE50TRI
Risk Adjusted Ratios
When compared on a risk-adjusted basis, our AIF shows an even stronger performance with a risk-adjusted alpha generation of 16.1% over the broader market benchmark since its inception. While our portfolio beta has been materially lower than our benchmark, our returns have been higher than the benchmark implying superior strong risk adjusted returns.
Furthermore, other risk-adjusted returns – Sharpe ratio and Treynor ratio, are also significantly higher than the benchmark indices (Table 13).
Table 13 : Risk Adjusted ratios 1 | ||
Particulars | Portfolio | Benchmark2 |
Jensen’s Alpha (x) | 16.1 | 0.0 |
CAPM Beta (x) | 0.6 | 1.0 |
Sharpe Ratio (x) | 2.2 | 0.8 |
Treynor (x) | 39.4 | 11.8 |
1. Since inception ( 10.02.2022) to 30th November, 2023 2. S&P BSE500TRI
Performance within the AIF Universe
Table 14: Comparison of Sameeksha AIF with Long Only AIFs | |
Returns Generated | 1 year |
Sameeksha AIF | 50.0% |
Average | 26.0% |
Median | 24.7% |
Median Among Top 5 | 50.0% |
Sameeksha AIF Rank within the Long Only AIF Category | 3rd out of 56 |
Sameeksha AIF Decile Rank within the Universe | Top Decile |
Sameeksha AIF Percentile Rank | Top 4% |
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. 160, 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
Table 15: Sectorwise Attribution Analysis for the month ending November 2023 | |||
Sector | Portfolio Contribution | Benchmark Contribution1 | Difference |
Finance | 2.50% | 0.37% | 2.13% |
Hospitality | 0.49% | 0.05% | 0.44% |
Aviation | 0.42% | 0.03% | 0.39% |
Chemicals | 0.57% | 0.20% | 0.37% |
Healthcare | 0.82% | 0.59% | 0.23% |
Trading | 0.19% | 0.03% | 0.16% |
Media & Entertainment | 0.13% | 0.01% | 0.12% |
Textile | 0.09% | 0.01% | 0.08% |
Diamond & Jewellery | 0.16% | 0.08% | 0.08% |
Retailing | 0.27% | 0.24% | 0.03% |
Gas Transmission | 0.07% | 0.05% | 0.02% |
Paper | 0.00% | 0.00% | 0.00% |
Ratings | 0.00% | 0.00% | 0.00% |
Ship Building | 0.00% | 0.01% | -0.01% |
Business Services | 0.00% | 0.01% | -0.01% |
Abrasives | 0.00% | 0.01% | -0.01% |
Consumer Durables | 0.00% | 0.02% | -0.02% |
Plastic Products | 0.00% | 0.02% | -0.02% |
Miscellaneous | 0.00% | 0.02% | -0.02% |
Alcohol | 0.00% | 0.02% | -0.02% |
Inds.Gases & Fuels | 0.00% | 0.03% | -0.03% |
Agri | 0.00% | 0.03% | -0.03% |
Electricals | 0.00% | 0.04% | -0.04% |
Diversified | 0.00% | 0.04% | -0.04% |
Mining | 0.00% | 0.05% | -0.05% |
Logistics | 0.00% | 0.05% | -0.05% |
Insurance | 0.10% | 0.15% | -0.05% |
Non – Ferrous Metals | 0.00% | 0.08% | -0.08% |
Realty | 0.06% | 0.17% | -0.11% |
Construction Materials | 0.00% | 0.11% | -0.11% |
Automobile & Ancillaries | 0.47% | 0.65% | -0.18% |
IT | 0.52% | 0.70% | -0.18% |
Capital Goods | 0.11% | 0.30% | -0.19% |
Infrastructure | 0.00% | 0.19% | -0.19% |
Iron & Steel | 0.00% | 0.20% | -0.20% |
Telecom | 0.00% | 0.22% | -0.22% |
Bank | 0.66% | 0.97% | -0.31% |
Power | 0.00% | 0.35% | -0.35% |
FMCG | -0.14% | 0.25% | -0.39% |
Crude Oil | 0.00% | 0.50% | -0.50% |
1. BSE500TRI
Disclaimer – The information contained in this update is provided by our fund accounting platform and is not audited.