On Five Year Basis, Number One For The Fourth Consecutive Month, Top Decile Ranking For The 31st Consecutive Month

In September 2023, Indian markets decoupled with key global markets; as against 4.5% drop for S&P 500, BSE500 TRI went up 2%. Sameeksha PMS (Portfolio Management Service = Separately Managed Accounts) gained 1.4% (net of all fees and expenses), resulting in a small underperformance.  Sameeksha AIF  (Alternative Investment Fund = “Hedge Fund”)  also gained 1.4% (post expenses pre tax). 

We summarize key aspects of our performance as follows:

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 57.9% over BSE500 TRI over the 8 financial years (including the current incomplete financial year) implying an average alpha of 7.2% 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	57.9	7.2	75%

It is important to note that we have maintained relatively higher levels of cash (13.5% on average over the entire period from inception) from time to time over the duration of managing the portfolio. Notwithstanding the same, from inception as well as over five and three years respectively, we have generated returns of 22.5%, 30.8% and 33.9% beating the benchmark BSE500 TRI returns of 15.6%, 15.1% and 24.3% respectively after fees and expenses. We have delivered strong returns relative to benchmark across various key time periods. (Table 2). 

Table 2: Portfolio % performance since inception
Period	Portfolio % 1 2 (A)	S&P BSE 500 TRI % (B)	Alpha vs BSE500 TRI % (A-B)
Since Inception 3 4	22.5	15.6	6.9
5 Years	30.8	15.1	15.7
3 Years	33.9	24.3	9.7
2 Years	15.1	8.3	6.8
1 Year	42.1	17.5	24.6
6 Months	36.2	19.4	16.8
3 Months	16.0	6.5	9.5
1 Month	1.4	2.1	(0.7)

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 (52 out of 54 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 (31 out of 31 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	31	54
Number of times alpha generated	31	52
% times alpha generated	100%	96%
Median annualized alpha	7%	9%
Maximum annualized alpha	16%	23%
Minimum annualized alpha	5%	0.4%

For rolling three year periods applicable to our entire operating history, we have been ranked among the multicap universe in the Top Decile 65% of the time (35 out of 54 observations) and in the Top Quartile 93% of the time (50 out of 54 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 (31 out of 31 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	31	54	54
Top Decile	100%	65%	43%
9th Decile	0%	24%	22%
8th Decile	0%	7%	13%
7th Decile	0%	2%	2%
6th Decile	0%	2%	7%
5th Decile	0%	0%	4%
4th Decile	0%	0%	6%
3rd Decile	0%	0%	4%
Total	100%	100%	100%

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	31	54	54
Top Quartile 1	100%	93%	72%
2nd Quartile 2	0%	7%	20%
3rd Quartile	0%	0%	4%
4th Quartile	0%	0%	4%
Total	100%	100%	100%

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 7.1% 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 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 BSE 500
	Portfolio	Index
Jensen’s Alpha (x)	7.1	0
Treynor Ratio (x)	23.6	16.1
Sharpe Ratio (x)	1.2	0.9
CAPM Beta(x)	0.9	1
R – Squared (%)	74	100

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 55 PMSes for the five year period  and  10th out of 73 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 31 out of 31 observations reflecting well on the consistency of our performance.

Table 7: Comparison with PMS Multicap Universe as of 30th September 2023
Fund or Category / Returns Generated 1 2	Five year (%)	Three year (%)	Two year (%)	One year (%)
Sameeksha PMS	30.8	33.9	15.1	42.1
Multicap Universe Average	17.9	25.6	9.9	23.7
Decile Rank within the Multicap Universe	Top Decile	9th Decile	8th Decile	Top Decile
Percentile Rank within the Multicap Universe	Top 1%	Top 13%	Top 23%	Top 10%
Rank within the Multicap Universe 3 4 5 6	1st out of 55	10th out of 73	20th out of 84	9th out of 86

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  (Table 8). 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. 7.8% for the three year period ending 30th September, 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. 15.4% for the five year period ending 30th September, 2023.  The table below shows the average annualized returns and alpha over different periods of time of all the clients as on 30th September, 2023. 

Table 8: Performance of All Client Portfolios across various duration
Median Age of Accounts 2 3 4	Since Inception			Five Years(Benchmark1 Return = 15.1%)2		Three Years(Benchmark1 Return = 24.3%) 2		Two Years(Benchmark1 Return = 8.3%)2
	Average Returns 5	Average Benchmark Returns1	Alpha	Average Returns 5	Alpha	Average Returns 5	Alpha	Average Returns 5	Alpha
7.5 Years	23.1	15.6	7.5	31.8	16.7	33.9	9.6	13.8	5.5
7 Years	22.0	14.2	7.8	30.5	15.3	32.1	7.8	12.4	4.1
6.5 Years	19.8	14.4	5.3	29.5	14.4	30.7	6.5	11.1	2.7
6 Years	21.0	13.3	7.7	30.5	15.4	32.7	8.5	13.8	5.4
5.5 Years	27.0	14.0	13.0	31.4	16.3	33.7	9.4	15.8	7.5
5 Years	28.9	14.7	14.2	29.6	14.5	32.9	8.6	16.3	7.9
4.5 Years	29.3	16.6	12.7			30.8	6.5	14.4	6.1
4 Years	31.2	17.9	13.4			31.2	6.9	15.7	7.4
3.5 Years	34.6	21.8	12.8			31.0	6.7	12.2	3.9
3 Years	30.5	22.3	8.3			32.3	8.0	15.6	7.2
2.5 Years	23.0	15.1	8.0					15.9	7.6
2 Years	18.4	10.1	8.3					16.2	7.8
1.5 Years	30.2	14.0	16.2
1 Year	36.9	14.6	22.3
6 Months	21.4	13.8	7.6	–	–	–	–	–	–
Less than 6 months	1.6	1.9	-0.3

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 9). This consistency of performance may be an important factor in comparing us with the other funds.

Table 9: Absolute and Annualised returns1 – Pre, During, and Post Covid
Duration	Absolute Portfolio Returns(%) (A)	Absolute BSE500TRI Returns (%) (B)	Alpha % (A-B)	Annualised Portfolio Returns (%) (C)	Annualised BSE500TRI Returns (%) (D)	Alpha % (C-D)
01.04.2016 to 29.02.2020 (Pre Covid)	67.6	50.6	17.0	14.1	11.0	3.1
01.03.2020 to 30.06.2022 (During Covid)	76.0	50.4	25.6	27.5	19.1	8.3
01.07.2022 to 30.09.2023 (Post Covid)	54.4	30.7	23.7	41.8	22.5	19.2

Aggregate Portfolio Performance On A Financial Year And Calendar Year Basis

For the month of September, Sameeksha PMS has underperformed the benchmark BSE 500 TRI by generating 1.4% returns against the benchmark BSE500TRI returns of 2.1%.  For Financial Year 2023-24 till date, we have outperformed BSE500 TRI by 16.8%. Looking at our performance over the financial years (Table 10), 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 67.6% 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.

Table 10: Absolute and relative performance (Financial Year)
Year ended	% Performance
	Portfolio (A) 1 2	S&P BSE 500 TRI (B)	Alpha vs S&P BSE 500 TRI (A-B)
31.03.2024 3	36.2	19.4	16.8
31.03.2023	4.5	(0.9)	5.4
31.03.2022	23.4	22.3	1.1
31.03.2021	106.3	78.6	27.7
31.03.2020	(13.0)	(26.5)	13.5
31.03.2019	1.4	9.7	(8.3)
31.03.2018	11.7	13.2	(1.5)
31.03.2017	28.7	25.5	3.2

For the calendar year 2023 till date, we are  outperforming the benchmark BSE500 TRI by 21.9%. We have outperformed the benchmark in five out of eight calendar years and the sum of outperformance of 76.7% in five years far exceeds the sum of underperformance of 16.5%  in the remaining three  years.

Table 11: Absolute and relative performance (Calendar Year)
Year ended	% Performance
	Portfolio 1 2	BSE 500 TRI	Alpha vs S&P BSE 500 TRI (A-B)
31.12.2023 3	34.5	12.6	21.9
31.12.2022	(2.0)	4.8	(6.8)
31.12.2021	48.2	31.6	16.6
31.12.2020	45.2	18.4	26.8
31.12.2019	19.8	9.0	10.8
31.12.2018	(9.9)	(1.8)	(8.1)
31.12.2017	36.0	37.6	(1.6)
31.12.2016	10.0	9.4	0.6

It is important to note that we delivered this alpha despite maintaining an average cash level of 13.5% across the eight financial years.

Cumulative Performance Versus The Benchmark

Sameeksha PMS’s outperformance over its benchmark has continued to widen positively over the years. An investment of Rs. 100 with us since inception (April 2016) would have grown to Rs. 458 , far outpacing what one would have earned by investing in a fund that achieved benchmark returns (Figure 1).

Analyzing The Sector Performance During The Month

During the month, sectors that showed growth in the indices include Finance, Infrastructure, Power and Telecom. For Sameeksha, the Finance, Healthcare, Hospitality and Chemicals sectors were major outperformers as compared to the benchmark. However, Sameeksha did not participate in Power and Infrastructure to participate in the upturn. Below is the attribution analysis for the month of September 2023 (Table 12).

Table 12: Sectorwise Attribution Analysis for the month ending September 2023
Sector	Portfolio Contribution	Benchmark Contribution1	Difference
Finance	0.86%	0.36%	0.50%
Healthcare	0.60%	0.12%	0.48%
Hospitality	0.28%	-0.01%	0.29%
Chemicals	0.15%	-0.10%	0.25%
Bank	0.36%	0.23%	0.13%
Aviation	0.06%	-0.01%	0.07%
Crude Oil	0.00%	-0.06%	0.06%
Media & Entertainment	0.02%	0.00%	0.02%
Plastic Products	0.00%	-0.02%	0.02%
Electricals	0.02%	0.01%	0.01%
Miscellaneous	0.00%	-0.01%	0.01%
Trading	0.01%	0.00%	0.01%
Gas Transmission	0.00%	-0.01%	0.01%
Abrasives	0.00%	0.00%	0.00%
Alcohol	0.00%	0.00%	0.00%
Ratings	0.00%	0.00%	0.00%
Retailing	0.03%	0.03%	0.00%
Paper	0.00%	0.00%	0.00%
Ship Building	0.00%	0.01%	-0.01%
Non – Ferrous Metals	0.00%	0.02%	-0.02%
Logistics	0.00%	0.02%	-0.02%
Construction Materials	0.00%	0.02%	-0.02%
Consumer Durables	0.00%	0.02%	-0.02%
Insurance	-0.03%	0.00%	-0.03%
Iron & Steel	0.00%	0.04%	-0.04%
Agri	0.00%	0.05%	-0.05%
Diversified	0.00%	0.05%	-0.05%
Textile	-0.07%	-0.01%	-0.06%
Automobile & Ancillaries	0.05%	0.16%	-0.11%
Mining	0.00%	0.13%	-0.13%
Inds. Gases & Fuels	-0.12%	0.03%	-0.15%
Capital Goods	-0.13%	0.02%	-0.15%
IT	0.02%	0.20%	-0.18%
Telecom	0.00%	0.22%	-0.22%
Realty	-0.18%	0.04%	-0.22%
Diamond & Jewellery	-0.24%	0.01%	-0.25%
Power	0.00%	0.29%	-0.29%
Infrastructure	0.00%	0.34%	-0.34%
FMCG	-0.34%	0.07%	-0.41%

AIF Performance And Other Details

Aggregate Fund Returns Over Various Time Periods 

Since inception, we have maintained relatively higher levels of cash (21.9% 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  21.3% and 36.9% beating the benchmark BSE500 TRI returns of 10% and 19.3% respectively after fees before taxes. (Table 13).

Table 13: Domestic India Fund performance2 in different periods since inception
Particulars	Portfolio 3 %	S&P BSE 500 TRI%	Average Cash level%
Since inception 1	22.3	10.0	21.9
1 year	36.9	17.5	7.9
6 months	31.0	19.4	4.4
3 months	15.0	5.5	6.7
1 month	1.4	2.1	13.1

Aggregate Fund Performance On A Financial Year And Calendar Year Basis

For the month of September, Sameeksha AIF has underperformed the benchmark BSE 500 TRI by generating 1.4% returns (including the current incomplete financial year) against the benchmark BSE500TRI returns of 2.1%.  Looking at our performance over the financial years (Table 14), 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 11.6%.

Table 14: Financial year wise fund performance since inception
Particulars	Portfolio 3 %	S&P BSE 500 TRI %	Alpha vs S&P BSE 500 TRI
FY242	31.0	19.4	11.6
FY23	5.4	-0.9	6.3

For the calendar year 2023 till date, we have positioned ourselves well by outperforming the benchmark BSE500 TRI by 18.5%. Despite being a new fund, we were still able to produce alpha for calendar year 2022 and outperformed the benchmark BSE500 TRI by 3.6%. (Table 15)

Table 15: Calendar year wise fund performance since inception
Particulars	Portfolio 3 %	S&P BSE 500 TRI %	Alpha vs S&P BSE 500 TRI
CY232	31.1	12.6	18.5
CY223	7.4	3.8	3.6

Risk Adjusted Ratios

When compared on a risk-adjusted basis, our AIF shows an even stronger performance with a risk-adjusted alpha generation of 14.0% 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 16). 

Table 16 : Risk Adjusted ratios 1
Particulars	Portfolio	S&P BSE 500 TRI
Jensen’s Alpha (x)	14.0	0.0
CAPM Beta (x)	0.6	1.0
Sharpe Ratio (x)	2.0	0.7
R-Squared (%)	61.0	100.0
Treynor (x)	35.3	10.4

Performance Within The AIF Universe

We present our rankings among Long Only Category III AIFs who report their post expense and pre tax returns. For the period ending 30th September, 2023, we are ranked 2nd out of 28  AIFs (Table 17), or top decile. 

Table 17 :Comparison of Sameeksha AIF with Long Only AIFs (post exp pre tax returns)
Returns Generated	1 year
Sameeksha AIF	36.9%
Average	28.2%
Median	27.1%
Median Among Top 5 AIFs	36.2%
Sameeksha AIF Rank within the Multicap Category	2nd out of 28
Sameeksha AIF Decile1 Rank within the Universe	Top Decile
Sameeksha AIF Percentile Rank	Top 4%

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. 145, far outpacing what one would have earned by investing in a fund that achieved benchmark returns (Figure 2).

Analyzing The Sector Performance During The Month

During the month, sectors that showed growth in the indices include Finance, Infrastructure, Power and Bank. For Sameeksha AIF, Finance, Hospitality, Healthcare and Chemicals were major outperformers compared to the benchmark. However, what hurt us is the lack of sufficient exposure towards the Telecom, Power and Infrastructure where we missed out on participating in the upturn. Below is the attribution analysis for the month of September 2023 (Table 18). 

Table 18: Sectorwise Attribution Analysis for the month ending September 2023
Sector	Portfolio Contribution	Benchmark Contribution1	Difference
Finance	0.75%	0.36%	0.39%
Hospitality	0.31%	-0.01%	0.32%
Healthcare	0.39%	0.12%	0.27%
Chemicals	0.15%	-0.10%	0.25%
Bank	0.32%	0.23%	0.09%
Crude Oil	0.00%	-0.06%	0.06%
Plastic Products	0.00%	-0.02%	0.02%
Electricals	0.03%	0.01%	0.02%
Miscellaneous	0.00%	-0.01%	0.01%
Gas Transmission	0.00%	-0.01%	0.01%
Abrasives	0.00%	0.00%	0.00%
Alcohol	0.00%	0.00%	0.00%
Trading	0.00%	0.00%	0.00%
Ratings	0.00%	0.00%	0.00%
Paper	0.00%	0.00%	0.00%
Media & Entertainment	-0.01%	0.00%	-0.01%
Insurance	-0.01%	0.00%	-0.01%
Ship Building	0.00%	0.01%	-0.01%
Non – Ferrous Metals	0.00%	0.02%	-0.02%
Logistics	0.00%	0.02%	-0.02%
Construction Materials	0.00%	0.02%	-0.02%
Consumer Durables	0.00%	0.02%	-0.02%
IT	0.16%	0.20%	-0.04%
Iron & Steel	0.00%	0.04%	-0.04%
Agri	0.00%	0.05%	-0.05%
Textile	-0.06%	-0.01%	-0.05%
Diversified	0.00%	0.05%	-0.05%
Aviation	-0.09%	-0.01%	-0.08%
Automobile & Ancillaries	0.06%	0.16%	-0.10%
Inds. Gases & Fuels	-0.07%	0.03%	-0.10%
Retailing	-0.08%	0.03%	-0.11%
Mining	0.00%	0.13%	-0.13%
Realty	-0.10%	0.04%	-0.14%
Capital Goods	-0.12%	0.02%	-0.14%
Diamond & Jewellery	-0.17%	0.01%	-0.18%
Telecom	0.00%	0.22%	-0.22%
Power	0.00%	0.29%	-0.29%
Infrastructure	0.00%	0.34%	-0.34%
FMCG	-0.32%	0.07%	-0.39%

Disclaimer – The information contained in this update is provided by our fund accounting platform and is not audited.