* Period ending 30th September, 2024 ** Among multicap PMSes for five year period *** Five year Period
In the month of September, the benchmark S&P BSE 500 TRI was up 2.1%. Against that, Sameeksha PMS (Portfolio Management Service = Separately Managed Accounts) was up by 0.02% (net of all fees and expenses), indicating an underperformance of 2.07%; while having cash levels of 10.1% at start of the month and 10.9% at the end of the month. Sameeksha AIF (Alternative Investment Fund = “Hedge Fund”) gained by 0.1% (post fees and expenses), indicating an underperformance of over 2.0% over the benchmark. Our portfolio performance was led by contributions from the Finance and Healthcare sectors, each of which contributed more than 0.7% each to the performance.
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 62.2% over BSE500 TRI over the nine financial years (including the current incomplete financial year) implying an average alpha of 6.9% since inception (Table 1).
It is important to note that we have maintained relatively higher levels of cash (13% 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 24.7%, 32.7% and 23.7% in INR terms and 21.3%, 28.3% and 18.8% 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).
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 the rolling five year periods applicable from March 2021 till date, Sameeksha PMS has delivered aggregate annualized alpha ranging from 5% to 16%, 100% of the time (43 out of 43 observations). For the rolling three year periods applicable from March 2021 till date, Sameeksha PMS has delivered aggregate annualized alpha 100% of the time (43 out of 43 observations) ranging from 4% to 23%.
For rolling three year periods applicable since March 2021, we have been ranked among the multicap universe in the Top Decile 58.1% of the time (25 out of 43 observations) and in the Top Quartile 95.3% of the time (41 out of 43 observations). For rolling five year periods applicable to our entire operating history, we have been ranked among the multicap universe in the Top Decile and Top Quartile 100% of the time (43 out of 43 observations). (Tables 4 and 5)
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.
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. (Table 6A).
Furthermore, other risk-adjusted returns – Sharpe ratio is also significantly higher. 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. (Table 6B).
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 6th out of 69 PMSes, for the five year period and 25th out of 92 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 43 out of 43 observations reflecting well on the consistency of our performance.
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 5 years and more, Sameeksha PMS has returned a very substantial alpha with an average annualized alpha of approx. 10% for the five year period ending 30th September, 2024. Similarly, for investors who are with us for 3 years or more, Sameeksha PMS has returned substantial alpha with an average annualized alpha of approx. 3.7% for the three year period ending 30th September, 2024. The Figure below shows the average annualized returns and alpha over different periods of time of all the clients as on 30th September, 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.
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 2.1% returns against the benchmark BSE500TRI returns. For Financial Year 2024-25, we have outperformed BSE500 TRI by 1.2%. Looking at our performance over the financial years (Figure 3), we have outperformed our benchmark in seven out of nine financial years (including the current incomplete financial year). Key however is that the sum of outperformance of 72% in those seven years far exceeds the sum of underperformance of 9.8% in the remaining two years. Furthermore, if we are able to outperform in this financial year, it will become a streak of six consecutive years of generating alpha.
For the calendar year 2024, we have underperformed the benchmark BSE500 TRI by 0.5%. Looking at our performance over calendar years (Figure 4), we have outperformed the benchmark in five out of nine calendar years and the sum of outperformance of 81.8% in five years far exceeds the sum of underperformance of 17.0% in the remaining four years.
It is important to note that we delivered this alpha despite maintaining an average cash level of 13% across the nine 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. 654 , far outpacing what one would have earned by investing in a fund that achieved benchmark returns (Figure 5).
Analyzing the sector performance during the month
The sector-wise attribution analysis for September 2024 reveals that Sameeksha outperformed the benchmark in several sectors, contributing positively to the portfolio. Notably, in Finance, Sameeksha delivered a higher contribution compared to the benchmark, leading to an outperformance of 0.35%. The lack of exposure to Crude Oil also benefited the portfolio, saving it from the benchmark’s negative performance in that sector.
However, Sameeksha faced challenges in sectors like Telecom, where its underperformance was significantly worse than the benchmark. Other sectors such as Media & Entertainment, Banking, IT, and Automobile & Ancillaries also saw underperformance relative to the benchmark, contributing to overall portfolio drag. Below is the attribution analysis for the month of September 2024 (Table 9).
AIF Performance and other details
Aggregate Fund Returns over various time periods
Since inception, we have maintained relatively higher levels of cash (16.7% on average over the entire period from inception) from time to time over the duration of managing the fund. Notwithstanding the same, from inception, over two years and over one year, we have generated returns of 32.2%, 43.2% and 44.3% in INR terms and 27.1%, 41.3% and 43.2% in USD terms beating the benchmark BSE500 TRI returns and ETF tracking S&P 500 index, respectively after fees before taxes. (Table 10).
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 0.1% returns against the benchmark BSE500TRI returns of 2.1%. Looking at our performance over the financial years (Table 11), we have outperformed our benchmark in FY 2023 and FY 2024 and we will continue to outperform in the current FY 2025. For the financial year 2025 till date, we have positioned ourselves by underperforming the benchmark BSE500 TRI by 0.4%.
For the calendar year 2024, we have outperformed the benchmark BSE 500 TRI by 0.5%. 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% and 3.6% respectively. (Table 12)
Risk Adjusted Ratios
When compared on a risk adjusted basis, our AIF 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.
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.(Table 13A)
Furthermore, other risk-adjusted returns – Sharpe ratio is also significantly higher. 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.(Table 13B).
Performance within the AIF Universe
We present our rankings among Long Only Category III AIFs. For the period ending 30th September, 2024 , we are ranked 4th out of 46 AIFs for the two year period, or Top Decile and 19th out of 61 AIFs for the one year period (Table 14), or 7th 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.
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. 209, 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
Sameeksha AIF outperformed the benchmark in several key sectors for September 2024. The fund saw strong contributions from Finance, and Healthcare, reflecting solid sectoral allocation and selection. Additionally, sectors like Business Services and FMCG also contributed positively compared to the benchmark. The lack of exposure to Crude Oil also benefited the portfolio, saving it from the benchmark’s negative performance in that sector.
However, the portfolio underperformed in sectors like Telecom, Power, Banking, and IT, all of which dragged down performance. Despite gains in some areas, these underperforming sectors reduced the overall impact. (Table 15).
Disclaimer – The information contained in this update is provided by our fund accounting platform and is not audited. This document is for informational purposes only and is not intended for solicitation to residents of the United States or any other jurisdiction which would subject Sameeksha Capital or its affiliates to any registration requirement within such jurisdiction or country. It does not constitute an offer to buy or sell securities or financial instruments. Recipients are advised to conduct their own research and seek professional advice before making any investment decisions.
