Fund Management

All Weather Fixed Income Fund

Investment Process

4 steps of systematic wealth creation process forms the foundation of this debt strategy which is fine-tuned as per client specific mandate.

Generation

    Develop ideas through statistical and fundamental observations capturing both macro and micro components of the market.

Research and Development

    Ideas to be converted into actionable models,tested to confirm generation of alpha and aim to ensure market neutrality as much as possible for relative value models.

Model Validation and Forward Testing

    Model to be forward tested for purposes of validation for a period of time. Fine tuning of models during the process.

Portfolio Testing

    The model inclusion is studied to assess the impact on the portfolio including sensitivity analysis of key risk parameters.

Risk Management

    Key risk measures such as position sizing, drawdown and correlation to be assessed during the life of the model. Underperforming models to be assessed carefully for model death.

Investment Philosophy

All Weather Fixed Income Fund is a proprietary fixed income fund focused on maximizing total return potential while protecting principal. The fund strives to deliver attractive returns through the ups and downs of bond market cycles while emphasizing quality, diversification and flexibility. It aims to form a core holding of a person's financial portfolio and can be used as a tax efficient substitute for fixed deposits.

Objective

The key objective of the All Weather Fixed Income Fund is to outperform State Bank of India 5-year fixed deposit rate (the fund's benchmark) on a sustainable risk adjusted basis. This is done by managing the interest rate exposure of the portfolio while adding alpha opportunistically based on a rigorous bottom up proprietary model. The portfolio construction is optimized to maximize quality, avoid concentration risk and increase flexibility in terms of both duration and credit. Risk is managed on a forward looking basis to deliver strong long term returns based on a combination of income and capital appreciation.

Historical Quarterly Composite Performance (%)

 AWFI Fund**Benchmark*Alpha
Last Twelve Months9.2%6.5%2.7%
31-Mar-20171.5%1.6%-0.1%
31-Dec-20162.2%1.6%0.6%
30-Sep-20163.1%1.6%1.4%
30-Jun-20162.2%1.6%0.5%
As on 31 Mar 2017
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Know your Portfolio Risk Measures: Your Portfolio quality is higher even if your steadier returns.
Alpha Alpha is the excess return of the fund over the benchmark.
Beta Beta is a measure of the risk of the portfolio in comparison to the benchmark. A value of Beta <1 means lower risk than the benchmark while a Beta >1 means the risk is higher than the benchmark.
Annual Tracking Error Tracking Error is the divergence of the portfolio in comparison to the benchmark. It explains the excess risk in the porfolio as compared to the benchmark. It should be understood along with the Information Ratio.
Information Ratio Information Ratio(IR) explains the risk adjusted performance of the fund against the benchmark. IR is the ratio of portfolio excess returns (against the benchmark) divided by the Tracking Error. IR>1 is very good as it means that the excess return generated was greater than the excess risk vis-a-vis the benchmark.
Maximum Drawdown Maximum Drawdown is the maximum historical loss realized by the portfolio on a Mark to Market (MTM) basis. It indicates the maximum downside risk over a specified time period. A Maximum Drawdown lower than the benchmark indicates a better risk-adjusted portfolio.

Investing Involves Risk. This document is for information purposes only and should not be viewed as a legal offering document or solicitation. Offers to invest in this fund are made only by the Discretionary Portfolio Management Services Agreement. Past performance does not guarantee future results and there is no assurance that the managed accounts will necessarily achieve its objectives. Any forward-looking information and/or opinions contained in this document are based on the market information available at the time of publication and are subject to a number of known and unknown risks, uncertainties, assumptions as to future events and other factors that could cause the actual results to differ materially from those implied by the information set forth herein. This information is confidential and is intended for only the person or entity to whom it was sent and in no circumstances may this material be shown, copied, transmitted, or otherwise given to any person other than the authorized recipient. The sector allocations and holdings shown are based on the strategy's model portfolio. The holdings shown do not represent all of the securities purchased, sold or recommended for any particular advisory client and in the aggregate may represent only a small percentage of an account's portfolio holdings. Actual portfolios may differ as a result of account size, client-imposed investment restrictions, the timing of client investments and market, economic and individual company considerations. Securities are shown for illustrative purposes only and are not a solicitation to buy or sell any particular security or invest in a particular sector. Narnolia Velox may act as either a discretionary investment manager or a non-discretionary model provider in a variety of separately managed accounts. Any performance information included herein represents the performance achieved by Narnolia Velox as a discretionary investment manager with trade implementation responsibility for accounts included in a performance.

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Analyst Mohalla