“The returns have reflected the blockbuster success of staid sectors over the last 15 or so years. Per Nish, the Amana Income fund is up 12.48% on a 10-year annualized basis, far outstripping the S&P 500. The prohibition on financial stocks was a big boost during the financial crisis, although it hurt during that sector’s steep rise during 2009-10.”
Let’s take a look at the fund’s performance through the Alpholio™ lens. Here is a cumulative RealAlpha™ chart for the fund:
The chart shows three distinct phases in the fund’s performance in the past eight years:
- From early 2005 to early 2008, the fund generated positive increments of RealAlpha™
- In 2008 and 2009, the fund exhibited a substantial decline in cumulative RealAlpha™, followed by a recovery to approximately the previous peak level
- From 2010 onwards, the fund’s cumulative RealAlpha™ stayed roughly flat.
Interestingly enough, in the first phase, the lag cumulative RealAlpha™ of the fund was below the regular one. This implies that in the fund’s management attempted new investment ideas that substantially differed from those in the prior sub-periods; however, these attempts were largely unsuccessful in generating more RealAlpha™.
The overall Alpholio™ statistics of the fund are unimpressive:
The annualized volatility of fund’s returns in the entire analysis period was much lower than that of the market, which was also reflected in the commendable RealBeta™ of about 0.77. However, in the last three years, the fund’s returns mostly failed to beat the returns of a reference portfolio of exchange-traded products (ETPs) that also had a slightly lower risk level. While this flat cumulative RealAlpha™ trend may not continue in the future, so far there is no strong indication that it will be broken. If it happens, Alpholio™ methodology will generate a buy signal on the fund.