SIF return attribution
Where each Specialized Investment Fund's return actually came from — how much was simply the market going up or down, and how much was everything else the manager did. The question that matters for a long-short fund, because paying for a hedge fund structure to deliver index beta is the thing worth spotting.
Market vs manager contribution
Full table
By strategy category
What changed inside the portfolios
Method, and its limits
Each fund's daily return is regressed on the NIFTY 50's daily return over their overlapping history:
r_fund = alpha + beta x r_nifty + e. The market contribution is beta multiplied by the
benchmark's cumulative return over the same window. The manager contribution is what is left over.
That residual is not a skill score. It contains stock selection, the short book, timing, cash drag, fees and plain luck, all together. It is fair to say it is the part market exposure does not explain; it is not fair to read it as proof of stock-picking ability, particularly over windows this short.
This is not a Brinson attribution. A true allocation-versus-selection breakdown needs benchmark sector weights at every date, which nobody publishes for this category, and holdings disclosures here are staggered and roughly bi-monthly. Producing a Brinson table from this data would look precise and be wrong, so we do not.
Beta is less stable for long-short funds than for long-only ones — several of these deliberately run low or varying net exposure. The R-squared column sits next to beta for exactly that reason: where it is low, the market term explains little and the split should be read loosely.
Funds need at least 60 overlapping trading days to appear. Most of this category launched recently, so a large number are listed as insufficient history rather than given a number built on noise.