With the Performance and Risk feature, you can quickly track a mutual fund’s performance over a variety of time horizons. You can also measure the risk and return of the fund compared with the fund category, and access a trailing returns analysis over multiple time periods.
|3 Months||6 Months||3 Years||5 Years||10 Years|
|Observation Period||Trailing Return|
Best 3 Month Return
December 2018 - March 2019
Worst 3 Month Return
December 2019 - March 2020
|Risk Measure||MID436||Category Avg|
Beta is a measure of sensitivity of fund performance relative to changes in benchmark performance. A fund with a beta of 1.0 has tended to experience up and down movements of roughly the same magnitude as the benchmark, and a beta of 1.2 means that the movement of the fund is 1.2 times that of the benchmark. A higher beta means higher risk associated with the benchmark. When markets are trending up, high betas imply high returns, since a beta above 1.0 amplifies the market's movements. Confidence in beta must be qualified by an r-squared that approaches one.
A statistical measure of the variation from an expected value. As it goes up, volatility increases making an investment riskier. This is an historical metric relating previous volatility to future performance.
In performance terms alpha, also referred to as Jensen’s alpha, refers to the difference between an asset's actual return over a specified period versus the expected return using its volatility relative to the market as measured by the beta coefficient. Since some market theorists equate relative volatility with risk, the alpha coefficient is sometimes referred to as risk-adjusted return. A higher alpha is better than a lower alpha since it indicates added value for a given level of risk. A positive alpha figure also indicates that the fund has performed better than its beta would predict. A negative alpha indicates a fund has underperformed, given the expectations established by the fund's beta. However, confidence in alpha must be qualified by the strength of r-squared in the beta calculation. Confidence in alpha increases as the r-squared value approaches one.
Developed by William F. Sharpe, the Sharpe ratio is a risk-adjusted measure of performance, also known as the reward-to-volatility ratio. It demonstrates whether portfolio returns were due to skillful investment selection or excessive risk. It is calculated as the average sub period excess return divided by the standard deviation of sub period excess returns over a given period. Sub period excess return is the difference between the investment return and the risk-free return for a sub period. A higher Sharpe ratio means better fund performance relative to the risk-free rate on a risk-adjusted basis.
R-squared is a measure of the strength of linear relationship between fund performance and benchmark performance. It is the percentage of variability in fund performance explained by benchmark performance. R-squared ranges from 0 to 1, where 0 means no linear relationship and 1 means a perfect linear relationship. A higher r-squared indicates more reliable regression estimates such as alpha and beta.