Early Cycle Metrics and Expanded MultiSearch Headers

On Thursday, 4 November, all fund risk and return metrics, ratings, and analytics were uploaded to MFO Premium, reflecting performance through October 2021. The drop occurred a few days earlier than planned, thanks to Refinitiv including latest month ending data in their daily drop. Going forward, ratings will be posted within 2-3 days of month close, instead of the first Saturday or Sunday.

 


On Tuesday, 16 November, we added Early Cycle Metrics to MultiSearch, our main tool. Market history readers will appreciate these data that reflect risk and performance metrics for the S&P 500 [SP500] and Long US Government Bond [LGovBnd] indices dating back to 1926. [See latest MFO Commentary.]

 

“Early” refers to the three US equity market cycles occurring before those published in previous studies. They are nicknamed: E1) Great Depression [192909 To 194605], E2) Post WWII [194606 To 196112], and E3) JFK-LBJ [196201 To 196811].

 

Below are the Early Cycle Returns for the Preset Mixed Allocation SP500/LGovBnd indices. These are in units of annualized percent return, unless the period is less than 1 year; in which case, as with Post WWII and JFK-LBJ bear markets, the table shows absolute percent return.

 


 

MultiSearch now includes dozens of Display (evaluation) periods, which are described in the Definitions page. They are also described in the expanded MutliSearch page (click on circled + sign) or by hovering over column headers.

 

To help make the identification easier, on Friday, 26 November we expanded the headers with more descriptive titles. We’ve also organized the return period columns as follows: Calendar Year, Monthly, Yearly, Decadal, Market Cycles, Unique Period, Calendar Decade, Early Market Cycles. You can select any or all via the Groups button on the MultiSearch Results table.

 

Soon, MultiSearch/Analyze options will include max drawdown and excess return for all evaluation periods. In meantime, you can set the Display period to these early cycles to see all risk and return metrics.

 

Look for ratings update through November on or before this coming Friday, 3 December.

 

As always, if you see anything amiss or have suggestions for improvement, let us know and we will respond soonest.

 

Please enjoy the latest data and features.