On Friday, 3 December, all fund risk and return metrics, ratings, and analytics were uploaded to MFO Premium, reflecting performance through November 2021. Refinitiv should drop month-ending December data, capping 2021, about 5 a.m. Pacific time on New Year’s Day. With luck, we will post year-end fund results tomorrow evening.

 

We added a couple of features to MultiSearch this past month worth calling out …

 

• Max Drawdown (MAXDD) and Excess Return. Better insight into a fund’s maximum drawdown, which measures peak-to-trough retraction in return across a specified time period, represented one of the motivations for the premium site. While MAXDD has been central to MFO’s search tools since 2011, back when it was hard to find on other sites and publications, we recently added it to the Calendar Year and Period Performance tools within MultiSearch (press Analyze button above results table).

   

  So, at a glance, users can now see MAXDD and Excess Return across multiple periods. Excess Return, which measures return above risk-free 3-month T-Bill rate, has been of little interest since 2009 (GFC), but again if rates normalize, this metric will gain more attention.

 

• Expanded Bond Metrics. Thanks to another request from subscriber Devesh Shah, who publishes the YouTube Channel Understanding Personal Finance, users can now screen for funds by duration, average coupon, and yield to maturity … either by value levels or ratings within peer group or both. (Select Bond Info group on MultiSearch screening page.)

   

  Awareness of duration risk will increase if rates normalize. The longer a bond portfolio’s duration, the larger the drawdown per each unit increase in rate, all else equal. While the Fed attempted a couple of times to raise rates, most recently from 2016 through 2018, bond fund managers and investors have benefited from forty years of generally decreasing rates, representing the “40-Year Bond Bull Market.” (See New MultiSearch Screens To Help Analyze Impact of Rising Rates and More.)

 

• SubFamily and SubAdviser. Users can now screen funds by subadviser and “subfamily,” which is a term we coined to start distinguishing acquired fund families (e.g., Oakmark and PIMCO), or distinct offerings within families (e.g., iShares). “Adviser” is becoming more and more a legal entity and not reflective of the people actually making investment decisions, particularly with so-called “white label” ETF issuers (e.g., ETF Architect). As the fund industry continues its consolidation and white labels proliferate, it can be difficult to understand who is really doing what, and honestly, hard to keep up.

 

Taking a peek at the Calendar Year Max Drawdown data for the S&P 500 dating back to 1926, we see that most years, investors should expect drawdown as much as 10%.

 

 

On Tuesday, 4 January, we will be conducting our year-end webinar to review funds and the site. If you can make it, please join us. Register here for the morning session (11 a.m. Pacific) and/or here for the afternoon session (2 p.m. Pacific).

 

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.

 

May you and yours enjoy a very Happy New Year!