Drawdown Occurs (Almost) Every Calendar Year

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.

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  • 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.)

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  • 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!

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.

 

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Super Bulls, Decadal Metrics, After Tax Ratings, and Adjustable Columns

On Wednesday, 6 October, all fund risk and return metrics, ratings, and analytics were uploaded to MFO Premium, reflecting performance through September 2021, the year’s 3rd quarter.

 

Concurrent with the ratings update, two new evaluation periods were added to MultiSearch, nicknamed “Super Bull 1 & 2.” These bulls don’t acknowledge that the steep declines of Black Monday (October 1987) and CV-19 (March 2020) were bears. Both retractions were so short, they just get lumped-in with the long-term gains the bulls delivered, ex post, of course.

 

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Styled Excel Export Option with August Update

On Sunday, 5 September, all fund risk and return metrics, ratings, and analytics were uploaded to MFO Premium, reflecting performance through August 2021.

 

On Wednesday, 15 September, Brad Ferguson of Indianapolis-based Halter Ferguson Financial joined our webinar to discuss his new Mega Ratio and how he uses it to quickly glean a list of 100 consistent out-performers, filtered down from 10,000 fund offerings.

 

[On that same day four civilian astronauts were launched into space with a SpaceX Falcon rocket, embarking on a 3-day mission orbiting Earth.]

 

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Mid-Year Update Brings Rolling Batting Averages and Trend Ratings

On Independence Day, Sunday, 4 July, all fund risk and return metrics, ratings, and analytics were uploaded to MFO Premium, reflecting performance through June 2021.

 

Thanks to all that participated in our Mid-Year Review webinar on Thursday, 15 July. For your reference, here are links to the briefing charts and video recording.

 

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MultiSearch’s New Quick-and-Easy Results Table Customization

On Thursday, 8 June, all fund risk and return metrics, ratings, and analytics were uploaded to MFO Premium, reflecting performance through May 2021.

 

Today, Saturday, 3 July, a new MultiSearch Column Selection interface went live. It enables quick-and-easy customization of metric groups and individual metrics, resulting in a much more responsive tool. For those of you that want to tailor your searches to specific metrics, say just 20 or 50 or 100 of the more than 600 data columns available, this upgrade satisfies.

 

Tomorrow, Independence Day, Sunday, 4 July, month-ending June data will be uploaded, enabling review of mid-year performance.

 

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Lipper Leaders, Equity Portfolio Ratings, and Debt Holdings Among New MultiSearch Features

On May Day all fund risk and return metrics, ratings, and analytics were uploaded to MFO Premium, reflecting performance through April 2021.

 

This month, several new features are running live in MultiSearch, the site’s main screening tool. Most of these upgrades were encouraged by our subscribers with whom I’ve enjoyed several Zoom sessions.

 

First is the ability to store viewing preferences, as described in this month’s MFO piece Introducing MFO Premium’s Saved Preferences Feature. David notes: “You just have to choose once how many of our 600 data columns you want, by default, to see.”

 

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Lots of “100 Club” Funds In March 2021 MFO Ratings Update

On Sunday, 4 April all fund risk and return metrics, ratings, and analytics were uploaded to MFO Premium, reflecting performance through March 2021.

 

David mentions numerous “100 Club” funds in his April commentary. He coined the term “100 Club” for funds doubling investor returns these past 12 months. Some funds even exceeded 200% return.

 

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