Definitions
Below please find definitions of various terms used on the MFO Premium site. Typically, the definitions describe risk and performance metrics of the MFO rating system first described in our June 2013 commentary Introducing MFO Fund Ratings. They also describe terms used in the Lipper Global Data Feed (LGDF) for U.S. Mutual Funds, Exchange Traded Funds (ETFs), Closed-End Funds (CEFs), and Insurance Funds.

12b-1 Actual Fee Ratio
Historical amount of distribution-related and/or shareholder servicing expenses paid by a fund over its latest fiscal year, which was paid pursuant to the fund’s 12b-1 distribution plan. Reference Section 12b-1 of the Investment Company Act of 1940.

Absolute Return
As opposed to risk adjusted return, is equivalent to Annualized Percent Return (APR).

Adviser
Name of the company that has day-to-day responsibility of investing and monitoring the assets in the fund's portfolio in order to achieve the investment objectives of the fund. In some cases, the Adviser, or Advisor, may be referred to as a "SubAdviser." Also, the Adviser or Management Company may hire a SubAdviser to manage a fund's portfolio.

Age
Age of fund in years based on number of whole months since fund inception (or back to 1960, typically, which is beginning of Lipper database).
  • The Age Group categorizes a fund by its age based on reaching longest of these five fixed-period evaluation windows: 1, 3, 5, 10 and 20 years.
Allocation
Lipper provided assessment of a fund's portfolio holdings, categorized by equity, bonds, cash or other, expressed as a percentage of assets under management.
  • The Equity allocation includes all U.S. domiciled equity securities, American Depository Receipts (ADR’s), equity mutual funds, preferred stocks (including convertibles), and foreign equity securities.
  • The Bonds or fixed income allocation includes all government securities, corporate bonds, municipal bonds, foreign bonds, convertible bonds, and all fixed income mutual funds.
  • The Cash portfolio asset allocation includes cash, cash equivalents (including money market funds) and assets less liabilities. All instruments with maturities of one year or less are included in this category. Investments that fall into this category include repurchase agreements.
  • The Other portfolio asset allocation, expressed as a percentage of assets under management, contains rights, warrants, options, futures, mutual funds (that do not fit into the cash, bonds, and equity categories), and gold bullion.
Annualized Percent Return (APR)
A fund’s annualized average rate of total return each year over period evaluated. It is an abstract number, or so-called "geometric return," since actual annual returns can be well above or below the average, but annualizing greatly facilitates comparison of fund performance. APR is equivalent to CAGR, or compound annual rate of return. It reflects reinvestment of dividend and capital gain distributions, while deducting for fund expenses, fees, but excluding any load. The equation for APR can be found here.
  • The APR Rank represents percentile rank order of a fund's APR within category across specified evaluation period ... oldest share class only. Normally, funds with highest APR are assigned 1%, while those with lowest are assigned 100%. If there are fewer than 100 funds in category, these limits will vary. For example, if there are only 20 funds, then the fund with highest APR will be assigned 5%. So, please be aware of Peer Count when assessing this metric. Also, APR Rank uses a simple sequential ordering methodology, less sophisticated than APR Rating metric; therefore, funds with comparable or even identical APR values the will receive sequential ranking.
  • The APR Rating represents quintile ranking of a fund's APR within category across specified evaluation period. It uses similar methodology as MFO Rating. An APR Rating of  5  represents "Best" in category.
  • The APR vs Peer represents Annualized Percent Return (APR) of a fund versus the average in its category across specified evaluation period. May be abbreviated as "AvP".
Annualized Percent Excess Return (APER)
Annualized average rate of return above the risk-free average rate of return over period evaluated. More specifically, it is calculated by subtracting APR of US 3-Month Treasury Bill from a fund's APR.

Assets Under Management (AUM)
Unless otherwise noted, AUM is total net assets for all share classes of a fund through latest month-end in units of $M. May be abbreviated as "Assets Under Mgmt." In Share Classes table of the Risk Profile page, "AUM per share class, $M" breaks-out AUM by individual share class.
  • The AUM Position is the numerical rank of a fund's AUM computed two ways: 1) versus all funds, and 2) versus funds in same category. An AUM Position of 1 is assigned to fund with highest AUM. When the AUM Position metrics are provided, Fund Count metrics of are also provided for both all funds and funds in category, so that relative assessments can be made. For example, Vanguard's Wellington Fund (VWELX) held an AUM Position of 15 out of 9,371 funds, month ending June 2016, and an AUM Position of 2 out of 144 funds in the Mixed-Asset Target Allocation Growth category.
Asset Universe
Name of investment vehicle or product. Lipper's Global Data Feed (LGDF) includes four products: Mutual Funds, Exchange Traded Funds (ETFs), Closed End Funds (CEFs), and Insurance Funds. For search convenience and taxonomy, MFO adds Indices and Averages.

Batting Average
Percentage of months a fund is positive over evaluation period specified. For example, if a fund delivers positive absolute return for 8 months in a calendar year, that year's Batting Average will be 66.7%.

Bear Market Deviation (BMDEV)
A fund's downside deviation during bear market months. Basically, BMDEV indicates the typical percentage decline based only on a fund’s performance during bear market months. The market in this case being S&P 500. Morningstar defines bear market months as follows: "a monthly drop below 3% for equity funds and a monthly drop below 1% for fixed income [bond] funds." MFO extends the definition to mixed asset and alternative funds using a 2.2% monthly drop threshold, as well as applies the 3% equity drop threshold to commodity funds. BMDEV is used in the determination of Bear Rating.
  • The Bear Rating represents decile ranking (1 to 10 where 1 is most bear market resistant fund) of funds in given category, based on bear market deviation (BMDEV). Caution: This metric is relative to other funds in category, so funds can be low decile but still have high BMDEV relative to overall market. Bear market ratings are described further in the April 2015 commentary Identifying Bear Market Resistant Funds During Good Times.
Beta
A measure of a fund’s risk of volatility compared to the overall market. The market’s beta, or beta coefficient, is 1.00. Any fund with a beta higher than 1.00 is considered more volatile than the market, and therefore riskier to hold, whereas a fund with a beta lower than 1.00 is expected to rise or fall more slowly than the market. The market in this case is the S&P500. (See Against The Herd.)

Cap, Market Average
The dollar-weighted average market capitalization of the equity securities within a portfolio. May be abbreviated as "Cap Avg."

Capture
Amount of positive or negative return a fund captures relative to various indexes, measured over evaluation period specified. Currently, there are four indexes used with Capture Metrics: S&P 500 Monthly Reinvested Index, Barclays US Aggregate Total Return Index, US Balanced SP500/USBond 60/40 Total Return Index, and MSCI All Country World minus US Gross Dividends Reinvested Index. The MFO Symbol short-cuts for these indexes are SP500, USBond, US6040, and ACIxUS, respectively.

Here are the specific Capture Metrics:
  • Upside Capture compares the positive return of a fund, comprised of positive month ending returns, to one of four indexes, over evaluation period specified, measured in percentage. So, compared to SP500, an Upside Capture of 120% means the fund retuned or "captured" 20% more positive return than SP500 over the evaluation period specified.
  • Downside Capture compares the negative return of a fund, comprised of its negative month ending returns, to one of four indexes, over evaluation period specified, measured in percentage. So, compared to SP500, a Downside Capture of 80% means the fund retuned or "captured" only 80% of downside that the SP500 over the evaluation period specified.
  • Capture Ratio is simple the ratio of Upside To Downside Capture. Values greater than 1.0 means that a fund capture more upside than downside compared to its reference fund ... a good thing!
  • Up Months is simply number of months with positive returns of index over evaluation period specified.
  • Down Months is simply number of months with negative returns of index over evaluation period specified.
Note that it is possible to have "negative capture" when, for example, a fund returns positively compared to a negatively returning index, or vice versa.

Category
Typically, a fund’s current investment style as defined by Lipper. There are 175 categories or classifications, like Large-Cap Value, Core Bond, and Alternative Long/Short Equity. A convenient reference table of most category options is MFO Category Summary. A detailed description can be found here, as well as a nice, if dated, comparison against Morningstar categories here. A detailed description of Morningstar categories can be found here.

Composite Ratings
Attempt to distill a fund's risk and return ratings across multiple fixed periods into single rating, in a way similar to Morningstar's "Overall" star rating. Where Morningstar's metrics are a weighted across 3, 5 and 10 year periods, MFO's Composite Ratings are weighted across 1, 3, 5, 10 and 20 year periods, as applicable.

The four MFO Composite Ratings are: MFO Risk, MFO Rating (ie., Martin Rating), APR Rating, and Sharpe Rating. It is interesting to note that MFO Risk tends to be more consistent across evaluation periods than MFO Rating. That said, the Composite MFO Risk may get elevated, temporarily at least, if a fund, especially a younger fund, experiences a rough patch in say the past 12 months.

The weightings are based on fund Age Group:
  • 20: 30% for 20-year ranking, 25% for 10-year, 20% for 5-year, 15% for 3-year, and 10% for 1-year.
  • 10: 40% for 10-year, 30% for 5-year, 20% for 3-year, and 10% for 1-year.
  •   5: 50% for 5-year, 30% for 3-year, and 20% for 1-year.
  •   3: 75% for 3-year, and 25% for 1-year.
  •   1: 100% for 1-year
Correlation Coefficient
Found on the MultiSearch Correlation Matrix page, and often denoted "R", attempts to measure the tendency of two funds (their monthly total returns) to move together. Values of r can range from -1.00 to 1.00. The closer to 1.00, the more two funds have behaved similarly. The closer to -1.00, the more two funds have behaved opposite to each other. Values closer to 0.00 mean the funds are uncorrelated and have behaved independent of each other. A more detailed description can be found here and here. (See also The Diversified Portfolio of Less Correlated Asset Classes and Against The Herd.)

Cumulative Return
Is the total return percentage over evaluation period specified. It reflects reinvestment of dividend and capital gain distributions, while deducting for fund expenses, fees, but excluding any load.

CUSIP
Is a 9-character/number designation. Per the SEC, it stands for Committee on Uniform Securities Identification Procedures. A CUSIP number identifies most financial instruments, including: stocks of all registered U.S. and Canadian companies, commercial paper, and U.S. government and municipal bonds.

David's Take
A one-word take-away of the MFO in-depth fund profile, nearly all written by David: "Positive", "Mixed", "Negative". Did the profile recommend the fund is worth considering, perhaps because of thoughtful execution and successful track record of its manager(s)? If so, it gets a "Positive". Or, is the profile more along the lines of better wait-and-see or hmmm ... not much manager investment in the fund? Then, it gets a "Mixed". Or finally, did the profile say the investment methodology was confused or illogical? That then translates to "Negative". It's not a recommendation to buy or sell, but to further consider ... or not.

Debt-To-Equity (D/E), Average
Ratio representing total debt to total equity, which forms a measure of the extent to which a firm's capital is provided by owners or lenders. A higher total debt to total equity ratio means that a company has chosen to finance its growth through debt rather than equity. It is calculated by dividing the most recent quarter total debt by the most recent quarter shareholder’s equity. The weighted average is then calculated by summing the products of portfolio % value and debt/equity ratio as shown in the following example.

Dividend Payout
Ratio representing the percentage of earnings paid out as dividends. It is calculated by dividing the current annual dividends per share by trailing twelve-month earnings per share. A weighted average is then calculated by summing the products of the portfolio % value and the annual dividend payout ratio.

Display Pariod
The evaluation period over which screening criteria is applied. MultiSearch users can select from 38 different periods (lifetime, ytd, multi-year and multi-month, plus full, down, and up market cycles). The values of the Period Metrics in the MultiSearch Results table are for the period selected.

Downside Deviation (DSDEV)
Another measure of fund volatility, but it measures only downward variation. Specifically, it measures a fund’s return below the risk free rate of return, which is the 90-day T-Bill rate (aka cash). Money market and very short term bond funds typically have downside deviations very close to zero, since they normally return T-Bill rate or higher. Stock funds typically have the highest downside deviations, especially in bear markets. In the MFO rating system, DSDEV indicates the typical percentage decline below its average excess return a fund has experienced in a year’s time. The equation for DSDEV can be found here.
  • The DSDEV Rating represents quintile ranking of a fund's Downside Deviation (DSDEV) within category across specified evaluation period. It uses similar methodology as MFO Rating, except in the case of DSDEV, lower is better. So, a DSDEV Rating of  1  represents "Best" in category.
Effective Maturity
Effective maturity is the measure of maturity of a portfolio’s bonds, taking into consideration the bonds may have call or put provisions. Years to maturity is calculated from next call date and data date for callable securities and from maturity date and data date for noncallable securities. Use the weighted average when calculating the portfolio-level effective maturity. Only uses the fixed income securities in the portfolio.

Enhanced Strategy
Infers a fund's use of leverage or hedging, or non-traditional holdings. Such funds do not comprise long-only portfolios of traditional holdings in stocks, bonds, or cash. Lipper's database does not include an explicit "short" or hedged allocation, unfortunately; therefore, the method generally used to infer Enhanced Strategy is if the "Other" portfolio allocation exceeds 1%, or if the allocation of equity, bonds, or cash exceeds 101% or is below -1%. By default, funds with the following SubTypes are flagged as having Enhanced Strategy: Trading Funds, Alternative Funds, and Commodities. For funds found on the Dashboard of Profiled Funds, the Enhanced Strategy assessment is based on a fund's prospectus and/or manager's interview.

Expense Ratio (ER)
The total fees and expenses charged annually by a fund, expressed as a percentage of assets, for all the various services needed to run the fund, as reported in the Prospectus net of waivers and reimbursements. It is a forward-looking value and may include unaudited statements. It may reflect voluntary caps and these caps may be temporary. It excludes expense offsets or brokerage service arrangements, like "soft dollars," as applicable. The expense ratio is already reflected in the Lipper-provided monthly total returns used to calculate MFO's risk and performance metrics. May be abbreviated as "Exp Ratio."

Fund Alarm Rating
Derived from a ratings system developed by Roy Weitz in 1996 and published monthly on the MFO predecessor site Fund Alarm. Three ratings are possible: Three Alarm  TA  for worst performing funds within category, Honor Roll  HR  for best performing funds, and "None" for all in-between. Only funds at least 5 years and within the oldest share class (OSC) can receive a Fund Alarm rating. These designations are not assigned for funds in trading and specialty categories (eg., Equity Leverage). Please see Three Alarm Funds Redux for more information, as well as definitions for Honor Roll Fund, Three Alarm Fund, Return Score and Risk Score.

Fund Family
A "fund family" comprises at least 3 funds, age 1 month or more run by the same management company. MFO's Fund Family Scorecard assesses how funds run by the same management company have performed against their peers.

Fund of Funds
A fund whose investment objective and policies are to invest in other mutual funds or ETFs. These funds could be outside of its own management company or within its own company.

Great Owl  GO  Fund
A fund that has delivered top quintile risk-adjusted returns, based on Martin Ratio, in its category for evaluation periods of 3, 5, 10, and 20 years, as applicable. An MFO 10-year Great Owl (GO) fund, for example, has delivered top quintile risk-adjusted returns for evaluation periods of 3, 5, and 10 years. The GO distinction applies only to funds in oldest share class (OSC). It was introduced with the MFO Rating System in June 2013 Commentary. GO designations are not assigned for funds in trading and specialty categories (eg., Equity Leverage).

Honor Roll  HR  Fund
A fund that has delivered top quintile absolute returns in its category for evaluation periods of 1, 3, and 5 year evaluation periods. It is derived from the ratings system developed on the MFO predecessor site Fund Alarm. Please see Three Alarm Funds Redux for more information. Only funds within the oldest share class (OSC) can receive the Honor Roll (HR) distinction.

Index Fund
A fund designed to match returns of a stock market index. With the proliferation or indexes, Lipper classifies index funds kind boardly as either "pure" or "following". MFO simply calls them Index Funds.

Initial Buy, Minimum
The minimum dollar amount required for an initial investment in a fund.

Interval Funds
A hybrid mutual fund structure that falls between an open-end and a closed-end fund. Allows investors to purchase shares daily, but permits funds to set longer intervals between redemption's.

Launch Date
First full calendar month of fund's existence, as far back as January 1960, the beginning of Lipper's database. May be also be called "Inception Date" and abbreviated as "Incep Date."

Load, Maximum Front
The fee an investor pays when purchasing shares of a fund, expressed as percentage of the purchase amount. The fee may decrease size of purchase and may be waived by certain offerors, like Fidelity or Schwab, as part of No Fee Transaction agreements. May be abbreviated simply as "Load."

Managed Volatility
Funds that by prospectus language utilize a managed volatility strategy within their primary investment strategy. Managed volatility strategies include but are not limited to risk parity, minimum volatility and fundamental.

Management City
Typically, the US city where the fund Management Company resides. This location is often not the same as the fund's advisor or subadvisor. May be abbreviated as "Mgmt City."

Management Company
The name of the company responsible for managing all legal and financial aspects of the fund, including appointing the advisor, administrator, custodian, and other support companies. The fund management company is also responsible for managing the assets of the fund in case no investment advisor or subadvisor is appointed. May be abbreviated as "Mgmt Co."

Management State
Typically, the US state where the fund Management Company resides. This location is often not the same as the fund's advisor or subadvisor. May be abbreviated as "Mgmt State."

Manager
Name of the current fund manager(s). Up to three will be listed, if managed by team.

Martin Ratio
Another measure of risk adjusted return, this one named after our friend Peter Martin. (See An Alternative Approach to the Measurement of Investment Risk & Risk-Adjusted Performance.) Like Sharpe and Sortino, it measures excess return, but relative to its typical drawdown. After the 2000 tech bubble and 2008 financial crisis, which together resulted in a “lost decade” for stocks, investors have grown very sensitive to drawdowns. Martin excels at identifying funds that have delivered superior returns while mitigating drawdowns. It too is best used when comparing funds of same category over same evaluation period – this very comparison is the basis for determining a fund’s MFO Rating metric. The equation for Martin Ratio can be found here.

Maximum Drawdown (MAXDD)
The percentage of greatest reduction in fund value below its previous maximum over period evaluated. MAXDD can be the most frightening of a fund’s many statistics, but surprisingly it is not widely published. Many top rated and renowned funds incurred maximum drawdowns of -60% or worse in 2009. The date (month/year) of MAXDD occurrence is also tabulated in the MFO rating system (Date MAXDD).
  • The MAXDD Rating represents quintile ranking of a fund's MAXDD within category across specified evaluation period. It uses similar methodology as MFO Rating, except in the case of MAXDD, "lower" is better. So, a MAXDD Rating of  1  represents "Best" in category. [Please note: Liberty is taken to use the absolute value of MAXDD (instead of its actual negative values) when assigning MAXDD Ratings so that lower is indeed better, like other risk ratings.]
Maximum Volatility
Is the maximum of three risk measures (Standard Deviation, Downside Deviation, and Ulcer Index) across the specified evaluation period.

MFO Rank
Represents percentile rank order of a fund's Martin Ratio within category across specified evaluation period ... oldest share class only. Normally, funds with highest Martin are assigned 1%, while those with lowest are assigned 100%. If there are fewer than 100 funds in category, these limits will vary. For example, there are only 20 funds, then the fund with highest APR will be assigned 5%. So, please be aware of Peer Count when assessing this metric. Also, MFO Rank uses a simple sequential ordering methodology, less sophisticated than MFO Rating metric; therefore, funds with comparable or even identical Martin values the will receive sequential ranking.

MFO Rating
The principal performance ranking metric used in the MFO rating system and found across most of the MFO Premium pages. It ranks a fund’s performance based on risk adjusted return, specifically Martin Ratio, relative to other funds in same investment category over same evaluation period. Evaluation periods include lifetime, 20, 10, 5, 3, and 1 year, plus full, down, and up market cycles, as applicable. Funds in the top 20 percentile (top quintile) are assigned a  5  for "Best," while those in bottom 20 percentile (bottom quintile) are assigned a  1  for "Worst." MFO “Great Owl” distinction is assigned to funds that have earned top performance rank for evaluation periods 3, 5, 10, and 20 years, as applicable. [Note: Prior to March 2016, this metric was called "Return Group."]

MFO Risk
The principal risk ranking metric used in the MFO rating system and found across most of the MFO Premium pages. It designates a fund’s risk relative to overall market, defined by SP500 index. It is strictly (if conveniently) volatility based:
  • Funds with volatility less than 20% of market are assigned MFO Risk of  1  and deemed “Very Conservative.”
  • Funds with volatility between 20 and 50% of market are assigned MFO Risk of  2  and deemed "Conservative."
  • Funds with volatility between 50 and 75% of market are assigned MFO Risk of  3  and deemed "Moderate."
  • Funds with volatility between 75 and 125% of market are assigned MFO Risk of  4  and deemed "Aggressive."
  • Funds with volatility greater than 125% of market are assigned MFO Risk of  5  and deemed “Very Aggressive.”
Three volatility metrics (Standard Deviation, Downside Deviation, and Ulcer Index) are used in determining MFO Risk. Evaluation periods include lifetime, 20, 10, 5, 3, and 1 year, plus full, down, and up market cycles, as applicable.

Probably good to emphasize here that risk is fundamental to producing excess return and many top rated funds are also very aggressive. The reference market itself in the MFO system is deemed "Aggressive” by definition.

Note: Prior to March 2016, this metric was called "Risk Group."

Name
Fund name assigned by MFO based on Lipper provided abbreviated name and legal name. The latter tends to be too long (eg., "RiverPark Funds Trust: RiverPark Short Term High Yield Fund; Retail Class Shares"), while the former tends to be too short (eg., "RvrPrk:Sh-Tm HY;Rtl"). MFO attempts to maintain a master list of fund names of just the right length (eg., "RiverPark Short Term High Yield Fund Retail").
  • The Legal Name is provided by Lipper and often includes a fund's Trust identify and Share Class designation, as applicable.
  • Trust designates the organizational entity overseeing regulatory aspects of most mutual funds and ETFs. Typically, it is a registered investment company under the Investment Company Act of 1940 (‘40 Act), thereby regulated by the Securities and Exchange Commission (SEC) and the Financial Industry Regulatory Authority (FINRA).
  • Share Class associates a particluar mutual fund share with its fee structure. Different share classes can have different expense ratios, minimum investments, redemption fees, and sales loads. Some fund companies, like Vanguard, often categorize ETFs as a share class.
No. of Holdings
Typically, the number of stocks and bonds in a fund’s portfolio, reflecting its concentration.

Objective
A categorization based on a fund's stated investment objective and policies as set forth in its prospectus.

Oldest Share Class (OSC)
Typically, the fund share class with earliest First Public Offering (FPO) date. If there is a tie, then OSC designation goes to the fund with lowest expense ratio. And, if tied again, then the fund with largest assets under management.

Open (or Closed)
A designation indicating whether or not a fund is available for purchase by new investors.

Peer Count
The number of unique funds (aka oldest share class only) in given category across specified evaluation period.

Pre-Set Screen
An option found on the MultiSearch page. Each screen is simply a collection of screening criteria.
  • The 11 Sector ETFs enables quick review of sector performance using some of the more popular ETFs. Cool to run in conjunction with Analyze, specifically Correlate and Trend. (See How To Trade The 11 S&P 500 Sector ETFs and The Global Industry Classification Standard (GICS).)

  • Best Performing Rookie Funds generates a list of funds that are between the age of 1 and 2 years old and have delivered top quintile risk adjusted return based on Martin Ratio in their respective categories (MFO Rating of 5) since their inception. (The resulting list will initially show lifetime metrics from first full month since inception through present month.)

  • Dual Great Owl & Honor Roll Funds will generate a list of funds that have received both the Great Owl distinction as well as the Honor Roll designation, across all ages and categories, as applicable.

  • Smallest Drawdown Bond Funds generates a list of Bond funds that have incurred smallest Maximum Drawdown (MAXDD) in their respective categories for Display Period requested. More specifically, they are in the quintile of funds with smallest MAXDD values among their peers. Best to set Display Period for direct comparison of risk/return metrics across fixed evaluation period of interest, like Full Cycle 5 (November 2007 to Present) or 10 Years.

  • Shortest Recovery Time Small Caps generates a list of Small Cap (Small Core, Small Value, Small Growth) funds that have incurred shortest Recovery Times (number of months a fund retracts from previous peak) in their respective categories for Display Period requested. More specifically, these funds have incurred Recovery Times in the lowest quintile among their peers. (Funds still experiencing drawdown in present month or at end of Display Period will not be included.) Best to set Display Period for direct comparison of risk/return metrics across fixed evaluation period of interest, like Full Cycle 5 (November 2007 to Present) or 10 Years.

  • Lowest Ulcer Moderate Allocation Funds generates a list of Mixed Asset Moderate Allocation funds that have incurred the lowest Ulcer Indices in their respective categories for Display Period requested. More specifically, these funds have incurred Ulcer Index values in the lowest quintile among their peers. Best to set Display Period for direct comparison of risk/return metrics across fixed evaluation period of interest, like Full Cycle 5 (November 2007 to Present) or 10 Years.
Each screen listed above is "Pre-Set" by definition, but similar screens can be generated by selecting multiple criteria. For example, to screen for best performing rookie U.S. equity funds, select: SubType = U.S. Equity Funds, Age - Rookies (1 To 2 Years Old), and MFO Rating - 5, then Submit Search.

Price-To-Book (P/B), Average
Calculated by multiplying the price-to-book ratio for each individual security by the ratio of the security’s market value in the portfolio to the total market value of the equity holdings of the portfolio. Prices and book values are as of most recent reporting date.

Price-To-Cash (P/C), Average
Ratio representing the latest closing price divided by trailing twelve-month cash flow per share. The weighted average is then calculated by summing the products of portfolio % value and the capped (60) Price-to-Cash Flow Ratio.

Price-To-Earnings (P/E), Average
Calculated by multiplying the price-to-earnings ratio for each individual security by the ratio of the security’s market value in the portfolio to the total market value of the equity holdings of the portfolio. Prices are as of most recent reporting date. Earnings are based on the trailing 12 months (TTM) from most recent reporting date, excluding extraordinary items.

Price-To-Sales (P/S), Average
Weighted average of ratios representing company market capitalization (share price) divided by company revenue (revenue per share) for the most recent year. Generally, a smaller ratio (less than 1) is considered to be a better investment because the investor is paying less for each unit of sales. Because the calculation only uses revenue and does not factor in items like expenses or debt, it does not give a complete view of the company.

Profiled Funds
Each month, David (and occasionally another member of MFO's staff), typically provides in-depth analysis of two to four funds, continuing a FundAlarm tradition. Through November 2015, 117 profiles are available on MFO legacy site, as summarized on the Dashboard. "David's Take" precariously attempts to distill the profile into one word: Positive, Negative, or Mixed.

Quality
Relative credit quality for the bond portion of a fund’s portfolio, based on dollar weighted average. Ratings are provided by leading bond rating services such as Moody's, Standard & Poor's, Duff & Phelps/MCM, and Fitch. There are three main levels:
  • Investment Grade: AAA, AA, A, BBB.
  • Non-Investment Grade (aka high-yield, aka junk): BB, B, CCC, CC, C.
  • In Default: D.
Recovery Time
The time taken for a fund to recover from a maximum drawdown (MAXDD) occurrence to the original level, including both descent and ascent periods. Please see Recovery Time, published in August 2014 commentary for good depiction. Measured in months. Funds still incurring drawdown in present month or at end of evaluation period are denoted with a "+" next to the Recovery metric. Recovery Time may be abbreviated as "Recvry" or "Rcvry" on MFO datatables.
  • The Recovery Rating represents quintile ranking of a fund's Recovery Time within category across specified evaluation period. It uses similar methodology as MFO Rating, except in the case of Recovery Time, lower is better. So, a Recovery Rating of  1  represents "Best" in category.
  • The Ascent Time is the time taken for a fund to climb from month of maximum drawdown (MAXDD) to previous peak value. Measured in months.
  • The Descent Time is the time taken for a fund to fall from peak value to month of maximum drawdown (MAXDD). Measured in months.
Redemption Fee
Maximum fee percentage charged when withdrawing from a fund within a specified time period after purchase. May be abbreviated "Redem Fee."

Return Score
A metric found on the Three Alarm page. Three Alarm Funds are the worst performers in their categories, delivering absolute returns in the bottom quintile during the past 1, 3, and 5 years. Roy Weitz first published the Three Alarm Funds list in 1996 on his legacy Fund Alarm website. The Fund Alarm system assigns a score for each of the three evaluation periods, again based on absolute return (APR). True to the original scoring system, funds receive a Return Score  2  for landing in the top quintile, while they receive a Return Score  -2  for landing in the bottom quintile. For more background, please see the article published in December 2013 commentary Three Alarm Funds Redux.

Risk Score
A metric found on the Three Alarm page. A Risk Score is also assigned based a "potential bad year" relative to other funds in its category. It uses 3-year absolute return (APR) minus twice the 3-year standard deviation (STDEV). True to the original Fund Alarm scoring system, funds get Risk Score  -2  for being lowest risk and Risk Score  2  for being highest risk. Caution: This risk metric is relative to other funds in category, so funds can receive a low risk score but still be high volatility relative to overall market. For more background, please see the article published in December 2013 commentary Three Alarm Funds Redux.

Rolling Averages
Provide insight into how returns vary for selected rolling periods of interest. Each period overlaps the next, separated by one month, across the life of the fund. The rolling periods are 1, 3, 5, 10 and 20 years, as applicable, based on age of fund and selected display period. This insight is especially important when establishing expectations based on an investor’s risk tolerance and time-line, as it reveals best and worst performance history. (See Rolling Averages, Finally!.)

Sharpe Ratio
A measure of risk adjusted return, which is to say it helps quantify whether a fund is delivering returns commensurate with the risk it is taking. Specifically, it is the ratio of the fund’s annualized excess return divided its standard deviation. A fund’s “excess return” is any amount above risk-free investment, which is typically 90-day T-Bill. Sharpe is best used when comparing funds of same investment category over same evaluation period. The higher its Sharpe, the better a fund is performing relative to its risk, or more precisely, its volatility. The equation for Sharpe Ratio can be found here.
  • The Sharpe Rating represents quintile ranking of a fund's Sharpe Ratio within category across specified evaluation period. It uses similar methodology as MFO Rating. A Sharpe Rating of  5  represents "Best" in category.
Share Classes, Number of
Current number of shares classes for each unique fund, as defined by its portfolio holdings. MFO ratings default to the Oldest Share Class (OSC) funds, but many funds have additional share classes that typically carry different expense ratios and loads. For example, "Class A" shares typically charge a front-end load that is taken off your initial investment. Vanguard, known for low fees, offers so-called Admiral Shares, which maintain a higher minimum investment, but charge even lower expense ratios. Similarly, institutional share classes often waive 12b-1 fees charged by retail share classes. American Funds has some highest number of shares classes, like American Balanced (ABALX) with 17 as of March 2018.

Socially Conscious Fund
A fund that has adopted investment policies that are sensitive to social concerns. An example: Parnassus Core Equity Inv (PRBLX). Its prospectus, dated 1 May 2015, states: "The Adviser also takes environmental, social and governance factors into account in making investment decisions ... to invest in companies with positive performance on Environmental, Social and Governance (ESG) criteria. The ESG factors include: corporate governance and business ethics, employee benefits and corporate culture, stakeholder relations, product, customers and supply chain, and environmental impact."

Sortino Ratio
Another measure of risk adjusted return, but in this case it is relative to the amount of downside volatility (DSDEV) a fund incurs. It is a modification of the Sharpe intended to address a criticism that Sharpe unfairly penalizes so-called good volatility (ie., rising value), which investors don’t mind at all. In other words, a fund that goes up much more than down may be underappreciated in Sharpe, but not Sortino. Like Shape, Sortino is best used when comparing funds of same investment category over same evaluation period. The equation for Sortino Ratio can be found here.
  • The Sortino Rating represents quintile ranking of a fund's Sortino Ratio within category across specified evaluation period. It uses similar methodology as MFO Rating. A Sortino Rating of  5  represents "Best" in category.
Standard Deviation (STDEV)
A measure of fund volatility. The higher a fund’s standard deviation, the more its return has varied over time. That can be both good and bad, since a rise or fall in value will cause standard deviation to increase. Typically, but not always, money market funds have lowest standard deviations, stocks funds have highest, while bond funds are in-between. In the MFO rating system, STDEV indicates the typical percentage variation above or below average return a fund has experienced in a year’s time. On good or bad years, variations from average returns have been two or three times the standard deviation, and every now and then even more. The equation for STDEV can be found here.
  • The STDEV Rating represents quintile ranking of a fund's Standard Deviation (STDEV) within category across specified evaluation period. It uses similar methodology as MFO Rating, except in the case of STDEV, lower is better. So, a STDEV Rating of  1  represents "Best" in category.
SubType
Is a broad grouping of categories. Lipper currently defines 175 categories. MFO organizes them into 11 subtypes, as depicted in our MFO Category Summary table. They are: U.S. Equity, Mixed Asset, Global Equity, International Equity, Sector Equity, Commodity, Alternative, Trading, Bond, Municipal Bond, and Money Market funds, in addition to Index and Average. The MultiSearch tool enables screening of multiple categories, subtypes, or types along with other criteria.

Symbol
Typically, an arrangement of five letters that uniquely identifies each mutual fund (or mutual fund share class) for trading on a US exchange. The last letter is usually an "X," which distinguishes mutual fund symbols from stock ticker symbols. Virtually all mutual fund Symbols in the MFO search tools refer to the NASDAQ Symbols, which are assigned by the National Association of Securities Dealers (NASD) to individual funds eligible for listing on its Automated Quotation system (NASDAQ). Other products generally use different designations, as follows:
  • CEFs typically carry a three letter desgnator.
  • ETFs generally carry a four letter designation (although few have just two letters, like Vanguard Total World Stock Index ETF ... Symbol VT).
  • Insurance funds typically carry a Lipper designation, prefaced with "IF-".
  • Indices typically carry a Lipper designation, prefaced with "IX-".
  • Funds without other unique product designations then use a Lipper designation, prefaced with "LG-".
  • Average of Monthly Returns entries use the Lipper Category Code prefaced with "AR-".
  • Average of Metrics enteries use the Lipper Category Code prefaced with "AV-".
Tenure
Length of time fund manager (or most senior member of team) has been managing fund. Measured in (whole) years.

Three Alarm  TA  Fund
A fund that has delivered bottom quintile absolute returns in its category for evaluation periods of 1, 3, and 5 year evaluation periods. It is derived from the ratings system developed on the MFO predecessor site Fund Alarm. Please see Three Alarm Funds Redux for more information. Only funds within the oldest share class (OSC) can receive the Three Alarm (TA) distinction.

Total Monthly Return
Month ending fund return expressed in percentage provided by Lipper Global Data Feed for U.S. funds. It reflects reinvestment of dividend and capital gain distributions, while deducting for fund expenses and fees.

Turnover
The percentage of the fund’s assets in its portfolio that were sold during the most recent fiscal year.

Type
A fund’s broad investment approach. Lipper groups funds into six types: Bond (BD), Alternative (ALT), Mixed Asset (MA), Equity (EQ), Commodity (COM), and Money Market (MM). For search convenience and taxonomy, MFO adds Index (IX) and Average (AV).

Ulcer Index
A third measure of fund volatility and the most direct measure of a fund’s bouts with declining (and uncomfortable, hence its name) performance. It measures both magnitude and duration of drawdowns in value. A fund with high Ulcer Index means it has experienced deep or extended declines, or both. Ulcer Index for money market funds is typically zero. During bull markets, stock funds too can have a low Ulcer Index, but when the bull turns, watch out. In the MFO rating system, Ulcer indicates the typical percentage decline in value a fund has experienced at some point during the period evaluated. The equation for Ulcer can be found here. (See An Alternative Approach to the Measurement of Investment Risk & Risk-Adjusted Performance for more about Ulcer Index).
  • The "Ulcer Rating" represents quintile ranking of a fund's Ulcer Index within category across specified evaluation period. It uses similar methodology as MFO Rating, except in the case of Ulcer, lower is better. So, an Ulcer Rating of  1  represents "Best" in category.
Yield
Fund rate of return based on the income distributions in the past 12 months. The yield is computed by dividing the sum of the income dividends paid during the previous twelve months (or the previous 52 weeks for periods ending at any time other than month-end) by the latest net asst vale (NAV) or market price adjusted for capital gains distributions. Expressed in terms of percentage.
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