7 Mutual Fund Performance Measures

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Magnus Wilson
7 Mutual Fund Performance Measures

These are alpha, beta, standard deviation, and the ratio of Sharpe. These statistical measurements are historical predictors of risk/volatility for investment. All of these risk measurements are designed to help investors determine their investment's risk-reward parameters.

  1. How mutual fund is measured?
  2. How do you assess fund performance?
  3. How do you calculate mutual fund performance?
  4. What is a good Sharpe ratio for a mutual fund?
  5. How do you study mutual fund performance?
  6. How do you analyze mutual fund schemes?
  7. What is the average rate of return on a mutual fund?
  8. What is a good rate of return for a mutual fund?
  9. How is mutual fund return percentage calculated?
  10. What is a bad Sharpe ratio?
  11. Is Sharpe or Sortino ratio better?
  12. What does a negative Sharpe ratio mean?

How mutual fund is measured?

The S&P 500 Index is the benchmark for equities and equity funds. R-squared values range from 0 to 100. According to Morningstar, a mutual fund with an R-squared value between 85 and 100 has a performance record that is closely correlated to the index. A fund rated 70 or less typically does not perform like the index.

How do you assess fund performance?

How to Analyze Mutual Fund Performance

  1. Apples to Apples: Compare Funds to Appropriate Benchmarks.
  2. Know When Good Fund Performance Can Be Bad.
  3. Understand and Consider Market and Economic Cycles.
  4. Focus on the 5 and 10-year Periods for Mutual Fund Performance.
  5. Use Weights to Measure Fund Performance.
  6. Don't Forget About Manager Tenure.

How do you calculate mutual fund performance?

Subtract the start date share price from the end date share price plus the distribution amount previous calculated. Divide the result by the start date share price. Multiply the result times 100 to convert the result to a percentage investment return for the selected time period.

What is a good Sharpe ratio for a mutual fund?

Usually, any Sharpe ratio greater than 1.0 is considered acceptable to good by investors. A ratio higher than 2.0 is rated as very good. A ratio of 3.0 or higher is considered excellent. A ratio under 1.0 is considered sub-optimal.

How do you study mutual fund performance?

How to Analyse the Performance of a Mutual Fund Scheme

  1. Compare the scheme with benchmark. ...
  2. Compare the scheme with other funds of same category. ...
  3. See the total return. ...
  4. Study the risk-adjusted return. ...
  5. Study the rolling return. ...
  6. Check the portfolio diversification. ...
  7. Study the ratios.

How do you analyze mutual fund schemes?

These statistics can help you understand what's under the hood of a mutual fund:

  1. Credit Rating (Debt schemes only) ...
  2. Credit Rating (Debt schemes only) ...
  3. Sharpe Ratio. ...
  4. Sharpe Ratio. ...
  5. Average Maturity or Maturity Profile (Debt schemes only) ...
  6. Average Maturity or Maturity Profile (Debt schemes only) ...
  7. Expense Ratio. ...
  8. Expense Ratio.

What is the average rate of return on a mutual fund?

Consider Returns by Category

Average Mutual Fund Returns in 2020 and the Long Term
U.S. Large-Cap Stock13.768.66
U.S. Mid-Cap Stock11.507.88
U.S. Small-Cap Stock10.257.84
International Large-Cap Stock6.464.44

What is a good rate of return for a mutual fund?

For stock mutual funds, a “good” long-term return (annualized, for 10 years or more) is 8%-10%. For bond mutual funds, a good long-term return would be 4%-5%.

How is mutual fund return percentage calculated?

How To Calculate Mutual Fund Returns in Percentage? – Know Formula with Example

  1. Absolute Return on Mr. A's investment over 3 years.
  2. = 30%
  3. An absolute return is always expressed in the form of a percentage (%).
  4. Annualised Return = (Final Investment Value ÷ Initial Investment Amount)^ (1/number of years) – 1.
  5. Thus, Mr.

What is a bad Sharpe ratio?

A Sharpe ratio of 1.0 is considered acceptable. A Sharpe ratio of 2.0 is considered very good. A Sharpe ratio of 3.0 is considered excellent. A Sharpe ratio of less than 1.0 is considered to be poor.

Is Sharpe or Sortino ratio better?

The Sortino ratio is a variation of the Sharpe ratio that only factors in downside risk. The Sharpe ratio is used more to evaluate low-volatility investment portfolios, and the Sortino variation is used more to evaluate high-volatility portfolios.

What does a negative Sharpe ratio mean?

If the analysis results in a negative Sharpe ratio, it either means the risk-free rate is greater than the portfolio's return, or the portfolio's return is expected to be negative.


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