![]() ![]() The "Risk Potential" ranges from 1 (low risk) to 5 (high risk). ![]() provides a sparse set of risk metrics for each mutual fund: R-Squared, Beta, and a "Risk Potential" score.'s mutual fund screener includes Sharpe ratio, standard deviation, beta, and R-squared.Additionally, standard deviation penalizes portfolios by treating downside deviation (which is bad) and upside deviation (which is good) equally. Other risk metrics like standard deviation, while popular, can average out and thereby disguise periods of poor performance. Because Maximum Drawdown is by definition "extreme," it allows investors to see the worst-case that a portfolio has suffered. In other words, it's a portfolio's greatest loss in value over the time period you're considering.įor our analysis, the Maximum Drawdown is based on the total monthly return, including distributions. "Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period and is usually quoted as a percentage of the peak value," according to the asset management firm Robeco. You can't find this metric on the websites of Morningstar, Yahoo, Vanguard, or Fidelity. This metric has the power to make a decent-looking fund or portfolio look quite dreadful. This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.What is the metric that mutual fund providers fear? NASDAQ data is at least 15 minutes delayed. NYSE and AMEX data is at least 20 minutes delayed. Real time prices by BATS. Delayed quotes by FIS. Visit to get our data and content for your mobile app or website. Visit Performance Disclosure for information about the performance numbers displayed above. Certain Zacks Rank stocks for which no month-end price was available, pricing information was not collected, or for certain other reasons have been excluded from these return calculations. Zacks Ranks stocks can, and often do, change throughout the month. Only Zacks Rank stocks included in Zacks hypothetical portfolios at the beginning of each month are included in the return calculations. The monthly returns are then compounded to arrive at the annual return. A simple, equally-weighted average return of all Zacks Rank stocks is calculated to determine the monthly return. Zacks Rank stock-rating system returns are computed monthly based on the beginning of the month and end of the month Zacks Rank stock prices plus any dividends received during that particular month. These returns cover a period from Januthrough July 3, 2023. Since 1988 it has more than doubled the S&P 500 with an average gain of +24.26% per year. This dedication to giving investors a trading advantage led to the creation of our proven Zacks Rank stock-rating system. and Morningstar, Inc.Ĭopyright 2023 Zacks Investment Research | 10 S Riverside Plaza Suite #1600 | Chicago, IL 60606Īt the center of everything we do is a strong commitment to independent research and sharing its profitable discoveries with investors. Forbes Media, LLC Investor's Business Daily, Inc. Each of the company logos represented herein are trademarks of Microsoft Corporation Dow Jones & Company Nasdaq, Inc. This page has not been authorized, sponsored, or otherwise approved or endorsed by the companies represented herein. ![]()
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