“In God we trust,
all others bring data.”
William Edwards Deming
Beginning with our October monthly data update to MFO Premium, we will incorporate one of largest improvements to the site since launching our beta version in November 2015, three years ago.
The improvements began, like most of the features on the site, by user requests … this time, for more evaluation periods. All risk and performance metrics will now be provided for 1, 2, 3, 6, 9, and 10-month periods, as well as year-to-date (YTD); 1, 2, 3, 5, 7, 10, 12, 15, 20, 25, 30, 40, 50-year periods; lifetime (or at least back to January 1960); and the current five up, down, and full-market cycles, again since January 1960. All searchable by over 70 parameters, even simultaneously.
The past month performance will also facilitate visibility into fund flows as well as assess short-term damage, especially each October.
Year-to-date provides a naturally curious benchmark.
The 10-mo period is frequently used by strategies involving trend-following, like those referenced in our September commentary.
The evaluation period expansion represents one of a series of upgrades we’ve been incorporating since our adoption of Lipper’s Global Data Feed (LGDF) last May, as described in Premium Site Upgrade – Much Expanded Data Feed.
These upgrades include the addition of trend metrics, batting averages, Ferguson metrics, and calendar year performance.
Behind the scenes, the expanded evaluation periods prompted a reconstruction of the entire process used to create our MFO ratings, which includes:
- Extraction of basic data from LGDF
- Assignment of unique search symbols and “friendly” fundnames
- Calculation of dozens of risk and performance metrics across the various evaluation periods, including negative Sharpe, Sortino, and Martin handling
- Calculation of category averages and deviations, including outlier handling
- Calculation of MFO Ratings and assignment of designations, like Great Owls and Three Alarm
- Output and upload to site supporting the various search and analysis tools
All this means there’s increased transparency and more opportunity to expand and tailor the site and its myriad of tools to user needs.