1. From my ad-hoc testing & comparison of some results from MFO Portfolio with PV (Portfolio Visualizer), it seems that the specified Portfolio allocations in MFO Premium are maintained throughout the periods. That would be similar to monthly rebalancing at PV & elsewhere although no such option exists at MFO. Just want to confirm this default for MFO Premium.
Specifically, PV offers following rebalancing options - none, monthly, quarterly, semi-annually, annually, and its results match those from MFO Premium the best when monthly rebalancing option is used at PV.
2. Rolling-up of some Risk & Return metrics to Portfolio level is also interesting (specifically, those aren't weighted-averages, as is done by some other portfolio analytics software). Some explanations may be included in the Definitions where weighted-averages are mentions for several other things, and that in fact may create a wrong impression that this is also dome for some critical Risk & Return metrics.
The clue to all this is in the following statement on MFO Premium Portfolio runs, but its significance may be missed by most users.
"Below, please find the "rolled-up" risk and return metrics for your selected portfolio, as well as metrics for each individual fund in the portfolio.
All risk and return metrics computed using monthly total returns, excluding any load, from Lipper Global Data Feed for U.S. funds and apply to display period indicated..."
Comments
hi ybb.
thank you.
yep, monthly.
the portfolio tool runs the monthly total returns of each fund applying the holding weight (either in % or $) at the return level and then computes the "rolled-up" metrics, like martin.
motivation for the tool came from an article david published about his portfolio and feedback on this board, if I remember, along the lines that you can't weight metrics like maxdd because they are time (phase) dependent.
here's a piece we did when the tool launched ...
https://www.mutualfundobserver.com/2019/09/introducing-mfos-portfolio-analysis-tool/
and another after we improved it with option to substitute category averages for younger funds, also in response to a david query ...
https://www.mutualfundobserver.com/2020/12/an-improved-mfo-portfolio-analysis-tool/
we will soon be adding several new "rolled-up" metrics, like sortino.
c
MFO Wtd-Avg PV w/o rebal PV w/qtr rebal PV w/mo rebal
03/2023-02/2024 (1 Yr) 15.3 16.15 15.11 15.33 15.37
03/2021-02/2024 (3 Yr) 15.4 17.15 15.38 15.38 15.38
03/2019-02/2024 (5 Yr) 13.4 17.30 13.27 13.40 13.45
03/2014-02/2024 (10 Yr) 10.6 14.35 10.80 10.62 10.66
03/2009-02/2014 (15 Yr) 9.4 14.30 10.47 9.43 9.44
So, MaxDD is indeed available for the built-in timeframes.
thank you.
there are dozens of display periods available on mfop, like: monthly, yearly, calendar year, market cycles, decadal, and other unique periods.
in this case, just set display period to 10 years and then select the maxdd value or rating as desired.
c
one that plots total net assets, essentially aum, over time for up to 12 funds;
another that plots total net flows, essentially sum of flows over indicated time period, again for up to 12 funds;
and finally, a combo chart that plots total return, total net assets, total net flows, and daily or monthly flows (depending on how reported) for a single fund over time.
it's taken weeks, months ... but pretty happy with result, especially the combo chart.
the flows database is 6 times larger than the current mfop database. so, took a while to get a handle on it, but believe it will be great addition to mfop.
c