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screening large numbers of funds

I would like to hear what other members use for the best two or three parameters to use in screening large fund categories.

Other than picking "Great Owl Funds" and being done with it, what else has anyone found useful?

The amount of data points available make it essential to pick a few data points for initial passes, to pick the best funds fir further analysis.

As a measure of return: "APR vs Peer" ( although this seems to be vary interval dependent), and "batting average" which indicates how frequently a fund beats it peers.

Risk seems harder to narrow down but I have always found Maximum DD and Ulcer Index understandable and helpful.


  • I often try to look beyond performance based satistics, which includes risk numbers, to other factors. I look at the portfolio's average market cap, its average valuations, sector and stock concentrations--what percentage in tech for instance, or what percentage in the top ten holdings. I also look at manager data, such as manager tenure on the fund, average turnover ratios, and, of course, expense ratios.
  • I use the Fidelity screener by Morningstar category, and sort by standard deviation and Sharpe ratio. I try to find funds that perform well in both categories, which of course is difficult. I'm using more and more Fidelity funds, which I can sell without short-term redemption fees, or etfs. The only stock funds(other than my Vanguard account) I'm holding onto long-term are PRWCX CTFAX FSMEX MERFX ARBOX ADANX VARAX and FDGRX.
  • Risk seems harder to narrow down but I have always found Maximum DD and Ulcer Index understandable and helpful.
    How well a fund do and recover relative to its benchmark during downturn is important. Those funds recover in shorter duration tend to do better in the longer term. MFO Premium allows screening each asset classes over several drawdowns dated way back. Like funds with higher % active shares and having top 10 holdings differ than those found in S&P500.
  • edited July 2021
    @sma3. You should soon be able to use MultiSearch to screen on your namesake ... top quintile ratings for sma3, sma10, trend3, and trend10 ... along with about 200 other parameters, simultaneously ... super-fast even for tables with hundreds of results, once initial screen is loaded ... now that the default view is set to summary metrics only. How about we set-up an impromptu Zoom session to demonstrate? Give me some possible times, say this Wednesday or Thursday? You can post or email me. Will open it up so that others can listen in or participate without registering. Will post shortly when latest version goes live. It's really powerful! Promise. c
  • @Charles I sent you a message yesterday. Happy for your help, but if the previous instruction sessions are available, I can look at them first.

    Otherwise anytime tomorrow or early thursday works. I live in Massachusetts
  • I am a Schwab brokerage client, with a preference for their Institutional Class offerings. I use Schwab Research/Screening tools to identify available Schwab funds that fit basic total return performance results, with an emphasis on performance charts that demonstrate strong downmarket patterns. I then place those selected funds into the M* Portfolio system, using M* categories for numerous watchlists. At M* I create watchlist portfolios, with M* custom views, and select a mixture of watchlist categories, that includes total return performance over both long and shorter time periods, risk related criteria that includes M* Risk/standard deviation, etc. I also add portfolio criteria such as duration, yield, etc. On an ongoing basis, I can switch quickly to prioritize lists by various categorical items, so I can see short term performance comparative analysis, in case I want to do a momentum based trade, or if I want to see a longer term performance pattern. I have varying criteria for the selection of taxable account funds vs. tax exempt funds, so I can organize different watchlists according to the criteria I have for varying parts of my portfolio.
  • edited July 2021
    @sma3. I just posted to you via Discussion Board email/wall. In future, a more direct way to get me is: [email protected].

    I've scheduled an open Zoom session for Friday, 28 July, 11am Pacific (2pm Eastern).

    Here's invite link:

    Topic: MFO Premium Demo
    Time: Jul 30, 2021 11:00 AM Pacific Time (US and Canada)

    Join Zoom Meeting

    Meeting ID: 861 1935 5617
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    Meeting ID: 861 1935 5617
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    No registration required.

    No charts.

    Will just walk through latest screening options for MultiSearch (should be live today), which include Reamer Rating, Rolling Batting Averages, and Trend and SMA Ratings. Will also touch on new Tax Cost Ratio metrics.

    As I mentioned in my email to you, will do this session above regardless and another if it does not work for you.

    Spending summer in northwest again this year, so my access to quiet rooms (Public Library Conference rooms) limited to noon your time or after!
  • Thanks Just emailed you. Probably can't make it as have out of town guests. Maybe Will see and if I don't will contact you for another time
  • This sounds wonderful @Charles. Thx very much for doing this! See you Friday
  • edited July 2021
    We're live with latest update. Looks really good.

    New MultiSearch screening metrics include:

    Reamer Ratio
    Reamer Rating
    Rolling Batting Averages
    Rolling Batting Average Ratings
    Trend Ratings
    SMA Ratings
    Upside Capture Ratings
    Downside Capture Ratings
    Capture Ratio Ratings
    Batting Average Ratings

    We have had several of the metrics above screenable as values, but now can screen on quintile ratings in category as well.

    So, most MultiSearch metrics can now be screened by value, rating, or both.
  • edited July 2021
    Here's link to all 200 or so screenable metrics in MultiSearch:

    MultiSearch Screening Parameters
  • Other metrics now in MultiSearch Results table:

    Tax Cost Ratios, both Pre and Post Liquidation, 1, 5, 10 years.

    Fee Waivers, Waiver Type, Waiver Date, Waiver Limit.

    30 Day SEC Yields, with and without subsidy.

    Adviser and Subadviser fees.

    Definitions page updated as well, which now includes all the new preset screens.
  • Any possibility Lipper ( that is the data source, correct) will provide brokerage availability? I know it changes frequently, but I think M* has it
  • Would be nice add. Unfortunately, not available yet.

    ETFs, of course, are available everywhere, so not an issue there.

  • Except for leveraged and inverse ETFs and ETNs, which aren't available at Vanguard.
    On January 22, 2019, Vanguard stopped accepting purchases in leveraged or inverse mutual funds, ETFs (exchange-traded funds), or ETNs (exchange-traded notes). If you already own these investments, you can continue to hold them or choose to sell them. You'll pay the same commission as you would to sell transaction-fee mutual funds. You can also transfer them in kind from or to other institutions.
  • edited July 2021
    @msf. Good one! Thank you.
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