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MFO Fund Ratings Through 3rd Quarter 2015 - Updated with Lipper Database

CharlesCharles
edited November 2015 in Fund Discussions
The Great Owls, Three Alarm, and Profiled Funds Dashboard pages have been updated with data from Lipper Data Feed Service for U.S. Open End funds. Risk Profiles and Miraculous Multi Search will be updated shortly.

Risk and return metrics have been updated through September 2015 on the MFO Search Tools pages, including Great Owls, Three Alarm and Honor Roll funds, Risk Profiles, Multi-Search, and Dashboard of profiled funds.

Later this month, we will update the 3Q ratings using a Lipper provided fund database, as described in our recent commentary MFO Switches To Lipper.

Comments

  • heezsafe
    @Charles Question for you. You may have noted this elsewhere, and I just haven't come across it yet:
    The returns data will be coming from Lipper soon. How about the fund stats (Martin, Sortino, etc., I do pay considerable attention to them)--- will they be coming from Lipper as well, or are those stat calculations done "in-house"?
  • CharlesCharles
    Hi heezsafe. All same metrics will be available for all funds, including Martin and Sortino. We compute all metrics in-house based on the total month returns provided in the Lipper database. Will post when we make switch. Hope all is well. c
  • davidrmorandavidrmoran
    edited October 2015
    Charles,
    If you take GO largeish equity funds and etfs and sort by UI, you see it is almost identical to sorting by month of bad drop (2015, then 2011, finally 2009) and also (of course) by longevity.

    In my little test list, USMV is at the top and FCNTX at the bottom. PRBLX UI is in the middle.

    Will it really prove to be the case that LOGIX or SDY or VONG (indexes as GOs seems a little weird no matter how you compute) turns out to have been wiser investments than those two funds and/or PRDGX ? (I am doing the sorting via copy into Word doc table, as I have been too thick to figure out how to do it in the Excel sheets in either posted or enlarged form.)
  • beebee
    Thanks Charles. This is a really awesome resource.
  • PRESSmUPPRESSmUP
    Thanks Charles,

    This is a great set of tools that I have personally used over the past few months...extremely helpful.

    press
  • MrRufflesMrRuffles
    @Charles Multi-Search seems to be broken. It’s returning zero funds for all my queries. Wonder if it’s a product of the Lipper transition?
  • CharlesCharles
    Right, multisearch will be updated shortly. Will post when transition is complete.
  • CharlesCharles
    OK, Risk Profile tool now updated with Lipper data.

    MultiSearch next!
  • CharlesCharles
    OK, think Risk Profile and MultiSearch tools are working now with the new Lipper database ... but please let me if you find any anomalies. Thanks! c
  • VintageFreakVintageFreak
    edited November 2015
    Hey Charles, whatever happened with publishing "Rolling Returns". Not sure if you recall we exchanged notes on this, I don't remember when. Did you every get time to explore it?

    Also had a general thought. You know if a fund has lost money for a long time that maybe should be taken into account before we call it "great whatever". Take FCOMX for instance. Okay, relatively in its category it is "great", but in absolute terms it is terrible.
  • CharlesCharles
    edited November 2015
    Hi VintageFreak. Rolling returns will be in the premium site. Will let you know when up and running. Ha! I know what you mean about FCOMX. Can't live off relative returns. Unfortunately, ratings are within category and relative. I do think a rating system that is based on risk first then return remains appealing. Basically, rate funds within each risk (or volatility) group by absolute return, regardless of traditional category or categorization. Could still run into situation you describe, however, in bear markets. FWIW. Hope all is well.

    BTW. Do you like the Lipper Categories? The more I work with them, the more I like them.
  • VintageFreakVintageFreak
    edited November 2015
    Charles said:


    BTW. Do you like the Lipper Categories? The more I work with them, the more I like them.

    I think all of us are corrupted by what M* uses for so long, it will take a little time to get used to Lipper Categories. One thing I do like given my predilection to avoid funds with words like large,mid,small in their name, is the Multi Cap and Flexible category Lipper tracks. I will be concentrating my attention in those categories.

    For my Christmas wishlist I am praying Charles gets so bored, he finds time to implement rolling returns:P
  • heezsafe
    @Charles As a matter of fact, yes, I have come to like them more than I once did, to the point of preferring them. Although, given the number of really crappy funds that have come to "inhabit" most of them, I no longer give even a glance at category figures for compare-and-contrast evaluation of potential dance partners.
  • AndyJ
    +1 for Lipper categories, which are more "granular" (in the terminology du jour) than M*, e.g., the all-cap equity categories vs. the M* "what's the cap average" approach that lumps all-caps and mid-caps together.
  • VintageFreakVintageFreak
    By the way, I just discovered M* Chart feature has Rolling Returns.
  • VintageFreakVintageFreak
    Like I also said elsewhere, WGRNX Max DD number seems wrong. Just 16 percent is not correct. It should be more like 40 percent may be.
  • catch22catch22
    edited November 2015
    Hi @VintageFreak

    I have not looked at the MFO ratings/Lipper charts; but at StockCharts (link below) indicates that WGRNX had a drawdown of -52.4% from a 2007 high of $14.47 on 11-1-2007 to its low of $6.89 on 3-6-2009. These numbers are + or - a few points for exact dates.......a quick and rough number.

    At this linked chart you may have to drag the left edge of the slider below the chart to see the full chart of this fund, which is back to November 14, 2005. You hover the pc cursor over any area of the chart line for date and price info. You will also note that the high price in 2007 required until July, 2011 for full recovery to the same price level.

    http://stockcharts.com/freecharts/perf.php?WGRNX#

    I won't use this thread more for this, as it is dedicated to MFO/Lipper.

    Regards,
    Catch
  • CharlesCharles
    edited November 2015
    @VintageFreak and catch. No worries. Right, so, the legacy screener tabulates metrics only for the longest evaluation period applicable ... 1, 3, 5, 10 or 20 years. In case of WGRNX, that means 5 years (through September ... it crossed the 10 year mark last month). Its big drawdown occurred prior to that ... as can be seen in the lifetime metrics on the premium site (snapshot below). The legacy site ratings will be updated again after 4th quarter.

    image
  • ron
    Charles, I downloaded the chart so I have a link on desktop. Is there any information "How To"? I would like to search for a specific fund,s by symbol.
  • CharlesCharles
    edited November 2015
    Hi ron.

    The legacy version of Risk Profile above can be obtained by entering a single symbol here. Return ranking is provided for all evaluation periods (1, 3, 5, 10, and 20 years), as applicable. But the metrics, like STDEV, are just for the oldest of these. There is a nice comparison, however, with various reference funds across same eval period as the age group of requested fun (entered symbol).

    The outputs above are from MFO Premium, which I believe David will announce very shortly.
  • ron
    charles, wonderful, thanks.
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