Upside/Downside Capture

Investor

I just noticed that M* is now making it available the upside/downside capture ratios of mutual funds in the Ratings & Risk tab.

http://performance.morningstar.com/fund/ratings-risk.action?t=PRPFX

Also, Treynor's Ratio and Sortino ratio are also available as columns as new risk measures but among the funds I've looked the data was not ready get. I guess they are working on computations and filling their database gradually.

AndyJ

Investor, the data on Treynor and Sortino ratios showed up during April, so probably what you're seeing with the blank data slots now is the monthly re-computation when the info is briefly missing, like there has been in the past with Sharpes, etc.

Nice to have the new data ....

Best,
AJ

prinx

Which risk ratios and information are the most reliable and important to use before deciding on the choice of a fund?

Burt S.

Accipiter

My guess is each type (ratio, alpha and beta, etc.) has its own adherents. The other thing to remember is that these stats are all based on past performance. (beware the black swan).

Understanding Volatility Measurements
http://www.investopedia.com/articles/mutualfund/03/072303.asp

5 Ways To Measure Mutual Fund Risk
http://www.investopedia.com/articles/mutualfund/112002.asp

Series 65 - Portfolio Risks and Returns
http://www.investopedia.com/exam-guide/series-65/portfolio-risks-returns/stock-risks.asp

Measure Your Portfolio's Performance
http://www.investopedia.com/articles/08/performance-measure.asp#13043532549902&close

MikeM

I wish these new upside/downside statistics were available to used in customizing your portfolio view. So far I haven't seen that option.

prinx

When I evaluate a fund for purchase I first look at what happened to the fund in 2008. Then I compare the fund to similar funds for 1,3,5,year return. Then I look at expense ratio.
Honestly I hardly ever evalaute the risk factors with perhaps the exception of the standard deviation.
I am not sure whether my results would have been more successful if I would have screened with the 5 risk factors.

Burt S.

MikeM

The Sortino value and the M* downside measure are doing the same thing you do when looking at 2008, except these statistics are looking for how well the fund does for downside (like you do for 2008) all the time. I think these new statistics are pretty valuable in finding risk adverse funds.

Investor

We were right. It looks like the database was being updated at the time I looked. Treynor ratio and Sortino ratio are both available.