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Understanding MFO Risk Numbers

VintageFreakVintageFreak
edited April 2018 in Fund Discussions
I've been using MaxDD and Ulcer Index frequently in making decisions to buy funds. The reason is I really want to hold them for long time and don't want to be "stopped out" when fund hits a bad patch.

However, I've been taking things at face value and something not adding up. Maybe I'm doing something wrong. Take GTSOX for instance. I have waited to buy this for a long time. When it corrected a bit with the market I observed it. It tanked much more than the MaxDD number. Now I don't know how frequently MFO data gets updated, but let's leave that aside for a minute.

The fund has now recovered nicely. BUT, I have a question. Currently the MaxDD number in the Risk profile says -6.1% and this occurred 2015-9. A cursory examination of the GTSOX chart on stockcharts suggests this number should be higher - from over 10.6 to under 9.7. Moreover, I see another drop down 2016-3 not reflected in MFO tables which looks like from over 10.8 to under 9.7, almost 9.6, i.e. an even larger drop.

Can someone explain what I'm doing/seeing wrong?

http://schrts.co/wbPujQ

Comments

  • VintageFreakVintageFreak
    edited April 2018
    Bumping up with the hope the barrage of Ted's link does not relegate my post to the bottom of the heap.
  • carew388carew388
    I looked up GTSOX at Schwab, without logging in. They show the best and worse 3 month period for each fund. From 6/2/11-8/31/11 the fund lost 10.42% and the best gain was 13.38 starting in 10/11. So I'm not sure what MAXDD is measuring either.
  • Old_JoeOld_Joe
    @Charles- Vintage Freak has a question for you... not sure if you noticed.

    Thanks- OJ
  • beebee
    edited April 2018
    From the Portfolio Visualizer website (PV website), I created this graphic of GTSOX with its MAXDD highlighted:
    image

    Over a shorter timeframe (2014-2018): it appears that (-6.1%) MaxDD is correct:
    image
  • MarkMark
    Trying to keep this on the top of the heap
  • CharlesCharles
    edited April 2018
    Thank guys. As usual, bee is pointing the way. The MAXDD since inception for GTSOX is -11.2, which occurred 9/2011. Our premium site computes risk and performance metrics for 21 display periods, including "Life" or since inception (back to 1/1960, as applicable). Most of the main site search tools only have metrics for 1, 3, 5, 10 and 20 year periods. So, in the case of GTSOX, the 5-year period is longest shown, and the MAXDD over that period is more like -6%.

    Here's link to screenshot of full risk/return profile for GTSOX.

    The risk and performance metrics are computed from total monthly returns.

    We are about to go live with a much expanded database, thanks to a new global feed from Lipper. Ratings will include CEFs, holdings data, and much more.

    Hope that helps.
  • VintageFreakVintageFreak
    I also cited drop 2016-3. That's 2 years back. Really appreciate if someone can look at the chart. It is important for me to know I'm not seeing things others aren't.
  • beebee
    @VintageFreak,

    The 2016 drop can be better observed by creating a 2016 -2018 chart shown here.
    image
  • VintageFreakVintageFreak
    Aah..sorry. End of Month values. Thanks.
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