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Favorite metrics when screening for "defensive" equity funds that provide downside protection?
Not looking for fund recommendations yet - just trying to build the right screening criteria. Considering using Martin Ratio, Downside Deviation, Ulcer Index and Sortino. What are your favorite metrics and why? Do you use more than one? If so how do you weight them. What is the best for comparing funds that might fall into different categories? Thank you.
None of the above criteria for me. For equity funds I look at its holdings, percentages, and sector allocations to determine how it might hold up during a drawdown. If it's top 10 holdings are all megacorps and in the top 20 of the S*P, you can figure it'll do about the same as the index. I like equity funds that don't act like closet index funds, are fairly focused, and march to their own drummers instead of following the herd.
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