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Fund Screener Results

One of the things I’ve noticed on MFO Premium and Morningstar results is anything with technology held up well in 2020 and has skewed volatility rankings when searching for something less volatile lately. It’s probably skewed things for 10 years, but doesn’t look like it will work going forward if this trend continues.

Comments

  • That sector effect cancels out to some extent if one focuses on relative-volatility wrt to a suitable or broad market benchmark. Relative-SDs remain surprisingly stable during different periods and over time.

    In M* Screener, quantitative values of SD can be used and one would have to manually figure out those (hi, lo or avg) using appropriate benchmark. The other M* option is to use qualitative < or = or > for appropriate benchmark.
  • I use the Fidelity fund screener, ntf funds only, and rank funds in ascending order of standard deviation, and run another query in descending order of Sharpe Ratio-trying to optimize both.
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