Technical documentation
Methodology
Definitions, construction and known limitations of the analytics published in this application.
Every figure in this application is computed from monthly total-return series by the formulas set out below. This document states what each number means, how it is constructed, which inputs it requires, and the conditions under which it is withheld. It is published so that a reader can reproduce a figure, or determine that a figure should not be relied upon.
Data and universe
Return data is sourced from a third-party market-data provider as monthly, dividend-adjusted total-return net asset values, adjusted for splits and distributions and resampled to month-end. The universe comprises the largest US-listed funds by reported assets, together with index proxies and a curated set of additional share classes that are force-included irrespective of reported size. It is refreshed nightly and currently contains 28,753 funds, with data through 2026-08.
Fund history begins at 1980-02. The month axis itself extends to 1950-02, but that earlier range is populated only by index series; no fund carries a return before 1980-02.
- Total return, not price. Distributions are treated as reinvested. Equity indices offered as benchmarks are price-return series; the exchange-traded proxies are total-return. Alpha and information ratio measured against a price-return index are biased upward by approximately the index dividend yield, and the total-return proxies should be preferred where the distinction matters.
- Survivorship. The universe consists of funds currently in existence. Funds that have closed or merged are absent, which biases long-horizon category statistics upward. This limitation is disclosed rather than corrected.
- Recency. The current, incomplete month is excluded. In addition, the most recent complete months are admitted only once their income has arrived: the provider folds distributions into the adjusted net asset value with a lag, so a recent month can carry the ex-date price decline without the distribution. A month in which the riskless 0–3 month Treasury bill funds deliver less than half of the bill yield is held back for every fund until the feed completes. Every profile states the period it covers.
- Stable-NAV funds. A money-market fund holds its share price at $1.00 and pays its entire return as distributions, which the provider's adjusted series does not carry for these funds; the series is a flat 0.00%. Such funds are withheld from returns, risk statistics, screens and rankings, and their profile says so, rather than publishing a figure known to be false. They remain in the universe for fee and profile data.
Return and risk measures
Table 1 — Definitions of published return, risk and benchmark-relative measures.
| Annualized return | Geometric: the constant annual rate that compounds to the period’s total return. |
| Standard deviation | Sample standard deviation of monthly returns (ddof = 1), scaled by √12. |
| Sharpe ratio | Arithmetic mean return less the risk-free rate, divided by volatility, annualized. The risk-free series is the 1–3 month Treasury bill ETF, extended backward with the 0–1 year Treasury ETF and, before mid-2007, the yield-derived 3-month bill rate (from 2002) and the effective federal funds rate. It is averaged over each fund’s own observed months, so a fund with limited history is not charged a rate for periods in which it did not exist. Months for which no rate is available contribute zero. Sortino retains a minimum acceptable return of 0% and is therefore not comparable to Sharpe. |
| Maximum drawdown | Largest peak-to-trough decline on a month-end wealth curve with a baseline of 1.0 prior to the first return. Being monthly, it understates intra-month declines. |
| Beta, alpha, R² | Ordinary least squares regression of the fund’s monthly excess returns on the benchmark’s, over pairwise-complete observations. Alpha is annualized and assumes a risk-free rate of zero. |
| Information ratio; tracking error | Mean active return divided by its volatility, annualized. Tracking error is the annualized standard deviation of fund-minus-benchmark returns. |
| Excess return (xRoR) | Annualized geometric fund return less annualized geometric benchmark return, both computed over the same pairwise-complete months, so that a fund’s excess is never measured against benchmark history it did not experience. |
| IR/TE | Information ratio divided by tracking error. Rewards outperformance achieved with low deviation from the benchmark. The quantity is sensitive to small tracking error and should be read alongside its components. |
| Correlation | Pearson correlation of monthly returns over pairwise-complete observations. The matrix additionally offers an excess-return mode, correlating active returns; two index-tracking funds may correlate near 1.0 on raw returns and near zero on active returns, which is the relevant comparison when both are candidates against one benchmark. |
| Rolling correlation | Trailing 3-month and 12-month Pearson correlation against the selected benchmark. A point is plotted only where the full window is pairwise-complete; partial windows are not shown. |
| Maximum-IR optimizer | Maximizes active return divided by tracking error against the selected benchmark, long-only, with weights summing to one and an optional per-holding cap, over the constituents’ common overlap. Results are hypothetical. |
| Sector exposure | Aggregated from each holding’s reported sector, weighted by position size and, in the portfolio look-through, by fund weight. The classified share is disclosed; a partially covered fund is not presented as complete. |
| Liquid Alternatives Composite | An in-house equal-weight, monthly-rebalanced mean of every alternative-strategy fund in the universe, excluding leveraged and inverse products and funds under two years old. A month is reported only where at least five constituents have data. It is not a hedge-fund index and is not investable. |
| Target Risk series | Five in-house multi-asset composites at fixed equity weights (20/40/60/80/95%). Equity sleeve: 55% US large, 10% US small, 25% international developed, 10% emerging markets. Bond sleeve: 90% US aggregate, 10% short Treasury. Constructed as a monthly-rebalanced constant mix of total-return proxies from the components’ common inception. Constructed and named independently; not affiliated with, sponsored by, or tracking any third-party index. |
| Upside / downside capture | Geometric return in months where the benchmark rose (respectively fell), divided by the benchmark’s own, following the standard convention. 100 denotes parity. |
| Expense ratio | The fund’s net annual expense ratio. For short-selling strategies this excludes dividend and interest owed on short positions, which the gross figure includes but which is not a management fee; the gross figure is shown alongside where the two diverge. Fund-of-fund and BDC figures continue to include acquired-fund fees, which the investor bears. |
Outlook score
The Outlook is a transparent quantitative score, not a rating issued by a ratings agency and not investment advice. Each fund is scored on within-category percentiles of four factors, which are combined into a weighted composite and mapped to five tiers (Strong, Positive, Neutral, Caution, Weak).
Table 2 — Outlook factors and weights.
| Net expense ratio — 50% | Lower cost ranks higher. Fees are the most reliable single predictor of relative performance among comparable funds. The factor uses the net expense ratio, consistent with the figure published elsewhere in the application. |
| Risk-adjusted persistence — 30% | Mean less dispersion of the information ratio against the category benchmark, measured across two non-overlapping periods. Consistency across periods is required; a single measurable period does not produce a score. |
| Fund longevity — 12% | Time since inception, saturating at ten years. |
| Asset base — 8% | Reported net assets, as a coarse viability check. |
Weights are re-normalized over the factors that are present. A fund is returned as Not rated where the expense ratio is unavailable, where history is shorter than 48 months, or where fewer than 5 category peers exist. The history threshold follows from the persistence factor, which requires two non-overlapping measurement periods; a shorter series cannot express persistence and is not scored on it. A separate gate prevents inexpensive but persistently lagging funds from reaching the upper tiers. Each fund profile publishes the factor percentiles underlying its own score.
Third-party star rating
Where a quantitative star rating is supplied by the data provider it is passed through without modification. Coverage across the full universe is sparse; an em dash indicates that no rating was supplied for that fund, not that the fund failed a screen. The measure is backward-looking and peer-relative, is issued by a third party, and is distinct from the Outlook score described in section 3.
Peer categories and ranks
Category rank is a fund’s total-return percentile within its peer category over the selected period, where 1 denotes the best. Only funds with data covering the full period are ranked, and ranking is performed against the whole universe so that a filtered view remains correctly ranked. Categories containing fewer than 5 ranked funds are aggregated to the asset-class level, and the basis applied is disclosed on the fund profile.
The data provider classifies a minority of the universe. For the remainder a category is inferred from the fund name using a curated rule engine, so that those funds also receive a peer group. An inferred category is marked on the fund profile and never overwrites a stated one. A fund whose name yields no clear signal is left uncategorized and ranked against its asset class rather than assigned a category that cannot be supported. A stated category that the fund’s own return series contradicts — for example a low-volatility classification on a series exhibiting materially higher volatility — is rejected rather than repeated.
Returns-based style analysis
Where holdings are unavailable, style is estimated from returns by constrained regression of the fund’s series onto a palette of style proxies, with non-negative weights summing to one. The result describes how a fund has behaved, which may differ from what it holds. Where a holdings-derived style is available it is preferred and labelled as such.
Holdings look-through
Portfolio look-through aggregates each constituent fund’s reported holdings, weighted by the fund’s weight in the portfolio, to give exposure at the security and sector level. The proportion of each fund that could be classified is reported; uncovered weight is shown as such rather than redistributed across the classified remainder.
Portfolio construction and projection
A portfolio is defined as a dated sequence of rebalances rather than a static weight vector. Between rebalances, weights drift with returns, and the allocation shown is the weight that actually earned each month’s return. Trade attribution compares the realized sequence against buy-and-hold and against annual rebalancing over the same period.
Projections are produced by block bootstrap of the portfolio’s own historical monthly returns. A withdrawal is escalated with inflation, preserving its purchasing power across the horizon; a contribution is not escalated, and is modelled at the amount entered. A projection can only resample the regimes contained in its sample, and the application discloses where the sample contains no material drawdown. Projections are hypothetical and are not a forecast.
Limitations
- Monthly granularity understates intra-month drawdowns and daily-path risk.
- Sharpe subtracts a Treasury bill rate; Sortino applies a minimum acceptable return of zero. The two are therefore not directly comparable. Alpha assumes a risk-free rate of zero.
- The universe contains only funds currently in existence, which biases long-horizon category statistics upward.
- Expense ratios are unavailable for a substantial proportion of the universe. Filters on cost report the number of funds they could not evaluate; that figure should be read alongside the result.
- All measures published here are quantitative heuristics intended for research. They are not investment advice and not a recommendation to buy or sell any security.
Each profile page states the exact period, benchmark and as-of date behind the figures it displays.