Below contains detailed information on how we calculate our performance and risk metrics for the QuoteMedia Fund Research data.


  1. Sharpe ratio - evaluates the performance of the fund with the risk taken by it. It is Calculated by dividing the subtraction of fund returns and risk-free returns by standard deviation of the fund returns.

(Fund Return-Risk free rate)/ Standard Deviation

 

  1. Sortino - measure the risk-adjusted performance of an investment portfolio relative to the standard deviation of negative asset return or downward deviation. Fund's return and subtracts the risk-free rate and then divides that amount by the Fund's downside deviation.

(Fund Return-Risk free rate)/ Standard deviation of downside return

 

Standard deviation of downside return - measures representing the volatility or risk in fund when the returns are below average. 

SQRT [{∑(Fund Return-Mean return)2}/ M]

 

where:

            M = Number of downside return

 

  1. Standard Deviation - measures representing the volatility or risk in fund. It tells how much the fund's return can deviate from the historical mean return of the fund.

                     SQRT [{∑(Fund Return-Mean return)2}/ N]

where:

            N = Number of daily returns

 

  1. Treynor - performance metric for determining how much excess return was generated for each unit of risk taken on by a fund. It is calculated by dividing the difference between portfolio returns and risk-free rate by beta.

                      (R-Rf)/ beta

                    where:
r = the security's or portfolio's return
Rf = the risk-free rate of return
beta = the security's or portfolio's price volatility relative to the overall market.

 

  1. Rsquared - measure of the percentage of a fund's performance because of a benchmark. It measures how closely each change in the price of an asset is correlated to a benchmark.

N*(∑ NAVR * INDXR)

Sqrt [{N*∑ (NAVR)2-(∑NAVR)2)}-{N*∑ (INDXR)2-(∑INDXR)2)}]

where:

            N = Number of daily returns

            NAVR = Daily NAV

            INDXR = Daily Index Return

 

 

  1. Information Ratio - reports the difference between the return an investor receives and that of the benchmark they were attempting to imitate. 

(Fund Return-Index Return)/ Tracking Error

 

  1. Skewness - measures the degree of asymmetry of a distribution around its mean. Calculation of skewness equation is done based on the mean of the distribution, the number of variables and the standard deviation of the distribution.

{∑(Fund Return-Mean return)3}/ N*Standard Deviation3

 

where:

            N = Number of daily returns

 

  1. Kurtosis - measures the degree to which a distribution is peaked than a normal distribution. Fourth standardized central moment for the probability model.

{∑(Fund Return-Mean return)4}/ Standard Deviation4    

 

  1. Beta - measure of a fund or asset's sensitivity to the correlated moves of a benchmark. It is a covariance between the return of the security and the return of the market divided by the variance of the market return.

Beta = Covariance/ Variance of index

Covariance - measures the relationship between the returns of funds & index. Multiplying the correlation between the two variables by the standard deviation of each variable.

∑[(NAVR-Mean NAVR) *(INDXR-Mean INDXR)]/ N

where:

            N = Number of daily returns

            NAVR = Daily NAV Return

            INDXR = Daily Index Return

 

Variance - measures the spread between returns in a data set. It is calculated by taking the differences between each number in the set and the mean, squaring the differences (to make them positive) and dividing the sum of the squares by the number of values in the set.

 

{∑(Index Return-Mean return)2}/ N

 

where:

            N = Number of daily returns