Mutual Fund Analysis Methodology

Published on: 26 Oct, 2021 04:19

Snapshot

This post will describe the methodology used for different calculations on this website.


Rolling Return


On this website following rolling returns for funds are displayed:

  1. 1-month rolling returns
  2. 3-month rolling returns
  3. 6-month rolling returns
  4. 1-year rolling returns, and
  5. 3-year rolling returns

To calculate rolling returns following formula is used:

Rolling Return Formula
Here n (time period) for each rolling return is as follows.

Rolling Returns

Time Period NAV Data

1-month rolling returns

13 months

3-month rolling returns

15 months

6-month rolling returns

18 months

1-year rolling returns

36 months

3-year rolling returns

60 months

 

 


Fund Ranking Method 

Fund Eligibility to be ranked

Each category must have 10 funds which are a minimum three-year-old. We do not consider AUM (Asset Under Management) as a criterion. Three-year data is used for ranking.

Rank Calculation

The fund is ranked based on the total score obtained for returns, risk, and risk-adjusted factors. The process for obtaining a ranking score for the fund is as follows:

  1. Calculated funds factor
  2. Calculate the mean and standard deviation for category
  3. Obtain the p-value for the fund using the mean and standard deviation of the category and factor value of the fund. 
  4. Multiply the p-value of the fund with the weight of the factor.

Return

For return score calculation rolling return of the fund and percentage-positive returns are used.

Risk

For risk score calculation, VaR, standard deviation, and drawdown are used.

Risk-Adjusted Return

For risk-adjusted score calculation, Sharpe ratio, Sortino Ratio, and alpha are used.




A mutual fund is a pool of funds collected from individuals/ companies/ other entities to invest in financial securities like equity and bond, gold/silver, and commodities. Each mutual fund is managed by one or more fund manager. 


For Any Question Join Our Group On Facebook

Bmsmoney Highlights