This comprehensive database, powered by Fundata Canada, allows you to screen the entire universe of mutual funds and ETFs using a variety of criteria to drill down and find the funds that are right for you. Once you identify funds of interest, you can view detailed profiles for each fund that include asset mix, geographic allocation, sector mix, and top holdings. As well, the profiles provide detailed performance data as well as a number of the key risk/reward metrics which we follow when analyzing funds and ETFs. The detailed fund profiles include our proprietary fund ratings. All of the data will be updated monthly so you will never find an outdated fund profile. It also contains detailed commentaries on many of the most popular funds.
For a brief overview of the key criteria and risk reward factors which you can use, please check out our glossary below.
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Investment Fund Database
Glossary of Terms
Below, you will find a number of the key terms and risk reward characteristics which we use when evaluating investment funds. We have provided a brief explanation of each, and how we typically use them when reviewing a fund. There is no one metric that is best when evaluating funds. We look at a wide range of metrics and look for a number of positive indicators across them.
Standard Deviation – In very simple terms, standard deviation measures the volatility of an investment. The lower the standard deviation, the less volatile the investment is. Typically, when we evaluate a fund, we prefer funds which have standard deviations that are lower than its benchmark and peer group.
Beta – Like standard deviation, Beta is a measure of the volatility of an investment. Unlike standard deviation which measures the absolute level of volatility, Beta is a measure of volatility relative to its benchmark. If the investment has a Beta which is equal to 1, then it will typically move with the market. If it has a Beta of less than 1, it will be less volatile than the market and if the Beta is greater than 1, it will be more volatile than the market. All things being equal, we prefer funds which have a Beta that is less than 1.
Alpha – In very simple terms, Alpha is the excess return that a manager adds to an investment. If the Alpha is positive, it indicates that the manager has added value over and above what would be expected based on the risk reward characteristics. If the Alpha is negative, it indicates that the manager has actually eroded value from the investment. We prefer funds which have a higher Alpha to funds which have a lower Alpha.
Sharpe Ratio – The Sharpe Ratio is a measure of risk adjusted return. It shows how much return an investment has generated for each unit of risk the manager has taken on. To calculate the Sharpe Ratio, you subtract the risk free rate of return from the return of the fund and then divide that by the standard deviation of the fund. The higher the Sharpe Ratio, the more return the investment has generated for each unit of risk it has accepted. Typically, we prefer investments which have a Sharpe Ratio that is higher than both its benchmark and category average.
Treynor Ratio – The Treynor Ratio is very similar to the Sharpe Ratio in that it is a measure of risk adjusted return. The difference between the two is that the Treynor Ratio uses the Beta of the investment while the Sharpe Ratio uses the standard deviation. Like with the Sharpe Ratio, a higher Treynor Ratio is preferred.
R-Squared – The R-Squared measures the degree that the movements of an investment can be explained by the movements in the benchmark. It will range between 0 and 100. The closer the R-Squared is to 100, the more of the movements in the fund which can be explained by the movements in the underlying benchmark. We like to use R-Squared as a way to identify potential closet index funds. If we are looking for a truly active manager, we prefer a fund with a lower R-Squared. R-Squared is not an indication of quality and should not be used in isolation, but rather in conjunction with other risk reward metrics.
MER – The Management Expense Ratio or MER for short outlines the impact that management fees and operating expenses have on a fund. The higher the MER, the more expensive a fund is to own. The MER is an important factor to consider when reviewing a fund however, it should not be the only factor that is considered. Typically, when we are reviewing a number of funds with comparable risk reward characteristics, we prefer the one which has the lowest MER, since the cost hurdle will be lower for the manager.
Load – The load refers to the sales commission that you may be subject when investing in an investment fund. Typically, there are three main load types; no load, front end load, and deferred sales charge, or DSC for short. With a no load fund, you will not be subject to any sales charges when you buy or sell your funds. These funds are typically offered directly to investors and sold through bank branches and some boutique investment firms. Funds that are sold on a front load basis will generally have a sales commission that is paid directly to the advisor. This sales charge is negotiable between you and your advisor and will typically range between 0% and 5% and it is deducted directly from your investment. For example, if you invest $1,000 with a 5% commission, you will be required to pay your advisor a commission of $50, and the remaining $950 will be invested into the fund. There are no costs to you when you wish to sell the investment. With a DSC fund, the advisor will receive a sales commission that is paid directly by the fund company. The commission amount is usually in the 5% range. Since the commission is paid by the fund company, your entire investment is invested in the funds right away. The downside to this type of load structure is that you will be hit with a redemption charge when you wish to sell your investment. The redemption fee will typically start at 5% or 6% and decline over a number of years until it reaches zero. In most cases, it takes about seven years before the redemption charge is reduced to zero.
When we are reviewing a fund, we do not pay particular attention to how a fund is sold. As an investor, you will want to go with the option that is best for you. In most cases that will be a no load or a front end load version of the fund.
Fund Rating – Each month we review our universe of mutual funds and ETFs and put them through or rigorous valuation model which screens for a number of qualitative and quantitative factors. Each fund will receive a rating of A, B, C, D or F. A brief explanation of our ratings is:
F – Over the most recent 60 month period, the fund did not generate a rate of return in excess of its benchmark on either a net of fees or gross of fees basis. The Fund will also have an expected return which is lower than its benchmark. A fund rated F may still have a place within a portfolio for risk reduction purposes, depending on individual circumstances.
D – Over the most recent 60 month period, the fund did not generate a rate of return in excess of its benchmark on a net of fees basis. It did generate excess return on a gross of fees basis.
C – A fund which is rated a C added some level of value to the benchmark. However, the consistency in returns and the consistency with which the fund beat the benchmark is lacking.
B – A fund that is rated a B has a strong track record of steady returns and has consistently added value to the benchmark.
A – A fund rated A has delivered stellar risk adjusted returns for the period under review.
Quartile – Each month, Fundata ranks the funds in each investment category from best to worst and then divides them into quartiles. Funds which finish in the first or second quartiles outperformed their peer group, while those in the bottom two quartiles underperformed. Typically, we do not pay a great deal of attention when evaluating a fund, but it can be a good indicator of a manager’s ability over time.
Average Monthly Value Add to Benchmark – This shows how much value, on average, the manager has been able to add over and above the benchmark for the most recent 60 month period or the inception date of the fund, whichever is the most recent. We prefer funds that have a positive average monthly value add.
Tracking Error – The tracking error measures how consistently a fund has performed relative to its benchmark. In is calculated by taking the standard deviation of all of the monthly value add numbers for the most recent 60 month period. The tracking error is a helpful metric, but cannot be looked at in isolation. Typically, we look for funds that have a high average monthly value add and a low tracking error.
Minimum Monthly Return – This shows the worst monthly return the fund has experienced in the past 60 months. It can be a helpful indicator of the volatility of the fund.
Maximum Monthly Return – This shows the best monthly return the fund has experienced in the past 60 months. It can be a helpful indicator in assessing the volatility of the fund.
Number of Positive Months – This shows the number of months that the fund has been positive in the most recent 60 month period. Obviously, the higher this number, the more the fund has delivered positive returns for investors.
Number of Negative Months – This shows the number of months that the fund has been in negative territory in the most recent 60 month period. We tend to prefer funds that have a lower number of negative months.
Minimum Value Add – This shows the fund’s worst monthly performance relative to its benchmark during the past 60 months.
Maximum Value Add – This shows the fund’s best monthly performance relative to its benchmark during the past 60 months.
Number of Months in Excess of Index – This shows the number of months out of the past 60 that the fund has outperformed its benchmark. Typically we prefer funds that have a higher number to those with a lower number.
Number of Months Less than Index – This shows the number of months out of the past 60 months that the fund has underperformed its benchmark. In most cases, we favour funds that have a lower number over those which have a higher number.