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Risk Stats Single Fund Options
Risk Stats

The Risk Stats page allows you to evaluate the riskiness of a fund by comparing several measures of risk for a selected fund and an appropriate benchmark.

For definitions of standard deviation, maximum drawdown, and the Sharpe and Sortino ratios, click here.

Note that the Total Return shown here is equivalent to the Absolute Return (lump sum) shown in the Performance Calculator (ie, total gain including reinvestment of dividends expressed in percentage terms).

The minimum period used is three years because the nature of market volatility is such that a shorter-term view can give a highly distorted picture of the overall riskiness of a fund or sector. Even for three and five years figures it must be remembered that historical data is no guarantee of future performance.

Risk/Return Scatter Charts

The scatter chart below the risk stats table provides a visual comparison of the relative risk/return position of the fund.

The scale of the X-axis is standard deviation, or volatility – the further to the right on this scale, the riskier the fund. The scale of Y-axis is performance – the higher up this axis, the better the investment return provided by the fund. All funds strive to be in the top left quadrant (ie, high return low risk), but this is not easily achieved.

The fund you are looking at is represented by a dark blue diamond. The pale blue circles represent the other funds in the market (left-hand chart) and in the fund's sector (right-hand chart). These are there to give you an impression of the risk/return characteristics of the market in general and the fund's peers. Note that not all funds are included – see below.

X and Y Axes

The scale ranges of the axes are determined by including all funds that fall within two standard deviations of the risk spectrum and performance spectrum for the displayed time period. This means that funds with exceptional risk or exceptional performance – ie, the funds that are 'off the scale' – are not included in the default range. Two standard deviations means that about 95% of the funds in the total universe will be included in the default range.

If you look at the risk/return chart of a fund that is 'off the scale' you will see a pale green box within the chart – this represents the default scale range (ie, the range that includes all funds within two standard deviations). The mid-point lines are still drawn at the half way mark of the default '95%' range.
 
 
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