Minimize Menu Maximize Menu

Manager Performance Analysis

Manager Performance Analysis Overview

Select manager return series and applicable benchmark for performance analysis below. You can optionally choose to narrow down the time period for analysis, by default the analysis is done from inception.

Model Configuration

Manager Performance (Jan 2015 - Sep 2026)

Manager Information

NameFidelity Low-Priced Stock
BenchmarkVanguard MStar Mid Cap Value ETF
Available DataJan 1990 - Sep 2026, available benchmark period is Sep 2006 - Sep 2026
Analysis Time PeriodJan 2015 - Sep 2026
Monthly Periods141
Annualized Excess Return0.28%
Annualized Tracking Error4.80%
Information Ratio0.06
Benchmark Correlation0.96
Sharpe Ratio - Account0.55
Sharpe Ratio - Benchmark0.49
Modigliani–Modigliani Measure11.24%
Cumulative Return - Account192.17%
Cumulative Return - Benchmark183.40%
Maximum Drawdown - Account-28.04% (Mar 2020)
Maximum Drawdown - Benchmark-31.25% (Mar 2020)
Maximum Drawdown - Excess-11.77% (Sep 2019)

Periodic Excess Returns

Portfolio Growth

   

Trailing Performance

TrailingFund ReturnBenchmark ReturnExcess ReturnTracking ErrorInformation RatioAlphaBetaR SquaredFund Std DevFund Sharpe RatioFund Max DrawdownBenchmark Std DevBenchmark Sharpe RatioBenchmark Max DrawdownRisk-free Return
Full9.55%9.27%0.28%4.80%0.061.43%0.860.92114.88%0.55-28.04%16.65%0.49-31.25%2.10%
YTD10.74%11.94%-1.20%4.58%-0.26-1.65%1.020.90214.62%0.75-6.56%13.59%0.90-4.84%2.77%
1-year12.56%14.32%-1.76%4.28%-0.41-1.62%1.010.89112.92%0.69-6.56%12.06%0.86-4.84%3.77%
3-year14.68%16.86%-2.18%4.86%-0.45-0.39%0.910.86512.78%0.79-8.29%13.11%0.92-10.52%4.53%
5-year9.22%9.39%-0.17%4.85%-0.041.00%0.860.91414.72%0.42-17.45%16.28%0.40-17.81%3.80%
10-year10.81%10.10%0.71%4.92%0.141.88%0.860.92415.54%0.58-28.04%17.34%0.50-31.25%2.44%

Regime Performance

RegimeMonths #Months %FundBenchmarkRisk-free ReturnUp/Down Performance
ReturnStdevSharpe RatioExcess ReturnTracking ErrorInformation RatioReturnStdevSharpe RatioWin %Upside CaptureDownside CaptureCapture Ratio
High Volatility2618.44%-1.30%24.71%0.034.05%5.72%0.71-5.35%27.63%-0.101.05%65.38%88.6487.451.01
Medium Volatility7855.32%6.05%12.76%0.34-0.48%4.77%-0.106.53%14.34%0.342.42%47.44%85.0786.420.98
Low Volatility3726.24%26.25%8.12%2.74-1.27%4.15%-0.3127.52%8.88%2.632.16%48.65%91.0656.721.61
Regime periods based on market regime definitions of Market Volatility

Excess Return Statistics

Average Excess Return-0.00%
Median Excess Return0.06%
Excess Return Skewness0.04
Excess Return Excess Kurtosis0.05
Best Excess Return4.59% (Mar 2020)
Worst Excess Return-3.06% (Feb 2021)
% Periods Outperforming51.06%
% Periods Outperforming in Up Markets38.46%
% Periods Outperforming in Down Markets74.00%
Up Streaks5
Down Streaks7

Annualized and Rolling Excess Returns

Up vs. Down Market Performance

Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market35569138%0.85%-1.16%-0.39%
Down Market37135074%1.29%-0.98%0.70%
Total726914151%1.07%-1.13%-0.00%

Manager Skill Confidence

Annual Returns

YearFidelity Low-Priced StockVanguard MStar Mid Cap Value ETFExcess Return
2015-0.56%-1.89%1.33%
20168.79%15.40%-6.61%
201720.67%17.07%3.60%
2018-10.75%-12.45%1.70%
201925.66%27.84%-2.18%
20209.32%2.59%6.73%
202124.52%28.76%-4.24%
2022-5.80%-7.95%2.15%
202314.35%9.86%4.49%
20247.09%13.99%-6.90%
202514.77%12.08%2.70%
202610.74%11.94%-1.20%

Factor Attribution

FactorContributionOLS RegressionLASSO RegressionValue
ReturnRiskCoefficientt-statp-valueCoefficientRetained
Market84.19%76.55%0.8229.090.000.82Yes
Size-2.37%3.00%0.132.780.010.12Yes
Value-2.26%9.24%0.3510.590.000.35Yes
Momentum-1.65%1.54%-0.04-1.160.25-0.04Yes
Annualized Alpha9.53%9.68%-0.84%
R Squared90.23%
Regression results for the account for the period from Jan 2015 to Jun 2026. The sum of absolute values of return contributions will add up to 100%. Statistically significant factors in bold.
TrailingMarketSizeValueMomentumAlpha
XS ReturnIsolated VolatilityXS/IVXS ReturnIsolated VolatilityXS/IVXS ReturnIsolated VolatilityXS/IVXS ReturnIsolated VolatilityXS/IVXS ReturnIsolated VolatilityXS/IV
Full-1.61%2.69%-0.60-0.08%0.40%-0.200.12%1.41%0.080.01%0.02%0.542.44%7.94%0.31
1-year-2.93%2.10%-1.400.23%0.26%0.87-1.60%0.98%-1.630.02%0.02%1.190.97%9.95%0.10
3-year-2.35%2.25%-1.04-0.21%0.42%-0.50-0.71%1.04%-0.680.01%0.01%0.933.11%9.04%0.34
5-year-1.19%2.69%-0.44-0.26%0.41%-0.63-0.70%1.45%-0.480.01%0.01%0.841.81%8.33%0.22
10-year-1.82%2.77%-0.66-0.07%0.40%-0.180.06%1.48%0.040.01%0.02%0.553.31%8.06%0.41
Factor attribution for excess returns for the period from Jan 2015 to Jun 2026. Return and volatility values are annualized.
TrailingMarketSizeValueMomentumAlpha
ReturnIsolated VolatilityRet/IVReturnIsolated VolatilityRet/IVReturnIsolated VolatilityRet/IVReturnIsolated VolatilityRet/IVReturnIsolated VolatilityRet/IV
Full16.33%23.16%0.71-0.46%2.18%-0.21-0.44%8.21%-0.05-0.32%0.96%-0.341.85%8.36%0.22
1-year24.66%18.91%1.301.27%1.48%0.869.71%5.89%1.65-1.37%0.90%-1.53-1.57%13.11%-0.12
3-year21.36%19.87%1.08-1.17%2.29%-0.514.50%6.26%0.72-0.89%0.77%-1.160.95%10.07%0.09
5-year12.34%23.79%0.52-1.43%2.22%-0.654.30%8.56%0.50-0.59%0.89%-0.661.01%9.35%0.11
10-year18.20%23.67%0.77-0.43%2.23%-0.19-0.04%8.63%-0.01-0.28%0.93%-0.302.08%8.60%0.24
Factor attribution for absolute returns for the period from Jan 2015 to Jun 2026. Return and volatility values are annualized.
RegimeFactorFundBenchmarkRelative
Monthly AvgAnnualizedVolatilityMonthly AvgAnnualizedVolatilityMonthly AvgAnnualizedVolatility
High VolatilityMarket-0.58%-6.96%37.28%-0.69%-8.31%41.73%0.11%1.36%4.46%
Size0.02%0.22%2.56%0.01%0.16%2.10%0.01%0.06%0.46%
Value0.35%4.22%12.44%0.39%4.74%14.63%-0.04%-0.52%2.20%
Momentum-0.06%-0.76%1.14%-0.07%-0.80%1.16%0.00%0.03%0.03%
Alpha0.08%0.93%8.98%-0.46%-5.50%8.95%0.54%6.43%8.80%
Medium VolatilityMarket0.87%10.48%20.57%0.96%11.48%22.90%-0.08%-1.00%2.33%
Size-0.05%-0.59%2.16%-0.04%-0.48%1.77%-0.01%-0.11%0.39%
Value-0.05%-0.54%7.41%-0.05%-0.65%8.66%0.01%0.11%1.25%
Momentum-0.02%-0.22%0.97%-0.02%-0.23%0.98%0.00%0.01%0.02%
Alpha0.18%2.17%8.46%0.14%1.65%9.11%0.04%0.51%8.07%
Low VolatilityMarket3.71%44.55%9.95%4.12%49.46%11.00%-0.41%-4.91%1.06%
Size-0.06%-0.68%1.97%-0.05%-0.55%1.61%-0.01%-0.12%0.36%
Value-0.29%-3.50%5.82%-0.34%-4.08%6.78%0.05%0.58%0.96%
Momentum-0.02%-0.21%0.81%-0.02%-0.21%0.82%0.00%0.00%0.02%
Alpha0.15%1.85%7.92%-0.14%-1.68%6.88%0.29%3.53%7.10%
Factor attribution period from Jan 2015 to Jun 2026. Volatility values are annualized.
FactorFundBenchmark
Return ContributionRisk ContributionReturn ContributionRisk Contribution
Market84.19%76.55%90.62%77.83%
Size-2.37%3.00%-1.92%2.13%
Value-2.26%9.24%-2.81%10.31%
Momentum-1.65%1.54%-1.67%1.43%
Alpha9.53%9.68%-2.97%8.29%
Factor attribution of total returns from Jan 2015 to Jun 2026

Risk and Return Metrics

MetricFidelity Low-Priced StockVanguard MStar Mid Cap Value ETF
Arithmetic Mean (monthly)0.86%0.86%
Arithmetic Mean (annualized)10.77%10.81%
Geometric Mean (monthly)0.76%0.74%
Geometric Mean (annualized)9.55%9.27%
Standard Deviation (monthly)4.29%4.81%
Standard Deviation (annualized)14.88%16.65%
Downside Deviation (monthly)2.77%3.24%
Maximum Drawdown-28.04%-31.25%
Benchmark Correlation0.961.00
Beta(*)0.861.00
Alpha (annualized)1.43%0.00%
R292.14%100.00%
Sharpe Ratio0.550.49
Sortino Ratio0.830.71
Treynor Ratio (%)9.558.23
Calmar Ratio1.771.60
Modigliani–Modigliani Measure11.24%10.31%
Active Return0.28%N/A
Tracking Error4.80%N/A
Information Ratio0.06N/A
Skewness-0.49-0.80
Excess Kurtosis2.143.17
Historical Value-at-Risk (5%)5.84%7.03%
Analytical Value-at-Risk (5%)6.21%7.05%
Conditional Value-at-Risk (5%)9.49%11.16%
Upside Capture Ratio (%)87.64100.00
Downside Capture Ratio (%)85.38100.00
Safe Withdrawal Rate12.33%12.16%
Perpetual Withdrawal Rate6.43%6.17%
Positive Periods90 out of 141 (63.83%)90 out of 141 (63.83%)
Gain/Loss Ratio0.950.90
* Vanguard MStar Mid Cap Value ETF is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdown Analysis

Fidelity Low-Priced Stock Drawdowns

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsNov 20208 months11 months-28.04%
2Jan 2022Sep 20229 monthsJul 202310 months1 year 7 months-17.45%
3Feb 2018Dec 201811 monthsNov 201911 months1 year 10 months-14.47%
4Jun 2015Jan 20168 monthsNov 201610 months1 year 6 months-10.40%
5Dec 2024Apr 20255 monthsJun 20252 months7 months-8.29%
6Aug 2023Oct 20233 monthsDec 20232 months5 months-7.22%
7Mar 2026Mar 20261 monthMay 20262 months3 months-6.56%
8Sep 2026Sep 20261 month-5.04%
9Apr 2024Apr 20241 monthMay 20241 month2 months-3.33%
10Oct 2024Oct 20241 monthNov 20241 month2 months-3.33%
Worst 10 drawdowns included above

Vanguard MStar Mid Cap Value ETF Drawdowns

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsDec 20209 months1 year-31.25%
2Apr 2022Sep 20226 monthsDec 20231 year 3 months1 year 9 months-17.81%
3Sep 2018Dec 20184 monthsJul 20197 months11 months-15.59%
4Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-11.91%
5Dec 2024Apr 20255 monthsSep 20255 months10 months-10.52%
6Feb 2018Mar 20182 monthsAug 20185 months7 months-4.97%
7Sep 2026Sep 20261 month-4.84%
8Mar 2026Mar 20261 monthApr 20261 month2 months-4.65%
9Apr 2024Apr 20241 monthJul 20243 months4 months-4.40%
10Sep 2021Sep 20211 monthOct 20211 month2 months-3.79%
Worst 10 drawdowns included above

Excess Return Drawdowns

Fidelity Low-Priced Stock Returns

YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2015-3.08%6.04%-0.97%2.13%1.07%-0.70%0.44%-3.82%-2.91%3.97%0.41%-2.65%-0.56%
2016-5.34%0.71%5.93%-0.31%0.94%-1.24%3.44%0.34%1.09%-2.58%5.45%0.57%8.79%
20171.17%2.16%0.92%1.53%1.11%0.62%2.01%0.18%2.77%1.70%2.92%1.88%20.67%
20184.35%-4.41%-0.81%2.09%-0.69%0.57%1.18%0.72%0.40%-6.70%0.96%-8.20%-10.75%
20198.41%2.27%-0.42%2.32%-5.59%4.99%0.91%-4.59%3.64%3.23%4.81%3.93%25.66%
2020-4.36%-9.07%-17.26%12.72%4.09%1.61%4.31%4.64%-1.11%-1.65%13.40%5.84%9.32%
20211.58%4.45%7.27%3.65%2.61%-1.29%-0.10%1.14%-2.69%2.76%-2.96%6.30%24.52%
2022-2.64%-0.67%1.02%-4.19%3.16%-10.44%6.23%-2.14%-8.18%10.19%6.63%-2.89%-5.80%
20235.33%-2.45%-1.58%1.16%-3.77%5.74%3.81%-2.10%-2.44%-2.85%6.59%7.01%14.35%
2024-0.93%4.35%4.76%-3.33%3.86%-2.32%5.15%0.02%0.23%-3.33%5.08%-5.84%7.09%
20252.94%-2.00%-2.19%-1.29%5.37%4.30%0.41%4.91%0.14%-1.97%2.03%1.62%14.77%
20264.49%3.39%-6.56%5.60%2.62%2.22%3.49%0.78%-5.04%10.74%
Annual return for 2026 is from 01/01/2026 to 09/30/2026

Vanguard MStar Mid Cap Value ETF Returns

YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2015-2.37%5.35%-0.05%-0.29%1.20%-2.34%0.94%-4.41%-3.40%6.31%0.62%-2.87%-1.89%
2016-6.86%1.36%7.76%0.99%1.44%0.32%4.19%0.93%0.43%-2.42%5.94%1.10%15.40%
20172.17%3.35%-0.25%0.39%0.09%0.90%1.69%-1.24%2.73%0.81%3.41%1.92%17.07%
20183.67%-4.69%-0.29%0.45%0.04%0.96%3.20%0.55%-0.68%-7.03%2.28%-10.62%-12.45%
20199.84%3.56%0.04%3.63%-7.13%7.82%1.00%-3.38%4.43%0.38%3.16%2.58%27.84%
2020-1.67%-10.55%-21.84%12.63%4.10%1.10%5.38%2.88%-1.67%0.50%13.42%3.61%2.59%
2021-0.26%7.51%6.17%4.50%2.23%-2.01%0.39%3.29%-3.79%4.36%-2.24%6.15%28.76%
2022-2.70%-0.60%3.42%-4.93%2.20%-10.53%7.61%-2.56%-9.83%10.04%6.53%-4.48%-7.95%
20237.17%-3.56%-3.55%0.69%-5.24%8.80%3.75%-3.88%-4.59%-3.64%8.65%6.58%9.86%
2024-1.56%4.06%5.46%-4.40%3.22%-1.65%6.07%3.03%2.48%-1.01%6.15%-7.61%13.99%
20252.57%0.00%-2.61%-3.03%3.69%2.43%1.75%3.26%1.54%-1.28%3.01%0.42%12.08%
20264.22%5.13%-4.65%5.65%-0.08%2.04%3.61%0.88%-4.84%11.94%
Annual return for 2026 is from 01/01/2026 to 09/30/2026

Rolling Returns

Roll PeriodFidelity Low-Priced StockVanguard MStar Mid Cap Value ETF
AverageHighLowAverageHighLow
1 year10.72%72.91%-18.10%10.63%69.88%-22.77%
3 years10.06%21.69%-2.26%9.36%20.81%-5.08%
5 years10.10%16.58%0.69%9.20%17.21%-0.16%
7 years9.99%13.65%7.44%9.12%12.12%7.12%
10 years9.97%11.64%7.98%9.67%11.59%7.88%

Annualized Rolling Return - 36 Months

  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete. Other investments not considered may have characteristics similar or superior to those being analyzed.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The fund performance analysis results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
  • Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
  • A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Risk-free returns are calculated based on U.S. 3-Month Treasury Bill Rate.
  • Inflation is calculated based on United States Consumer Price Index.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
  • Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
  • Invesco QQQ is a paid sponsor of the SRL Analytics Tool, Portfolio Visualizer. The model portfolios are for illustrative purposes only and do not constitute a recommendation or suitability for any investor. Inveso is not affiliated with SRL Global.