Performance and rating

A return figure without the risk behind it tells you little. A rating without its peer group tells you less.

The question. How well has this share class rewarded investors for the risk it took, against comparable funds?

The files.

• Fund analytics: an entry per share class with a return series; the key is fund_isin. Trailing returns (return_1y, return_3y, return_5y), growth of ten thousand, standard deviation, Sharpe ratio, maximum drawdown, investor return, and the SQX Fund Rating, with rating_status recording the basis.
• Fund class periods: an entry per share class per period — completed calendar years, plus trailing windows against a comparand: the peer category or the benchmark index through a proxy fund. period_kind records the type.

What the rating is. A mean-variance certainty-equivalent return ranked inside the class's peer cohort and banded into fifths. It publishes where the class has three years of monthly returns and the cohort has five or more portfolios to rank; rating_status records the basis for the entry. The full method appears on the SQX Fund Rating methodology page.

Return sources. Horizons of a year or more come from filed monthly total returns. Shorter horizons come from daily NAV where a recent close exists. return_source records the origin for the entry.

Download sample files.