5 statistics that all investors want to see on a fund fact sheet


One of the most important aspects for fund managers and investors alike to consider is which essential fund statistics should be included on all fund fact sheets. You can think of these as the fact sheet ABCs, or rather the ABCDEs (because we will cover 5 of them).

Having the right Investment statistics is important from an investor perspective because it can help you or your financial advisor assess the merits of specific investment funds under consideration for inclusion in your investment portfolio. As a fund manager, having the right statistics is extremely important so that investors have a clear idea of your investment mandate – this is also the most effective way to differentiate your fund from the numerous others with a similar strategy and help it stand out from the pack.

In today’s post I wanted to give an overview of some of the most important statistics for investment funds. Even though fund strategies can vary significantly, these five statistics are some of the most universally accepted, making them important to virtually all investment funds.

  1. Performance – Yes, it probably goes without saying that each fund fact sheet should clearly present the fund’s performance track record in a way that can be easily understood. Having clearly presented performance will help investors assess how a fund has performed against its benchmark or alternative investment vehicles over a certain period of time. Fund managers should also display fund performance in a way that allows investors to compare fund performance on a consistent basis with other funds in the same peer group. One of the most common ways to do this is to show performance in full calendar years or quarterly increments for the most recent year. It is also ideal to capture performance over a sufficiently long period of time, from fund inception or a ten year track record, whichever is longer. It is optimal to include even 2008 performance numbers so investors can evaluate performance in all market environments.
  2. Volatility – Different fund managers may have different interpretations as to how they define their fund’s volatility. This may vary depending on the specific fund strategy, but volatility, however it is presented, is a key metric that should be captured on each investment fund fact sheet. This statistic will allow investors to evaluate fund volatility in the context of their investment portfolio and compare it to volatility levels in funds with similar strategies. Investors may have a different threshold for volatility, depending on the specific fund strategy and the purpose that the fund serves within their portfolio.
  3. Sharpe Ratio – Performance and volatility are important metrics to include on any investment fund fact sheet but it is important for investors to evaluate these two metrics on a consistent basis across funds, which can be represented via the Sharpe Ratio. This well known “risk adjusted performance measure” was introduced by Willliam F. Sharpe, the Nobel memorial prize winner in economic sciences, in 1966 as a “reward-to-variability ratio”. It compares the overperformance of a certain security to the riskless return in relation to the volatility of this overperformance. The higher the Sharpe Ratio the better the security’s risk adjusted performance. This ratio was revolutionary when first introduced as a way to compare funds in a consistent way, accounting for both risk and performance. The measure has remained very popular since it’s introduction and is still used extensively.
  4. Correlation – Investors considering a particular fund or strategy to add to their portfolio should have a good idea of the fund’s specific contribution to the overall portfolio risk and return profile. The best way to capture this is to evaluate a fund’s correlation in relation to other funds and investments in the portfolio. One of the basic tenets of portfolio optimization is to add funds or investments that will provide a good diversification benefit and that will not be highly correlated with other funds or investments. One of the best ways this can be represented is through a correlation matrix. We can see in this correlation matrix presented below that our highlighted investment fund has a low correlation with several other benchmark indices or investments demonstrating that this fund may be a good inclusion in a portfolio with other funds tracking those markets.
    Correlation matrix
  5. Max drawdown – Another key statistic that should be captured in fund fact sheets is the Max drawdown. The Maximum drawdown helps give investors a good idea of how a “worst case scenario” may look in terms of the greatest loss over a specific time period. This helps investors evaluate if they are able to withstand that level of drawdown or decline within their portfolio if it were to happen again and to see if the fund’s risk is within their tolerance level. As with the other indicators mentioned before, this is also a way that fund managers can demonstrate their fund’s performance amongst its peer group, as investors will likely choose the fund with a lower Max drawdown, all else being equal.

We have seen and developed many more statistics on fund fact sheets depending on specific fund strategies, but these are the ones most consistently applied across all fund strategies. All of these fund statistics, while unique in terms of definition, are interrelated and help to provide a good composite picture of a fund’s performance and risk characteristics. It is also important to remember that each metric utilized on a fund fact sheet should be briefly described. Doing so aids investors not familiar with the specific metric as well as enabling them to understand nuances in how they are calculated, as the definitions may vary from fund to fund.

There are many other components that will be captured on well defined fund fact sheets, however, these are worthy of note as some of the most important risk and performance metrics. We are interested to see which fund strategies and statistics you have relied on (or have trouble with) within your funds so please let us know some of the metrics and indicators you provide for your fund. Also, if you’d like to read more about this topic and have future articles delivered conveniently to your inbox, please sign up for our newsletter.



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