- How do I discover investment opportunities with Piocaro?
- How do I build an optimised investment portfolio from the opportunities I discovered?
- How can Piocaro help me if I am currently working with a financial adviser?
- I am a financial adviser: how would Piocaro help me, my clients and prospects?
- Is Piocaro affiliated with an investment/fund manager?
- What kinds of investment products does Piocaro cover?
- How does Piocaro rank these funds?
- Can I trust the information provided by Piocaro?
- What sets Piocaro apart from others?
- How does Piocaro calculate a fund's return?
- Why does Piocaro use downside risk?
- How does Piocaro calculate a fund's downside volatility?
- How does Piocaro calculate a fund's downside tracking error?
- What is the proxy for risk free rate?
- What is the broad market benchmark Piocaro uses?
Piocaro helps you make a better investment decision by providing comprehensive analysis and ratings for mutual funds, exchange traded funds (ETF) and stocks. Piocaro analyses and ranks tens of thousands of investment funds according to the eternal triangle of investing: Return, Risk and Fee. Downside protection matters more than unexpected upside gains for most investors. It is therefore crucial to distinguish the downside volatility from the upside volatility as well as the down-market risk from the up-market potential. Unlike the traditional view of risks, Piocaro analyses downside volatility risk and down-market risk. Our analysis helps you make an intelligent investment decision by understanding the real risk-return tradeoff among the low fee and best performing funds in their peer groups.
After you identify investment opportunities and add them to your investment asset cart, Piocaro creates a set of optimised portfolios for you to choose from to meet your investment goal. You can easily choose a portfolio with asset allocation that best suits you based on the risk-return trade-off that meets your investment goal and risk tolerance.
With Piocaro you gain insights that help you to ask the right questions of your financial adviser and validate the advisor's recommendations. Piocaro empowers you and your adviser to collaborate openly and have informed discussions that yield more transparent and verifiable investment recommendations.
Many financial advisers find that their clients and prospects are becoming more informed and knowledgable because of the proliferation of financial data and analytics as the global financial markets are opening up. Piocaro is an independent platform that can help you confidently make the asset selection process more transparent to your clients. By providing more visibility into your recommendations Piocaro helps you enhance client satisfaction and build long-term relationships with your clients.
No. Piocaro is an independent platform that provides services to investors and financial advisers. Piocaro does not take commissions nor does it sell its investment ratings to investment/fund managers.
Piocaro provides comprehensive analysis and ratings for mutual funds, exchange traded funds (ETFs) and stocks. Piocaro analyses and ranks tens of thousands of mutual funds, ETFs and stocks on a monthly basis for investors in the US and Australia.
Using a Nobel Prize winning theory along with a well-known and proven benchmarking method in operations research and economics, we measure the efficient frontier of each peer group and benchmark each fund relative to the efficient frontier in their peer group. We accomplish this by computing an efficient frontier plane from 3-dimensional data (with Fee as the 3rd axis) for each of the peer groups. This enables us to answer the eternal triangle of investing question: "How efficient is any particular fund at producing its total return for the level of risk taken (downside volatility) and fees charged compared to other funds in the same peer group?". A fund with a 100% efficiency score sits in the efficient frontier line and is the most efficient within its peer group. We rank all of these funds based on their efficiency scores within their peer group, and assign each one a rating from 5 (most efficient) to 1 (least efficient).
Piocaro collects, cleanses and aggregates data from stock exchanges, fund websites, and other financial websites. Piocaro uses a Nobel Prize winning theory along with a well-known and proven benchmarking method in operations research and economics to analyse, rank and rate tens of thousands of investment funds. Our goal is to help investors like ourselves. Piocaro is an independent platform that provides services to investors and financial advisers. Piocaro does not take commissions nor does it sell its fund ratings to investment/fund managers.
Piocaro enables you to easily identify investment opportunities and build an optimum portfolio allocation in one seamless flow to meet your investment goals. Our intuitive infographic analysis helps you to easily understand the Return-Risk tradeoff for a wide range of assets. Overall, this saves you a significant amount of time.
A return is calculated by dividing the price of the fund at the end of the period with the price at the beginning of the period and annualising the return for the given period. For example, the price of a fund XYZ on 30th Sep 2014 is $10. The price of the fund on 31st Aug 2017 is $20. The period is 3 years. Thus, ( 1 + return)3 = 20/10 or return = (20/10)(1/3) − 1 = 0.2599. The annualised compounded return of fund XYZ from 30th Sep 2014 to 31st Aug 2017 is 25.99%
Downside protection matters more than unexpected upside gains for most investors. It is therefore crucial to distinguish the downside volatility from the upside volatility as well as the down-market risk from the up-market potential.
A fund's volatility is the standard deviation of the fund's returns (up and down) over a period of time. Downside volatility is the semi-deviation (dispersion) of the fund's returns falling below a threshold or target value. Piocaro calculates downside volatility using daily returns and a risk-free rate as the target value. The downside volatility is annualised for comparison with other funds over the given period of time.
A fund's tracking error is the standard deviation of the fund's returns from its benchmark index's returns (up and down) over a period of time. Downside tracking error measures the semi-deviation of the fund's returns falling below its index's returns.
Piocaro calculates downside tracking error using daily return distributions of the fund and its benchmark index.
Piocaro uses a 3-month US Treasury Bill as a proxy for US risk free rate, and uses The Reserve Bank of Australia's 90-day Bank Accepted Bill as a proxy for the Australian risk free rate.
Piocaro uses the Standard & Poor (S&P) 500 index as the broad market benchmark for the US funds, and uses the S&P/ASX 200 as the broad market benchmark for the Australian funds.
Analysis and Ratings FAQs
- What does category average mean?
- What does top 10% average mean?
- What is Efficiency and how do you measure it?
- How does Piocaro rate funds?
- How does Piocaro measure an overall rating?
- What is the difference between fund category and asset class?
- Why do you compare mutual funds at the fund category level?
- Why do you compare ETFs at the asset class level?
- What does the most efficient funds/ETFs table show?
- What does the highest return funds/ETFs table show?
- What does the low risk funds/ETFs table show?
- What does the low fee funds/ETFs table show?
- What does the funds/ETFs by category table show?
- How do you read the bullet chart?
- How do you read the polar chart?
Category Average is a simple average with respect to investment metrics (e.g., return, risk, fee) of all funds within a category/peer group. Piocaro's Category Averages section provides you with a quick glimpse of the averages of funds per category for each trailing period.
Top 10% average is a simple average of the top 10% of the best performing funds within a peer group with respect to investment metrics (e.g., return, risk, fee). Piocaro's Top 10% Averages in category section provides you with a quick glimpse of the averages of the top 10% performers per category for each trailing period.
Efficiency is a performance benchmark based on the eternal triangle of investing: return, risk, fee. This benchmark helps us answer the eternal triangle of investing question: "How efficient is a particular fund at producing a total return for a given level of downside risks it bears and the fee it charges compared to other funds in the same peer group?" A fund with a 100% efficiency score is the most efficient fund relative to others in the same peer group. A fund with 100% efficiency value sits on the efficient frontier line in its peer group. All other funds in the peer group are measured relative to the efficient frontier line.
Piocaro compares a fund with others in the same peer group for 1-, 3-, 5- and 10-year trailing periods. For each trailing period all funds in the same peer group are ranked into the following ratings: 1=Low, 2=Below Average, 3=Average, 4=Above Average, 5=High.
Piocaro ranks Total Return and Efficiency into 5 groups:
|5 - High||4 - Above Average||3 - Average||2 - Below Average||1 - Low|
|Top 10%||Next 22.5%||Middle 35%||Lower 22.5%||Bottom 10%|
Funds in the top 10% of the distribution receive a rating of 5 (High); those in the next 22.5% of the distribution receive a rating of 4 (Above Average); the middle 35% ones receive a rating of 3 (Average); those in the next lower 22.5% receive 2 (Below Average); and the remainder in the bottom 10% of the distribution receives a rating of 1 (Low).
Piocaro ranks Risk and Investment Fees into 5 equal groups:
|5 - High||4 - Above Average||3 - Average||2 - Below Average||1 - Low|
|Top 20%||Next 20%||Middle 20%||Lower 20%||Bottom 20%|
Funds in the top 20% of the distribution receive a rating of 5 (High). Those in the next 20% of the distribution receive a 4 (Above Average). Those in the third 20% of the distribution receive a 3 (Average). Those in the fourth 20% receive 2 (Below Average) and those in the bottom 20% of the distribution receive 1 (Low).
Piocaro uses the same approach to rank Total Assets, Turnover and Distribution/TTM Yield.
Piocaro rates a fund's return, risk, fee and its efficiency using 1-, 3-, 5- and 10-year trailing periods. Piocaro calculates an overall rating of a fund by applying weights to those trailing periods. The overall rating is calculated as follows.
|Funds at least 10 years||1-year||3-year||5-year||10-year|
|Funds between 5 and 10 years||1-year||3-year||5-year|
|Funds between 3 and 5 years||1-year||3-year|
Piocaro uses well-known categories that group funds according to their investment objectives and characteristics. Piocaro also uses broader asset classes that group funds according to their asset characteristics. Categories are subsets of asset classes. A category belongs to only one asset class.
Piocaro compares a mutual fund with other mutual funds in the same category. Most mutual funds are actively managed funds with unique investment strategies, objectives and characteristics. It is logical to compare a mutual fund with its peers that share the similar investment objectives.
An ETF typically tracks a stock, bond or commodity index. In general an ETF tracks an index relatively close, and there are numerous indices within an asset class. Piocaro provides an investor with a broader perspective of index tracking ETFs by comparing ETFs at the asset class level. Indirectly, an investor gains a good perspective of the performance of various indices within an asset class.
The most efficient funds/ETFs table shows funds that receive the highest rating (5) in the efficiency measure within their peer group. These funds have a performance benchmark that falls into the top 10% of their peer group.
The highest return funds/ETFs table shows funds that receive the highest rating (5) in the total return (capital gains and distribution yield) within their peer group. These funds have a total return that falls into the top 10% of their peer group.
The low risk funds/ETFs table shows funds that receive the lowest rating (1) in the risk (volatility) measure within their peer group. These funds have a risk ranking that falls under the bottom 20% of their peer group.
The low fee funds/ETFs table shows funds that receive the lowest rating (1) in total fees they charge within their peer group. These funds have a fee ranking that falls under the bottom 20% of their peer group.
This table shows all funds or ETFs with their measures/metrics and ratings organised by their categories.
A bullet chart is a good way to visualise how a fund is compared to its peer averages. The example on the left shows an expense ratio of 0.43% charged by a fund. Compared to its peers, this fund receives a rating of 1 (low) as shown in the inner horizontal bar in the chart. The category average is shown as an orange vertical line in the chart. The top 10% of performers in the peer group average a rating of 2 (below average) as shown by the green vertical line in the chart. In the case of fees and risk, low ratings will be shown in the green area of the chart. High risk and high fee funds will be shown in the red area of the chart. The chart is context sensitive. It provides you with a tooltip message when your cursor hovers over the chart.
A polar chart is a way to visualise how a fund is compared to its peer averages across multiple metrics (Returns, Risks, Fees, etc). The example polar chart in the left compares a fund with its peer averages along the total return, risk, fees and efficiency metrics for a trailing 5-year period. Each ring in the chart represents a rating number, from the inner small ring representing a rating of 1(low) to the outer big ring representing a rating of 5 (high). The fund of interest is represented by the blue area in the chart. Its peer average is the orange area and the top 10% of performers in the peer group are represented by the green area. An investor who is looking for a low risk, low fee and high total return fund relative to its peers looks for an elongated thin blue diamond shape. The chart is context sensitive. It provides you with a tooltip message when your cursor hovers over an axis in the chart.
Allocation and Portfolio Optimisation
- What is an Asset Cart?
- How do I put funds into my Asset Cart
- How do I use fund screener?
- How do I use the fund correlation data table to guide my portfolio construction?
- How do I decide the allocation of funds in my portfolio?
- What is diversification benefit?
Piocaro uses the familiar online shopping cart model to provide you with a container to hold assets (funds, stocks) that interest you. We call this an Asset Cart. It's a convenient way to temporarily hold the pre-selected funds that will be used to build and optimise a portfolio of funds.
There are three ways to put funds that interest you into your wishlist cart. - Click "Add to cart" on the page that outlines a fund’s information in detail. - Click the checkboxes in the tables from various views on the left side-bar menu. - Use the screener page where you can simultaneously select multiple funds that meet your screening criteria.
To create a well-diversified portfolio, include a broad range of asset classes (municipal bonds, taxable bonds, domestic and international equities, et.) into your Asset Cart.
The fund screener allows you to filter all funds in our database according to various screening criteria. These include: asset class; category; fund family; size (total asset/fund under management); distribution/TTM yield; and number of years of operation, etc. You can also sort the filtered results and select multiple funds to add to your asset cart.
The goal of a portfolio is to diversify your investment and thereby reduce your risk. The broader the asset classes you choose, the higher the probability you get for well-diversified portfolios. You get the most benefits from diversification if the funds in your portfolio have low correlations. The higher the correlation between two funds, the more closely they will behave. The lower the correlation between two funds, the more independent they will be. The correlation data table shows the similarity or dissimilarity between those funds you have selected in your cart.
You can use the correlation data to help you build a portfolio out of funds you have placed into your Asset Cart. Alternatively, you can select all of the funds in your asset cart and let Piocaro's portfolio optimisation engine provide you with a selection of optimized allocation choices. From this selection you can choose which allocation you prefer for your own portfolio.
To create a well-diversified portfolio, include a broad range of asset classes (municipal bonds, taxable bonds, domestic & international equities, etc.) into your Asset Cart. Once you add various asset classes to your Asset Cart, you can create a set of optimised portfolios (efficient frontier portfolios) from the combination of all assets in your Asset Cart. Then, you can choose a portfolio from the set of optimised portfolios based on risk-return tradeoff that best suits your investment goal and risk tolerance.
You get a diversification benefit when you can reduce your portfolio's volatility without comprising/reducing the portfolio's expected return. This is possible when return correlations among the funds in your portfolio are less than a perfect positive correlation. You get the most benefits from diversification if the funds in your portfolio have low correlations. The higher the correlation between two funds, the more closely they will behave. The lower the correlation between two funds, the more independent they will be. A portfolio's diversification benefit is calculated by taking the difference between the sum of weighted average risk of individual funds in the portfolio and the standard deviation of the portfolio.
Glossary of Terms
Actively managed fund*: A fund where the manager actively managed the selection of the securities in the fund portfolio for opportunities and increased performance.
Alpha: The active/abnormal rate of return on an investment fund in excess of a market index used as a benchmark.
Asset class: A way to group funds according to their asset characteristics.
Beta: A measure of the volatility or systematic risk of a fund in comparison to the market risk.
Bid-ask spread: The difference between a dealer's bid and ask price. It is the difference between the highest price a buyer is willing to pay for a fund and the lowest price a seller is willing to accept.
Bond: A tradable debt security. Bond is typically issued by a government body or corporation to raise money. Bond holders lent money for which they receive a fixed rate of interest over a set period of time. The bond is repaid with interest on the predetermined maturity date.
Bond fund: A fund that invests in a portfolio of bonds or other debt securities. Bond funds usually pay recurring dividends that include interest payments on the fund's underlying securities and periodic realised capital gains. Most bond funds pay out dividends more frequently than individual bonds.
Capital gains: The difference between the proceeds from the sale of a fund and the initial cost of the investment. If the proceeds exceed the cost, it is said to be a capital gain otherwise it is a capital loss.
Capture Ratio: The measure of whether a fund has outperformed a market benchmark in the up- market and down-market. Upside capture ratio measures the percentage of gains over the market benchmark when the markets are up. Downside capture ratio measure the percentage of losses over the market benchmark when the market are down. An upside capture ratio greater than 100% indicates that during periods when the market is up, the fund on average gains more than the benchmark. A downside capture ratio less than 100% indicates that during periods when the market is down, the fund on average looses less than the benchmark.
Category (Fund Category): A way to group mutual funds or ETFs according to their investment objectives and characteristics.
Close end fund: A fund that has a fixed number of units or shares on issue.
Debt to equity ratio: A ratio of borrowing/debt and funds provided by shareholders. The ratio shows the extent a company is financed by debt.
Distribution Yield: A dividend distribution in percentage (%) from an investment fund. It is calculated by dividing the dividend per share by the share price.
Duration: A measure of the sensitivity of the bond price to a change in interest rates.
Efficiency Rating: A performance benchmark of a fund relative to its peer group based on total return, fees, downside volatility and downside market risks. (1=Low, 3=Average, 5=High)
Equity fund: A fund that invests in a portfolio of equities or stocks.
ETF: Exchange Traded Fund (ETF) typically tracks an index, bonds, or a commodity. Unlike mutual funds, an ETF trades on a stock exchange like a common stock and experiences price changes throughout the day as they are traded.
Expense ratio: annual fee charged by a fund manager for managing an investment fund. it is usually expressed as a percentage of the fund's net asset value.
Fees: Total fees that includes expense ratio and annualised load fees charged by a fund. Piocaro annualises a fund's load fees over a given trailing period. Investment fees may erode an investor's return or risk premium. Piocaro compares and ranks a fund's total annual investment fees relative to its peer group.
Information ratio: A measures the fund's excess returns relative to the benchmark's returns per unit of tracking error (deviation from the benchmark). An adjusted Information ratio measures the fund's excess returns relative to the benchmark's per unit of downside tracking error (downside deviation below the benchmark)
Kurtosis: A statistical measure to describe risks of both ends of the tail of a return distribution. A normal distribution has a kurtosis value of 3. A very high Kurtosis means a potential risk on both ends of the tail. Downside Kurtosis describe the risk of the downside tail of a return distribution. A very high downside Kurtosis means a probability of a big loss.
Liquidity: A measure of the degree of how fast and easy it is to buy or sell funds with little impact on price. A high liquidity means a fund can be easily traded in the market with minimum impact on its price.
Load fees: Commission/sales charge on the purchase or sales of a mutual fund.
Managed fund/Mutual fund: a portfolio of assets managed by professionals for fees.
M2: Modigliani risk-adjusted return measures the differential return a fund would have to a market index/benchmark if the fund is adjusted with a mix of risk-free assets (T-bills) so it has the same degree of total risk/volatility as the benchmark. A positive M2 means a fund is outperforming the benchmark by the M2 value.
Price to earning (P/E) ratio: The ratio of a company's stock price to its earnings per share.
Price to book (P/B) ratio: The ratio of a company's market value to its book value.
Price to sales (P/S) ratio: The ratio of a company's stock price to its revenues.
Return/Total return: The gain/loss of an investment in a given period. Total return includes capital gains (appreciation of the fund's holdings), dividends/distributions (yield) realised over a given period.
Weighted Risk: A measure of the variation in a fund's returns over a given period of time. Piocaro measures risk as a variation of day-to-day returns and annualises the deviation over a given period of time.
Risk free rate: The rate of return of an investment with a very low or zero risk. Investors typically use Treasury bills as a proxy for risk free rate. Piocaro uses a 3-month US Treasury Bill as a proxy for US risk free rate, and uses The Reserve Bank of Australia's 90-day Bank Accepted Bill as a proxy for the Australian risk free rate.
R-Squared: A statistical measure of the fund's movement that can be explained by movements in a benchmark index. An R-Squared = 100% means a fund's movement is identical to the movement of the benchmark index.
Sharpe ratio: The ratio of excess return over the risk free rate to the fund's volatility/standard deviation. The ratio measures the fund's reward per unit of risk.
Sortino ratio: A variation of the Sharpe ratio that measures investment return in excess of the risk-free rate over the downside semi-deviation of the return (bad volatility). Piocaro uses the downside semi- deviation below the risk-free rate to calculate the Sortino ratio.
Spread: Average percentage in spread (offer - bid / midpoint) measured during the underlying market hours. A small/narrow spread means it will cost less to trade that particular fund in the market.
TTM Yield: Trailing Twelve Month Yield is the dividend/distribution yield (as a percentage of investment) in the most recent 12-month period.
Tracking error: The deviation of the fund's returns from the benchmark's returns. The lower the tracking error, the closer the fund follows the benchmark. The higher the tracking error, the more the fund deviates from the benchmark. Downside tracking error measures the semi-deviation of the fund's returns falling below its index's returns.
Treynor ratio: Treynor ratio measures investment return in excess of the risk-free rate over the market risk (beta). An adjusted Treynor ratio that measures investment return in excess of the risk-free rate over the down-market beta (risk measure of a market downturn).
Turnover: A measure of how often assets within a fund are traded by the fund manager. It is calculated by taking the ratio of the trading activity to the total net asset value of the fund.
Yield to maturity: A measure of the average rate of return that will be earned on a bond if held to maturity.