Ratios

Sharpe

It represents the excess return earned for the extra volatility we endure for holding a riskier asset, in other words it is the excess returns earned per unit of risk ( risk being standard deviation )

Formula = return/ standard deviation.

The metric considers both risk and return and is better for evaluating funds as compared to considering risk & return individually. Higher the sharpe the better the risk adjusted performance.

Sortino

Like sharpe,Sortino also represents the excess return earned for the extra volatility we endure for holding a riskier asset, in other words it is the excess returns earned per unit of risk but here risk is defined as downside deviation instead of standard deviation.

The difference, Standard deviation considers both upside and downside deviation but the downside deviation ignores upside deviation. Sortino is considered superior to sharpe in the sense that investors are more concerned with downside risk instead of total risk.

Formula = return/ downside deviation.

The metric considers both risk and return and is better for evaluating funds as compared to considering risk & return individually. Higher the sortino better the risk adjusted performance.

P/E

In case of direct equity, P/E is just the ratio of price per share to earnings per share of the company in question. For MFs, P/E by default is a weighted average P/E of all the companies in its portfolio.

A fund with high P/E holdings will automatically have a higher P/E. Fund level P/E helps us understand if the fund is holding overvalued stocks or not.

Category P/E

Category P/E is simply the average P/E of all the funds in a given category.

For eg : There are 5 funds in the small cap category with the following P/Es:

Fund	P/E
A	25
B	27.5
C	30
D	32.5
E	35

The category P/E in this case will be 30. 

The category P/E alone might not add value but individual fund P/Es can be compared to their respective category P/Es to find undervalued funds with upside available.

Returns vs Sub-category returns : 10Y

This metric is used to measure under or outperformance of funds relative to their category average returns.

Formula : (10Y CAGR of the fund)/(10Y CAGR of the category average returns)

This metric is either at a premium i.e > 1 which represents that the fund has outperformed its category over the stated horizon or at a discount i.e <1 representing underperformance.

Returns vs Sub-category returns : 1Y

This metric is used to measure under or outperformance of funds relative to their category average returns.

Formula : (1Y CAGR of the fund)/(1Y CAGR of the category average returns)

This metric is either at a premium i.e > 1 which represents that the fund has outperformed its category over the stated horizon or at a discount i.e <1 representing underperformance.

Returns vs Sub-category returns : 3Y

This metric is used to measure under or outperformance of funds relative to their category average returns.

Formula : (3Y CAGR of the fund)/(3Y CAGR of the category average returns)

This metric is either at a premium i.e > 1 which represents that the fund has outperformed its category over the stated horizon or at a discount i.e <1 representing underperformance.

Returns vs Sub-category returns : 5Y

This metric is used to measure under or outperformance of funds relative to their category average returns.

Formula : (5Y CAGR of the fund)/(5Y CAGR of the category average returns)

This metric is either at a premium i.e > 1 which represents that the fund has outperformed its category over the stated horizon or at a discount i.e <1 representing underperformance.

For eg:

3Y CAGR of fund A is 22% vs its category average 3Y CAGR of 20% then Returns vs Sub-category returns : 3Y = 22%/20% = 1.1 ( at a premium )

% away from ATH

This is the % difference between the current NAV of the fund and it’s all time high NAV. This metric can be used to track either the fund’s position relative to its own historical performance or vs other funds & its benchmark.

Calculation : Fund A’s All time high NAV is 150 and the current NAV is 120 then % away from ATH = (150-120)/150 = 20%

For eg ( vs benchmark ) : A mid cap fund is 15% away from its ATH vs its benchmark being 20% away from its ATH represents a lower drawdown or relative outperformance

For eg ( vs other funds ) : There are 5 mid cap funds with the following % away from ATH figures.

Fund	% away from ATH
A	10%
B	7%
C	12%
D	9%
E	15%

Using the figures, we can see that fund B is the least away from its PATH and thus showcases relative outperformance in the mid cap category.

Average YTM

A metric relevant for debt mutual funds, Debt mutual funds are a portfolio of several individual bonds/securities with different and unique features like different maturities & different yields.

A fund’s Yield To Maturity (YTM) is the weighted average YTM of all its holdings. Average YTM is the total return that is expected from a fund if the investor holds it until maturity.

Average Maturity

A metric relevant for debt mutual funds, Debt mutual funds are a portfolio of several individual bonds/securities with different and unique features like different maturities & different yields.

A fund’s maturity is the weighted average maturity of all its holdings. Average maturity helps to determine the average time to maturity of all the debt securities held in a portfolio and is calculated in days, months or years. For e.g. a debt fund having an average maturity of 5 years constitutes debt securities held by the fund that, on an average, will mature in 5 years, though individual securities may have maturity different than 5 years.

Usually, longer maturity funds have a higher YTM for taking the additional duration risk keeping the other factors like credit quality constant.

Category YTM

Category YTM is the average YTM of all the funds within a category. Category YTM can be compared to individual fund YTMs to find out funds that are offering better returns than their category as a whole.