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Mutual Fund Definitions
The data definitions used in Johnston Investment Counsel's report are listed below, or click here to download a pdf file.
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Fund Characteristics and Allocation
- Expense Ratio
- Manager Tenure
- Net Assets
- Number of Holdings
- Percent in Top 10
- Asset Allocation
- Equity Style Percent Allocation
- Sector Allocation
- Regional Allocation
- Quality Allocation
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Cumulative and Calendar-Year Performance Results
- Cumulative and Calendar-Year Period Results
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Historical Returns
- Rolling 1- and 3-Year Return Consistency Analysis
- 1- and 3-Year Return Ranking
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Information & Sharpe Ratios
- Rolling 3-Year Information Ratio Consistency Analysis
- Rolling 3-Year Sharpe Ratio Consistency Analysis
- Information and Sharpe Ratio
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Risk Characteristics
- Sharpe Ratio
- Alpha
- Beta
- 3-, 5- and 10-Year Standard Deviation
- Rolling 3-Year Risk Consistency Analysis
- 3-Year Standard Deviation Ranking
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Equity Portfolio Characteristics
- Price/Earnings
- Price/Book
- Price/Cash Flow
- Price/Sales
- Price/Forward Earnings
- Price/Forward Book Value
- Price/Forward Cash Flow
- Price/Forward Sales
- Sales Growth
- Book Value Growth
- Cash Flow Growth
- Forecast Earnings Growth
- Portfolio Turnover
- Price/Sales to Sales Growth
- Price/Book Value to Book Value Growth
- Price/Cash Flow to Cash Flow Growth
- Price/Earnings to Historical Earnings Growth
- Price/Earnings to Expected Earnings Growth
Fund Characteristics and Allocation
Expense Ratio
The expense ratio is a measure of a funds cost. Specifically, it is the percentage of fund assets that pay for operating expenses, management fees (including 12-b1 fees), administrative fees and all other asset-based costs incurred by the fund, except brokerage cost. Sales charges are not included in the expense ratio.
Manager Tenure
Manager tenure is the number of years that the current manager has been the portfolio manager of the fund. For funds with more than one manager, the average tenure is shown. If there is only one manager, who has been at the fund for less than six months, no information will be available.
Net Assets
Net assets are the net assets of the mutual fund, in millions of dollars.
Number of Holdings
The number of holdings based on the date the portfolio was reported.
Percent in Top 10
The percentage of total assets the top 10 holdings represent.
Asset Allocation
The allocation of the fund to various asset-class categories (stocks, bonds, etc). The peer group average asset allocation is the average of funds in the same peer group.
Equity Style Percent Allocation
Equity style percent allocation classifies portfolio holdings based on company size (large, mid, small), and investment approach (value, core, growth). The percentages are indications of how concentrated a fund may be to a particular equity style category. The peer group average is the average of funds in the same peer group.
Sector Allocation
For stocks, the sector allocation shows the percent allocation to the twelve major sector classifications. The sector allocation peer group average is the average of funds in the same peer group.
Regional Allocation
For international stocks, the regional allocation shows the percent allocation to seven regions. The regional allocation average is the average of funds in the same peer group.
Quality Allocation
For bonds, the quality allocation shows the percent allocation to nine different quality segments. The quality allocation average is the average of funds in the same peer group.
Cumulative and Calendar-Year Performance Results
Cumulative and Calendar-Year Period Results
Depending on the time period (which goes from 3 months up to 10 years), each return is ranked in a distribution of other funds in the same peer group. Funds in the top quartile rank between 1 to 25. The second quartile consists of a ranking between 26-50. The median (50% of observations are above and below) is the 50th percentile. A rank between 51-75 is in the third quartile, while a rank between 75-100 is in the 4th quartile.
Historical Returns: Consistency Analysis and Ranking
Rolling 1- and 3-Year Return Consistency Analysis
The consistency ratio is a measure of how frequently the fund has outperformed its peer group median and style-based indices. The ratio is calculated, for both rolling one- and three-year periods by dividing the number of outperforming periods by the total number of available periods.
1- and 3-Year Return Ranking
The fund's rolling one-and three-year return is ranked versus its style specific peer group. A ranking of 1 is considered the "highest", 50 is the median, and 100 is the "lowest".
Information & Sharpe Ratios: Consistency Analysis & Ranking
Rolling 3-Year Information Ratio Consistency Analysis
The information ratio measures the amount of value added, per unit of additional risk, relative to a style-specific index. Information ratios greater than zero imply value added (above the style-based index) on a risk-adjusted basis.
Over rolling 3-year-periods (using monthly data), JIC calculates the average excess return (relative to a pre-defined style based index). The excess return is then divided by the standard deviation of the excess return to produce the information ratio.
The consistency ratio is a measure of how frequently the fund's information ratio has outperformed its peer group median. The consistency ratio is calculated by dividing the number of outperforming information ratio periods by the total number of available periods.
Rolling 3-Year Sharpe Ratio Consistency Analysis
The Sharpe ratio is another measure of return per unit of risk. It is calculated by dividing a fund's excess return (over Treasury Bills) by the fund's standard deviation. Sharpe ratios above zero imply value added (above Treasury Bills) on a risk adjusted basis.
Information and Sharpe Ratio: Rolling 3 Year Ranking
For each period of available data, JIC ranks the information and Sharpe ratios versus their style-specific peer group. A ranking of 1 is considered the "highest", 50 is the median, and 100 is the "lowest".
Risk Characteristics
Sharpe Ratio
The Sharpe ratio calculates return per unit of risk. It is calculated by dividing a fund's excess return (over Treasury Bills) by the fund's standard deviation. The higher the Sharpe Ratio, the better the fund's historical risk-adjusted performance.
Alpha
Alpha is a measure of the difference between a fund's actual returns and its expected performance, given its level of risk as measured by beta. A positive alpha indicates the fund has performed better than its beta would predict. In contrast, a negative alpha indicates the fund has underperformed, given the expectations established by the fund's beta.
Beta
Beta is a measure of a fund's sensitivity to market movements. The beta of the market is 1.00 by definition. A beta of 1.10 indicates funds performance will be 10% more volatile than the benchmark index, (in both up and down markets) assuming all other factors remain constant.
3-, 5- and 10-Year Standard Deviation
Standard deviation is a statistical measurement of dispersion about an average, which depicts how widely the returns varied over a certain period of time. When a fund has a high standard deviation, the predicted range of performance is wide, implying greater volatility.
Rolling 3-Year Risk Consistency Analysis
The 3-year risk consistency ratio calculates the number of rolling 3-year periods the fund had less risk than the median fund and its style-based indices.
3-Year Standard Deviation Ranking
For each period of available data, JIC ranks the fund's rolling 3-year standard deviation versus it style-specific peer group. A ranking of 1 is considered the "highest" (i.e. lower risk relative to other funds), 50 is the median, and 100 is the "lowest" (higher risk relative to other funds).
Equity Portfolio Characteristics
Price/Earnings
The price/earnings ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 month's earnings per share.
The portfolio's price/earnings ratio is the weighted average of each individual stocks price/earnings ratio.
Price/Book
The price/book ratio is calculated by dividing the stock's market price by the company's book value per share. Stocks with negative book values are excluded from this calculation.
The portfolio's price/book ratio is the weighted average of each individual stocks price/book ratio.
Price/Cash Flow
The price/cash flow is calculated by dividing the stocks market price by its cash flow per share.
The portfolio's price/cash flow ratio is the weighted average of each individual stocks price/cash flow ratio.
Price/Sales
The price/sales ratio is calculated by dividing the stocks market price by its sales per share.
The portfolio's price/sales ratio is the weighted average of each individual stocks price/sales ratio.
Price/Forward Earnings
The price/forward earnings ratio of a stock is calculated by dividing the current price of the stock by its expected earnings for the current fiscal year.
The portfolio's price/forward earnings ratio is the weighted average of each individual stocks price/forward earnings ratio.
Price/Forward Book Value
The price/forward book value ratio of a stock is calculated by dividing the current price of the stock by its expected book value per share for the current fiscal year.
The portfolio's price/forward book value ratio is the weighted average of each individual stocks price/forward book value ratio.
Price/Forward Cash Flow
The price/forward cash flow ratio of a stock is calculated by dividing the current price of the stock by its expected cash flow per share for the current fiscal year.
The portfolio's price/forward book value ratio is the weighted average of each individual stocks price/forward book value ratio.
Price/Forward Sales
The price/forward sales ratio of a stock is calculated by dividing the current price of the stock by its expected sales per share for the current fiscal year.
The portfolio's price/forward sales ratio is the weighted average of each individual stocks price/forward sales ratio.
Sales Growth
Historical growth in revenue.
Book Value Growth
Historical growth in book value.
Cash Flow Growth
Historical growth in cash flow.
Forecast Earnings Growth
Long-term prospective earnings growth of stocks in the portfolio.
Portfolio Turnover
Portfolio turnover is a measure of trading activity which is computed by taking the lesser of purchases or sales and dividing by net assets.
Price/Sales to Sales Growth
Price/sales ratio divided by historical sales growth.
Price/Book Value to Book Value Growth
Price/book ratio divided by historical book value growth.
Price/Cash Flow to Cash Flow Growth
Price/cash flow ratio divided by historical cash flow growth.
Price/Earnings to Historical Earnings Growth
Price/earnings ratio divided by historical earnings growth.
Price/Earnings to Expected Earnings Growth
Price/earnings ratio divided by forecast earnings growth.
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