We analyzed 150+ fund factsheets, which managers sent us and which we use for performance updates of our Managed Futures Database, to complete this brief survey. All of the factsheets we analyzed are published monthly.
A large majority of managers publish information about AUM of the firm or program. The research found AUM to be the most widely used figure, appearing in almost 75% of all factsheets used in the research.
Sharpe Remains More Important Than Sortino
Information about Sharpe ratio is the second most used statistic, appearing in slightly over 50% of surveyed factsheets. In comparison, the Sortino ratio only appears in 25% of the factsheets.
The Correlation statistic was also found to be a popular statistic, appears in 54% of the factsheets. While Max. Drawdown appearing in nearly half of the surveyed factsheets.
The final statistic used frequently in reports is Volatility. This information appears in 33% of all factsheets included in the survey.
In conclusion, our research finds that the most frequently used statistics in the factsheets are AUM, Sharpe ratio, Correlation, Max. Drawdown, Volatily and Sortino ratio. No other statistic received more than 25%.
Managers Favor a Simple Design and Single Page Layout
In our research we also looked at the popularity of tables and charts in factsheets. Charts are slightly less popular than tables. On average a surveyed factsheet contains two charts.
The data that managers publish in their factsheet mostly fit on one page. Managers favor a simple, well-arranged design for their factsheets, rather than confusing reports with a lot of figures.