Managed Funds Statistical analysis of fund performance

I thought I would post some statistics on some managed funds with a view to investigating the historical returns - hopefully gaining some insight into what the fund is capable of.

Naturally, historical returns do not necessarily represent the future returns, but it is still an interesting exercise.

I'm using the Colonial First State Wholesale Property Securities Fund - because many people have expressed interest in this fund recently (or the retail version, which is very similar to the wholesale fund), but mostly because that's what I had data for on hand

The following chart shows the returns of the fund over the last 3 years. It is NOT a logarithmic scale - so take that into account when considering the shape of the chart (it can be misleading) ... I mostly wanted to highlight the extended negative periods the fund has shown in the past (there is a longer period about 2 years before this too). The funds can, and do have extended negative periods - so don't assume you can invest in them for the short term and necessarily expect high returns !!!

Of course, charts can still be misleading - they have to be interpreted, so I decided to break it down futher by looking at the quarterly returns for the fund going back to inception.

The following chart shows the quarterly returns, and the yellow line is the median value. Median means that this is the mid-point of all values, there are as many returns above this value as there are below.

Let's break it down further:

The minimum return for any one quarter was -7.3%

The 1st quartile (where the bottom one quarter or 25% of the values are BELOW this figure) is 0.1%

The median (where half the values are below and half above) is 3.5%

The 3rd quartile (where top one quarter or 25% of the values are ABOVE this figure) is 6.1%

The maximum return for any one quarter was 13.9% (which, interestingly, was the most recent December 2006 quarter !!).

So, if you were to apply these statistics to an analysis of what you may expect ... the 1st quartile is pretty close to zero. This means that historically, you have a 25% chance of seeing negative (or zero) returns for any quarter in this fund !!!!

If the fund were to return the median value for four quarters in a row, it would be approximately 14% return. Out of interest, the median annual return (calendar year) from the fund is about 11.5%.

I'll post similar charts for the Navra AUS W/S fund so we can see how that fund has performed.

 

Here are simlar charts for NavraInvest AUS W/S fund (again, the retail fund is very similar - so results are comparable).

Statistics:

Minimum return: 0% (first quarter of operation)
1st quartile: 0.7% (25% of returns are below this value)
Median: 2.5%
3rd quartile: 5.6% (25% of returns are above this value)
Maximum return: 11.8%

Annual (calendar year) median return: 15.3%

Note that there are only 15 quarters of data for this fund - so it's possibly not as indicative as for the Property Securities fund ... which has been through many more market cycles, and thus seen more down periods in the market. This may explain why the annual median return is higher than the Property Securities fund - which has a higher quarterly median return.

Even so - I think the quarterly returns chart for NavraInvest shows it nicely ... so far there has not been a negative quarter for the fund !!! You can see this by looking at the first chart ... even with the down periods in the market (circled in red), if you look at the yellow dots which represent end-of-quarter distributions, you'll see that each one is at least as high as the previous one, despite the downturns !!

 

So what do all these statistics mean ?

Not a lot really

It's just interesting ... and I like pretty charts

 

The "First Choice" versions of the fund (FSF0222AU and FSF0501AU) are actually blended funds, with 50% managed by CFS and 50% managed by Pengana ... and neither of these funds has performed as well as the 100% CFS managed retail (FSF0251AU) or wholesale (FSF0004AU) versions. FSF0004AU has performed the best of the lot.

 

It's a wholesale fund - you need to either select "Wholesale Investments" in the search criteria, or else on your original link to "Find a fund", click on the "Wholesale Investments" tab at the top of the list.