Fund Performance Dashboard

Adjust Scoring Weights

Window 5d
Week
Weight: 0.3
Window 10d
Fortnight
Weight: 1.5
Window 21d
Month
Weight: 2.5
Window 64d
Quarter
Weight: 4.0
Window 129d
Half year
Weight: 3.0
Window 261d
Year
Weight: 2.0
Window 390d
1.5 years
Weight: 1.5
Window 522d
2 years
Weight: 1.0

Fund Performance (Integral Scoring)

Fund Performance

This bar chart displays the fund scores calculated with the latest fund data. Hovering over on of the bars will pop up information about that particular fund. This includes:

  • Fund name
  • The score value
  • The score change trend, i.e. if the score has been improving or declining the past 10 days
  • The last date there is data about the fund

In addition to the usual Plotly features it is also possible to do some more things with the graph:

  1. Above the chart there are sliders that allow setting the weight that a certain lookback window has on the overall score result. The lookback windows are:

    • One week (5d)

    • Two weeks (10d)

    • One month (21d)

    • Three moths, a quarter (64d)

    • Half a year (129d)

    • One year (261d)

    • 1,5 years (390d)

    • 2 years (522d)

    The reason the number of days is shorter than the stated period is because there is only data for normal work days, not for weekends.

    Sliders work with both the scroll wheel as well as click and drag.

    There is also a button above the sliders to restore the weights to defaults.

  2. Below the chart on the left there is a list box with all available funds. Choosing from this list makes it possible to highlight or isolate the selected funds.

  3. Below on the right is also table that list the top 20 funds.

Integral scoring

The scoring in this bar chart is calculated from the sum of values, i.e. the integral, of each normalized log10 fund series in the selected periods set by the weights. The normalized log10 fund series values are the same that are displayed in the “Aggregated Fund Series Charts”, so this bar chart is simply a shortcut to finding the the fund series that have had the best performance in terms of growth. Similar to eyeing the base charts and finding the plot lines that have the lowest values before the last date normalized zero value, thus indicating the highest growth.

Isolate Funds

Isolate Funds

This list box contains all available funds in the PPM system.

The text entry field at the top allows for filtering the list. Accepts regular expressions. Case-insensitive matching.

One can search for funds that:

  • Contain a pattern anywhere in the name (e.g., "ABC" matches "ABC Fund", "Fund ABC", "XABCY")
  • End with a pattern (e.g., "Fund$" matches "Growth Fund", "Value Fund")
  • Start with a pattern (e.g., "^SW" matches "SW Global", "SW Tech")
  • Match complex patterns (e.g., "SW.*Global" matches "SW International Global")

Example Usage:

  • SW - matches any fund containing "SW" anywhere
  • ^SW - matches funds starting with "SW"
  • Global$ - matches funds ending with "Global"
  • SW.*Tech - matches funds containing "SW" followed by "Tech" with any characters in between
  • (Growth|Value) - matches funds containing either "Growth" or "Value"

The purpose is to either highlight certain funds in the bar chart above or to narrow the scope in the bar chart.

Highlighting will draw a thicker border around the bars for selected funds.

Isolating funds will show only the selected funds. The table on the right will also only display the selected funds.



Top Funds

Top Funds

This table shows the 20 highest ranking funds based on the scoring algorithm (integral or regression).

The table is sortable either on fund score, fund score change rate (gradient) or forecast.

The initial sorting is on the forecast because it combines the best growth to date with the highest momentum and hence should be a good indication the currently best performing funds.

If funds have been selected to be isolated in the list box to the left only the selected funds will be shown.

It’s possible to get a CSV copy of the table contents on the clipboard by clicking the “Copy Table CSV” button at the bottom.

A more detailed breakdown of the forecast:

  • What is Momentum? In finance, momentum is the tendency for assets that have performed well in the recent past to continue performing well, and for assets that have performed poorly to continue performing poorly. The “gradient” is a time-series momentum indicator.
  • Time Horizons are Key: The “momentum effect” is highly dependent on the time frame.
    • Short-Term (1-4 weeks): There is often a reversal effect, not a continuation. This is sometimes attributed to market overreaction and correction. The use of a 5-day forecast falls into this very short-term, and often noisy, category.
    • Medium-Term (3-12 months): This is where the classic, academically-studied momentum effect is strongest. Strategies often look at performance over the last 6-12 months (skipping the most recent month) and hold the position for 1-3 months.
    • Long-Term (3-5 years): Over longer periods, momentum often reverses completely. Winners become losers and vice-versa.
  • Why Linear Forecasts are Risky: The method here ( score + gradient * 5 ) is a simple linear extrapolation. It assumes the trend of the last 10 days will continue in a straight line for the next 5. In reality, financial returns are not linear. This kind of simple forecast is highly susceptible to:
    • Mean Reversion: Prices that move far from their average tend to snap back.
    • Volatility Changes: A quiet, steady trend can suddenly become volatile.
    • Market Shocks: Economic news or geopolitical events can instantly invalidate any trend.

Conclusion:

This type of simple, linear forecast is only potentially indicative of a very near-term trend.

Think of the “Forecast (5d)” column less as a precise prediction and more as a “Momentum Strength” indicator. It combines the current score with the recent rate-of-change to highlight funds that are not only scoring well but are also currently on a strong upward trajectory. It’s a tool for sorting and discovery, but its predictive power beyond a few days is likely very limited.