On the website of Morningstar China, each fund has "Risk Assessment" and "Risk Statistics" columns, which list seven indicators, including average return, standard deviation, Sharp ratio, Morningstar risk coefficient, alpha coefficient, beta coefficient and r square.
1, and the average return is the sum of the average monthly returns for a certain period of time.
2. The standard deviation represents the fluctuation range of the total return of the fund in a certain period, that is, the deviation degree of the monthly return of the fund from the average monthly return. The standard deviation reflects the short-term risk. The greater the standard deviation, the greater the change of fund income.
3. Sharp ratio integrates income and risk, and it is one of the adjusted income indicators to measure fund risk, which is basically equal to income divided by risk. Under the same income, the higher the Sharp ratio, the smaller the fluctuation or risk; Under the same risk, the higher the Sharp ratio, the higher the income. A high Sharp ratio means that the fund has a high excess rate of return after taking risks. Of course, the high Sharp ratio is not necessarily high-yield and low-risk, such as bond funds, which generally have low returns and low risks. Therefore, the comparison of Sharp ratio must be compared among similar funds.
4. Morningstar risk coefficient reflects the risk of downward fluctuation of fund income relative to other similar funds in a certain period of time. The greater the indicator, the higher the downside risk.
5. The alpha coefficient is the difference between the actual income of the fund and the expected income calculated according to the beta coefficient. It represents the degree to which the fund can outperform the whole market, which is what we call the broader market. Of course, the larger the number, the better.
6. Beta coefficient is a relative index to measure the fluctuation of fund income relative to the benchmark income (i.e. the market). If the beta coefficient is greater than 1, it means that the fluctuation of the fund is greater than that of the market, that is, the short-term risk is higher than that of the market; Beta coefficient is less than 1, indicating that the fund is relatively stable and the risk is lower than the market. If the beta coefficient of the index fund is 1, it means that the index fund is set completely according to the market situation.
7. R square can reflect the influence of market changes on fund performance, that is, the correlation between fund and market. The impact degree is 0 to 100. If the square of R is equal to 100, it shows that the change of fund income is completely caused by the change of market. If the square of R is equal to 35, it means that 35% of the fund's income is due to market changes. Therefore, R square can also be used to determine the accuracy of β coefficient and α coefficient. The higher the R-squared value of the fund, the higher the accuracy of the two coefficients.