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Comparison of 5 Year Actual Asset Class Fund Returns for Different Investics Signal Skill Percentile Ranks
Ending December 2023*

Devised during an engagement with one of the world's largest pension funds to create a completely algorithmic approach to identifying the best funds and fund managers based on skill (vs. luck), the methodologies behind Signal were originally utilized to first independently identify that something was greatly amiss with the Bernie Madoff funds.  Reference:  No One Would Listen (book) - Harry Markopolos (author).  John Wiley & Sons (publisher) - 2010.

"It is similar to sports where an athlete who has consistently demonstrated relative superior skill in the past should continue to be skillful for some period of time into the future. A scratch golfer does not become a bad, or even an average golfer, overnight. The Signal service takes this concept of skill and applies it to the investment management process in order to find those funds and investment management firms who are more likely to outperform into the future based on persistently demonstrating superior relative skill (vs. luck) in the past" ,  William C. Pryor, founding president of Investics.

Signal utilizes standard statistical methods, published investment theory research, advanced data modeling techniques, big data technologies, AI machine learning, generative narration and interactive dashboards.

Asset Class
Returns
🏆 - Top Decile
1st Quartile
2nd Quartile
Average
3rd Quartile
4th Quartile
Equity
Annualized
12.32%
11.71%
11.03%
11.12%
10.96%
10.58%
Equity
Cumulative
78.74%
74.00%
68.72%
69.42%
68.22%
65.32%
Fixed
Annualized
2.64%
2.51%
2.28%
2.27%
2.17%
2.08%
Fixed
Cumulative
13.92%
13.18%
11.93%
11.88%
11.30%
10.86%
Mixed
Annualized
8.66%
8.64%
8.64%
8.35%
8.34%
7.70%
Mixed
Cumulative
51.45%
51.33%
51.34%
49.30%
49.28%
44.92%
Cash
Annualized
1.67%
1.65%
1.58%
1.35%
1.48%
1.31%
Cash
Cumulative
8.64%
8.52%
8.14%
6.95%
7.62%
6.72%
Screenshot 2024-04-01 17.24.10.png
Screenshot 2024-04-01 17.23.40.png

*Surveying over 24,000 US registered fund share classes, the data in the charts above show the actual fund returns for each major asset class when investing in funds of different Signal manager skill percentile rank ranges during the five year period ending December 2023*.  (Associated underlying asset class benchmarks with larger alpha dispersion ranges have a higher magnitude of return spreads.) Funds deemed as passive, have a broad allocation to Alternatives or lack statistical significance to their respective assigned benchmarks, are excluded.  Investment manager supplied monthly gross returns were utilized.  Monthly fund skill re-balancing assumed in generating returns.

The charts to the left illustrate the effectiveness of higher Signal active manager skill rated funds outperforming lower rated funds on average over a five year period ending December 2023. The Signal service surveys over 24,000 US registered funds across all major asset classes and determines a forward-looking excess return due to skill.

Signal utilizes a cumulative sum methodology with returns based style analysis and a Bayesian framework for analyzing past excess returns to detect whether the quality of a fund's investment management process is normal, improving or deteriorating and provides the annual return magnitude that a fund management’s process is expected to out (or under) perform on average the benchmark due to manager skill.

 

This value is based on the extent to which the most relevant period of past performance appears to have arisen from a combination of skill and luck.

 

From there a rating is determined in the form of an emoji and visualized for immediate and simple interpretation of the level of skill, visually represented as the Investics Signal Rating (ISR).  The ISR is visualized as emojis to provide instant graphical interpretation of the results:

​

🏆 - Top

🥰 - Joy

🙂   Happy

🤨 - Neutral

🙁 - Sad

😓 - Worry

👎 - Bottom

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