How the numbers are made

Look-through

A fund's holdings file lists the securities it holds and their weights. The look-through multiplies each weight by the fund's weight in the portfolio and adds the result across funds, so a company held through three funds appears once, at its combined weight.

Securities are merged on their instrument identifiers, and share classes of one company are merged into that company. A line the identifiers cannot place stays at its own weight under its own name rather than being dropped or guessed.

Overlap

Overlap between two funds is the sum, over every company held by both, of the smaller of the two weights. Two funds with identical holdings overlap by 100 percent; two funds that share no company overlap by zero. The figure is by weight, so one shared company at 5 percent in each fund counts more than fifty shared companies at 0.01 percent.

A portfolio's overlap is measured across all its funds at once: the share of the portfolio held in companies that appear in more than one fund. Overlap describes what is held twice; it is not a judgement. A deliberate tilt shows up as overlap.

Concentration

Three figures describe how concentrated a fund or portfolio is: the weight of its ten largest companies, the number of companies that together make up half of the weight, and the effective number of holdings, which is the count of equal-weight positions that would give the same concentration.

Holdings dates

Every fund carries the date its holdings were disclosed, shown wherever the fund appears. US-listed funds disclose their full holdings once a quarter, and the public filing follows the period end by about two months, so a current US fund still shows a date two to five months old. European UCITS funds publish holdings on their issuer's site, often daily or weekly, so their dates are days old.

Figures are never blended across dates without saying so: a comparison names both funds' dates, and a portfolio report names the oldest.

P/E, P/B and earnings yield

A fund's price-to-earnings ratio is computed from its holdings, not taken from a factsheet. For each company the earnings per share come from its own financial statements, and the price is the newest stored close, or the price implied by the fund's reported position value when no close is stored; the two are only combined when they agree within a factor of three. Prices and earnings are converted to one currency before the ratio is taken.

Company ratios are combined by weight harmonically, which is the same as dividing the fund's total price by its total earnings. Loss-making companies have no P/E and are left out of it; the coverage figure next to every P/E says what share of the fund's weight the ratio describes. Earnings yield counts the loss-makers too, so it covers more of the fund and can fall below zero. Price-to-book uses the most recent reported book value.

Tracking difference and tracking error

Tracking difference is the fund's return minus its index over the same months, expressed as a yearly rate. Tracking error is the annualised standard deviation of the monthly differences. Both use the two lines the fund's own manager publishes, in one currency and in the exact index variant the fund follows, taken at month ends so different valuation times within a day are not mistaken for tracking. A positive difference means the fund finished ahead of its index.

Funds whose manager publishes only a table of returns at fixed horizons show the difference and no error, and say so. Hedged share classes are not measured against an unhedged index.

Sectors and countries

Sector groups are this site's own mapping of company activities, not a licensed classification, and are labelled as such. Country exposure uses each holding's listing country; a share of the weight that cannot be placed is reported as unknown rather than assigned.

Currencies

Position values, prices and earnings are converted with daily reference exchange rates. Portfolio history is reported in the investor's own reporting currency, euros or US dollars, chosen from their locale, never from a fund's domicile or quote currency.

What is not done

Nothing here forecasts returns or recommends a fund. The figures describe what a set of funds held on a stated date. Where the data cannot support a figure, the figure is withheld rather than estimated, and every withheld case is labelled.