ETF & Mutual Fund Luck vs Skill Analyzer

Compare a fund with an appropriate benchmark using paired total returns. Measure compound performance, volatility, excess-return dispersion, tracking error, t-statistic, p-value, information ratio, fees, and an educational Luck vs Skill Score.

1. Fund and benchmark setup

Fund name or ticker

Benchmark

Return frequency

Initial investment

Fund expense ratio (%)

Benchmark vehicle expense ratio (%)

2. Enter paired monthly returns

Month	Fund return (%)	Benchmark return (%)	Excess return
			—

Important: Excess returns and mean excess return can be negative. Standard deviation cannot be negative because it measures dispersion, not direction.

3. Paste returns

Information and interactive calculators are made available as educational and self-help tools for your independent use and are not intended to provide investment, tax, accounting, valuation, statistical, legal, or financial planning advice. Results depend on the accuracy of the data entered and the assumptions, benchmarks, valuation methods, and analytical models selected. All examples and outputs are hypothetical and for illustrative purposes only. Calculated performance measures, statistical analyses, and "Luck vs Skill" results do not establish manager skill, future performance, or investment merit. We cannot guarantee the accuracy or applicability of these results to your individual circumstances. Please consult qualified professionals before making financial or investment decisions.

ETF & Mutual Fund Glossary

Returns

Annualized Return

Compound average return expressed per year.

Cumulative Return

Total compounded return over the entered sequence.

Risk

Annualized Volatility

Sample standard deviation of periodic returns multiplied by the square root of periods per year.

Maximum Drawdown

Largest peak-to-trough decline in the compounded fund wealth path.

Benchmark

Excess Return

Fund return minus benchmark return for the same period. It can be positive or negative.

Standard Deviation of Excess Returns

Sample dispersion of periodic excess returns. It cannot be negative because it measures dispersion around the mean.

Tracking Error

Standard deviation of excess returns annualized using the selected frequency.

Information Ratio

Mean periodic excess return divided by the standard deviation of periodic excess returns.

Statistics

T-Statistic

Mean excess return divided by its estimated standard error: t = mean excess / (sample standard deviation / square root of n).

P-Value

Two-sided Student-t tail probability under the null hypothesis of zero mean excess return. It is not the probability that a manager lacks skill.

Luck vs Skill Score

For positive mean excess return, Score = 100 × (1 − two-sided p-value). Otherwise the score is zero. This is not a validated industry rating, proof of skill, forecast, or recommendation.

Costs

Expense Ratio

Annual operating expenses stated as a percentage of fund assets.

Data

NAV Return

Return based on a fund’s net asset value and distributions.

ETF Market-Price Return

Return based on exchange trading prices and distributions. It may differ from ETF NAV return.

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The data provided in charts referring to IFA Index Portfolios is hypothetical back-tested performance and is not actual client performance. Performance data for the IFA Index Portfolios is shown net of IFA's highest advisory fee and the underlying mutual fund expenses. IFA Indexes when shown individually do not reflect a deduction of advisory fees. None of the data reflects trading costs or taxes, which would have lowered performance by these costs. See more important disclosures at ifabt.com.

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ETF & Mutual Fund Luck vs Skill Analyzer

1. Fund and benchmark setup

2. Enter paired monthly returns

3. Paste returns