According to Fidelity, from Jan-Nov, 2017, the S&P 500 ranked in the 99th percentile for risk-adjusted returns.
Can someone explain this in more detail?
Are they saying that had you invested on Jan-Nov 17, compared to same timeframes in previous years and divided by the annualized volatility for the same period, your “return” would so high that it ranked better than 99% of previous years?
Thank you!
Fidelity said that? Finance, as far as I’m aware, is the only industry where being in the 99% is the worst. That should read (if it’s even accurate, which I don’t believe it is) “S&P 500 ranked in the 1st percentile.”
Oh, and no, your third paragraph is way off. They’re saying (again, without a source I’m very skeptical) that during that timeframe, the S&P performed better, per unit of risk, than 99% of other asset classes.
They probably just mean that SPX had the highest return over risk free rate, divided by volatility, among the assets they measured over that period. I don’t have any reason to doubt this, given that SPX returned over 25% in 2017 with something like 7% realized volatility. This completely dominated almost any other asset: international equities, bonds, alternative assets, etc.
Hehe. I will withhold comment, since you guys know what I would say…