Ups and downs: volatility, biggest fall, Sharpe and Sortino
These measures describe how much a fund’s price has jumped around in the past. They need a long price record, so we show them only for funds whose closes we have recorded over the whole period.
The formula
volatility = st.dev(weekly returns) × √52 · Sharpe = mean ÷ st.dev × √52 · max drawdown = lowest (price ÷ previous peak − 1)
Sortino replaces the standard deviation with the downside deviation — the root mean square of the negative period returns only. The risk-free rate is taken as zero.
Worked example
Weekly returns with a standard deviation of 2% give an annual volatility of 2% × √52 ≈ 14%.
How it is done
- Windows are chosen by calendar date (the last 1, 3 or 5 years), and the price record must reach back to within about six weeks of the window’s start.
- Every record is first reduced to one close a week (the last close of each week), so older weekly history and newer daily closes are measured the same way. Figures are annualised with 52 weeks a year.
- A price that jumps more than threefold in one step is treated as a change of unit (pence read as pounds, say) and only the record after it is used.
- A single close more than 15% away from both neighbours, while the neighbours agree, is treated as a data error and left out. Leveraged products are exempt, because their prices genuinely do this.
Limits to know about
- Past ups and downs do not tell you what future ones will be.
- Sharpe here uses a zero risk-free rate, so it is higher than a version measured against cash (SONIA) would be.
- Measures from price records leave out income paid out by distributing funds.
- Weekly closes miss moves that reverse within a week, so the biggest fall can read slightly smaller than on daily data.
Sources: Fundology daily and weekly closes (TradingView, Yahoo Finance history, Vanguard)
Last reviewed 22/09/2026