What is Percentile Rank?
Percentile Rank shows where a fund stands relative to all other funds in the comparison set for a given metric. A rank of 90 means the fund is better than 90% of the funds in the set. It converts every metric - regardless of unit or scale - into a simple 0-100 number that answers: "How does this fund compare to the others?"
How We Compute It
2. Assign each fund a rank from 0 (worst) to n-1 (best)
3. Percentile Rank = (rank / (n - 1)) × 100
The direction of sorting depends on the metric. For metrics where higher is better (CAGR, Sharpe, Alpha, etc.), the highest value gets rank n-1 (percentile 100). For metrics where lower is better (Max Drawdown, Downside Capture, Tracking Error, etc.), the lowest value gets rank n-1 (percentile 100).
The direction for each metric is defined in METRIC_DIRECTION, which is the single source of truth. This same configuration is used by both the "% Rank" toggle in the returns table and the Percentile Rank normalization in Dynamic Scoring.
Worked Example
5 funds, ranked by 3Y CAGR (higher is better):
| Fund | 3Y CAGR | Sorted Rank | Percentile Rank |
|---|---|---|---|
| Fund E | 8.2% | 0 (worst) | 0 / 4 × 100 = 0 |
| Fund C | 11.5% | 1 | 1 / 4 × 100 = 25 |
| Fund A | 14.1% | 2 | 2 / 4 × 100 = 50 |
| Fund D | 16.8% | 3 | 3 / 4 × 100 = 75 |
| Fund B | 19.3% | 4 (best) | 4 / 4 × 100 = 100 |
Fund B (19.3% CAGR) is at the 100th percentile - best in the set. Fund A (14.1%) is at the 50th percentile - right in the middle.
Direction Awareness
Not all metrics are "higher is better." The system automatically flips the ranking for metrics where lower values are better:
- Higher is better: CAGR, Sharpe, Sortino, Alpha, Calmar, Beat Rate, Upside Capture, Win Rate, Info Ratio, Treynor
- Lower is better: Max Drawdown (magnitude), Std Dev, Downside Capture, Tracking Error, VaR, CVaR, Ulcer Index, Excess Kurtosis
Direction flip - Max Drawdown
Fund A: Max DD = -8% (mild) → Percentile Rank = 100 (best)
Fund B: Max DD = -25% (severe) → Percentile Rank = 0 (worst)
Because lower drawdown is better, the fund with the smallest loss gets the highest percentile rank.
Color Coding
- 75-100 (green): Top quartile - fund excels at this metric relative to the set.
- 50-74 (blue): Above median - better than most funds in the set.
- 25-49 (amber): Below median - weaker than most funds in the set.
- 0-24 (red): Bottom quartile - fund lags at this metric relative to the set.
Important Notes
- Relative to the comparison set: Percentile rank depends entirely on which funds are selected. A fund at the 90th percentile among 5 large-caps might be at the 50th percentile if you add 5 more high-performing funds.
- Requires 2+ funds: With only 1 fund, there is nothing to rank against. The % Rank toggle is disabled when fewer than 2 funds are selected.
- Benchmark included: If a benchmark index is in the comparison set, it is ranked alongside the funds. This lets you see whether a fund is above or below the benchmark in percentile terms.
- Magnitude is lost: A fund with 20% CAGR and one with 19.5% CAGR may be at very different percentile ranks if they are adjacent in the sorted list. Percentile rank shows position, not distance. Use raw values alongside % Rank for the full picture.
- Ties: When two funds have identical metric values, they receive the same rank, which produces the same percentile.
Related metrics
More Tools methodology from the MFPRO analytics tool: