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I created a table of popular mutual funds ranked by something called a "Loss Ratio": the YTD Loss divided by the 10-year average annual gains. It's hardly a perfect approach, but it's a start on understanding the relationship between returns and risk for various mutual funds.
* I used the 5-year return for a few of the funds (if no 10-year returns available).
The list includes apples and oranges, but does tell us something about which funds have managed to generate good returns while protecting capital during a catastrophic market crash - and which have not. Not surprisingly, some very good funds and fund managers floated to the top part of the table.
Comments and examples:
- Since Real Estate funds already saw big declines in 2007, their YTD showing has little meaning.
- HSGFX comes out on top, however recent average gains have been on the low side.
- PRPFX is essentially a small portfolio with a large precious metals allocation. It's a controversial fund, but it has protected capital relatively well during the 2008 crash.
- OAKBX's 17% YTD loss is not too bad when we consider its 11% annual average gains;
- Heebner's CGM funds are near the top of the table. Yes, high historical returns and continued massive volatility. What a rollercoaster!
- Matthews Asia has demonstrated decent risk-adjusted returns with MACSX, as did FAIRX.
- SGENX gave back 25%, but has generated an average return of 14%;
- VTSMX's 38% YTD loss is extreme compared to an annual 3% return. This statistical snapshot is, of course, insufficient to draw conclusions on our selected managed vs index funds. Questions are raised, however, concerning the ability of any market-cap based index to provide acceptable risk-adjusted returns.
FWIW. Just food for thought. Apologies for any mistakes and omissions.
*** EDIT Sunday Morning *** Using "Since Inception" instead of "Five-Year" returns for FAIRX, TAVIX, and HSGFX, their "Loss Ratios" are significantly improved to 1.9, 3.0, and 0.4, respectively.
Please treat the rankings with healthy skepticism with regard to future performance.
I added a Bond Mutual Fund table below. Beware! Obviously Treasuries look great at present compared to any Bond Fund that holds commercial paper. The future is unknown.
Equity Mutual Funds
| Ticker |
Name |
M* Category |
YTD % Loss |
10-Year % Gain* |
Loss Ratio |
| |
|
|
|
|
|
| HSGFX |
Hussman Strategic Growth |
Long-Short |
4,3% |
3,7% |
1.2
|
| PRPFX |
Permanent Portfolio |
Allocation |
11,3% |
9,0% |
1,3 |
| CGMRX |
CGM Realty |
Real Estate |
28,0% |
22,0% |
1,3 |
| OAKBX |
Oakmark Equity & Income |
Allocation |
17,0% |
11,2% |
1,5 |
| VGSIX |
Vanguard REIT Index |
Real Estate |
19,7% |
12,2% |
1,6 |
| CGMFX |
CGM Focus |
Large Value |
42,8% |
26,0% |
1,6 |
| LETRX |
ING Russia |
Europe |
64,0% |
36,5% |
1,8 |
| SGENX |
First Eagle Global |
Global |
25,0% |
14,0% |
1,8 |
| MACSX |
Matthews Asia Growth & Income |
AxJ |
33,2% |
17,7% |
1,9 |
| FRESX |
Fidelity Real Estate |
Real Estate |
23,3% |
12,1% |
1,9 |
| FPACX |
FPA Crescent |
Allocation |
19,5% |
10,0% |
2,0 |
| USAGX |
USAA Precious Metals |
Precious Metals |
41,0% |
19,9% |
2,1 |
| MALOX |
Blackrock Global Allocation |
World Allocation |
24,8% |
11,3% |
2,2 |
| MDISX |
Mutual Discovery Z |
World Stock |
26,0% |
10,5% |
2,5 |
| MAPTX |
Matthews Pacific Tiger |
AxJ |
45,9% |
18,5% |
2,5 |
| WASCX |
Ivy Asset Strategy C |
World Allocation |
26,7% |
10,4% |
2,6 |
| PRLAX |
TRP Latin America |
Latin America |
55,7% |
21,2% |
2,6 |
| VGPMX |
Vanguard Precious Metals |
Precious Metals |
50,0% |
18,9% |
2,6 |
| VWINX |
Vanguard Wellesley |
Allocation |
15,0% |
5,6% |
2,7 |
| TAREX |
Third Avenue Real Estate |
Real Estate |
36,3% |
13,4% |
2,7 |
| TASCX |
Third Avenue Small Cap |
Small Cap |
31,2% |
11,5% |
2,7 |
| VGENX |
Vanguard Energy |
Natural Resources |
49,6% |
17,8% |
2,8 |
| LSOEX |
Lazard Emerging Markets |
Emerging Markets |
44,5% |
15,7% |
2,8 |
| PRWCX |
TRP Capital Appreciation |
Allocation |
28,0% |
9,5% |
2,9 |
| PRHSX |
TRP Health Care |
Health Care |
32,0% |
10,7% |
3,0 |
| FSEAX |
Fidelity SE Asia |
AxJ |
51,6% |
15,4% |
3,4 |
| VEIEX |
Vanguard Emerging Markets |
Emerging Markets |
52,0% |
14,5% |
3,6 |
| PRMSX |
TRP Emerging Markets |
Emerging Markets |
57,5% |
15,6% |
3,7 |
| NAESX |
Vanguard Small Cap Index |
Small Cap |
33,2% |
8,2% |
4,0 |
| HAINX |
Harbor International |
Foreign |
43,0% |
10,5% |
4,1 |
| VWELX |
Vanguard Wellington |
Allocation |
27,0% |
6,4% |
4,2 |
| FEMKX |
Fidelity Emerging Markets |
Emerging Markets |
58,4% |
13,8% |
4,2 |
| CAIBX |
American Capital Builder |
World Allocation |
32,0% |
7,5% |
4,3 |
| FBALX |
Fidelity Balanced |
Allocation |
31,5% |
6,6% |
4,8 |
| DODBX |
D&C Balanced |
Allocation |
36,0% |
7,5% |
4,8 |
| VHGEX |
Vanguard Global Equity |
Global |
46,7% |
9,7% |
4,8 |
| TAVFX |
Third Avenue Value |
World Stock |
46,4% |
9,3% |
5,0 |
| DODGX |
D&C Stock |
Large Value |
44,5% |
8,9% |
5,0 |
| RYVFX |
Royce Value |
Small Cap |
33,6% |
6,0% |
5,6 |
| TAVIX |
Third Avenue International |
Foreign Small/Mid |
36,0% |
5,7% |
6,3 |
| VGTSX |
Vanguard Total International |
Foreign |
45,7% |
6,2% |
7,4 |
| DODFX |
D&C Foreign |
Foreign |
46,0% |
5,3% |
8,7 |
| VTSMX |
Vanguard Total Stock Market |
Large Blend |
37,3% |
3,9% |
9,5 |
| VFINX |
Vanguard S&P Index |
Large Blend |
37,7% |
3,0% |
12,6 |
Bond Mutual Funds
| Ticker |
Name |
M* Category |
YTD % Loss |
10-Year % Gain |
Loss Ratio |
|
|
|
|
|
|
| VFITX |
Vanguard IT Treasuries |
|
-4,5% |
5,6% |
-0,8 |
| VUSTX |
Vanguard LT Treasuries |
|
-3,7% |
6,0% |
-0,6 |
| HSTRX |
Hussman Strategic Total Income |
|
-1,3% |
8,0% |
-0,2 |
| TPINX |
Templeton Global Bond |
|
-0,7% |
7,9% |
-0,1 |
| PTTRX |
PIMCO Total Return |
|
1,7% |
5,8% |
0,3 |
| VBMFX |
Vanguard Total Bond |
|
2,2% |
5,0% |
0,4 |
| HABDX |
Harbor Bond |
|
2,9% |
5,4% |
0,5 |
| PRRIX |
PIMCO Real Return |
|
6,4% |
7,4% |
0,9 |
| PGBIX |
PIMCO Global Bond (Hedged) |
|
5,7% |
4,9% |
1,2 |
| DODIX |
D&C Income |
|
6,8% |
4,9% |
1,4 |
| PIGLX |
PIMCO Global Bond (Unhedged) |
|
8,1% |
5,0% |
1,6 |
| LSBDX |
Loomis & Sayles Bond |
|
25,0% |
7,6% |
3,3 |
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