RATING RISK VS. RETURN IN STOCK FUNDS AGGRESSIVE GROWTH

THREE-YEAR ONE-YEAR

Return/ Total Return/ Total assets

TOP 10 unit of risk return unit of risk return in millions

Caldwell & Orkin Mkt Opportunity 2.75 25.44% 3.80 28.50% 141.1

Putnam Cap Appreciation A shares 2.59 31.34% 2.05 31.76% 1036.0

First Eagle of America 2.43 33.29% 1.85 33.32% 268.9

Merger 2.33 11.08% 2.33 11.89% 435.0

UAM FMA Small Company Inst’l 2.32 30.59% 2.56 39.97% 56.0

Third Avenue Value 2.04 25.46% 1.45 24.40% 1676.0

Star Growth Equity Fund Inv 1.95 27.03% 1.52 28.40% 105.2

T. Rowe Price Small Cap Stock 1.87 27.74% 1.86 32.20% 861.4

Strong Opportunity 1.79 24.96% 2.01 32.45% 1924.9

Principal Mid Cap A 1.75 27.25% 1.76 32.87% 351.4

BOTTOM 5

Steadman American Industry -0.39 -5.76% -0.36 -4.94% 0.8

Dreyfus Premier Aggressive Growth A -0.36 -2.84% -0.59 -11.30% 305.3

AmTrust Value Fund -0.31 -2.58% -0.65 -12.11% 0.6

Steadman Investment -0.19 1.04% 0.36 12.64% 1.6

American Heritage Fund -0.16 0.00% -0.07 2.53% 20.6

Sector average 1.15 23.16% 1.18 26.64%

Russell 2000 1.27 23.46% 1.48 29.95%

Comparing return with volatility using the Sharpe ratio, Caldwell & Orkin led in risk-adjusted return for both one- and three-year periods. Total return wasn’t as high as others’, however.

growth & income

THREE-YEAR ONE-YEAR

Return/ Total Return/ Total assets

TOP 10 unit of risk return unit of risk return in millions

Royce Total Return 3.19 24.74% 2.52 24.58% 120.6

Vontobel U.S. Value 3.14 29.91% 3.09 34.68% 201.3

Heartland Value Plus 2.81 29.88% 2.41 27.15% 336.3

Nationwide 2.78 33.19% 3.14 43.52% 1545.7

Firstar Growth & Income Return 2.75 31.75% 2.21 35.78% 140.6

Kemper Dreman High Return A 2.66 34.81% 1.71 30.06% 1499.0

Heritage Income Growth Trust A 2.65 25.59% 2.00 26.26% 67.5

Calamos Growth & Income A 2.52 26.53% 2.29 29.96%
10.4

Legg Mason Total Return Navigator 2.52 32.30% 1.94 33.35% 16.5

Evergreen Growth & Income A 2.50 27.99% 2.53 33.70% 222.4

BOTTOM 5

Smith Barney Principal Return 2000 0.55 11.34% 0.65 12.55% 55.9

New Century I 0.63 11.33% 0.34 9.40% 49.3

Phoenix Equity Opportunities A 0.66 17.68% 0.88 22.82% 182.0

Warburg Pincus Growth & Income Com 0.85 17.15% 1.90 32.30% 616.4

Dreyfus 0.89 16.66% 0.49 13.45% 2614.8

Sector average 2.10 26.21% 1.74 28.74%

Standard & Poor’s 500 2.22 31.89% 1.82 35.00%

Royce and Vontobel continue to duke it out for the top spots in this sector, with this round going to Royce. Both topped every other category in three-year return per unit of risk.

emerging market

THREE-YEAR ONE-YEAR

Return/ Total Return/ Total assets

TOP 10 unit of risk return unit of risk return in millions

Nicholas-Applegate Emerging Cos A 0.60 18.38% -0.15 0.59% 57.2

Pioneer Emerging Mkts A 0.54 15.75% -0.13 1.18% 90.5

Evergreen Emerging Mkts Growth A 0.48 13.55% -0.02 4.32% 3.5

Eaton Vance Emerging Mkts A 0.33 11.26% -0.61 -10.89% 5.0

Piper Emerging Mkts Growth A 0.28 11.86% -0.44 -9.14% 12.6

GT Global Developing Mkts A 0.25 9.40% -0.91 -17.17% 231.2

USAA Emerging Mkts 0.21 9.20% -0.62 -12.35% 305.9

Lazard Emerging Mkts Inst’l 0.16 8.06% -0.74 -16.75% 236.0

Sit Developing Mkts Growth 0.14 7.61% -0.48 -9.72% 12.9

Morgan Stanley Inst’l Emerging Mkts A 0.09 6.67% -0.49 -8.48% 1498.0

BOTTOM 5

Fidelity Emerging Mkts -0.54 -9.56% -1.45 -45.63% 446.5

GT Global Emerging Mkts A -0.45 -4.28% -1.09 -26.30% 107.1

BlackRock Int’l Emerging Mkt Inv A -0.28 -0.65% -1.12 -24.82% 3.4

Glenmede Emerging Mkts -0.27 -0.83% -0.93 -20.10% 85.8

Lexington WorldWide Emerging Mkts -0.27 -0.61% -0.96 -21.09% 138.0

Sector average -0.01 4.77% -0.74 -14.70%

Composite Investabl
e in $ -0.20 0.93% -0.95 -21.84%

Don’t ask, don’t tell could be the motto here. Only three funds managed to make it into the black over the last 12 months, and three-year returns were barely worth the risk.

growth

THREE-YEAR ONE-YEAR

Return/ Total Return/ Total assets

TOP 10 unit of risk return unit of risk return in millions

Torray 2.87 38.69% 2.30 41.30% 608.5

Pegasus Intrinsic Value A 2.79 24.48% 2.37 26.81% 82.8

Westwood Equity Retail 2.67 31.56% 1.70 27.92% 150.5

Oak Value 2.67 33.69% 2.48 43.17% 139.9

T. Rowe Price Value 2.66 31.16% 2.27 32.76% 546.4

Morgan Stanley Inst’l Equity Growth A 2.64 37.28% 1.84 36.65% 592.3

Hilliard-Lyons Growth 2.63 29.50% 2.85 40.58% 58.4

Legg Mason Value Trust Navig 2.59 43.80% 1.88 43.76% 132.9

Tweedy Browne American Value 2.56 32.10% 2.17 37.07% 721.3

MAP Equity 2.55 30.21% 2.81 34.21% 94.2

BOTTOM 5

Mathers -0.58 1.57% -0.96 -0.13% 138.4

Fontaine Capital Appreciation -0.32 -2.05% -2.24 -31.44% 3.0

Perkins Opportunity 0.06 6.51% -0.42 -6.60% 58.8

American Heritage Growth 0.17 8.36% -0.04 4.00% 1.3

Rockwood Fund 0.39 14.30% -0.11 2.12% 1.4

Sector average 1.77 26.17% 1.60 29.74%

S & P 500 composite 2.22 31.89% 1.82 35.00%

East or west, home is best, or at least very comfortable. Torray was tops here over three years in risk-rated return, but not over one. Legg Mason’s total return beat it both times.

global

THREE-YEAR ONE-YEAR

Return/ Total Return/ Total assets

TOP 10 unit of risk return unit of risk return in millions

Mutual Discovery I 2.65 24.97% 1.71 20.70% 697.7

GAM North America Fund A 2.02 29.92% 1.52 30.37% 11.0

Dreyfus Premier Worldwide Growth A 2.02 27.84% 1.50 29.26% 118.2

Janus Worldwide 2.01 28.32% 1.32 26.78% 10567.8

API Trust Capital Income 1.96 23.30% 1.37 24.39% 9.9

Idex Global Portfolio A
1.90 27.87% 1.29 26.44% 227.0

Capital World Growth & Income 1.90 22.65% 1.32 22.60% 7358.8

Morgan Stanley Inst’l Global Equity A 1.89 24.55% 1.87 29.76% 108.0

GT Global Growth & Income A 1.87 19.16% 1.92 25.05% 300.5

MFS World Total Return A 1.85 17.53% 1.50 18.78% 155.2

BOTTOM 5

Fontaine Global Growth -0.41 -5.41% -2.52 -47.40% 1.5

Robertson Stephens Contrarian A 0.01 5.09% -2.61 -32.68% 407.0

Merrill Lynch Global Small Cap A 0.18 7.06% -0.41 -2.14% 3.7

Standish International Equity 0.39 10.09% 0.48 13.69% 38.2

GT Global Natural Resources A 0.42 14.52% -0.17 -0.57% 51.6

Sector average 1.31 19.23% 0.89 18.65%

MSCI World 1.41 20.87% 1.25 24.59%

The last 12 months hammered this sector’s Sharpe ratios as if they were batting practice pitches, although returns were surprisingly respectable. No. 2 GAM had the best totals.

Small cap

THREE-YEAR ONE-YEAR

Return/ Total Return/ Total assets

TOP 10 unit of risk return unit of risk return in millions

Longleaf Partners Small Cap 2.97 27.63% 2.65 28.07% 915.0

Wachovia Special Values A 2.72 32.60% 1.92 28.24% 43.3

Evergreen Small Cap Equity Income A 2.51 26.02% 1.99 27.15% 27.6

State Street Research Aurora A 2.42 42.78% 2.42 47.67% 198.0

Fidelity Low-Priced Stock 2.36 27.27% 2.29 30.74% 10691.1

RIM Small-Mid Cap Portfolio 2.27 33.01% 1.98 36.10% 353.1

Dreyfus Growth & Value Small Co Value 2.25 32.85% 1.42 25.92% 402.3

T. Rowe Price Small Cap Value 2.24 26.63% 2.03 29.93% 2088.2

Keeley Small Cap Value 2.21 32.08% 2.31 43.33% 22.3

Pimco Small Cap Value A 2.15 28.92% 2.26 35.53% 32.0

BOTTOM 5

Frontier Equity -0.64 -19.06% -1.22 -42.48% 0.6

Govett Smaller Cos A 0.11 8.51% -0.07 2.49% 127.9

Excelsior Small Cap 0.30 11.47% 0.72 21.73% 65.4

American Century 20th Century Vista Inv 0.40 15.02% 0.10 7.50% 1669.5

Sm
ith Barney Special Equity A 0.41 14.87% 0.03 5.34% 181.8

Sector average 1.33 25.61% 1.37 30.48%

Wilshire Small Cap Growth 0.96 23.40% 1.29 32.00%

State Street Aurora blew everybody away in total return over both periods. Its Sharpe ratio held steady at 2.42 as well, making it fourth over three years and second over one.

Asset data as of Dec. 31; other data through Feb 28. Funds are ranked by three-year return per unit of ri