Sharpe focus: Rating mutual funds by return per unit of risk

DEC 13, 1999
Global Equity 1 year 3 year Volatility Sharpe Assets Volatility TOP 10 % Chg Return Annualized Ratio ($m) Level Nicholas-Applegate Worldwide Growth I 73.74 35.56 18.45 1.64 149.8 5 Citizens Global Equity 61.19 32.12 17.16 1.56 133.7 5 Pilgrim America Worldwide Growth C 70.68 33.70 18.49 1.54 131.2 5 Janus Worldwide 53.34 29.18 15.93 1.50 24,068.7 5 Idex JCC Global Portfolio A 51.70 28.41 15.97 1.45 487.6 5 New Perspective 33.97 23.24 15.01 1.19 27,065.6 4 Putnam Global Growth A 48.40 25.50 17.57 1.15 4,258.7 5 Oppenheimer Global A 43.74 23.59 16.19 1.13 3,949.4 5 Putnam Global Equity B 45.46 24.27 16.80 1.13 492.2 5 Montgomery Global Opportunities R 45.72 25.35 20.02 1.00 63.2 6 BOTTOM 5 RS Contrarian A 21.47 -16.10 21.86 -0.98 112.9 6 Lord Abbett Global Equity A 6.56 7.02 16.00 0.11 58.4 5 PaineWebber Global Equity A 14.68 8.91 16.90 0.21 235.3 4 GAM Global A 5.30 10.76 19.69 0.28 63.1 5 Templeton Global Opportunities Trust A 16.63 10.19 16.48 0.30 659.8 4 Sector average 28.05 16.18 16.35 0.66 646.4 MSCI All Country World 22.88 17.33 17.70 0.68 RS Contrarian is proof that when you go against the grain you often don't make a lot of bread. The fund has the dullest Sharpe and the worst three-year return on the page. GLOBAL EMERGING MARKETS 1 year 3 year Volatility Sharpe Assets Volatility TOP 10 % Chg Return Annualized Ratio ($m) Level Oppenheimer Developing Markets A 49.79 13.42 26.81 0.30 43.2 8 Dreyfus Emerging Markets 56.49 9.11 28.30 0.13 133.1 8 Nicholas-Applegate Emerging Countries I 47.54 8.67 27.42 0.12 190.7 8 Pilgrim America Emerging Countries Q 45.68 8.06 27.29 0.10 79.4 8 Evergreen Emerging Markets Growth Y 30.69 6.44 21.37 0.05 52.2 6 Morgan Stanley Dean Witter Emerg Mkts A 60.81 6.47 28.67 0.04 1,017.4 9 Legg Mason Emerging Markets Prim 72.16 5.63 32.58 0.01 80.7 9 Van Kampen Emerging Markets A 61.55 5.58 29.79 0.01 60.3 9 Pioneer Emerging Markets A 57.00 5.52 29.92 0.01 92.3 9 AXP Emerging Markets A 48.89 4.35 29.94 -0.03 251.4 9 BOTTOM 5 Fidelity Emerging Market 42.50 -15.42 33.35 -0.62 402.8 9 Aim Developing Markets A 33.57 -5.82 28.43 -0.39 156.9 8 Montgomery Emerging Markets R 30.53 -5.91 30.47 -0.37 303.2 9 BlackRock Int'l Emerging Mkts Inst 40.37 -5.44 30.42 -0.35 70.7 9 Hansberger Emerging Markets 35.33 -5.80 31.80 -0.35 265.6 9 Sector average 42.55 0.55 29.30 0.58 96.5 IFCI Composite 45.14 -0.53 31.38 -0.19 Emerging, indeed. This resurgent category averages the lowest Sharpe ratio and three-year return on the page, but its one-year return is second-best. small-caps 1 year 3 year Volatility Sharpe Assets Volatility TOP 10 % Chg Return Annualized Ratio ($m) Level RS Diversified Growth A 126.13 46.36 26.66 1.54 193.4 8 RS Emerging Growth A 161.85 52.29 32.69 1.44 2,555.2 9 Oppenheimer Enterprise A 105.81 42.64 27.74 1.35 411.6 9 Value Line Special Situations 54.69 33.35 21.06 1.33 345.3 6 Berger New Generation Investor 142.72 46.90 31.43 1.32 378.6 9 Waddell & Reed Growth B 45.38 31.61 20.17 1.30 523.4 6 Janus Enterprise 109.88 37.42 24.74 1.30 2,315.5 7 Van Kampen Aggressive Growth A 123.27 43.25 30.03 1.26 511.3 9 Janus Venture 118.98 38.51 26.33 1.26 1,861.0 8 Morgan Stanley DW Small Co Growth A 74.60 31.05 20.83 1.24 44.9 6 BOTTOM 5 Dreyfus Aggressive Growth 35.86 -12.52 26.79 -0.67 31.8 8 Dreyfus Premier Aggressive Growth A 35.48 -9.61 26.86 -0.56 143.7 8 Hotchkis & Wiley Small Cap -14.95 0.56 23.60 -0.20 36.2 7 Smith Barney Contrarian B -7.12 1.61 18.67 -0.20 151.1 5 STI Sunbelt Equity Trust 1.20 0.72 23.99 -0.19 104.6 7 Sector average 46.34 16.76 24.30 0.47 385.4 S&P 600 Small Cap 10.50 9.21 21.06 0.19 RS funds were 1-2 in Sharpe ratio and Janus also had a couple of top 10 entries in this category, which has the best one-year average return on the page. mid-caps 1 year 3 year Volatility Sharpe Assets Volatility TOP 10 % Chg Return Annualized Ratio ($m) Level Turner Mid Cap Growth 106.90 46.47 24.93 1.65 195.2 7 Navellier Performance Mid Cap Growth 117.06 41.08 22.94 1.56 66.1 7 Golden Oak Growth Inst 43.83 33.14 18.96 1.47 54.1 5 Gabelli Value 33.13 30.27 17.39 1.44 1,127.5 5 Delaware Group Select Growth A 75.37 43.70 28.46 1.35 269.3 8 Vanguard Primecap 40.97 30.12 19.21 1.29 15,471.1 5 Growth Fund of America 41.80 28.70 18.29 1.28 22,457.8 5 Idex JCC Capital Appreciation A 108.06 36.50 24.63 1.27 74.4 7 Van Kampen Emerging Growth A 89.27 37.32 25.43 1.26 4,952.9 8 TCW Galileo Aggressive Growth Equity 117.52 46.72 33.64 1.23 168.1 9 BOTTOM 5 Merrill Lynch Growth B 15.78 0.19 20.76 -0.25 1,247.5 6 Strong Schafer Value -14.30 0.32 20.86 -0.24 652.3 6 Victory Special Value A 0.13 3.43 17.96 -0.10 232.3 5 Reich & Tang Equity -1.75 4.16 19.84 -0.06 36.6 5 Pioneer II A 3.74 4.62 19.70 -0.04 5,154.8 5 Sector average 32.66 18.05 20.85 0.61 657.9 S&P Midcap 21.36 19.52 22.14 0.64 As the Merrill and Gabelli entries here attest, the news hasn't been all good for growth and all bad for value. But Gabelli Value's return is flattened by funds with comparable Sharpes. large-caps 1 year 3 year Volatility Sharpe Assets Volatility TOP 10 % Chg Return Annualized Ratio ($m) Level Janus Olympus 97.17 47.26 23.96 1.75 3,879.3 7 PBHG Large Cap 20 83.48 49.78 26.21 1.70 496.5 8 Janus Twenty 64.26 44.77 23.59 1.67 28,821.6 7 Heritage Capital Appreciation Trust A 34.41 32.93 16.56 1.67 190.1 4 Alger Retirement Capital Appreciation 88.23 47.38 25.31 1.66 97.3 7 Rydex OTC Inv 88.96 53.28 29.57 1.62 1,782.6 9 MFS Strategic Growth A 36.54 37.91 20.47 1.59 583.7 6 IPS Millennium Fund 103.16 43.86 24.45 1.58 131.8 7 Janus Investment Fund: Mercury Fund 93.47 42.52 23.62 1.58 9,038.8 7 Osterweis Fund 57.24 31.72 16.93 1.56 34.3 5 BOTTOM 5 First Omaha Equity -9.62 4.86 14.71 -0.03 166.0 4 MAS Value Inst -4.77 4.80 17.91 -0.03 1,085.0 5 American Growth D 7.84 6.06 15.97 0.05 72.8 4 UAM DSI Disciplined Value Inst -10.21 6.38 17.38 0.06 38.7 5 Addison Capital Shares -4.68 6.63 16.33 0.08 49.7 4 Sector average 21.07 19.93 17.69 0.83 1,447.5 S&P 500 (Composite) 20.89 24.31 19.53 0.97 Olympus, one of three Janus top 10 entries, mounted the highest Sharpe on this page, and four other entries here had better ratios than any fund in any of the other five sectors. all-caps 1 year 3 year Volatility Sharpe Assets Volatility TOP 10 % Chg Return Annualized Ratio ($m) Level Fidelity New Millennium 81.31 37.13 27.98 1.14 2,551.6 8 Alger Capital Appreciation B 69.22 32.16 23.73 1.13 592.9 7 Hartford Capital Appreciation A 51.49 33.06 24.71 1.12 634.1 7 Style Select Aggressive Growth B 60.33 31.59 24.39 1.08 140.6 7 Salomon Brothers Capital O 26.63 23.04 17.21 1.03 197.7 5 Fidelity OTC 62.99 29.89 24.27 1.01 8,279.1 7 Strong Growth 59.62 27.04 22.01 0.99 2,367.0 6 US Global Accolade Bonnel Growth 63.87 26.22 22.82 0.92 134.1 7 Van Wagoner Emerging Growth 308.11 41.17 41.54 0.86 802.3 9 Aquinas Equity Growth 27.18 20.50 19.17 0.79 53.8 5 BOTTOM 5 Yacktman -19.36 -1.43 17.61 -0.38 123.9 5 Strong Discovery -1.81 2.32 19.29 -0.16 184.8 5 Sentry -2.71 9.43 17.32 0.24 96.3 5 Homestead Value -1.47 9.56 14.81 0.29 424.5 4 Style Select Value B 7.86 10.46 17.77 0.29 95.1 5 Sector average 30.69 17.85 18.90 0.66 811.2 Russell 3000 20.87 22.46 19.40 0.88 Van Wagoner Emerging Growth turned in the best one-year return on the page, while the embattled Yacktman Fund had the worst. Fidelity had two top 10 funds. [Gallery: ETF funds with highest sharpe ratio]

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