New Decade Begins: MFO Ratings Updated – January 2020

All fund risk and return metrics, ratings, and analytics were uploaded yesterday morning to MFO Premium, reflecting performance through January 2020.

While the decade for equity funds began flat or mixed, bonds were up, especially long-term (e.g., TLT +7.0%). Dodge & Cox Income (DODIX), a long-time MFO Great Owl, returned 1.6% in Januray. It’s delivered nearly 10% this past year and regularly rewards with a 3% dividend.

The MultiSearch screener sports several new features, as described in this month’s commentary “Looking Under The Hood at Holdings.” Here’s a recap:

  • Holdings Info. Top-ten holdings for equities and fixed-income securities, countries, and main industry sectors … thanks to our expanded Lipper (now Refinitiv) Global Data Feed. You can now easily find which of the nearly 10,000 actively managed funds hold a large position in say Berkshire Hathaway.
     
  • Portfolio Info. Several new purchase and portfolio metrics, at the request of subscribers, including growth, capital gains, and quality. There are now more than two dozen such metrics, nearly all searchable.
     
  • Multi-Year Ratings. Users can now set rating thresholds across multiple years, making it convenient to apply the search criteria discussed in last month’s post: “MFO Premium’s Best Fund of the Decade.”
     
  • Ferguson Ratings. Brad Ferguson’s out-performance and consistency metrics now have ratings, making it easy to search for top-quintile performers. Combine these with other unique metrics, like rolling average and MFO (Martin) Rating, to establish compelling candidate lists across the risk spectrum for your clients.

As always, if you see anything amiss or have suggestions for improvement, let me know.

Please enjoy the latest data and site features.

MFO Premium Site Webinar – Wednesday, 15 January 2020

Thank you all for participating in yesterday’s webinar.

Here is link to chart deck.

Here is link to video recording.

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This coming Wednesday, January 15th, we will host a webinar discussing latest features of the MFO Premium search tool site. Topics covered will include the new home page and user portal, the MultiSearch Portfolios tool, updated metrics for risk adverse investors, expense rating, expanded category averages, revised “Include Averages and Benchmarks” options, and finally allocation indices across ten decades.

There will be two sessions, one at 11 am Pacific time (2pm Eastern) and one at 2pm Pacific time (5pm Eastern). The webinar will be enabled by Zoom. Please use the following links Continue reading “MFO Premium Site Webinar – Wednesday, 15 January 2020”

MFO Premium’s Best Funds of the Decade

Yesterday, all fund risk and return metrics, ratings, and analytics were uploaded to MFO Premium, reflecting performance through December 2019 … end of the decade.

The decade brought us:

  • Low Volatility. By several measures, it was the lowest in decades, as described in Historically Low Volatility. In 2017, there was a stretch of 12 consecutive months with no drawdown in the S&P 500. While there were a few “sightings,” there were no bear markets.
  • Low Interest Rates. The 3-month T-Bill, one measure of “risk-free” investment, returned just 0.6% annualized … the lowest level since the 1930’s and 1940’s.
  • Longer Bull. The current bull market, which started in March of 2009, is now 130 months old. It has returned 450%, or 17% annualized. For the decade, 13.5% annualized returns versus -0.9% in the previous, which included two bear markets each inflicting 50% drawdown.

To mark the decade’s end, we’re bringing attention to a short list of funds that delivered exceptional returns while protecting downside, which has been at the heart of MFO’s Rating System since 2013.

We’ll call them MFO Premium’s Best Funds of the Decade:

  • Alternative: Metropolitan West Strategic Income M (MWSTX) – Team Managed
  • Bond: PIMCO Income Inst (PIMIX) – Daniel Ivascyn
  • Global Equity: Steward Global Equity Income Inst (SGISX) – John Wolf
  • International Equity: Hennessy Japan Inst (HJPIX) – Masakazu Takeda
  • Mixed Asset: Vanguard Wellesley Income Inv (VWINX) – W. Michael Reckmeyer III
  • Municipal Bond: Wells Fargo CoreBuilder Shares – Series M (WFCMX) – Team Managed
  • U.S. Equity: Akre Focus Retail (AKREX) – Charles Akre Jr.

There are just seven; one for each of the major subtypes. Each delivered the highest risk adjusted return based on Martin in their categories. Each delivered top quintile absolute return and averaged top quintile absolute return across 85 rolling 3-year periods. Each bested the annualized return on the 10-year T-Bill at the start of the decade, which was 3.7%. Here are their risk and return metrics, sorted by MFO Risk (volatility) then annualized return:

If Morningstar still selects Manager of the Decade, I suspect Dan Ivascyn and Charles Akre will be among the top contenders.

Other thoughts on the decade: Vanguard dominated and PIMCO stumbled, ETFs exploded, robo-advisors emerged as did FinTweet, numerous money managers launched podcasts, and we almost had a fiduciary rule. Perhaps most significantly, there’s been a race to the bottom on industry fees.

At decade’s end, there remain more than 12,200 funds, including 2,100 ETFs. It’s a lot to choose from. The primary goal of the premium site is to help you filter down … enabling you to construct satisfactory investment portfolios, individually and for your clients.

On January 15, we’ll be conducting another webinar to highlight the site’s latest features.

Once again, Happy New Year!

Data Across Ten Decades

All fund risk and return metrics, ratings, and analytics have been uploaded to MFO Premium, reflecting performance through November 2019.

We went live the morning of 10 December, which is typically the longest it takes. The first Saturday of the month, when Lipper (Refinitiv) drops the monthly data, occurred on the 7th.

The year-end data and attendant ratings should post the weekend of 4 January. It will mark the 60th year of Refinitiv’s database. How many funds have been around at least 60 years? Just 65. That’s right. Best absolute performer? T Rowe Price Small-Cap Stock (OTCFX) at 12.6% … per year! Or, how to turn $1,000 into $1,200,000.

The more interesting news is what went live on 24 December, including:

  • Data Across Ten Decades. MultiSearch now incorporates the Goyal public database, which has been used in several pieces on historical equity and bond performance, including How Bad Can It Get? The database reflects monthly S&P500 equity, long US Treasuries, and risk-free measures back to January 1926, before the Great Depression.
  • Allocation Indices. Pre-set screens are now available for four different allocation indices, which produce risk and return metrics for equity/bond combinations in 10% increments: 1) S&P500 with US Aggregate Bond, 2) S&P500 with Long US Gov Bonds (back to 1926), 3) Global Equity with Global Bond, and finally 4) Global xUS Equity with Global xUS Bond.
  • Expanded Rolling Averages. How many 50-year rolling periods date back to 1926? Precisely 528. Depending on which 50-year interval you were invested in the S&P500 (as if you could choose this random period), you earned anywhere from 7.4% per year to 13.9% … a huge difference. It’s fascinating! Just scroll-across to the rolling averages section (or select the Group) on the MultiSearch results page.

Finally, yesterday we finished adding Transaction History to the user account page. Please give it a look when you get the chance and let me know if you see anything amiss … yes, a very kind subscriber recently pointed out we had over credited his account by 2 years … thank you! (Please note that the dollar amount tracked is the portion of your donation that was applied for access to the premium site.)

Please enjoy the latest data and site features.

And, Happy New Year to all!

Revised MultiSearch “Include” Options

Nearly all MFO fund ratings are relative to category peers. So, having an easy way to compare fund risk and return metrics against peer or category average performance is a helpful feature, which is precisely what the “Include Average” option enables in MultiSearch.

When MultiSearch users select “Include Averages,” along with say Dodge & Cox fund family, they will now get risk and return metrics on 12 results across the evaluation period selected: the six D&C funds and the six corresponding Category averages. Similarly, selecting “Include Benchmarks” will result in the so-called Lipper Global (LG) Benchmarks. Yes, selecting both will yield 18 results! These new options also work with Watchlists.

Here’s a simple example of “Include Averages” with two D&C funds (DODIX and DODGX), sorted by Category:


And here’s a simple example of “Include Benchmarks” with the same two D&C funds, sorted by LG Benchmark:


LG Benchmarks are assigned by Lipper to all 12,000 plus funds in the Lipper Global Data Feed and are always Lipper namesake, similar to Morningstar’s namesake benchmarks. There are 126 such LG Benchmarks versus the 175 Categories.

The MultiSearch results table includes two other benchmarks: a Peer Benchmark, also assigned by Lipper, and a Fund Manager’s Benchmark.

The Peer Benchmarks are somewhat broader than the LG Benchmarks numbering 107, but they are more commonly recognized indices by Russell, S&P, Bloomberg, MSCI, Dow Jones, etc.

The Fund Manager Benchmarks number over 1000 and are not always available to Lipper. Also, if a fund manager uses multiple benchmarks, Lipper provides only the primary, which can be awkward with say balanced funds.

While all three benchmarks are presented in the MultiSearch results table, the Analysis tool and the “Include Benchmarks” option currently use only the LG Benchmarks.

Certain firms will only consider funds that track to recognized benchmarks. So, it may be useful to expand the MultiSearch benchmark tools to reflect both the Peer Benchmark and Fund Manager Benchmark. Would welcome any feedback from users that find comparisons with such benchmarks useful.

PS. A David suggestion … JIC, here’s screenshot of MultiSearch page showing the “Include” options, under Basic Info, which you can expand and contract by clicking the down/up gray arrow next to Basic Info.

MFO Ratings Updated Through October 2019

All fund risk and return metrics, ratings, and analytics have been uploaded to MFO Premium, reflecting performance through October 2019.

We went live Tuesday night. Ratings were updated on 12,254 funds holding about $25 trillion in assets under management. Can you believe that?

In addition to the ratings, more updates worth mentioning:

  • Fund Fee Rating. MultiSearch now allows users to screen by expense ratio (ER) rating, which groups fund expense ratios by quintile for each category. Our data shows that if you’re holding a fund with an ER Rating of 5 (highest and worst), you’d better have a good reason why.
     
  • Category Averages. MultiSearch now provides averages of all metrics, as applicable, by category. Just set Asset Universe to “Averages” or select “Include Averages” in your screening criteria.
     
  • Subscription Price. We increased the price (donation level) of an annual subscription to MFO Premium from $100 to $120 for individuals. The increase covers corresponding price increases in our Lipper (now Refinitiv) datafeed and a new service sales tax being imposed on Lipper by Iowa, where our non-profit is based.
     

We’ve received considerable praise this past year (we share some in Premium Site Updates), so we trust you’ll find that the price remains a bargain. And thanks to your continued feedback and recommendations, the site has evolved considerably since its inception four years ago.

A couple quick but extraordinary observations in this month’s data:

  • Fund companies rarely have numerous funds on the Honor Roll, but none on the Three Alarm list. This month Vanguard, which seems to invariably accomplish this feat, has 25 funds on Honor Roll. Wasatch has 5. Neither have funds sounding the alarm. Both are Top Fund Families.
     
  • American Funds has 8 funds on the Three Alarm list and none on the Honor Roll.


As always, if you see anything amiss, let us know and we will respond soonest.

Please enjoy the latest data and site features.

MFO Ratings Updated Through September 2019, plus New Metrics for Risk-Averse Investors

All fund risk and return metrics, ratings, and analytics have been uploaded to MFO Premium, reflecting performance through September 2019.

We went live last Monday evening and today we added three new metrics (well, the first is newly revised) and attendant ratings to MultiSearch, which should be especially appealing to risk-averse investors:

  • Bear Market Deviation, which attempts to anticipate level of loss funds will experience during a market downturn based only on so-called “bear market months.” Morningstar defines a bear market month when the monthly market return drops below 3% for equity funds and below 1% for fixed income funds.
  • Down Market Deviation, a companion metric, which attempts to anticipate level of loss funds will experience based only on down or negative market months.
  • Three Alarm Risk, which is the metric used to compute the Three Alarm Risk Score. It attempts to anticipate level of loss funds will experience during a bad year … in a very direct way.

If you don’t like the Three Alarm Risk (TA Risk) number you see in the MultiSearch results table for a fund in your portfolio, then you may opt to adjust its allocation. For example, Dodge & Cox International Fund (DODFX) is the best performing international large-cap core fund since it launched over 18 years ago … it has a TA Risk this past year of -40.0 percent per year.

All are searchable via MultiSearch under Period Metrics & Ratings heading.

You can read more about these new metrics in A More Robust Down-side Market Metric and on the Definitions page.

As always, if you see anything amiss or have suggestions for improvement, let us know and we will respond soonest.

Please enjoy the latest data and site features.

MFO Ratings Updated Through August 2019

All fund risk and return metrics, ratings, and analytics have been uploaded to MFO Premium, reflecting performance through August 2019.

We went live Saturday evening. Lipper drops the full month-ending data about 5am Pacific the first Saturday following the last day of the month. It takes about 12 hours to prepare the data, crunch the ratings, and refresh our site.

Some brief background on Lipper Analytical Services, according to Wikipedia and NYT:

It was founded in 1973 by securities analyst A. Michael Lipper. (He publishes a weekly blog.) Reuters acquired the firm in 1998. Thomson and Reuters merged in 2008. Last year, Blackstone Group bought a 55% stake and Thomson Reuters was renamed Refinitiv.

Last month, the London Stock Exchange Group agreed to buy Refinitiv outright for $27B, a 35% increase over last year’s valuation.

A couple highlights in this month’s data:

  • Equity funds were generally off a few percent in August (SPY -1.6,QQQ -1.9, IWV -2.1, VEU -2.3, EEM -5.0) … SPY is up 18.2% YTD.
  • Bond funds enjoyed a great month (AGG +2.6, LQD +3.7, TLT +10.9) … TLT is up 23.3% YTD.
  • Morningstar’s new fund family is off to just a so-so start … from a performance perspective. (As an asset gatherer, it’s off to a great start … $2.4B!) Six of its nine funds launched nine months ago are trailing their peers, placing the fund family “Lower” on MFO’s Scorecard. Two funds, however, have strong performance out-of-the-gate: Global Income (MSTGX) and Total Return Bond (MSTRX).

We’ve added the long-awaited Portfolio Analysis tool, which enables users to determine risk and return metrics at rolled-up portfolio levels. We’ve also added Calendar Year and Fixed Period Return headers to the MultiSearch Results table and a blog post on the WisdomTree Fund Family.

As always, if you see anything amiss or have suggestions for improvement, let us know and we will respond soonest.

Please enjoy the latest data and site features.

Our New Portfolio Analysis Tool

Just after midnight Vancouver Island time, we went live with our Portfolio Analysis Tool, as described in this month’s commentary.

It brings together many features developed for other tools (like Watchlists and QuickSearch), but with one very unique difference … it computes in real-time the MFO risk and return metrics for the display/evaluation period specified.

In addition to computing those metrics for individual funds, it provides MFO risk and return metrics at the rolled-up portfolio level, based on the portfolio weightings (aka allocations) assigned by users.

Here’s link to the new tool, denoted on the navigator bar on top of each page: PORTFOLIOS.

To illustrate its utility beyond the couple examples presented in the commentary, we’ll run the example from the entry page …

MAPOX (Mairs & Power Balanced) 40%
IOFIX (AlphaCentric Income Opportunities I) 30%
DODIX (Dodge & Cox Income) 20%
ZEOIX (Zeo Short Duration Income I) 10%

Translated on the Portfolios input page:

MAPOX [40] IOFIX [30] DODIX [20] ZEOIX [10]

Then, press the Portfolio Name (or adjacent right arrow) and get the following:


At the rolled-up level, this portfolio rates an MFO Risk of 2, or “Conservative,” which means its volatility over the evaluation period is between 20 and 50% of the S&P 500 volatility.

The “evaluation period” defaults to the age of the youngest fund in the portfolio (similar to our Correlation tool). It can be changed (to periods shorter than the youngest fund) on the results page.

As mentioned in the commentary, we’ve launched a pretty basic version of this important tool and will be incorporating enhancements in weeks ahead.

WisdomTree Fund Family

WisdomTree launched in 2006. They now offer 78 ETFs with AUM totaling $39B. I first learned of them through Jeremy Schwartz, whom I met briefly thanks to Wesley Gray at one of AlphaArchitect’s Democratizing Quant conferences and again at #MFTF last year. Jeremy’s title is Executive Vice President, Global Head of Research. I’ve always found him thoughtful, down-to-earth and very approachable. He’s a Wharton grad, which is probably one reason the firm maintains a close relationship with famed Professor Jeremy Siegel.

The firm espouses a strategy called “Modern Alpha,” which combines “the outperformance potential of active management with all of the advantages of passive management to create ETFs designed to perform.”


Through July nearly 2/3rds of WisdomTree funds have beaten their peers since launch, by 1% annualized on average. As such, WidsomTree earns an “Upper” rating on MFO’s Fund Family Scorecard. It helps that its average ER is just 0.43% annual.

Its family of funds is outperforming numerous other fund families, including AllianceBernstein, BNY Mellon, Brighthouse, Deutchse, Eaton Vance, Federated, First Trust, Global X, Goldman Sachs, Ivy, Mainstay, NorthernTrust, Proshare, Prudential, SunAmerca, Van Eck, Voya, Wells Fargo, Aberdeen, AQR, Guggenheim, ProFunds, Putnam, Russell, and Transamerica.


Below are risk and return metrics on all its funds (3 months or older), since launch through July. You’ll find eight MFO Great Owls, meaning these funds have returned top quintile risk adjusted returns (based on Martin) the past 3, 5, and lifetime years (less than 10 in WisdomTree’s case). The list is sorted first by risk (volatility), lowest to highest, and then by annualized return versus peer, highest to lowest.

Some of its most popular funds by AUM are also the best performing, including WisdomTree US MidCap Dividend (DON), Europe Hedged Equity (HEDJ), US Quality Dividend Growth (DGRW), International SmallCap Dividend (DLS), US MidCap (EZM), International Equity (DWM), US SmallCap (EES), Europe SmallCap Dividend (DFE), and International Hedged Quality Dividend Growth (IHDG).