Tuesday, August 08, 2006

Manager Alpha - Large Cap Value Funds

It is interesting to review the list of mutual funds that have provided the most and least alpha to investors over time (calculated over the longest period since fund inception or 20 years). For example, this list includes the 10 Large Cap Value funds that have provided the highest positive and negative percentage contributions to the asset weighted style and market benchmark alphas summarized in the August 2 post. These 20 funds provided over 50% of the asset weighted exposure for the 1047 LCV funds included in the study. Only 245 of the 1047 funds had a positive historical asset weighted market alpha. 802 funds had an asset weighted market alpha of Zero or below. The median asset weighted market alpha value was 0 (the largest 100 funds =81% of total value). The mean asset weighted market alpha was .10% indicating a skew to positive alpha.
Greatest LCV Asset Weighted Alpha Adding Funds

Fund NameStyle Alpha %Market Alpha %
Dodge & Cox Stock80.3%21.7%
American Funds ICA79.9%18.8%
Oakmark Select38.8%7.9%
Mutual Shares.57.16
T Rowe Price Equity Income13.2%6.4%
American Funds-Fund Inv27.4%5.51%
American Funds-Wash Mutual2.9%4.5%
Excelsior Value and Restruc26.1%4.15%
American Funds-Amer.Mutual3.1%4.02%
Oakmark I7.2% 3.23%

Greatest LCV Asset Weighted Alpha Detracting Funds
Fund NameStyle Alpha %Market Alpha %
Vanguard Windsor -18.9%-2.75
Fidelity Equity Income-27.7%-2.39
Pioneer Value-10.8%-1.75%
Vanguard Windsor Admin-11.9%-1.7%
SEI Inst Large Cap Value-8.5% -1.37%
Lord Abbett Affiliated-9.4%-1.14%
Van Kampen Comstock-9.6%-.96
Vanguard Value Index-3.7%-.95%
Putnam Fnd for G&I-8.6%-.8%
Consulting Group LCV-3.9%-.75%

(rank ordered by Market- positive and negative % sum to zero for the category)

Would be happy to post results from other fund categories if there is any interest.

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