I would be interested in a science experiment. Are there any suggestions of funds that are similar to the 5 year CAGR 6.37% Sharpe 0.91 and Max Draw -17.43% (2/21--3/23/2020) of VWINX? I want to eliminate any fund with greater than -17.43% Max Drawdown. Key: the fund can be any asset class, any sector, any allocation etc. Any fund/ETF in the universe. (don't give me VWIAX). Two examples I have found is VSCGX and strangely VGCIX. Any suggestions?
Comments
VSCGX 3 year Sharpe ratio of 0.69% is barely ¾ that of VWINX. What does "similar" mean? VGCIX has only been around since mid-November, 2018. So with this fund you're comparing a Sharpe ratio over (at most) 20 months with VWINX's 36 month Sharpe ratio.
This "experiment" is fuzzy with some criteria and rigid with others ("I want to eliminate any fund with greater than -17.43% Max Drawdown"). This rigid requirement eliminates DHHIX, which has a max drawdown of -17.91% Other than that (and the same Sharpe ratio issue as with VSCGX), DHIIX looks like a good pick.
And Dennis' RCTIX. (See his profile.)
Don't forget PIMIX.
On the one hand, limiting your time frame to five years does add a bit of consistency to your criteria. On the other hand, as you observed, funds have different personalities. They should be stress tested more than once. We've had only one bear market since VWINX dropped nearly 22%; that was this past March.
https://www.nytimes.com/2020/03/11/business/bear-market-stocks-dow.html
https://www.cnbc.com/2020/02/27/heres-how-long-stock-market-corrections-last-and-how-bad-they-can-get.html
Any fund that lucked out in March could meet your criteria but still have a good chance of dropping 20%. Something else to consider is the possibility that a fund changed its strategy in the past 2-3 years.
If neither of these is of concern you, Skeet (at least I think it's Skeet) has owned a fund for many years that meets your criteria. I believe he's looking for a substitute because it's changed focus recently. Also, though it hasn't had any huge drawdowns since the 2007-2009 bear market, it did drop 47.6% between 5/18/08 and 3/9/09. The fund is CTFAX.
That huge drop was almost exactly the same drop as VPMAX (47.66%) had over the same dates. Yet, while VPMAX dropped 32.42% between 2/19 and 3/23 of this year, CTFAX fund dropped "just" 10.43% (almost 7% better than VWINX).
Here are three funds that actually meet your more stringent original requirements, but there is no way I would suggest any of these as something to use in lieu of VWINX:
GBLMX - max drawdown 11.83% (8/31/18 - 12/24/18); Sharpe 0.97
SVARX - max drawdown 3.25% (6/8/20 - 6/30/20); Sharpe 1.30
(its price didn't move between 3/13 and 3/24, which is suspicious)
SFHYX - max drawdown 17.34% (10/12/07 - 2/25/09); Sharpe 1.32
(this is the only one of the three that was around in 2009)
https://www.morningstar.com/funds/xnas/svarx/portfolio
https://www.morningstar.com/funds/xnas/sfhyx/portfolio
5* with huge fees
all righty then
(have not checked mfop)
Too bad, because 50% isn't enough protection in a stock crash
The fund’s experienced managers may selectively use leverage through the use of credit swaps and futures only when conditions are favorable. This may mean CEFs.
Basically, SVARX is a fund of other fixed income funds. Their risk/reward is very good.
I don't know their history, but they use a lot of securitized by investing...drumroll...in 2 funds with high risk + reward, IOFIX+BDKNX. If you trade them well, you do well.
Interesting managers BIO (link).
That's what I do manually
but its daily volatility is too high for my taste. Yesterday it was -0.6%. Last September it was down almost 2%.