03-18-2026, 08:43 PM
MFO's institutional ethos tends toward slow, steady capital accumulation across decades. We tend to shy away from lottery tickets, skyrockets and ... well, you know, Cathie Wood. So our flagship metric - the Great Owl designation - measures whether a fund (a) consistently (b) places in the top 20% of its peer group © based on a conservative risk-adjusted reward metric. Consistency - winning over the past 3 years and 5 years and 10 years - is an important signal of a manager's (or strategy's) risk consciousness.
Its predecessor metric originated at our predecessor site, FundAlarm.com, where Roy Weitz measured whether a fund beat its peers over the past 1, 3, and 5 year periods. That's simply total return, without reference to risk. If you were three-for-three, you made the Honor Roll. If you were oh-for-three, you were declared a Three Alarm fund (with a special subset of "Most Alarming Three Alarm Funds" that Roy rolled out to highlight especially egregious failures).
And alternate tool for measuring risk-adjusted return is a fund's capture ratio relative to some benchmark. If you capture 75% of your benchmark's upside but only 50% of its downside, you have a capture ratio of 1.5: for every unit of loss, you capture 1.5 units of gain. Since markets gain more frequently than they lose, that's a good thing.
As part of our Welcome to the New Board Week, we combined those three metrics to identify funds that were Great Owls (risk-adjusted excellence), Honor Roll members (pure performance) and Super Captors (a capture of 2.0 or greater against the S&P 500).
There are only seven, some reasonably surprising. Ranked from highest capture ratio over a five-year window:
iShares MSCI Peru and Global Exposure ETF - 2.6 capture, with a portfolio chunk full of Peru's 25 finest. (sigh)
Aegis Value Fund - 2.6, a small cap value fund that is betting the ranch on a "generational opportunity" in small Canadian energy sector firms, 27.7% APR. Use the MFO site search to find our interview with Scott Barbee, and the substantial number of data-driven articles that Aegis has appeared in. As I noted on the board earlier in March, I finally pulled the trigger and bought Aegis shares with the proceeds from selling Brown Advisory Sustainable Growth.
Western Asset Mortgage Opportunity - 2.4 capture, some of spurious because it's a mortgage fund, still has tripled the returns of its peer group with modest volatility
Vanguard Global Capital Cycles Fund - 2.3, global multicap value fund, 22.2% APR doubles its peers, targets opps created by "cycles of under- and overinvestment in capital-intensive industries. At least 25% of the fund will be invested in precious metals and mining securities. It also focuses on opportunities to invest in companies with scarce, high-quality infrastructure assets" per Vanguard.
Van Eck Uranium and Nuclear ETF - 2.3, 28.5% APR while the average energy alts fund returned ... uhh, 1%. Still wouldn't buy it, but them are the numbers.
Hussman Strategic Total Return - 2.2, 6.8% APR is about 2.5 times its "conservative allocation" peers. The fund is mostly investment grade bonds but can, at the manager's discretion, invest up to 30% in ... stuff: utility and other energy stocks, precious metals and mining stocks, REITs, ETFs and foreign sovereign debt. Dr. Hussman tends to be a polarizing figure, traditionally he likes to talk a lot and over long periods he talks hasn't been predictive of great performance. Over the longest term his fund has returned about 4% APR and modestly trailed its peers but over the past 3-, 5- and 10-year periods it has kicked relative butt.
Thornburg Investment Income Builder - 2.0, 16.9% versus about 11% for its global equity income peers, a $22 billion fund sporting a "global, diversified multi-asset portfolio of income-producing stocks and bonds," currently 85% equities with 20% US / 65% international.
Which isn't a "buy" list, much less a "buy now" list. It is just another way to seeking an answer to the question, "what works for me?"
David
Its predecessor metric originated at our predecessor site, FundAlarm.com, where Roy Weitz measured whether a fund beat its peers over the past 1, 3, and 5 year periods. That's simply total return, without reference to risk. If you were three-for-three, you made the Honor Roll. If you were oh-for-three, you were declared a Three Alarm fund (with a special subset of "Most Alarming Three Alarm Funds" that Roy rolled out to highlight especially egregious failures).
And alternate tool for measuring risk-adjusted return is a fund's capture ratio relative to some benchmark. If you capture 75% of your benchmark's upside but only 50% of its downside, you have a capture ratio of 1.5: for every unit of loss, you capture 1.5 units of gain. Since markets gain more frequently than they lose, that's a good thing.
As part of our Welcome to the New Board Week, we combined those three metrics to identify funds that were Great Owls (risk-adjusted excellence), Honor Roll members (pure performance) and Super Captors (a capture of 2.0 or greater against the S&P 500).
There are only seven, some reasonably surprising. Ranked from highest capture ratio over a five-year window:
iShares MSCI Peru and Global Exposure ETF - 2.6 capture, with a portfolio chunk full of Peru's 25 finest. (sigh)
Aegis Value Fund - 2.6, a small cap value fund that is betting the ranch on a "generational opportunity" in small Canadian energy sector firms, 27.7% APR. Use the MFO site search to find our interview with Scott Barbee, and the substantial number of data-driven articles that Aegis has appeared in. As I noted on the board earlier in March, I finally pulled the trigger and bought Aegis shares with the proceeds from selling Brown Advisory Sustainable Growth.
Western Asset Mortgage Opportunity - 2.4 capture, some of spurious because it's a mortgage fund, still has tripled the returns of its peer group with modest volatility
Vanguard Global Capital Cycles Fund - 2.3, global multicap value fund, 22.2% APR doubles its peers, targets opps created by "cycles of under- and overinvestment in capital-intensive industries. At least 25% of the fund will be invested in precious metals and mining securities. It also focuses on opportunities to invest in companies with scarce, high-quality infrastructure assets" per Vanguard.
Van Eck Uranium and Nuclear ETF - 2.3, 28.5% APR while the average energy alts fund returned ... uhh, 1%. Still wouldn't buy it, but them are the numbers.
Hussman Strategic Total Return - 2.2, 6.8% APR is about 2.5 times its "conservative allocation" peers. The fund is mostly investment grade bonds but can, at the manager's discretion, invest up to 30% in ... stuff: utility and other energy stocks, precious metals and mining stocks, REITs, ETFs and foreign sovereign debt. Dr. Hussman tends to be a polarizing figure, traditionally he likes to talk a lot and over long periods he talks hasn't been predictive of great performance. Over the longest term his fund has returned about 4% APR and modestly trailed its peers but over the past 3-, 5- and 10-year periods it has kicked relative butt.
Thornburg Investment Income Builder - 2.0, 16.9% versus about 11% for its global equity income peers, a $22 billion fund sporting a "global, diversified multi-asset portfolio of income-producing stocks and bonds," currently 85% equities with 20% US / 65% international.
Which isn't a "buy" list, much less a "buy now" list. It is just another way to seeking an answer to the question, "what works for me?"
David
