28
FUND SELECTOR US EQUITIES
Top ranked funds Three-year performance
Top 3-year performers vs index
%
80
60
40
20
0
FUND SELECTOR’S CHOICE
William Buckhurst, fund of funds manager,
Cheviot Asset Management
ABN Amro comes out on top with an impressive 80.68% return over three years,
compared with 14.73% from the S&P 500 Index. Much of this outperformance has
been over the past year, which has effectively been a bear market for US stocks.
How has the team at ABN Amro achieved this? Through an active approach
to asset allocation – and clearly a well-timed move out of equities into government
bonds (treasury stocks make up four out of the top ten holdings), has added real
value. This raises questions over whether it is a fair comparison to include the fund alongside other
pure equity funds (research at Cheviot shows the parameters of the ABN Amro fund allow up to 40% in
bonds and other short-term transferable debt securities). But this should not detract from the fact that the
manager, Francois Mouté, has also made some excellent stock picking decisions: a large part of the fund
is on gold stocks and he still remains negative on financials.
Top 10 funds by 3-year performance
20 Jun ’05 – 23 Jun ’08. Bid to bid, $, gross income, no cap. Source: Morningstar
M’star North America eq sector avg
-20
Jun ’05 Dec Jun ’06 Dec Jun ’07 Dec Jun ’08
20 Jun ’05 – 23 Jun ’08. Bid to bid, $, gross reinvested
Source: Morningstar
Ofi Single Sel Driehaus US Eq I
ABN Amro US
Opportunities A €
VAM US
Mid Cap B
The top performers over
three years have a wide
divergence in returns, with
the leading ABN Amro US
Opportunities Fund generating
nearly double that of
the ninth and tenth ranked
portfolios.
That said, all these funds
appear to be adding value
for investors. They have all
significantly outperformed
the benchmark, the S&P
500, in a sector where
the average fund, based on
the mean score, has failed
to do so.
S&P 500
The ABN fund is managed
by Francois Mouté, of
Neuflize Gestion, ABN’s
absolute return specialist
arm. Mouté runs the portfolio
using a top-down
sector allocation approach
based on analysis of macroeconomic
data.
The absolute return
nature of the fund means
that up to 40% of its assets
can be held in cash or
bonds, although the
weighting in mid-July to
fixed income was 13.4%
and to cash 4.1%.
3-year 3-year 3-year 3-year 3-year 3-year M’star Fund Dom
% chg Alpha Beta R² Sharpe volatility Ratings size ($m)
ABN Amro US Opportunities A $ 80.68 1.42 0.48 0.12 0.35 3.61 ����� 419.05 Lux’bourg
Ofi Single Select Driehaus US Equity I $ 71.81 0.7 1.56 0.46 0.19 5.9 ����� 43.9 Lux’bourg
VAM US Mid Cap B 62.84 0.59 1.58 0.54 0.19 5.51 ����� 16.99 Lux’bourg
Janus US Twenty A $ 55.99 0.8 1.03 0.62 0.3 3.37 ����� 777.92 Ireland
Janus Select Twenty Fund A $ 54.82 0.77 1.03 0.62 0.29 3.39 ����� 18.42 Ireland
VAM US Large Cap B 52.42 0.58 1.26 0.58 0.21 4.25 – 3.35 Lux’bourg
ML North America Mid Cap Growth Port II A 45.96 0.42 1.26 0.6 0.18 4.18 ���� N/S Ireland
Vitruvius US Equity Eur 45.07 0.54 1 0.61 0.22 3.3 ����� 62.2 Lux’bourg
Ashburton Americas Equity PC$ 41.85 0.35 1.17 0.52 0.15 4.18 ���� 35.56 Jersey
Alger American Asset Growth A 41.17 0.46 1.16 0.65 0.2 3.71 ���� 408.81 Lux’bourg
Top 10 funds – risk and return
100
60
40
Return (%) 80
20
0
Sector avg
3
4
5 6
Standard deviation
20 Jun ’05 – 23 Jun ’08. Bid to bid, $, gross income, no cap
Source: Morningstar
Janus US
Twenty A $
Vitruvius US
Equity Eur
INTERNATIONAL ADVISER [www.international-adviser.com] AUGUST 2008
ABN Amro US Opportunities A $
Janus Sel
Twenty
Fund A $
Alger American
Asset Growth A
The fund is classed as
aggressive by ABN, rating
a six out of a maximum
seven on its own risk profiling
system. Mouté is
known to be a manager
who builds portfolios that
differ significantly from
the index.
R² – the measure of how
closely a portfolio’s returns
correlate to an index, with
zero meaning no correlation
and one perfect correlation
– of 0.12 shows there
is little crossover with the
S&P 500.
It also has the best alpha
of the group at 1.42, while
its beta of 0.48 further
reflects a lack of correlation
to the market, and a
Sharpe ratio of 0.35 reveals
the manager is getting the
best return of this peer
group for the amount of
risk taken.
l Star performers
VAM has two funds in the
table, both outsourced to
VAM US Large Cap B
Ashburton
Americas
Equity PC$
Ofi Single Sel
Driehaus US Eq I$
ML North America
Mid Cap Gwth
Port II A
VAM US Mid Cap B
Chicago-based Driehaus
Capital Management, which
also runs the secondranked
Ofivalmo fund.
Both VAM portfolios are
managed by Dan Wasiolek
and performance is generated
by stock selection.
In the past year in the
US, large cap growth stocks
have been some of the
best performers, which
explains why the VAM Mid
Cap Fund – although
ranked third overall – lost
ground to some of the
funds with a large cap bias
in the last discrete year.
It may also be why it
has the second highest volatility
of the group, at
5.51%, behind only that of
the Ofivalmo Driehaus
fund. The mid-cap fund is
overweight energy and
underweight IT.
The Janus US Twenty
Fund is run with a concentrated
portfolio of 20 to 40
stocks by Ron Sachs, who
took on its management
in January this year from
Scott Schoelzel, who has
left Janus.
The fund, which has a
large- and mid-cap bias,
can invest up to 30% of the
assets outside the US and
is managed with a bottomup
process.
The data shows it had a
relatively poor year in 2005-
06 but was strong in 2006-
07 and the following year.
Its Sharpe ratio of 0.3 is the
second best of the sector.
l Change in fortunes
The Vitruvius fund is
another large and mid cap
biased portfolio, which is
outsourced to Belgrave
Capital Management in
London. It was among the
worst performers in this
group in the past discrete
year, delivering less than
2%, but was by a whisker
the best performer in the
previous year.
According to Vitruvius,
the fund is defensively
positioned, with limited
exposure to financials and
to consumer discretionary
spending.
To view a Ceros magazine you need to have JavaScript enabled in your browser and have the flash player 8 or higher installed. To install the latest flash player, click the icon above, install the flash plugin and then click here to refresh this page.