@PRESSmUP @catch22 - The M* sector table has blanks (well, dashes actually) in the fund's column. The other columns (category and benchmark) do have values.
It always pays to go back to the source:
http://www.doublelinefunds.com/shiller-enhanced-cape/statistics/ or
http://www.doublelinefunds.com/wp-content/uploads/shiller-enhanced-cape-fact-sheet.pdf
(aside from noise, 1/4 in each of Consumer Staples, Consumer Discretionary, Industrials, and Technology, as of end of January)
Barclays (CAPE ETN) is not as forthcoming. It lists only Consumer Staples, Industrials, and Technology (as comprising 75% of the fund). It forgets to list a fourth sector.
http://www.etnplus.com/US/7/en/details.app?instrumentId=174066
(click on Index Sector Weightings Tab)
It is curious that one of the supposed advantages of index funds is transparency, yet people are having difficulty finding out what sectors, let alone what securities, the fund holds.
Some of that is likely due to the fact that Doubleline gets equity exposure with derivatives, some of that is due to the index being proprietary, some of that is due to CAPE being an ETN that doesn't even hold anything (it's just a note that promises to pay according to the index performance).

@msf,
I believe the to NASDQ funds are considered low beta for their category (Large Growth). I am assuming S&P 500 is Large Blend. I like your suggestions with ER, I'll add that to my screening tasks.
Your link to the M*screener locked me out, try this one if you'd like to use the USAA M* Marketplace screener:
morningstar.USAAScreener

That's the same link (check the embedded URL). Oh well, works for me.
I think you're conflating two different concepts: comparison within category and comparison with a benchmark.
Unlike ER, beta does not exist in a vacuum. It is a measure of excess return (generally defined as return above 3 month Treasuries) relative to the market or relative to some other benchmark.
Once you have computed those betas for LCG, you can compare them to identify the low ones relative to the category.
I used M*'s premium screener to coax out the average beta for LCG. It's 1.03. The screener verified that the NASAQ index funds mentioned do have the high betas I described.
M*'s help for its screener describes beta here:
http://screen.morningstar.com/AdvFunds/data_definition.html?field=Beta+(3+Year)
I spot checked a bond fund in the final 18, and found the same problem with beta. For bonds, M* uses US Aggregate Bond Index as the benchmark. Relative to that benchmark, ACCHX came in with a 1.25 beta, vs. 1.14 category average for corporate bonds.
A good example of why beta may not be meaningful is FATRX. Since short term bond funds are bond funds, M* uses the same US Aggregate Bond index as a benchmark to compute beta. But these bonds on average have R^2 of 54, making the figures worthless. FATRX's beta is even less meaningful, with an R^2 of 46. With all that said, FATRX's (meaningless) beta of 0.49 is much higher than the category's average (and meaningless) beta of 0.29.
If the screener is looking at absolute betas (i.e. not relative to a fund's peers), then I could see it selecting FATRX. But if the screener is searching for funds with betas low relative to peers, then FATRX should not have popped out.
FWIW, when I use the USAA screener with just four criteria, I get 65 funds, including only one of the ones in your list:
- Open to new investors
- Available as USAA
- ER <= 0.9
- Beta = low
I get AB Corporate Income (ACISX), not AB High Income (AGDKX, AGDYX). But ACISX has an above average beta also. That suggests a flaky screener.
I do get Oppenheimer Rochester AMT Free NY Muni (ONYYX) which is in your list, but not any other Oppenheimer fund, not RMUYX and not ORNYX

@PopTart
You may choose to mix and match then, eh? As I noted, both funds are running similar returns to one another during the past 5 years or so. Of course, everyone must determine their own comfort level with any of this; and in particular, what percentage of a sector holding is of value to be meaningful to an overall portfolio. Our measure here has been that anything less than a 10% holding may not provide enough "bump". 'Course, the same thought applies to the downside, too.
Dollar cost averaging, which most encounter during a working career determines a method for attaining a percentage goal for any holding.
But, you're investing while young; and that is the overwhelming wonderful.
Take care,
Catch

This says it all...

Equity Funds w/ HC
POAGX - 29% HC
VHCOX - 29% HC
BCSIX - 27% HC (also 61% is in Tech)...both in the SC space.
PRNHX - 17% HC
SFGIX - 11% HC (5x higher than its category)
Allocation Funds w/ HC
PRWCX (68% Equity) - 22% in HC
VWINX (38% Equity) - 13% in HC
BRUFX (45% Equity) - 19% in HC
Equity Index Funds w/ HC
VFINX (S&P 500 index) - 13% HC
NASDX (Nasdqx 100 Index) - 11% HC

My 2 cents; I think if you play in and out of any sector, even HC, it is not worth guessing whether to or when to increase or decrease the overall percentage in your portfolio. Heck, that is what your fund manager is doing. Why second guess and counter his actions? Buying and holding a HC fund may be a different story since past results show HC funds have returned significantly more than say the S&P 500 over long periods of time. Of course, if you buy and hold a fund, that is your guess that sector will continue it's higher return over long periods versus the S&P 500. Now what percentage do you hold to make a meaningful contribution to the overall return? If you hold a HC fund at say 1% of your total portfolio and it's history suggests a 6% higher return, you have increased your overall return a whopping 0.06%. In a $100,000 portfolio you added $60 to the cause. Make the sector bet 10% and now maybe you are adding value to your overall return, though at increased volatility.
So @Art, to answer your question, I don't think a HC fund (or any sector fund) is needed and I think trying to time when to increase or decrease any sector could be a negative for returns. You certainly can make a case for buy and holding HC though. But significant increase to overall portfolio returns may end up being insignificant at best, depending on your percentage bet.
Which, to go off-tangent a little bit, is why the fund DSENX is so appealing to me. I like the funds method of investing in sectors with the most value at any specific time. Value investing just seems like a tried-and-true investment method to me. But I know I am not disciplined or knowledgeable enough to do it myself. Right now DSENX has about 11% in HC. Sounds good to me.

Hi @Art
I just posted this into PopTart's thread. It may provide a few more trinkets for thought.
http://www.mutualfundobserver.com/discuss/discussion/comment/86459/#Comment_86459
Take care,
Catch

Hi @PopTart
Hoping all is well at the A-squared household. Sure you're teaching the children well...as in, an equity is, a bond is......the markets fluctuate, but.........
Okay, I'll provide a few "are you sh*t'in me data points for broad healthcare.
>>>FSPHX and PRHSX from 1-4-99 thru 1-4-2008 (9 months before the full equity market melt)
---FSPHX return = 61% annualized with all distributions = 7.6%
---PRHSX return =161% annualized with all distributions = 20%
NOTE: from the end of December, 2007 thru March of 2008 healthcare had a hit of about -20% and then moved sideways until the full market melt in mid-Sept. of 2008
http://stockcharts.com/freecharts/perf.php?FSPHX,PRHSX&l=0&r=2262&O=111000
>>>FSPHX and PRHSX, 1-4-2008 thru 3-4-2009 (market melt equity bottom, eh?)
Both down about 40% during this time period. Healthcare was already moving to the downside long before the Sept. 2008 blowup.
>>>FSPHX and PRHSX from 3-9-2009 (end of equity market melt) thru 3-3-2017 (now)
---FSPHX return = +431% annualized with all distributions = 54%
---PRHSX return = +508% annualized with all distributions = 63.5%
http://stockcharts.com/freecharts/perf.php?FSPHX,PRHSX&n=2010&O=111000
>>>Last five years via M*, including the Ms. Clinton comments about taking healthcare/pharma "down". Click onto the 5 year to sort return list. Five year health category average = 17.6%
http://news.morningstar.com/fund-category-returns/health/$FOCA$SH.aspx
As to the future directions....well, forces are pushing from many directions and there will likely be the continued swings in this equity sector. As to the challenges for the political faces portion, is part of this "lobby" link. One might presume that the big monies will continue to "talk", eh?
https://www.opensecrets.org/lobby/top.php?indexType=i
Now on the personal and sometimes scary side for this house, is at this time 67% of all invested assets are in equity with 80% U.S. and the other 20% mostly in Europe. Direct healthcare invests are FSPHX, PRHSX (before closed to us) and FHLC (Fido etf). With the other mutual funds, etf's or index funds; a M* snapshot indicates that 41% of our equity is in U.S./global healthcare. The majority of the monies being in the direct investments. These holdings placed a damper on our 2016 returns, but has us at 6%k YTD, thanks to the recovery in this sector. Keeping the faith at this time for this sector. Active traders are having even more fun; but this house doesn't play in the short time areas very much anymore; but attempt to watch for signs of sector "sickness".
Lastly @PopTart , I do believe PRHSX is available to those within some retirement plans or direct investors with the company, but as you know, not via Fido. Also, the better of these two mutual funds was PRHSX. Within the past several years, even prior to the manager change at PRHSX, FSPHX was traveling a very similar path for returns. Your having direct access to FSPHX should more than cover this area. You may also choose to review some of Fido's other health/medical related select funds. And keep in mind that you likely already have a decent amount of healthcare inside of broad based mutual funds or indexes.
I've tried my best to recall and submit everything I thought about earlier today to reference your post. I'm going to take another check of links and data to help eliminate any mistakes. Questions?
Take care,
Catch

A quick check of my MF's in 3 accounts shows very little in health care stocks. Only 3 of the 15 funds have over 10% allocated to health care. How many of you have a dedicated Health fund and what are your thoughts on if it is really needed in a portfolio. I would be open to purchase of a HC fund but it would be tough to decide what to sell.

@ MFO Members: BenWP made an excellent point when he said, "For me, it's a hold-forever sector, so to the extent possible, I try not to let short-term political winds blow me off course." To prove the point about long-term, VGHCX has had an annual return since it's inception in 1984 of 16.63%, while PRHSX since 1995 has returned 14.55%
Regards,
Red

@msf,
I believe the to NASDQ funds are considered low beta for their category (Large Growth). I am assuming S&P 500 is Large Blend. I like your suggestions with ER, I'll add that to my screening tasks.
Your link to the M*screener locked me out, try this one if you'd like to use the USAA M* Marketplace screener:
morningstar.USAAScreener
@davidmoran,
List seems sort of like seeing a long forgotten "hot" old girlfriend at a class reunion...acknowledgement and regret at the same time. Never too late.

Some facts about teacher retirement plans in CT (each state has it own approach):
-CT teachers contribute to medicare, but not Social Security. CT teachers contribute to a State run retirement system in lieu of receiving SS.
-CT is attempting (a bill proposed by the governor to help balance the budget this year) to shift the shared retirement contributions from (State & the Teacher) to the towns (State, Municipality & the teacher).
-City/town teachers and their unions negotiate with local Administration (superintentent, HR, etc...and now TPAs...Third Party Administrators) usually not (the state, city, or local Board of Ed) when it comes to 403(b) plans.
-Individual teachers have to advocate for non-annuity products and attempt to implement 403(b)(7) plans themselves. Many roadblocks stand in the way of making these changes and options available.
-There was once an escape hatch (90-24 transfer) where an 403(b) annuity account could be surrendered and the account balance (after surrender fees) could be transferred to a company like Vanguard who provide 403(b)(7) options like Index funds. Curiously IRS law was changed to prohibit this. Here's a link to this topic from 2005 before the law changed:403bwise.com/index.php?showtopic=830
A little known option for individual teachers in CT is to utilize (by making voluntary contributions) to their voluntary account with CTRB (CT Teachers Retirement Board).
Link:ct.gov/trb/lib/trb/formsandpubs/VoluntaryBulletin.pdf
There are no expense ratio, no fees, and you receive a yearly return equal to the return of the state managed retirement fund. These contributions are after tax contributions that can later be applied to an extra annuity that the state offers at retirement or can be transferred (trustee to trustee) to any brokerage house at retirement.
Other state might have similar options.
Here's how the fund invests and its return:
ott.ct.gov/pensiondocs/fundperf/FundPerformance12312016.pdf
403bwise is a good resource for asking questions and seeking answers.
403bwise.com/

Anyone remember Potomac funds? They used to put out leveraged index funds with a multiplier of around 1.25 if I recall correctly. They made a big deal about how a higher multiplier just didn't pay off, between the risk, the cost of the leverage, etc.
They found that people wanted more sizzle. So they rebranded themselves as DireXion, went to 2.5x, and later upped that to 3x.
This just looks like the next level.

That's a neat back door to an advanced M* screener.
https://awrd.morningstar.com/SB/USAASB/USAAScreener.asp
There are actually 27,375 share classes. The 15,616 that you started with are the result of the default settings on the screener restricting results to funds that are both open and available via USAA. (Note also that many funds are counted multiple times, since they have multiple share classes.)
Curiously, M*'s premium screener has only 26425 share classes in all. I was trying to figure out how the screener defines "high" for Sharpe ratio and alpha. I'm still not sure.
A few suggestions on your screen:
- Try setting ER limit differently for different classes of funds. IMHO an ER of 0.9% is respectable for a broad domestic equity fund, a bit tight on foreign funds, and ridiculously high for a bond fund.
- brokers often have different mins than the "official" min, so often I don't screen on mins, and then check around if I find a fund of interest. The USAA-customized screener might already adjust for funds through USAA, I haven't checked.
I'm willing to let more pass through a screener and then do some legwork than be too aggressive in screening out potential candidates.
Given that the past five years the market has only gone up, screening for low beta and top quartile performance may be too aggressive. Almost by definition in a market going straight up, the best performers will be the ones with higher beta (since they'll tend to do x times as well as the market, where x is the beta).
In this kind of market, lots of good funds will be eliminated because they're not both consistent top performers and low beta. More than likely the funds that pass these two screens will have a moderately low R^2, meaning that the beta is relatively useless.
NASDAQ funds have high betas, so I'm not sure how you coaxed them through the screener. USNQX has a beta of 1.19 (vs. S&P 500), and NASDX has a beta of 1.18.

I try to sometimes search for mutual fund choices using statistical measures. The following article attempts to describe these statistical measures.

All of the key statistics and quantitative measures have already been calculated. So to find and buy the best mutual funds, the primary knowledge or skill you need is to understand how to use these measures and where to find them.
Statistical analysis of mutual funds is just what it sounds like--a means of studying the quantitative aspects of a fund to help the investor gain an understanding of past performance for a clue about future results.
Yes, there is no "guarantee" of future results but investing is not about guarantees--it's about taking calculated risk.

how-to-use-statistical-analysis-with-mutual-funds
Using the USAA FundMarketplace (15,616 funds) I screened for,
High Sharpe Ratio, ER <.9 %, Initial investment<$10K, No Load, and (YTD, 1yr, 3 yr, 5yr) in top quantile (25%) of category:
120 Funds made this list here are the top 20:
<a href="https://content.screencast.com/users/smhag/folders/Jing/media/c6bb8c4f-84c8-4da8-aed5-3d6c2154d87b/2017-03-04_2007.png">
Adding High Alpha and High Sharpe Ratio
60 Funds made this list, here are the top 20:

Adding Low Beta as an additional screen
18 Funds remain:

Listed as Funds:
USNQX
NASDX
PRGSX
DODBX
DODWX
ORNYX
PIYFX
RMUYX
ONYYX
LSIOX
AGDYX
AGDKX
ACCHX
PIFIX
WACIX
DFCSX
FATRX
VWIGX

@ willmatt72 - Thanks for letting me know about VHT, I'll take a look at it!
@ PRESSmUP - Looking at the chart for FSPHX, this fund tanked in the latter quarter of 2015 after Hillary's tweet. Looks like this fund churned for much of 2016, with a rise and fall during 2016. 2017 seems to have seen a rebound, at least thus far.
I went back 10 pages of MFO (early Jan) and couldn't find a thread about health care funds, thus a lack of interest in what seems to have been a beaten down sector. This year FSPHX (and other health care funds) are seeing an uptick, yet still below their 2015 highs. This is what sparked my interest in this sector.

I've noticed that this sector hasn't been discussed on this board for several months due to Hillary's 2015 tweet and continued possible government intervention in this sector. I've also noticed that Health Care funds have received "a shot in the arm" recently i.e. their performance has been good.

That's interesting.
Just curious...why do you think that HC funds dipped last year, and then rebounded just recently?

Hi PopTart!
You are so right. I need to stop longnecking and start proofreading more. With FBIOX you are also right. I can't take the pain so now I stay away. FSPHX is also at a 52-week high right now.....just saying.....I guess most things are. I'm going to ramble now about something said long ago by a human resources person that I went to school with. He said the company would give you a set amount of $$ and you put it into what you want or what matters the most to you. Like healthcare.....a good plan or eye care or dental or life insurance or the 401......whatever you wanted most. It never happened but what a novel idea. You could build your own benefit plan to your needs.
God bless
the Pudd

@MFO Members: " Why Leveraged ETFs Are Not a Long-Term Bet"
Regards,
Ted
http://www.investopedia.com/articles/financial-advisors/082515/why-leveraged-etfs-are-not-longterm-bet.asp

Heigh ho!
You might want to read the accompanying white paper. Remember, my original point was just that Polen thinks interesting thoughts. I don't know of anyone else who has tried anything comparable. I think Polen's argument is that the scatter demonstrates three things:
concentrated, on average and over time, generates better returns than broadly diversified. I'm guessing that's because disastrous performers are rare, disastrous and more likely to be included as the number of holdings in your portfolio expands.
all cap, on average and over time, generates better returns than large cap. That is, since very large companies are rarer than mid- and small-sized ones, these random portfolios are likely to have lower market caps than the S&P 500.
Polen, on average and over time, demonstrates some skill. That is, they're a bit northwest of the center of the random cluster. Not dramatically (look at where the values on the axes start), but a bit.
And yes, the implication is that a concentrated international portfolio run under Polen's guidelines would, on average and over time, outperform its peers. I haven't spoken with the Polen folks (I reached out and they did not respond) so this all falls into the category "interesting possibilities."
David