Capture ratio is a sort of "bang for your buck" summary. It's calculated by dividing a fund's downside capture (a fund that typically falls 1.1% when the market falls 1% has a downside capture of 1.10) by its upside capture (a fund that typically rises 1.1% when the market rises 1% has an upside capture of 1.10). Capture ratios greater than 1.0 reflect funds that produce more gains than losses; all other things being equal, high capture ratio funds are offering you the greatest reward for every unit of risk you've been subjected to.
Capture ratios even the playing field for cautious and aggressive investors. A cautious investor might look for fund with a downside capture of no more than .8. Given that constraint, anything above 1.0 is a winner! Aggressive investors might be willing to accept downside captures of 1.10 as long as they've been duly compensated. So, for them too, anything above 1.0 is a winner.
I screened to equity-oriented domestic funds, which included "flexible portfolios" and "aggressive allocation" funds but excluded global. For this first pass, I excluded closed funds, high-minimum ones and those with a downside capture greater 1.00.
Yacktman Focused (YAFFX)
Downside capture 0.7
Yacktman (YACKX, $100k minimum with no backdoors that I can find)
Downside capture 0.71
Reynolds Blue Chip (RBCGX)
Downside capture 0.80
The appeal of the Reynolds BCG fund is almost entirely driven by its performance during the 2007-09 crash. It appears to have been almost entirely in cash and simply sailed through it. $10,000 invested in RBCGX at the peak of the last market would be worth $36,000 today, the same investment in the S&P 500 index would be $26,000. Since then it's been entirely uninspiring.
Madison Dividend Income (BHBFX, $25,000 minimum, $500 for an IRA but $100 at Schwab)
Downside capture 0.66
Intrepid Endurance (ICMAX)
Downside capture 0.46
I hesitated to include ICMAX despite its long-term record. I love the absolute-value discipline and willingness to hold cash until the market offers rationally priced stocks. Cash is down to 42% of the portfolio now. That said, it's made about 1% a year over the past 3- and 5-year periods and has undergone three sets of manager turnovers: Cinnamond to Wiggins to the current team, with president Mark Travis in and out, in and out.
Monetta Core Growth (MYIFX)
Downside capture 0.89
Investors consciously looking to keep their downside capture as low as they can would start with the Yacktman and Madison funds but might add
First Trust Value Dividend ETF
Downside capture 0.72
Prospector Opportunity (POPFX)
Downside capture 0.75
The best fund that's fallen between those cracks is Parnassus Equity. It, along with the Yacktman funds, are the only fund in the lower downside capture group to exceed 10% annual returns over the full market cycle. It adds the attraction of a long-standing commitment to an ESG-screened portfolio.
Parnassus Core Equity (PRBLX)
Downside capture 0.79
David's disclosure: I'm playing with possible articles for February and March, with an eye to finding options for indolent investors (that is, those who might shift their portfolios once every year or two) and, possibly, newer investors who have the necessity of starting their portfolios in a market that might well slap them in the face soon.
Is this a useful focus? How might I improve it?
I did update the list following Stillers suggestion to add ticker symbols. At that point I also figured out that Virtus KAR Small-Cap Growth had closed and that I was having trouble finding a way about Yacktman's $100,000 minimum, so I added Intrepid and Monetta since they were the next funds on the list.