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VWINX

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

  • edited August 24
    DHHIX might be worth looking at. Its housed alongside VWINX in the Mixed 1 Pot in my portfolio.
  • You may able to find the potential candidates if you subscribe to MFO Premium since you are seeking the statistical data.
  • What's the point of the experiment? This mixes figures over spans of five years (annualized returns) and three years (Sharpe ratio); this mixes daily volatility (max drawdown day-to-day) with monthly volatility (Sharpe ratio based on monthly returns). Numerically one can do this; the question is why?

    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.
  • M* starts looking at DHHIX as of 12/4/14. MFO Premium starts its Life evaluation of DHHIX as of 01/16.
  • several popular balanced funds have started racheting up their price/book >4.00 with this bull market which makes a little nervous and throws me outside my risk tolerance. Even the higher octane PRWCX is sub 3. Not sure how this plays out. Thanks for suggestions!
  • The five year return of DHHIX is fine. It's the max drawdown that's the problem (barely).
  • edited August 24
    Yes. Rounding difference. That's why I said might.
  • msf, I posted on M* earlier today and threw out Sharpe in that post. OK good point, lets focus on CAGR and Max Draw. Do you have any suggestions? I got PBRNX as another suggestion I have not looked into yet. DHHIX is close enough to populate my watch list. Thank you for the suggestion. Funds have different personalities/cultures ranging from very high risk to low risk within a benchmark. You never know what you will find. Purpose of 5 year timeframe is a bull/bear stress test.
  • Yay, I like DHHIX too.

    And Dennis' RCTIX. (See his profile.)

    Don't forget PIMIX.
  • DHHIX was @davfor 's suggestion. It looks like you're restricting max drawdown to the past five years, else (I believe) VWINX's max drawdown would be -21.77%, between 10/29/07 and 3/9/09.

    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).
  • @Charles, I think you posted the wrong ticker. PIMIX is Pimco Income fund which is a bond fund. Pimco has quite a few asset allocation funds.
  • Yes, my plan was to take any candidates that pass this 5 year screen and then test them 2007-09 depending on fund inception date. Max Draw is personally my highest priority risk measurement metric (compared to CAGR). Therefore the fund will need to be in the ballpark with VWINX's 21% from the 3/09 low. If the VWINX equity Mgr ever decides to depart, VWINX will go thru a 3 year period of performance reevaluation for my money. I want other options. The fixed income mgr departed recently. VGCIX has my interest although young. VWINX has a wonderful record. Never understood why some other fund family did not attempt to clone it. A VYM/VCIT combo is as close as I have ever found but I do not want a two fund combo.
  • TAIFX is an option for taxable accounts. It’s more of a 50/50 rather 40/60 for stocks/bonds and holds more foreign securities than VWINX. It’s a tax managed fund, so all of its bonds are munis and it also holds a lot of dividend paying stocks. Although it hasn’t done as well as VWINX this year, it should do better when foreign stocks and munis outperform. Its after tax returns are probably as good or better than VWINX.
  • Thanks. Remember I am asking for any asset class not just balanced funds.
  • msf
    edited August 24
    Thanks. That makes a lot more sense now.

    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)

  • Funds like AONIX EXDAX VTINX VASIX have limited volatility but probably wouldn't provide the returns you need.
  • CTFAX looks good. Important to note new management since 5/2018. Performance since 5/2018 has been stellar. I am seeing an increase in 30/50 fund of funds in the last 5 years. 49% equity allocation.
  • edited October 26

    CTFAX looks good. Important to note new management since 5/2018. Performance since 5/2018 has been stellar. I am seeing an increase in 30/50 fund of funds in the last 5 years. 49% equity allocation.

    New management has done well but earlier this year they changed the fund’s asset allocation rules. Stock allocations can now never go below 50% whereas during its period of outperformance, it was allowed to hold a lower percentage of assets in stocks. Too early to tell what impact this will have on its long term performance going forward.
  • MrRuffles said:

    New management has done well but earlier this year they changed the fund’s asset allocation rules. Stock allocations can now never go below 50% whereas during its period of outperformance, it was allowed to hold a lower percentage of assets in stocks. Too early to tell what impact this will have on its long term performance going forward.
    Ruffles, can you please provide a link to 50% equity asset allocation permanent change? I cannot locate any link on their webpage.
  • Yep, they changed it to 50% and up, see (link) second page under asset allocation.
    Too bad, because 50% isn't enough protection in a stock crash
  • +1 fd1000 I sold all my shares of CTFAX after that change. The only reason I bought it was its ability to limit stock holdings at 10% during market tops. Now it's just another 50-70% allocation fund or tactical allocation fund !
  • Both of these funds are run by the same team, and seem to have done great. I note that the low vol fund (SVARX) holds AlphaCentric Income and Braddock Multi-Strategy Income Instl (35% weight combined), both funds were covid disasters. My guess is that mngt swooped in after they cratered. Anyway, I was impressed enough in SVARX to take a flyer. http://thespectrumfunds.com/LowVolatility.cshtml#close SFHYX is a separate fund group with a philanthropy angle, but its run by the spectrum team. We'll see.
  • edited October 27
    (link) The Fund was created to act as a solution for fixed income exposure in all market environments. It invests in an array of global fixed income sectors with ability to adjust sector allocations as necessary.
    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%.
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