They Shoot, They SCR
by Craig L. Israelsen and John Sturiale
Reprinted from Financial Planning Magazine, November, 2002
n the July, 2002
issue of Financial Planning the
Sturiale Consistency Ratio was revisited.
The article generated a sizable amount of reader response suggesting
that a follow-up study would be helpful.
This examination of the SCR expands on the July study in three important
ways:
1)
the impact of
loads (front-end and deferred) is considered;
2)
tax-efficiency
is taken into account;
3)
the number of
benchmark indicies has been expanded to include growth and value benchmarks
within the three cap categories.
Created by John
Sturiale, CFP and Director of Investors Services Group at Charles Schwab, the
SCR is an evaluative measure which is ideally suited for the analysis of equity
mutual funds. The SCR seeks to identify
funds which have historically provided superior performance relative to their
most appropriate benchmark index.
The algorithm for
the SCR is shown below:
Number of years exceeding the benchmark Cumulative performance of fund
( ------------------------------------------------------------- +
-------------------------------------------------------- ) - 1
Number of years analyzed Cumulative performance of
benchmark
To illustrate the
mechanics of the SCR, consider the following data:
Fund A Benchmark
for Fund A
(e.g. Wilshire Large Growth)
---------- ----------------------------------------
Year 1 4.7%
6.2%
Year 2 -6.6% -8.1%
Year 3 12.9% 11.1%
2 1.047
x .934 x
1.129
(
----- + ------------------------------------- ) - 1 = .685
3 1.062
x .919 x
1.111
Thus,
over this three year period, Fund A had a SCR of .685. The higher the SCR the better. This fund’s SCR would then be compared to SCRs of comparable funds (i.e. same cap and style category) over the same time frame. Funds with the highest SCR’s are judged to be superior, at least in terms of what the SCR is measuring.
The SCR assesses two
important elements of fund performance.
First, it measures the frequency of a fund’s ability to exceed the
return of its benchmark index. This
first measure is one of performance consistency. Secondly, the SCR measures the raw
cumulative performance of a fund relative to its benchmark. This second measure is one of performance magnitude. Used in tandem, these two measures reward
funds that consistently provide benchmark beating performance. Like it or not, beating a specified
benchmark has been touted by many fund managers as their mission in life.
The domestic equity
funds included in this study had at least 10 years of performance data as of
December 31, 2001. Additionally, only
the largest portfolio of multiple share-class funds was included. Funds categorized by Morningstar in the
“Blend” style category were omitted, as were funds in Specialty categories
(i.e. Financial, Precious Metals, Natural Resources, Technology, Utilities,
Health, Real Estate, Communication).
Also excluded were domestic equity funds categorized as hybrid and
convertibles. Finally, funds closed to
new investments, classified as institutional, or which had “qualified access”
were also excluded. Thus, the funds
analyzed in this study were large cap growth, large cap value, mid cap growth,
mid cap value, small cap growth, and small cap value. Six different Wilshire
benchmark indicies were used in this study (Large Growth, Large Value, Mid
Growth, Mid Value, Small Growth, Small Value).
We now turn our
attention to Figures 1-6. Figure 1
lists the 25 large cap growth funds with the highest SCRs (arranged in
descending order by the Tax-Adjusted, Load-Adjusted SCR). There were 91 large cap growth funds in the
analysis. The load-adjustment was
calculated by multiplying the raw SCR by the load adjustment coefficient. The load adjustment coefficient was
calculated by dividing the 10 year load-adjusted return by the 10 year raw
return (using Morningstar data). For
example, Guardian Park Avenue A (half way down the list in Figure 1) had a
reported 10 year load-adjusted return of 12.13% and a 10 year raw return of
12.65%. Therefore, the load-adjustment
coefficient was:
.1213
-------- =
.9589
.1265
The Raw 10 year SCR
for Guardian Park Avenue A was .80 and a load-adjusted SCR of .77 (or .80 x
.9589 = .7671).
Next, the
load-adjusted SCR was adjusted by the 10 year tax-efficiency coefficient
calculated by Morningstar. Guardian
Park Avenue A had a tax-efficiency coefficient of 82.33 (or 82.33% tax
efficient). As described by Morningstar
tax-efficiency is calculated “by dividing after-tax (or tax-adjusted) returns
by pretax returns. The highest possible score would be 100%, which would apply
to a fund that had no taxable distributions (such as many municipal-bond
funds)”. Thus, for Guardian Park
Avenue A the load-adjusted SCR of .7671 was multiplied by .8233 which yielded
an a tax-adjusted, load-adjusted SCR of .6325 (rounded to .63 in Figure
1).
The next column in
Figures 1-6 represents the percentage change between the raw SCR and the tax
and load-adjusted SCR. The differential
impact of loads and taxes upon the raw SCR is wide ranging. For instance, the SCR for MFS Emerging
Growth B (a no-load fund) is only reduced by 4.6% after considering loads and
taxes. By contrast, the SCR for
Quantitative Growth & Income (Ordinary Shares) was reduced by almost 32%
when accounting for loads and tax implications.
The next two columns
in each figure report the data which are utilized explicitly in the SCR
computation, namely the number of years each fund beat its benchmark index and
the 10 year pre-tax and pre-load cumulative performance. To illustrate the use of the data, consider
Smith Barney Aggr Growth A, the fund with the highest SCR in both raw terms and
tax & load adjusted terms. The raw
SCR is calculated as:
5 5.46
( ----
+ -------- ) - 1
= 1.4927
10 2.74
The last two columns
in each figure report the 10 year annualized raw return (as of 12/31/01) and
the 10 year annualized tax-adjusted return.
The cumulative performance figure for each fund, along with the raw 10
year annualized return, are both performance figures that can be directly
compared against a benchmark index. The
10 year tax-adjusted return, however, cannot be inasmuch as the performance
figures for indicies are only reported as gross, pre-tax figures.
A final note. It is important to remember that many funds
were omitted from this analysis for a variety of reasons, most notably if they
were classified in the “Blend” style.
Sector funds were also excluded as were funds with less than a 10 year
performance history. Therefore, this
study is meant illustrate how the SCR can be utilized as an analytical tool
rather than presenting a definitive list of the “best” equity funds.
Figure 1. Large Cap Growth Funds: 1992-2001
Ranked by Tax & Load Adjusted SCR (n = 25)
|
Fund
Name
|
Raw SCR
|
Load-Adjusted SCR
|
Tax-Adjusted,
Load-Adjusted SCR
|
% Diff Between Raw SCR and
Tax & Load Adjusted SCR
|
Number of Years Beating
Benchmark
|
Pre-Load and Pre-Tax 10
Year Cumulative Performance
|
10 Year Annualized Raw
Return
|
10 Year Tax-Adjusted
Annualized Return
|
|
Wilshire Large Growth Index
|
|
|
|
|
|
274%
|
10.6
|
-
|
|
Smith
Barney Aggr Growth A
|
1.49
|
1.44
|
1.39
|
-6.9%
|
5
|
546%
|
18.5
|
15.4
|
|
Janus
Growth & Income
|
1.20
|
1.20
|
1.05
|
-12.7%
|
8
|
383%
|
14.4
|
11.6
|
|
Spectra
N
|
1.33
|
1.33
|
0.94
|
-29.1%
|
7
|
447%
|
16.2
|
11.0
|
|
Harbor
Capital Appreciation
|
1.08
|
1.08
|
0.94
|
-12.9%
|
7
|
377%
|
14.2
|
11.8
|
|
Van
Kampen Emerg Growth A
|
1.06
|
1.02
|
0.89
|
-16.5%
|
5
|
429%
|
15.7
|
12.6
|
|
American
Funds Growth Fund A
|
1.04
|
0.99
|
0.87
|
-16.5%
|
5
|
421%
|
15.5
|
12.1
|
|
Enterprise
Growth A
|
0.93
|
0.89
|
0.80
|
-14.0%
|
6
|
364%
|
13.8
|
10.9
|
|
Putnam
New Opportunities A
|
0.86
|
0.82
|
0.77
|
-10.8%
|
5
|
372%
|
14.1
|
11.7
|
|
Fidelity
Growth Company
|
0.89
|
0.89
|
0.76
|
-14.5%
|
5
|
380%
|
14.3
|
11.4
|
|
Alger
LargeCap Growth B
|
0.89
|
0.89
|
0.74
|
-16.3%
|
6
|
353%
|
13.4
|
10.8
|
|
Credit
Suisse Cap App Co
|
0.92
|
0.92
|
0.72
|
-22.3%
|
6
|
362%
|
13.7
|
10.5
|
|
Fidelity
Blue Chip Growth
|
0.75
|
0.75
|
0.63
|
-15.2%
|
5
|
342%
|
13.1
|
10.2
|
|
Guardian
Park Avenue A
|
0.80
|
0.77
|
0.63
|
-21.1%
|
6
|
329%
|
12.7
|
10.0
|
|
Managers
Captl Appreciation
|
0.85
|
0.85
|
0.62
|
-27.0%
|
5
|
370%
|
14.0
|
10.1
|
|
Franklin
DynaTech A
|
0.67
|
0.63
|
0.57
|
-14.2%
|
6
|
292%
|
11.3
|
8.6
|
|
American
Funds Amcap A
|
0.74
|
0.71
|
0.56
|
-24.8%
|
4
|
368%
|
13.9
|
10.2
|
|
Putnam
Voyager A
|
0.69
|
0.65
|
0.56
|
-18.6%
|
5
|
325%
|
12.5
|
9.7
|
|
American
Cent Ultra Inv
|
0.59
|
0.59
|
0.51
|
-14.1%
|
5
|
299%
|
11.6
|
9.5
|
|
Evergreen
Aggressive Gr A
|
0.64
|
0.60
|
0.50
|
-21.2%
|
6
|
285%
|
11.1
|
8.7
|
|
Quantitative
Grth & Inc Ord
|
0.73
|
0.73
|
0.50
|
-31.8%
|
6
|
309%
|
12.0
|
8.7
|
|
MFS
Emerging Growth B
|
0.52
|
0.52
|
0.49
|
-4.6%
|
5
|
278%
|
10.8
|
9.2
|
|
Westcore
Growth & Income
|
0.65
|
0.65
|
0.48
|
-26.1%
|
6
|
288%
|
11.1
|
8.3
|
|
Value
Line Leveraged Gr Inv
|
0.56
|
0.56
|
0.47
|
-16.1%
|
4
|
319%
|
12.3
|
10.4
|
|
Fidelity
OTC
|
0.62
|
0.62
|
0.47
|
-24.5%
|
5
|
307%
|
11.9
|
9.0
|
|
William
Blair Growth N
|
0.58
|
0.58
|
0.46
|
-20.2%
|
5
|
296%
|
11.4
|
9.2
|
Figure 2. Large Cap Value Funds: 1992-2001
Ranked by Tax & Load Adjusted SCR
|
Fund
Name
|
Raw SCR
|
Load-Adjusted SCR
|
Tax-Adjusted,
Load-Adjusted SCR
|
% Diff Between Raw SCR and
Tax & Load Adjusted SCR
|
Number of Years Beating
Benchmark
|
Pre-Load and Pre-Tax 10
Year Cumulative Performance
|
10 Year Annualized Raw
Return
|
10 Year Tax-Adjusted
Annualized Return
|
|
Wilshire
Large Value Index
|
|
|
|
|
|
342%
|
13.1
|
-
|
|
Legg
Mason Value Pr
|
1.15
|
1.15
|
1.06
|
-7.6%
|
6
|
530%
|
18.2
|
15.6
|
|
Torray
|
1.03
|
1.03
|
0.96
|
-6.4%
|
7
|
453%
|
16.3
|
13.8
|
|
Dodge
& Cox Stock
|
0.96
|
0.96
|
0.83
|
-13.5%
|
6
|
465%
|
16.6
|
13.5
|
|
Clipper
|
0.97
|
0.97
|
0.79
|
-18.8%
|
5
|
503%
|
17.5
|
13.5
|
|
Smith
Barney Fundmntl Val A
|
0.89
|
0.85
|
0.74
|
-17.0%
|
7
|
406%
|
15.0
|
11.5
|
|
Scudder
Dreman Hi Ret Eq A
|
0.81
|
0.78
|
0.71
|
-13.3%
|
5
|
449%
|
16.2
|
12.7
|
|
Vanguard
Windsor
|
0.82
|
0.82
|
0.63
|
-23.1%
|
7
|
384%
|
14.4
|
10.8
|
|
Neuberger
Berman Focus Inv
|
0.72
|
0.72
|
0.61
|
-16.2%
|
5
|
418%
|
15.4
|
12.3
|
|
Oppenheimer
Quest Opport A
|
0.71
|
0.68
|
0.61
|
-15.0%
|
7
|
346%
|
13.2
|
10.4
|
|
Victory
Diversified Stock A
|
0.81
|
0.77
|
0.59
|
-26.6%
|
6
|
413%
|
15.2
|
11.0
|
|
Davis
NY Venture A
|
0.67
|
0.64
|
0.56
|
-16.4%
|
5
|
399%
|
14.8
|
11.2
|
|
American
Funds Wash Mutual A
|
0.70
|
0.66
|
0.56
|
-20.4%
|
6
|
375%
|
14.1
|
10.6
|
|
Fidelity
Equity-Income II
|
0.64
|
0.64
|
0.52
|
-19.7%
|
6
|
357%
|
13.6
|
10.7
|
|
Babson
Value
|
0.57
|
0.57
|
0.50
|
-12.5%
|
6
|
332%
|
12.8
|
10.2
|
|
Pelican
|
0.62
|
0.62
|
0.47
|
-24.4%
|
5
|
383%
|
14.4
|
11.0
|
|
Selected
American
|
0.56
|
0.56
|
0.47
|
-17.0%
|
5
|
363%
|
13.8
|
10.6
|
|
Fidelity
Equity-Income
|
0.55
|
0.55
|
0.46
|
-15.9%
|
5
|
359%
|
13.7
|
10.7
|
|
Pioneer
A
|
0.55
|
0.53
|
0.45
|
-18.3%
|
5
|
360%
|
13.7
|
10.3
|
|
American
Funds Fdmntl Invs A
|
0.58
|
0.55
|
0.45
|
-22.3%
|
5
|
369%
|
14.0
|
10.3
|
|
Vanguard
Windsor II
|
0.54
|
0.54
|
0.44
|
-17.8%
|
5
|
355%
|
13.5
|
10.5
|
|
Lord
Abbett Affiliated A
|
0.59
|
0.56
|
0.44
|
-25.5%
|
5
|
372%
|
14.0
|
10.0
|
|
Alliance
Growth & Income A
|
0.56
|
0.54
|
0.42
|
-25.1%
|
5
|
364%
|
13.8
|
9.7
|
|
American
Cent Inc & Grow Inv
|
0.49
|
0.49
|
0.41
|
-14.7%
|
5
|
337%
|
12.9
|
10.0
|
|
Vanguard
Growth & Income
|
0.52
|
0.52
|
0.41
|
-19.7%
|
5
|
347%
|
13.3
|
9.9
|
|
Scudder
Contrarian A
|
0.55
|
0.52
|
0.41
|
-24.2%
|
6
|
323%
|
12.4
|
8.8
|
Figure 3. Mid Cap Growth Funds: 1992-2001
Ranked by Tax & Load Adjusted SCR (n = 20)
|
Fund
Name
|
Raw SCR
|
Load-Adjusted SCR
|
Tax-Adjusted, Load-Adjusted
SCR
|
% Diff Between Raw SCR and
Tax & Load Adjusted SCR
|
Number of Years Beating
Benchmark
|
Pre-Load and Pre-Tax 10
Year Cumulative Performance
|
10 Year Annualized Raw
Return
|
10 Year Tax-Adjusted
Annualized Return
|
|
Wilshire Midcap Growth Index
|
|
|
|
|
|
288%
|
11.1
|
-
|
|
Calamos
Growth A
|
1.63
|
1.58
|
1.33
|
-17.9%
|
6
|
582%
|
19.3
|
14.6
|
|
Franklin
CA Growth A
|
1.42
|
1.36
|
1.22
|
-14.0%
|
7
|
494%
|
17.3
|
13.4
|
|
Baron
Asset
|
1.07
|
1.07
|
1.02
|
-4.7%
|
8
|
365%
|
13.8
|
11.9
|
|
Federated
Kaufmann K
|
1.11
|
1.11
|
0.95
|
-14.2%
|
7
|
405%
|
15.0
|
12.5
|
|
Delaware
Trend A
|
1.06
|
1.01
|
0.83
|
-22.0%
|
7
|
392%
|
14.7
|
10.9
|
|
INVESCO
Dynamics Inv
|
0.99
|
0.99
|
0.77
|
-22.0%
|
8
|
342%
|
13.1
|
9.6
|
|
AIM
Aggressive Growth A
|
0.87
|
0.84
|
0.76
|
-12.5%
|
5
|
395%
|
14.7
|
12.2
|
|
AIM
Mid Cap Equity A
|
0.96
|
0.92
|
0.71
|
-25.3%
|
5
|
419%
|
15.4
|
10.8
|
|
JP
Morgan Capital Growth A
|
0.83
|
0.79
|
0.67
|
-19.9%
|
7
|
326%
|
12.5
|
9.4
|
|
Brandywine
|
0.82
|
0.82
|
0.61
|
-24.9%
|
6
|
350%
|
13.3
|
10.2
|
|
Putnam
Vista A
|
0.83
|
0.79
|
0.60
|
-27.5%
|
7
|
326%
|
12.6
|
9.2
|
|
Seligman
Capital A
|
0.82
|
0.78
|
0.59
|
-27.2%
|
6
|
350%
|
13.3
|
9.5
|
|
Dreyfus
New Leaders
|
0.75
|
0.75
|
0.58
|
-22.2%
|
7
|
302%
|
11.7
|
8.9
|
|
Advance
Capital I Eqty Grth
|
0.55
|
0.55
|
0.52
|
-5.5%
|
5
|
302%
|
11.7
|
9.9
|
|
Security
Ultra A
|
0.67
|
0.63
|
0.52
|
-22.3%
|
5
|
336%
|
12.9
|
9.4
|
|
AXP
Equity Select A
|
0.70
|
0.66
|
0.51
|
-27.3%
|
6
|
317%
|
12.2
|
8.9
|
|
PBHG
Growth
|
0.57
|
0.57
|
0.51
|
-10.3%
|
5
|
307%
|
11.9
|
10.0
|
|
Columbia
Special
|
0.66
|
0.66
|
0.47
|
-27.8%
|
5
|
333%
|
12.8
|
9.3
|
|
Waddell
& Reed Adv New Con A
|
0.56
|
0.53
|
0.44
|
-20.2%
|
4
|
333%
|
12.8
|
9.8
|
|
Nicholas
II
|
0.60
|
0.60
|
0.44
|
-27.2%
|
7
|
259%
|
10.0
|
7.8
|
Figure 4. Mid Cap Value Funds: 1992-2001
Ranked by Tax & Load Adjusted SCR (n = 20)
|
Fund
Name
|
Raw SCR
|
Load-Adjusted SCR
|
Tax-Adjusted,
Load-Adjusted SCR
|
% Diff Between Raw SCR and
Tax & Load Adjusted SCR
|
Number of Years Beating
Benchmark
|
Pre-Load and Pre-Tax 10
Year Cumulative Performance
|
10 Year Annualized Raw
Return
|
10 Year Tax-Adjusted Annualized
Return
|
|
Wilshire
Midcap Value Index
|
|
|
|
|
|
405%
|
15.0
|
-
|
|
Muhlenkamp
|
0.84
|
0.84
|
0.82
|
-2.4%
|
7
|
461%
|
16.5
|
14.3
|
|
PIMCO
Renaissance C
|
0.98
|
0.98
|
0.78
|
-21.0%
|
7
|
519%
|
17.9
|
13.3
|
|
Weitz
Value
|
0.80
|
0.80
|
0.69
|
-12.8%
|
5
|
525%
|
18.0
|
14.6
|
|
Oakmark
I
|
0.76
|
0.76
|
0.68
|
-11.2%
|
5
|
511%
|
17.7
|
14.7
|
|
Longleaf
Partners
|
0.72
|
0.72
|
0.60
|
-15.9%
|
5
|
494%
|
17.3
|
13.9
|
|
Gabelli
Value
|
0.71
|
0.68
|
0.56
|
-21.0%
|
5
|
490%
|
17.2
|
12.9
|
|
Vontobel
U.S. Value
|
0.55
|
0.55
|
0.44
|
-19.7%
|
6
|
386%
|
14.5
|
10.7
|
|
Fidelity
Value
|
0.54
|
0.54
|
0.44
|
-18.1%
|
6
|
380%
|
14.3
|
11.1
|
|
Lord
Abbett Mid-Cap Value A
|
0.57
|
0.54
|
0.43
|
-24.3%
|
5
|
432%
|
15.8
|
11.2
|
|
Sound
Shore
|
0.49
|
0.49
|
0.41
|
-15.2%
|
5
|
400%
|
14.9
|
11.6
|
|
Strong
Opportunity Inv
|
0.47
|
0.47
|
0.39
|
-16.6%
|
4
|
434%
|
15.8
|
12.6
|
|
State
St Res Mid Cap Val A
|
0.47
|
0.45
|
0.36
|
-22.7%
|
5
|
393%
|
14.7
|
10.5
|
|
Oppenheimer
Quest Cap Val A
|
0.44
|
0.42
|
0.35
|
-21.9%
|
5
|
383%
|
14.4
|
11.1
|
|
Pioneer
Mid-Cap Value A
|
0.38
|
0.36
|
0.29
|
-21.5%
|
4
|
395%
|
14.7
|
10.9
|
|
Liberty
Select Value A
|
0.36
|
0.34
|
0.28
|
-22.5%
|
4
|
388%
|
14.5
|
10.6
|
|
Fifth
Third MultVal Adv
|
0.33
|
0.33
|
0.27
|
-18.6%
|
4
|
379%
|
14.2
|
10.9
|
|
Tocqueville
|
0.31
|
0.31
|
0.26
|
-16.7%
|
5
|
329%
|
12.7
|
10.0
|
|
Prudential
Value B
|
0.24
|
0.24
|
0.19
|
-20.8%
|
5
|
301%
|
11.7
|
8.9
|
|
Victory
Established Value G
|
0.17
|
0.17
|
0.13
|
-20.3%
|
4
|
311%
|
12.0
|
9.4
|
|
Homestead
Value
|
0.12
|
0.12
|
0.10
|
-10.5%
|
3
|
331%
|
12.7
|
10.3
|
Figure 5. Small Cap Growth Funds: 1992 to 2001
Ranked by Tax & Load Adjusted SCR ( n = 15)
|
Fund
Name
|
Raw SCR
|
Load-Adjusted SCR
|
Tax-Adjusted,
Load-Adjusted SCR
|
% Diff Between Raw SCR and
Tax & Load Adjusted SCR
|
Number of Years Beating
Benchmark
|
Pre-Load and Pre-Tax 10
Year Cumulative Performance
|
10 Year Annualized Raw
Return
|
10 Year Tax-Adjusted
Annualized Return
|
|
Wilshire
Small Growth Index
|
|
|
|
|
|
220%
|
8.2
|
-
|
|
Wasatch
Small Cap Growth
|
1.85
|
1.82
|
1.56
|
-15.6%
|
6
|
494%
|
17.3
|
13.8
|
|
Liberty
Acorn Z
|
1.72
|
1.72
|
1.47
|
-14.4%
|
6
|
465%
|
16.6
|
13.5
|
|
Managers
Special Equity
|
1.65
|
1.65
|
1.41
|
-14.2%
|
9
|
384%
|
14.4
|
11.4
|
|
Hancock
Small Cap Growth B
|
1.13
|
1.13
|
1.02
|
-10.4%
|
8
|
293%
|
11.4
|
9.7
|
|
Meridian
Growth
|
1.17
|
1.17
|
0.95
|
-18.5%
|
5
|
366%
|
13.9
|
10.8
|
|
Vanguard
Explorer
|
1.14
|
1.14
|
0.92
|
-19.0%
|
6
|
339%
|
13.0
|
10.0
|
|
Pilgrim
SmallCap Opp T
|
1.04
|
1.04
|
0.88
|
-15.6%
|
6
|
317%
|
12.2
|
9.8
|
|
Neuberger
Ber Fasciano
|
0.94
|
0.94
|
0.84
|
-10.2%
|
6
|
294%
|
11.4
|
9.2
|
|
Evergreen
Growth C
|
1.05
|
1.04
|
0.79
|
-24.4%
|
6
|
318%
|
12.3
|
9.1
|
|
WM
Small Cap Stock A
|
1.03
|
0.98
|
0.79
|
-23.7%
|
6
|
315%
|
12.1
|
9.0
|
|
Galaxy
Small Co Eq Ret A
|
0.86
|
0.81
|
0.72
|
-16.3%
|
6
|
278%
|
10.8
|
8.3
|
|
Oberweis
Emerging Growth
|
0.76
|
0.76
|
0.62
|
-18.6%
|
6
|
256%
|
9.9
|
8.1
|
|
First
Amer Sm Cap Grth A
|
0.88
|
0.83
|
0.62
|
-29.8%
|
6
|
281%
|
10.9
|
7.6
|
|
Morgan
Stanley Develop Gr B
|
0.75
|
0.75
|
0.58
|
-22.3%
|
5
|
275%
|
10.7
|
8.6
|
|
Seligman
Frontier A
|
0.81
|
0.76
|
0.57
|
-29.9%
|
7
|
243%
|
9.3
|
6.3
|
Figure 6. Small Cap Value Funds: 1992-2001
Ranked by Tax & Load Adjusted SCR (n = 15)
|
Fund
Name
|
Raw SCR
|
Load-Adjusted SCR
|
Tax-Adjusted,
Load-Adjusted SCR
|
% Diff Between Raw SCR and
Tax & Load Adjusted SCR
|
Number of Years Beating
Benchmark
|
Pre-Load and Pre-Tax 10
Year Cumulative Performance
|
10 Year Annualized Raw
Return
|
10 Year Tax-Adjusted
Annualized Return
|
|
Wilshire
Small Value Index
|
|
|
|
|
|
409%
|
15.1
|
-
|
|
FPA
Capital
|
0.91
|
0.88
|
0.71
|
-21.7%
|
6
|
535%
|
18.3
|
13.8
|
|
Fidelity
Low-Priced Stock
|
0.77
|
0.75
|
0.63
|
-18.4%
|
5
|
519%
|
17.9
|
13.6
|
|
Heartland
Value
|
0.69
|
0.69
|
0.60
|
-13.4%
|
5
|
487%
|
17.2
|
14.0
|
|
Royce
Micro-Cap Inv
|
0.60
|
0.60
|
0.52
|
-12.4%
|
5
|
449%
|
16.2
|
13.1
|
|
Third
Avenue Value
|
0.55
|
0.55
|
0.50
|
-7.9%
|
5
|
428%
|
15.7
|
13.1
|
|
Skyline
Special Equities
|
0.57
|
0.57
|
0.47
|
-16.9%
|
6
|
396%
|
14.8
|
11.5
|
|
Franklin
Bal Sheet Invmt A
|
0.52
|
0.49
|
0.44
|
-15.6%
|
5
|
416%
|
15.3
|
11.7
|
|
T.
Rowe Price Sm-Cp Val
|
0.46
|
0.46
|
0.40
|
-11.9%
|
5
|
392%
|
14.6
|
11.9
|
|
FAM
Value
|
0.24
|
0.24
|
0.22
|
-9.7%
|
4
|
344%
|
13.1
|
10.9
|
|
Babson
Shadow Stock
|
0.26
|
0.26
|
0.20
|
-20.7%
|
4
|
350%
|
13.3
|
10.1
|
|
Mercury
HW Small Cap Value I
|
0.15
|
0.15
|
0.12
|
-18.1%
|
4
|
307%
|
11.9
|
9.0
|
|
Eclipse
Small Cap Value
|
0.14
|
0.14
|
0.11
|
-24.8%
|
4
|
303%
|
11.7
|
8.9
|
|
Babson
Enterprise
|
0.11
|
0.11
|
0.09
|
-23.3%
|
3
|
332%
|
12.8
|
9.6
|
|
Pennsylvania
Mutual Inv
|
0.11
|
0.11
|
0.08
|
-25.1%
|
3
|
332%
|
12.8
|
9.5
|
|
CornerCap
Small Cap Value
|
0.04
|
0.04
|
0.04
|
-12.3%
|
4
|
262%
|
10.1
|
8.2
|
|
