Most Popular ArticlesDecember 8, 2009
Table 1 – Change in probabilities from the 2007 to the current study (Raw return)
(Values in red indicate a decrease in predictive ability)
Broad Asset Group |
Funds Rated … |
Return |
1 star |
2 stars |
3 stars |
4 stars |
5 stars |
U.S. Equity |
1 star |
-15.41 |
|
|
|
|
|
|
2 stars |
-14.87 |
1.5 |
|
|
|
|
|
3 stars |
-15.25 |
-0.8 |
-2.6 |
|
|
|
|
4 stars |
-15.76 |
-4.4 |
-6.5 |
-4.0 |
|
|
|
5 stars |
-15.63 |
-4.6 |
-7.4 |
-5.0 |
-0.8 |
|
International Equity |
1 star |
-21.54 |
|
|
|
|
|
|
2 stars |
-21.66 |
-2.5 |
|
|
|
|
|
3 stars |
-21.63 |
0.9 |
3.4 |
|
|
|
|
4 stars |
-22.91 |
-3.9 |
-1.2 |
-4.5 |
|
|
|
5 stars |
-22.56 |
-6.6 |
-2.9 |
-4.5 |
0.4 |
|
Balanced |
1 star |
-7.98 |
|
|
|
|
|
|
2 stars |
-8.13 |
-2.4 |
|
|
|
|
|
3 stars |
-8.74 |
-8.8 |
-7.4 |
|
|
|
|
4 stars |
-9.21 |
-17.9 |
-19.6 |
-9.9 |
|
|
|
5 stars |
-10.07 |
-30.4 |
-30.1 |
-24.2 |
-17.6 |
|
Taxable Bond |
1 star |
0.64 |
|
|
|
|
|
|
2 stars |
0.83 |
1.7 |
|
|
|
|
|
3 stars |
0.12 |
-5.9 |
-9.2 |
|
|
|
|
4 stars |
-0.42 |
-13.9 |
-18.0 |
-9.2 |
|
|
|
5 stars |
-1.28 |
-17.8 |
-22.6 |
-14.8 |
-6.1 |
|
Muni Bond |
1 star |
0.83 |
|
|
|
|
|
|
2 stars |
0.28 |
-13.9 |
|
|
|
|
|
3 stars |
-0.23 |
-23.4 |
-11.1 |
|
|
|
|
4 stars |
-0.21 |
-26.3 |
-9.2 |
1.3 |
|
|
|
5 stars |
-2.39 |
-44.5 |
-38.1 |
-27.8 |
-27.0 |
|
Table 2 – Change in probabilities from the 2007 to the current study (Risk-adjusted return)
(Values in red indicate a decrease in predictive ability)
Broad Asset Group |
Funds Rated … |
Return |
1 star |
2 stars |
3 stars |
4 stars |
5 stars |
U.S. Equity |
1 star |
-18.54 |
|
|
|
|
|
|
2 stars |
-18.12 |
-0.4 |
|
|
|
|
|
3 stars |
-18.42 |
-2.0 |
-1.7 |
|
|
|
|
4 stars |
-18.89 |
-4.8 |
-4.7 |
-3.1 |
|
|
|
5 stars |
-18.93 |
-7.1 |
-7.8 |
-6.4 |
-3.0 |
|
International Equity |
1 star |
-25.93 |
|
|
|
|
|
|
2 stars |
-26.36 |
-4.7 |
|
|
|
|
|
3 stars |
-25.88 |
3.1 |
6.7 |
|
|
|
|
4 stars |
-26.78 |
0.2 |
2.9 |
-3.6 |
|
|
|
5 stars |
-28.04 |
-8.1 |
-2.3 |
-9.3 |
-4.7 |
|
Balanced |
1 star |
-4.34 |
|
|
|
|
|
|
2 stars |
-9.76 |
-1.6 |
|
|
|
|
|
3 stars |
-10.11 |
-7.5 |
-6.9 |
|
|
|
|
4 stars |
-10.44 |
-14.9 |
-16.7 |
-7.5 |
|
|
|
5 stars |
-11.64 |
-28.6 |
-28.9 |
-23.9 |
-19.0 |
|
Taxable Bond |
1 star |
0.08 |
|
|
|
|
|
|
2 stars |
0.23 |
2.1 |
|
|
|
|
|
3 stars |
-0.40 |
-3.6 |
-6.9 |
|
|
|
|
4 stars |
-0.75 |
-11.3 |
-15.2 |
-8.7 |
|
|
|
5 stars |
-1.47 |
-15.3 |
-19.9 |
-13.8 |
-5.5 |
|
Muni Bond |
1 star |
0.48 |
|
|
|
|
|
|
2 stars |
-0.12 |
-17.9 |
|
|
|
|
|
3 stars |
-0.58 |
-26.0 |
-10.3 |
|
|
|
|
4 stars |
-0.37 |
-25.3 |
-5.3 |
3.6 |
|
|
|
5 stars |
-3.04 |
-38.3 |
-30.8 |
-21.7 |
-22.8 |
|
Table 3 – Probabilities based on raw return (Q3 2006 – Q3 2009)
|
|
Based on Total Return |
|||||
|
|
Average |
% of Group Beaten by the Average Fund |
||||
Broad Asset Group |
Funds Rated … |
Return |
1 star |
2 stars |
3 stars |
4 stars |
5 stars |
U.S. Equity |
1 star |
-5.60 |
- |
44.9% |
45.7% |
45.7% |
42.0% |
|
2 stars |
-4.36 |
55.1% |
- |
50.9% |
50.7% |
46.9% |
|
3 stars |
-4.52 |
54.3% |
49.1% |
- |
49.8% |
46.0% |
|
4 stars |
-4.37 |
54.3% |
49.3% |
50.2% |
- |
46.2% |
|
5 stars |
-3.75 |
58.0% |
53.1% |
54.0% |
53.8% |
- |
International Equity |
1 star |
-2.23 |
- |
49.9% |
45.7% |
47.0% |
50.9% |
|
2 stars |
-1.93 |
50.1% |
- |
45.9% |
47.0% |
50.6% |
|
3 stars |
-1.70 |
54.3% |
54.1% |
- |
50.8% |
52.6% |
|
4 stars |
-1.98 |
53.0% |
53.0% |
49.2% |
- |
51.9% |
|
5 stars |
-2.37 |
49.1% |
49.4% |
47.4% |
48.1% |
- |
Balanced |
1 star |
-1.22 |
- |
49.6% |
47.9% |
48.8% |
53.3% |
|
2 stars |
-1.01 |
50.4% |
- |
48.1% |
49.7% |
54.5% |
|
3 stars |
-1.00 |
52.1% |
51.9% |
- |
51.1% |
55.8% |
|
4 stars |
-0.95 |
51.2% |
50.3% |
48.9% |
- |
54.4% |
|
5 stars |
-0.72 |
46.7% |
45.5% |
44.2% |
45.6% |
- |
Taxable Bond |
1 star |
4.00 |
- |
46.8% |
42.9% |
43.5% |
40.7% |
|
2 stars |
4.13 |
53.2% |
- |
46.0% |
46.3% |
43.1% |
|
3 stars |
4.24 |
57.1% |
54.0% |
- |
49.9% |
46.4% |
|
4 stars |
4.16 |
56.5% |
53.7% |
50.1% |
- |
46.7% |
|
5 stars |
4.05 |
59.3% |
56.9% |
53.6% |
53.3% |
- |
Muni Bond |
1 star |
3.47 |
- |
49.4% |
47.5% |
45.7% |
56.3% |
|
2 stars |
3.45 |
50.6% |
- |
48.1% |
40.5% |
58.0% |
|
3 stars |
3.42 |
52.5% |
51.9% |
- |
42.4% |
59.3% |
|
4 stars |
3.67 |
54.3% |
59.5% |
57.6% |
- |
65.8% |
|
5 stars |
1.98 |
43.7% |
42.0% |
40.7% |
34.2% |
- |
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