During March and April the CBOE Volatility Index (VIX) surged to a record high as the coronavirus pandemic and shutdown of activity globally — the manifestion of the much talked about black swan event — caught most of the world off guard.
Funds that emerged at the end of the measured period with the strongest metrics have, arguably, an enhanced proposition for investors to consider.
During the period, out of 82 North America equity funds in the Hong Kong/Singapore universes, the Morgan Stanley US Growth Fund had the best performance — and the highest Sharpe ratio, according to FE Fundinfo data.
The higher a fund’s Sharpe ratio, the better a fund’s returns have been relative to the risk it has taken on.
The Morgan Stanley US Growth fund has been led by Dennis Lynch since 1998. TMT and healthcare make up 65% of the portfolio and the top ten holdings include companies that saw increased demand during the worst of coronavirus pandemic — Amazon, Slack, Veeva and Zoom.
However, the fund came with extreme volatility during the measured period – more than the category average and S&P 500.
Among the five, a strong product overall during the roller coaster two months was the T Rowe Price US Blue Chip Equity Fund – lowest volatility (fourth out of 82) with a Sharpe ratio and return in the top five.
Over the trailing three-years, the blue chip fund has returned 50.9%, far better than its benchmark 26.9% and category average of 16.3%.
It gets a Gold forward-looking analyst rating from Morningstar and four star (historical) rating.
“The strategy has stayed a notch above the benchmark despite a tough environment for active equity managers and its growing asset base,” according to a Morningstar report issued before the coronavirus outbreak.
“Results during [lead manager Larry] Puglia’s full tenure, as well as shorter periods, surpass the benchmark and most competitors, and it has maintained an edge on a risk-adjusted basis.”
Best performers over two extremely volatile months
| Sharpe ratio | Volatility | Return | |
| Morgan Stanley US Growth | 1.97 | 65.38 | 14.98 |
| Morgan Stanley US Advantage | 1.08 | 54.15 | 10.10 |
| T Rowe Price US Large Cap Growth Equity | 0.85 | 52.29 | 7.66 |
| T Rowe Price US Blue Chip Equity | 0.84 | 48.40 | 6.95 |
| JPM US Growth | 0.69 | 51.01 | 7.40 |
| Category average North America Equity Funds* | -0.09 | 57.26 | -2.27 |
| S&P 500 | -0.17 | 64.94 | -3.88 |
| SPX Volatility Index (VIX) | -0.77 | 141.43 | -7.28 |
Source: FE Fundinfo. 28 February – 01 May. All fund NAVs converted to US dollars. *Hong Kong SFC-registered universe.
Performance of top five vs category, S&P Index and VIX
