The Hulbert Investment Newsletter Honor Roll, though loosely modeled on Forbes’ Mutual Fund Survey, is not endorsed by, or affiliated with, Forbes magazine. The stock market’s history between 9/30/2002 and 9/30/2022 was divided into “up” and “down” periods, and each advisory service was graded separately for its average performance in each of these periods. Included were just those currently monitored that have a heavy US equity focus. In the event a service maintains more than one such portfolio, its “up” and “down” market grades reflect an average.
There were three “down” periods during this 20-year span: October ‘07 through March ‘09, May ‘11 through September ’11, and January ’22 through September ’22. The three “up” periods contained the intervening periods.
For each of these “down” periods, we calculated a service’s performance relative to the stock market as a whole (as measured by the Wilshire 5000 index, dividends included) and then averaged these three relative performances to come up with a single “down” market score. We followed a similar procedure to assign a down market score for each of the actively-managed U.S. equity mutual funds in Morningstar’s database.
Each newsletter was then give a percentile rank relative to all the Morningstar-monitored funds, with “100” meaning that the service did better than all funds and “0” meaning that it did worse than all of them. This percentile is what appears in the column “Down Market Grade” in the table above. We utilized a similar approach in grading services’ “up” market performances. The Honor Roll contains those newsletters whose “up” and “down” market grades are each better than those of the Wilshire 5000 index.
*Risk: This reflects the volatility of a newsletter’s performance, as measured by the standard deviation of its monthly returns. Higher numbers reflect greater volatility and risk.
**Risk-adjusted performance. We use the Sharpe Ratio to calculate risk-adjusted performance. Higher numbers mean that the adviser did better in relation to the amount of risk he/she incurred. We calculate the Sharpe Ratio using monthly data, and then annualize it by multiplying by the square root of 12.
What if you crave more risk and find a “slow-and-steady” approach hopelessly boring? Forgive me for saying so, but I don’t believe you. If you’re like most investors, you will jettison your risky adviser when his strategy becomes out of synch with the market—which inevitably happens, sooner or later.
And if you prematurely stop following him, you will not realize the long-term gains his approach hopefully can produce. You will, however, suffer 100% of the losses his risky strategy produced up to the point you couldn’t take it any longer.
Up Market Grade
48.50
Down Market Grade
85.60
Gain Since Sept. 2002
+10.6%
Risk
4.57
Sharpe Since Sept. 2002
0.63
Performance Since 12/31/1985
Gain
11.31%
Risk Rating
4.14
Sharpe Ratio
0.61
Wilshire 5000 Gain
10.54%
Wilshire Risk Rating
4.51
Wilshire Sharpe Rating
0.53
Performance Since 12/31/1999
Gain
10.58%
Risk Rating
4.33
Sharpe Ratio
0.64
Wilshire 5000 Gain
6.78%
Wilshire Risk Rating
4.56
Wilshire Sharpe Rating
0.40
Performance Since 8/30/2006
Gain
11.55%
Risk Rating
4.7
Sharpe Ratio
0.69
Wilshire 5000 Gain
9.32%
Wilshire Risk Rating
4.65
Wilshire Sharpe Rating
0.57
Performance Since 12/31/1985
Gain
11.31%
Risk Rating
4.14
Sharpe Ratio
0.61
Wilshire 5000 Gain
10.54%
Wilshire Risk Rating
4.51
Wilshire Sharpe Rating
0.53
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