The stock market decline has resulted in some style changes and ranking changes. As the chart above shows, AMCAP went from a good ranking in large growth to the bottom of large value because it is now 45% large-cap value and only 13% large-cap growth. The other extreme is Capital Resources Growth Fund of America, which changed from a low ranking in large growth to the top of the small growth category. While it still has 35% large growth holdings, it is 53% in small-cap stocks. Similarly, Fidelity Mid Cap, Morgan Stanley Mid Cap and Federated Kaufman look better as small-cap growth funds than they did as large growth.
Notice that most funds have negative omega excesses, meaning they did not do better than a set of passive indexes that replicate their style. Notable exceptions are T. Rowe Price Growth Stock in large-cap growth; Dodge and Cox Stock in large value (Scudder Dreman was skipped due to the small R-squared); Growth Fund of America and T.Rowe Price Small Cap Stock in the small growth sector; and Neuberger Berman Genesis and Fidelity Low Priced Stock in small value.
This ranking was done by Frank Sortino, director of the Pension Research Institute, Menlo Park, Calif. Fund data was provided by LCG Associates in Atlanta; style index data was provided by Ron Surz at PPCA-inc.com.
