The most interesting thing about this quarter's rankings is the low upside-potential rankings of the small-cap growth equity funds.
All of them have substantially more downside risk than upside potential, and the bottom funds have twice as much downside risk. That is not surprising considering the Nasdaq stocks have had more than a 70% rise from their lows of the year.
Also, the Omega excess returns for the Fidelity Aggressive Growth, T. Rowe Price Science & Technology, INVESCO Technology, and Putnam OTC funds are below -12%, i.e., an investor could make 12% to 16% more with passive index funds.
On the other hand, Oakmark Select in the large-cap value category, has 31% more upside potential than downside risk and could earn 10.6% more than a set of passive indexes that replicate this fund's style. However, this manager's style doesn't fit the set of nine passive indexes (large medium and small for value, growth and core) used in this study. The R-squared is only 0.73, which means the indexes only explain 73% of the variance in returns. Attribution analysis would provide additional insight as to how the manager achieved these results. But that would require knowledge of all the holdings of all 100 mutual funds for the past five years.