Funds with highest 3-year Sharpe ratios
April 25, 2017 2:41 PM
Equities have surged for nearly half a year, so it may be understandable if clients seem focused just on returns at the expense of risk. But with the VIX gauge beginning to jump around – it hit 16 last week after hovering around 10 or 11 since New Year’s – advisers can’t just watch as some clients stick their heads in the sand.
Even in times of low volatility, individual portfolios may carry high (read unwarranted) levels of risk. In that light, we collected the equity mutual funds and ETFs with the best risk-adjusted returns as measured by Sharpe ratios. The eyes of many clients may glaze over, but it’s your job to remind them how concepts like risk and standard deviation can affect their savings.
Scroll through to see the 20 funds with the highest three-year Sharpe ratios. All data is from Morningstar.
Even in times of low volatility, individual portfolios may carry high (read unwarranted) levels of risk. In that light, we collected the equity mutual funds and ETFs with the best risk-adjusted returns as measured by Sharpe ratios. The eyes of many clients may glaze over, but it’s your job to remind them how concepts like risk and standard deviation can affect their savings.
Scroll through to see the 20 funds with the highest three-year Sharpe ratios. All data is from Morningstar.
20. PowerShares S&P 500® Quality ETF (SPHQ)
3-Yr. Sharpe Ratio: 1.26%
3-Yr. Return: 11.78%
Expense Ratio: 0.29%
Fund Size (millions): $1,203
3-Yr. Return: 11.78%
Expense Ratio: 0.29%
Fund Size (millions): $1,203
19. Fidelity Select Semiconductors (FSELX)
3-Yr. Sharpe Ratio: 1.26%
3-Yr. Return: 22.37%
Expense Ratio: 0.74%
Fund Size (millions): $3,147
3-Yr. Return: 22.37%
Expense Ratio: 0.74%
Fund Size (millions): $3,147
18. Columbia Seligman Comms & Info (SLMCX)
3-Yr. Sharpe Ratio: 1.27%
3-Yr. Return: 19.88%
Expense Ratio: 1.35%
Fund Size (millions): $4,973
3-Yr. Return: 19.88%
Expense Ratio: 1.35%
Fund Size (millions): $4,973
17. SEI US Managed Volatility (SVYAX)
3-Yr. Sharpe Ratio: 1.27%
3-Yr. Return: 10.69%
Expense Ratio: 0.24%
Fund Size (millions): $1,468
3-Yr. Return: 10.69%
Expense Ratio: 0.24%
Fund Size (millions): $1,468
16. Columbia Seligman Global Technology (SHGTX)
3-Yr. Sharpe Ratio: 1.30%
3-Yr. Return: 20.35%
Expense Ratio: 1.40%
Fund Size (millions): $899
3-Yr. Return: 20.35%
Expense Ratio: 1.40%
Fund Size (millions): $899
15. First Trust Morningstar Div Leaders ETF (FDL)
3-Yr. Sharpe Ratio: 1.30%
3-Yr. Return: 12.28%
Expense Ratio: 0.45%
Fund Size (millions): $1,763
3-Yr. Return: 12.28%
Expense Ratio: 0.45%
Fund Size (millions): $1,763
14. Fidelity Real Estate Income (FRIFX)
3-Yr. Sharpe Ratio: 1.31%
3-Yr. Return: 7.14%
Expense Ratio: 0.81%
Fund Size (millions): $4,955
3-Yr. Return: 7.14%
Expense Ratio: 0.81%
Fund Size (millions): $4,955
13. DoubleLine Shiller Enhanced CAPE (DSEEX)
3-Yr. Sharpe Ratio: 1.31%
3-Yr. Return: 15.68%
Expense Ratio: 0.63%
Fund Size (millions): $3,265
3-Yr. Return: 15.68%
Expense Ratio: 0.63%
Fund Size (millions): $3,265
12. PowerShares S&P MidCap Low Volatil ETF (XMLV)
3-Yr. Sharpe Ratio: 1.31%
3-Yr. Return: 14.40%
Expense Ratio: 0.25%
Fund Size (millions): $964
3-Yr. Return: 14.40%
Expense Ratio: 0.25%
Fund Size (millions): $964
11. SEI Dynamic Asset Allocation (SDLAX)
3-Yr. Sharpe Ratio: 1.32%
3-Yr. Return: 13.64%
Expense Ratio: 0.08%
Fund Size (millions): $2,356
3-Yr. Return: 13.64%
Expense Ratio: 0.08%
Fund Size (millions): $2,356
10. iShares Edge MSCI Min Vol USA (USMV)
3-Yr. Sharpe Ratio: 1.35%
3-Yr. Return: 12.10%
Expense Ratio: 0.15%
Fund Size (millions): $12,516
3-Yr. Return: 12.10%
Expense Ratio: 0.15%
Fund Size (millions): $12,516
9. American Century Equity Income Inv (TWEIX)
3-Yr. Sharpe Ratio: 1.35%
3-Yr. Return: 10.73%
Expense Ratio: 0.94%
Fund Size (millions): $12,285
3-Yr. Return: 10.73%
Expense Ratio: 0.94%
Fund Size (millions): $12,285
8. First Trust Value Line Dividend ETF (FVD)
3-Yr. Sharpe Ratio: 1.35%
3-Yr. Return: 12.36%
Expense Ratio: 0.70%
Fund Size (millions): $3,392
3-Yr. Return: 12.36%
Expense Ratio: 0.70%
Fund Size (millions): $3,392
7. AQR Large Cap Defensive Style (AUEIX)
3-Yr. Sharpe Ratio: 1.42%
3-Yr. Return: 12.91%
Expense Ratio: 0.39%
Fund Size (millions): $981
3-Yr. Return: 12.91%
Expense Ratio: 0.39%
Fund Size (millions): $981
6. Invesco Dividend Income Investor (FSTUX)
3-Yr. Sharpe Ratio: 1.43%
3-Yr. Return: 10.90%
Expense Ratio: 1.13%
Fund Size (millions): $2,521
3-Yr. Return: 10.90%
Expense Ratio: 1.13%
Fund Size (millions): $2,521
5. PowerShares High Yld Eq Div Achiev ETF (PEY)
3-Yr. Sharpe Ratio: 1.47%
3-Yr. Return: 15.84%
Expense Ratio: 0.54%
Fund Size (millions): $1,044
3-Yr. Return: 15.84%
Expense Ratio: 0.54%
Fund Size (millions): $1,044
4. Vanguard Global Minimum Volatility Admr (VMNVX)
3-Yr. Sharpe Ratio: 1.47%
3-Yr. Return: 10.29%
Expense Ratio: 0.17%
Fund Size (millions): $1,768
3-Yr. Return: 10.29%
Expense Ratio: 0.17%
Fund Size (millions): $1,768
3. Lazard Global Listed Infrastructure Inst (GLIFX)
3-Yr. Sharpe Ratio: 1.48%
3-Yr. Return: 13.05%
Expense Ratio: 0.96%
Fund Size (millions): $4,212
3-Yr. Return: 13.05%
Expense Ratio: 0.96%
Fund Size (millions): $4,212
2. PowerShares S&P 500 High Div Low VolETF (SPHD)
3-Yr. Sharpe Ratio: 1.52%
3-Yr. Return: 15.41%
Expense Ratio: 0.30%
Fund Size (millions): $3,118
3-Yr. Return: 15.41%
Expense Ratio: 0.30%
Fund Size (millions): $3,118
1. Fidelity Series Real Estate Income (FSRWX)
3-Yr. Sharpe Ratio: 1.66%
3-Yr. Return: 6.60%
Expense Ratio: 0.61%
Fund Size (millions): $883
3-Yr. Return: 6.60%
Expense Ratio: 0.61%
Fund Size (millions): $883
