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Balanced Fund Trend Persistence

Dec. 23, 2017 8:07 AM ET
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Seeking Alpha Analyst Since 2013

Shy, risk adverse guy seeking to assure my financial security as the retirement phase begins. After shelling out $350 for my first car, the 45-year-long drive through adulthood was often bumpy, with an occasional swerve into a ditch. Now that I spend more time in my pajamas it's important to regularly exercise the old noggin, which back in the day worked well enough to get me a BS in Aerospace Engineering and an MBA. That's the main reason for this blog.

Summary

  • Autocorrelation characteristics are presented for hybrid mutual funds featuring balanced allocations of stocks, bonds and cash.
  • While possessing lower volatility than most stock funds and many bond funds, balanced funds do not exhibit higher autocorrelation values.

The trend persistence of stock funds and bond funds were previously chronicled. This final installment focuses on hybrid stock/bond funds, a.k.a. balanced funds. As mentioned before, positive autocorrelation can be considered a specific form of “persistence”, i.e. the tendency of a system to remain in the same state from one observation to the next.

Top-rated performers are presented in two groups: moderate-to-aggressive funds with equity allocations greater than half of the holdings; and conservative funds with equity allocations less than half of the holdings. Autocorrelation coefficients of monthly returns over the ten-year period December 2007 through November 2017 are shown for one-month and two-month time lags. Mutual funds are the main feature here, although a few ETFs have been included for completeness.

Stocks Allocation > 50%

  • Putnam PABAX .245, .037
  • VY TRP ITCSX .241, -.094
  • TR Price PRWCX .240, -.098
  • Bruce BRUFX .237, .144
  • Fidelity FASMX .237, -.011
  • Calvert CSIFX .232, .024
  • FPA FPACX .219, -.028
  • Eaton Vance EVIFX .212, .009
  • Fidelity FSANX .212, -.003
  • Fidelity FBALX .207, -.013
  • Dodge & Cox DODBX .199, -.057
  • Prudential JDTAX .192, -.028
  • Fidelity FPURX .190, -.019
  • MFS MMAIX .188, -.040
  • TR Price RPBAX .187, -.039
  • Vanguard VSMGX .179, -.079
  • Lord Abbett LABFX .177, -.052
  • Wells Fargo WFAIX .173, -.104
  • Prudential PABFX .170, -.061
  • Mainstay MBNAX .169, -.046
  • Mairs & Power MAPOX .166, -.062
  • Valueline VLAAX .165, -.008
  • JPMorgan OGIAX .158, -.060
  • Vanguard VGSTX .157, -.081
  • MFS MSFRX .156, -.089
  • Vanguard VWELX .147, -.093
  • American ABALX .145, -.078
  • Vanguard VBINX .145, -.089
  • Intrepid ICMBX .131, -.133
  • Schwab SWOBX .111, -.101
  • Oakmark OAKBX .107, -.017
  • iShares AOR (60% stocks) .090, -.014
  • Janus JABAX .080, -.094
  • Hotchkis & Wiley HWIIX .028, -.074
  • iShares AOA (80% stocks) -.043, -.168

Stocks Allocation < 50%

  • Thrivent AAHYX .308, -.060
  • Wells Fargo EKSAX .286, -.048
  • Fidelity FTANX .276, .034
  • Lord Abbett ISFAX .268, -.062
  • Calvert CCLAX .263, .007
  • USAA USBLX .244, .030
  • Fidelity FFANX .240, .010
  • Berwyn BERIX .217, .002
  • Franklin FKINX .213, .007
  • Vanguard VSCGX .200, -.082
  • Columbia ABUAX .194, -.037
  • Mainstay MCKAX .190, -.073
  • Columbia RBBAX .185, -.031
  • MFS MACFX .183, -.043
  • TR Price PRSIX .177, -.058
  • MFS DIFAX .176, -.205
  • JPMorgan OICAX .169, -.060
  • Vanguard VWINX .136, -.122
  • James GLRBX -.006, .011
  • iShares AOM (40% stocks) -.047, -.182
  • iShares AOK (25% stocks) -.108, -.245

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