Carpenter Analytix

Market Models & Metrics

Prime Timers

Gurus Adding Value in Beta Variation

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Our several "moving beta" models track the ups and downs of market exposure across hundreds of funds.  Some funds show significant gains from exposure management (Beta Gain); that is, positive  timing effects.  The funds tabulated here have positive timing contributions (in red rectangle) and well-deserved reputations.  

 The average of current percentiles is 72.9 (vs 73.3 a week ago).  The top three timers' percentile average is 96.7 (vs 97.7 a week ago).

Prime Timer exposure graphics for October appear below the summary table.  The summary table is updated weekly; graphics monthly.  

Prime Timer Exposures Summary: May 12, 2016

The red rectangle above shows the percentage points of each fund's average annual total return that arose from beta variation (timing).  The blue rectangle shows where each fund's current equity exposure ranks within its own recent ten-year history.  

Fund Exposure Graphics: 

Value Funds.  When these funds have above-market exposure, the S&P has gained at an average annualized rate of +6.6%; when below-market, the S&P lost at a -10.4% rate. Click here to see how Value Fund exposure deciles are related to forward returns. 

Value Funds                                 May 12 Exposure: 1.21x market  (93rd Percentile)

Red hashmarks toward right of each graph show 10-year quintile and "outside" decile boundaries.

FPA Capital fund (FPPTX) has great ten-year timing (adjusted annual BetaGain, recently at +2.7% (in red rectangle in data table above).   

Robert Rodriguez                     May 12 Exposure: 1.37x market  (97th Percentile)


Legg Mason Opportunity (LMOPX).  Opportunity Trust has out-timed the Value Trust by far since Bill Miller moved to it..  It has a pretty good equity exposure history, in spite of the two last retreats toward market parity (early 2013, early 2014).

Bill Miller                                          May 12 Exposure: 2.07x market  (100th Percentile)


Valley Forge Fund (VAFGX).  Notice how dramatically the beta behavior changes when Mr. Boyle took over in 2013. 

Brian Boyle                                        May 12 Exposure 0.78x market (65th Percentile)


Leuthold Core Fund.  Leuthold had been reducing exposure regularly since late 2009, but then raised it again since late 2010.  Exposure variability has reduced a bit since 2012, staying pretty much above the fund's historical median.

Doug Ramsey                               May 12 Exposure: 0.41x market  (14th Percentile)


Heebner's CGM Focus Fund.  CGMFX was hailed as "Best Stock Fund of the Decade" by the WSJ (Dec 31, 2010), but the article only addressed stock-picking, failing to note that almost 13 percent of the fund's total return (6.5% of the fund's decade average 18%) was from market timing gain.

Ken Heebner                             May 12 Exposure: 1.90x market   (95th Percentile)


Berkowitz's Fairholme Fund went strongly bullish (top decile of exposure) in summer 2011, and has mostly remained above market parity since 2008.

Bruce Berkowitz                                May 12 Exposure: 1.06x mkt (64thPercentile)


Hussman Strategic Growth carries long or short exposure equally.  Notably bearish for months, then relief through the summer, and now reasserting negative position.

John Hussman                     May 12 Exposure:  - 0.42x market  (29th Percentile)  

     Red hashmarks toward right of each graph show 10-year quintile and "outside" decile boundaries.

Use the Contact link to inquire for exposure paths (and timing scores) on your key funds. 

The summary table on this Prime Timers page is updated weekly; graphics monthly.  

Background Notes on Prime Timers.  Our "moving beta" tracks changes in equity exposure based on market sensitivity of daily returns.  BetaGain maps the moving beta exposure vs market trends to estimate gain or loss from exposure variation.  See Models page (navigation bar at left) for more on "moving beta" in the PBA model.

BetaGain (in red rectangle) shows annualized timing returns. The "Adjusted" column equalizes BetaGain potential relative to each fund's range of beta variation (StD of the daily beta estimates).

The second-to-last column (inside blue rectangle) shows recent exposures normalized to 0-to-100 scale.  A score of 50 means a fund is currently at it's own average exposure.  Above 50 is bullish position, and below 50 is bearish.  The final "Change5" column shows the 5-day change in normalized exposure.

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