Prime Timers

Gurus Adding Value in Beta Variation

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.  

Four of seven Prime Timers are above their median exposures (blue rectangle in summary table below).  Current median percentile across funds is at 55th percentile, and the average percentile is 49.  The top three timers average 67th percentile.

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

The Prime Timer funds above have been showing 10-year annualized timing contributions ranging generally  from about 2% to 4%.    Do not get contrary to positive timing gurus when they move toward bullish or bearish congruence.  (Note in graphs below, for example, all six show sharply reduced exposure at summer of 2007.) 

Fund Notes: 

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.

September 1 Exposure: 1.16x market  (88th Percentile)

Value Funds

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 is now at +3.8% (in red rectangle in table above).  Still down from March, and WAY down from last winter.  The chart immediately below portrays a quite worried fund manager.  This timer was at bottom exposure decile just before the debacles of 2002 and 2008 (chart below). 

September 1 Exposure: 0.95x market  (58th Percentile) 

Robert Rodriguez

Legg Mason Value Trust (LMVTX).  Miller's fund was bullish through 2009, but has retreated somewhat from that.  After bailing out like crazy back in the fall of 2008 (see chart below), the fund raised exposure steadily and rapidly from October to April 2009, then plateaued and retreated.  

September 1 Exposure: 1.14x market  (55th Percentile)

Bill Miller

Leuthold Core Fund (LCORX) is still above median exposure; but has been reducing exposure regularly (and now steeply) since late 2009.

September 1 Exposure: 0.61x market  (46th Percentile)

Steve Leuthold

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

September 1 Exposure: 1.40x market   (69th Percentile)

Ken Heebner

Hussman Strategic Growth carries long or short exposure equally.  Notably bearish for months.

September 1 Exposure:  -0.22x market  (17th Percentile)  

John Hussman

Vanguard Asset Allocation.  VAAPX erred badly in holding 100% exposure through 2008.  But that was an historical aberration; overall timing is quite good.    Current raw exposure is  extremely conservative for this fund.  Vanguard is plainly in defensive bearish posture, but may be starting to buy back into equities again.

September 1 Exposure: 0.65x market  (10th Percentile)

Vanguard

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.