A group of 10 funds in the IA UK All Companies sector managed to shield investors from market falls while delivering competitive returns over the past five years.
The analysis below identifies funds with the lowest downside capture ratios in the sector, focusing on those in the top decile. Downside capture measures how far a fund falls when its benchmark – in this case the FTSE All Share index – declines: a reading below 100 indicates the fund has dropped less than the market, while a negative figure shows it has typically gained ground during down periods (no UK fund managed this).
Funds were then filtered for above-average sector returns before assessing their Sortino ratios, which measure risk-adjusted performance by focusing solely on downside volatility rather than total price swings.
The resulting 10 funds span both active stock pickers and index trackers.
| Performance quartile against sector | |||||||
| Fund | Downside capture | Sortino | 2025 | 2024 | 2023 | 2022 | 2021 |
| Marks & Spencer UK 100 Companies | 75.30 | 1.00 | 1 | 2 | 4 | 1 | 3 |
| Invesco UK Opportunities | 75.85 | 1.16 | 1 | 1 | 3 | 1 | 1 |
| Artemis SmartGARP UK Equity | 80.69 | 1.25 | 1 | 1 | 4 | 1 | 1 |
| HSBC FTSE 100 Index | 80.86 | 1.11 | 1 | 1 | 3 | 1 | 2 |
| iShares 100 UK Equity Index | 81.36 | 1.12 | 1 | 1 | 3 | 1 | 2 |
| L&G UK 100 Index Trust | 82.23 | 1.11 | 1 | 2 | 3 | 1 | 3 |
| JPM UK Equity Plus | 88.42 | 1.04 | 1 | 1 | 1 | 2 | 1 |
| iShares MSCI UK UCITS ETF | 88.44 | 1.02 | 1 | 2 | 3 | 1 | 2 |
| Invesco UK Enhanced Index | 89.30 | 1.17 | 1 | 1 | 2 | 1 | 2 |
| L&G UK Equity UCITS ETF | 90.47 | 0.98 | 1 | 1 | 3 | 1 | 2 |
Source: FinXL
Active management
There were only three active funds in the list, with Invesco UK Opportunities ranking in second place overall, with a downside capture of 75.85% and a Sortino ratio of 1.16. It has been a first-quartile performer in four of the past five years, with its only weaker performance coming in 2023, when it ranked in the third quartile.
The fund runs a bottom-up, high-conviction, valuation-focused strategy, concentrated in large-cap core value stocks. Analysts at RSMR said the fund will perform well when value is in vogue and underperform in strongly rising markets led by growth stocks but should outperform over a full cycle.
Artemis SmartGARP UK Equity, which applies the firm's quality-at-a-reasonable-price methodology to UK stocks, selects its companies based on market capitalisation, liquidity and analyst coverage and then ranks across eight factors, including growth, value, estimate revisions, momentum and environmental, social and governance (ESG) factors.
RSMR analysts highlighted that the approach introduces contrarian factors by focusing on value and avoiding overpaying for growth. The mid-cap weighting is significantly higher than the market, introducing investments less typically found in peers' portfolios.
JPM UK Equity Plus sits towards the higher end of the downside capture range at 88.42%, while maintaining a Sortino ratio of 1.04.
What sets the fund apart is the managers’ (Anthony Lynch, Callum Abott, James Illsley and Zach Chadwick) ability to short stocks, which for RSMR analysts can amplify potential returns when tactical underweights prove correct – though the net exposure remains at 100% invested.
Index trackers
Passive strategies featured prominently in the list, demonstrating that tracking broad indices doesn't necessarily mean taking on the full brunt of market falls.
The frontrunner was the Marks & Spencer UK 100 Companies fund, which topped the list by delivering the strongest downside protection in the group. It had a five-year downside capture of 75.30%, a Sortino ratio of 1.00 and has been a first-quartile performer in three of the past five years.
It tracks the FTSE 100 index and charges 0.50% for it – much more than most of its peers that made the list, such as the HSBC FTSE 100 Index (whose ongoing charge is 0.10%), the iShares 100 UK Equity Index (0.06%) and the L&G UK 100 Index Trust (0.10%).
The FTSE 100 is large-cap focused and less volatile, so many funds that track it were included in the study because they don't capture as much of the downside of the broader FTSE All Share index, used here.
Other index trackers included the iShares MSCI UK UCITS ETF, which tracks the MSCI UK index, the L&G UK Equity UCITS ETF, which follows the performance of the Solactive Core United Kingdom Large & Mid Cap index and sits at the highest end of the downside capture range at 90.47%, and the Invesco UK Enhanced Index.
The latter sits between passive trackers and traditional active funds, adding value, quality and momentum metrics to index tracking.
Small-caps
Artemis UK Smaller Companies was the only fund in the IA UK Smaller Companies sector to meet the criteria, with a downside capture score of 90% against the FTSE Small Cap Excluding Investment Companies index and a Sortino ratio of 0.37. Managed by Mark Niznik and Will Tamworth, it focuses on undervalued opportunities capable of delivering predictable, growing cashflows with minimal additional investment.
RSMR analysts said the approach avoids speculative growth situations and instead targets companies where growth is visible and can be self-financed, effectively de-risking the strategy.
This article is part of an ongoing series on downside capture and Sortino ratio. Previously, we covered the global funds to invest with no stress.