A fund that has consistently outperformed its rivals by capturing the market’s upside while avoiding its falls and generating alpha while preserving capital would be a dream for most investors – but one that is difficult to realise. 
The past is no guide to the future but our in-depth analysis of the Investment Association universe has found a handful of funds – not necessarily the ones you might expect – that have come very close to achieving an ideal performance profile in recent years.
Obviously, there is no perfect way to analyse funds and there is disagreement over exactly which metrics investors should focus their attention on. However, we wanted to build an in-depth model that ranks funds in terms of their total returns, capital preservation and making the most of market upside.
In order to do this, we looked at decile rankings of the IA UK All Companies sector for cumulative five-year returns up to the end of 2015 as well as the annual returns of 2015, 2014 and 2013. We added to this the decile rankings for annualised volatility, maximum drawdown and downside capture. We did the same for alpha generation, Sharpe ratio and upside capture.
This gave us 10 decile rankings for each fund in the sector; adding these together gives a simple score, where a 10 shows a fund has been first decile in each metric and a 100 would indicate 10th decile performance in each. Sorry if that seems complicated, but we’re trying to tick all the boxes here.
None of the 269 funds in the sector achieved a perfect score but some have come incredibly close. In the following gallery, we highlight five of the UK funds that have come out on top in our in-depth review of the sector.
