When I was in high school I played basketball. There was one game in 10th grade where I had a jump ball with a kid named Chip Bunker who was 6'10". I am 6'2".I have had some fun questioning why John Connor from Third Millennium Russia Fund (TMRFX) is viewed as being so smart about the Russian Stock Market when it seems like the fund always badly lags the market.
Barron's interviewed Samuel Oubadia, manager of the ING Russia Fund (LETRX). The chart I attached is YTD so there are no dividend distortions.
LETRX is Chip Bunker and TMRFX is me.
Do the people at CNBC know about this fund?
2 comments:
It's quite possible that they don't know about it. Running a regression of the two funds, along with EUROX (which had been hot over the past few years) turns up the following:
1) Third Millenium is correlated less with European Markets in general than LETRX (0.2 vs. 0.34). EUROX, which has turned cold, clocks in with a 0.42. This makes sense since EUROX has greater country diversification - ie) would be closer to the overall European markets than country-specific funds.
2) Third Millenium has only about 55% the beta of LETRX (0.67 vs. 1.23). In comparison, EUROX is at about 1.32 through this year to date.
3) LETRX's alpha is higher at 23.7% annualized vs. 13.4% for Third Millenium. EUROX's alpha has dropped to -11.9% annualized so far this year.
4) Risk-adjusting the returns leads to an IR of about 0.55 for Third Millenium, vs. 0.69 for LETRX.
We look at risk-adjusted alpha's (ie. alpha divided by std. dev. of alpha) on a cumulative basis and on that basis, LETRX looks to be the better fund YTD; admittedly a very short time frame. Yet, LETRX's numbers look notably better only since June of this year.
I think part of what you're recognizing as "lag" in TFRMX is an intentional lower beta.
Nothing wrong with a higher beta, especially if you're making a targeted bet on the selected country. In fact, the maximum draw-downs of the two were similar (from May 4th to June 15th - highs and lows for each fund for the year), the returns were -25.3 for TFRMX and -27.5 for LETRX).
I can send you a spreadsheet if you'd like showing the analysis, though it doesn't take into account risk-free rates.
Seems like LETRX shoud be getting a bit more attention. Funny that Morningstar just downgraded the fund!
Eastern europe and central asia are likely...umm...maybe...to get a lot of trickle down from huge oil fields in central asia. Chevron and other domestic entities have a lot at stake. Old story spun, but in order to track it and to spice up a portfolio there is not an etf tied to this region. Is there? Closed end funds are a kind of mystery to me, therefore suspect, but open to suggestions should you have one. CEE and TRF are two closed end funds that offer exposure. Pitfalls? Thanks Roger
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