Worst year of any fund?

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bestplans
Posts: 141
Joined: Wed Mar 12, 2014 4:20 pm

Worst year of any fund?

Post by bestplans »

Is there a readily available source of info/URL where I can get data on the "worst year" (performance wise) of any particular fund (or perhaps even better - a listing of annual returns for each year of a fund's existence)? I know this would be a crude method of assessing worst case scenarios of future performance and downside risk but it is something I'm always interested in obtaining as an "eyeball" metric of how comfortable I'd be in that investment. Thank you.
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grabiner
Advisory Board
Posts: 35307
Joined: Tue Feb 20, 2007 10:58 pm
Location: Columbia, MD

Re: Worst year of any fund?

Post by grabiner »

Morningstar at http://www.morningstar.com can give you a chart of fund performance from the date of inception, or between any two specific dates. (If you check a Vanguard fund, use the Investor share class, which has a longer history.)

For example, see the Morningstar chart of Vanguard Wellington, Vanguard's oldest fund; it goes back to 1929. The fund lost 62% of its value from the 1930 peak to the 1932 bottom, and more recently, 35% from the 2007 peak to the 2009 bottom. (It is only 65% stock, so it didn't lose as much as the stock market.)
Wiki David Grabiner
stlutz
Posts: 5585
Joined: Fri Jan 02, 2009 12:08 am

Re: Worst year of any fund?

Post by stlutz »

Yahoo finance provides annual returns for funds since inception. For example, VG Wellington:

http://finance.yahoo.com/q/pm?s=VWELX+Performance
Leeraar
Posts: 4109
Joined: Tue Dec 10, 2013 7:41 pm
Location: Nowhere

Re: Worst year of any fund?

Post by Leeraar »

Problem is, the worst funds just disappear and the history is lost.

Survivor bias.

L.
You can get what you want, or you can just get old. (Billy Joel, "Vienna")
Trev H
Posts: 1896
Joined: Fri Mar 02, 2007 9:47 pm

Re: Worst year of any fund?

Post by Trev H »

Asset Class Returns from 1970-2009 (In CSV format).

You can easily copy and past that into Excel and do what ever you want...

Year,TSM ,LV ,LB ,LG ,MV ,MB ,MG ,SV ,SB ,SG ,D10 ,REIT ,ILV ,ILB ,ISV,ISB ,COMM ,GLD,TIPS ,LTT ,ITT ,STT ,ITB ,TBILL
Year,VTSMX,VIVAX,VFINX,VIGRX,VMVIX,VIMSX,VMGIX,VISVX,NAESX,VISGX,BRSIX,VGSIX,VTRIX,VGTSX,ISV,VFSVX,PCRIX,GLD,VIPSX,VUSTX,VFITX,VFISX,VBMFX,VPMXX
1970,-0.19,10.83,3.72,-5.39,6.77,-2.37,-6.61,0.02,-17.68,-18.88,-18.55,-8.83,-10.07,-11.99,-0.55,-0.55,4.16,5.81,5.75,11.85,16.55,16.70,11.88,6.14
1971,16.01,5.20,14.12,22.94,14.37,20.83,27.98,14.12,16.22,23.22,17.75,15.17,33.28,29.31,64.42,64.42,-6.84,16.09,10.55,12.95,8.45,8.59,12.98,4.04
1972,16.71,13.91,18.82,24.96,9.89,8.83,6.61,6.72,4.12,3.42,-0.95,7.74,38.93,36.01,61.25,61.25,37.95,48.46,-2.65,5.45,4.95,5.05,5.48,3.44
1973,-18.29,-10.32,-14.88,-18.98,-15.88,-26.77,-32.60,-26.28,-31.18,-39.38,-42.45,-15.76,-14.50,-15.19,-14.21,-14.21,67.66,75.21,-4.05,-1.35,4.35,4.44,3.18,6.54
1974,-27.39,-22.25,-26.68,-32.69,-21.35,-25.47,-33.76,-18.48,-20.18,-33.68,-29.65,-21.66,-22.97,-23.49,-28.55,-28.55,3.36,70.08,4.95,4.15,5.45,5.51,6.78,7.64
1975,38.51,37.50,37.02,31.09,60.22,57.13,49.53,54.22,52.52,62.92,71.65,19.04,39.18,35.11,48.20,48.20,4.37,-23.15,16.15,8.95,7.55,7.64,8.08,5.44
1976,26.51,33.99,23.72,10.30,48.28,40.13,30.33,53.32,57.12,43.22,54.95,47.34,5.30,2.21,10.35,10.35,-6.29,-4.18,-0.35,16.55,12.65,12.73,11.48,4.74
1977,-4.39,-5.01,-7.80,-12.39,6.99,3.73,0.46,21.52,25.12,20.02,22.45,22.14,27.07,17.81,69.13,69.13,2.31,23.10,7.75,-0.95,1.15,2.67,2.78,4.74
1978,7.31,4.85,5.90,6.46,8.84,10.63,8.94,21.52,23.22,18.32,27.65,10.04,37.90,32.31,62.35,62.35,25.63,36.26,9.65,-1.45,3.25,3.23,1.98,6.84
1979,22.81,20.24,18.00,23.62,27.87,32.23,37.90,35.12,42.82,50.52,41.45,35.64,4.22,4.51,-0.91,-0.91,33.52,135.90,9.75,-1.45,3.85,7.73,6.38,10.04
1980,32.51,24.14,31.90,39.32,17.03,32.23,47.10,25.12,38.32,52.02,29.75,24.14,21.60,22.31,33.60,33.60,5.38,10.40,15.15,-4.25,3.65,8.55,6.38,10.94
1981,-3.89,1.04,-5.20,-11.58,11.01,2.13,-3.52,14.62,1.72,-9.48,7.05,5.74,6.35,-1.29,2.07,0.09,-23.26,-33.21,5.75,1.65,9.15,10.62,10.58,14.34
1982,20.61,19.74,20.90,20.22,34.75,23.03,17.60,28.22,24.62,20.72,27.25,21.34,-0.02,-1.19,-2.61,-0.45,3.10,12.07,-7.85,40.15,28.85,21.02,25.18,10.14
1983,21.81,28.04,21.30,15.72,30.93,23.53,18.35,38.32,28.82,19.82,36.55,30.34,27.07,24.31,35.33,34.73,11.50,-14.74,16.85,0.45,7.15,8.71,7.98,8.44
1984,4.31,9.84,6.20,-1.28,3.29,1.13,-6.40,2.02,-7.58,-16.08,-20.25,20.64,3.82,7.61,10.36,10.41,-4.25,-20.57,15.55,15.25,13.75,13.65,14.08,9.90
1985,32.01,31.24,31.20,32.62,32.62,31.73,29.27,30.72,30.82,30.72,24.95,18.84,62.19,56.41,71.33,66.28,12.29,6.51,8.65,30.75,20.05,13.82,17.78,7.50
1986,15.91,19.74,18.10,15.12,17.60,17.93,17.30,7.12,5.42,3.32,-0.45,18.94,67.48,69.61,56.94,59.46,-6.93,22.47,21.95,24.25,14.85,10.18,12.88,6.20
1987,1.51,0.24,4.70,5.02,-2.50,-0.07,2.50,-7.38,-9.08,-10.78,-15.65,-3.86,31.38,24.61,50.20,39.24,17.17,19.75,8.15,-2.95,2.65,5.49,1.10,6.00
1988,17.81,22.94,16.60,11.02,24.30,19.53,12.60,29.22,24.62,20.12,20.05,13.24,31.22,30.03,34.25,27.12,17.76,-16.06,18.65,0.30,5.85,6.07,7.30,7.00
1989,28.71,24.94,31.40,35.62,22.40,26.03,31.20,12.12,15.92,19.92,4.75,8.54,20.51,18.59,41.84,38.03,26.98,-2.12,5.85,6.40,13.05,10.71,13.60,8.90
1990,-6.19,-8.36,-3.30,-0.58,-16.40,-11.77,-5.40,-22.08,-19.78,-17.68,-32.05,-15.66,-18.24,-20.97,-14.77,-15.38,24.39,-2.62,5.95,11.30,9.45,8.40,8.60,8.00
1991,34.51,24.34,30.22,40.92,37.60,41.23,46.70,41.42,45.82,50.92,47.55,35.44,9.96,19.27,8.65,8.16,3.03,-10.76,15.65,11.00,15.05,9.95,15.25,5.90
1992,9.61,13.54,7.42,4.72,21.40,16.13,8.40,28.82,18.20,7.52,32.85,14.34,-8.72,-8.66,-18.31,-16.44,5.85,-6.61,7.25,7.40,7.78,6.85,7.14,3.53
1993,10.62,18.35,9.89,1.53,15.30,14.03,10.90,23.52,18.70,13.12,24.65,19.44,30.49,38.85,52.69,42.09,5.68,17.25,15.45,16.79,11.43,6.41,9.68,2.86
1994,-0.17,-0.73,1.18,2.89,-2.40,-2.37,-2.50,-1.78,-0.51,-2.68,-3.65,2.94,5.25,5.45,19.25,13.40,5.15,-2.64,2.95,-7.03,-4.33,-0.58,-2.66,3.81
1995,35.79,36.94,37.45,38.06,34.60,34.13,33.70,25.52,28.74,30.72,29.35,15.04,9.65,8.74,-0.37,0.30,23.55,-6.31,0.55,30.11,20.44,12.11,18.18,5.49
1996,20.96,21.86,22.88,23.74,20.00,18.73,17.20,21.12,18.12,11.02,16.05,35.04,10.22,5.19,1.79,3.72,17.61,-5.02,3.85,-1.25,1.92,4.39,3.58,5.09
1997,30.99,29.77,33.19,36.34,34.10,28.73,22.20,31.52,24.59,12.62,20.75,18.77,-4.58,-0.77,-22.17,-14.13,-1.74,-21.88,7.75,13.90,8.96,6.39,9.44,5.12
1998,23.26,14.64,28.62,42.21,4.80,9.83,17.60,-6.78,-2.61,0.92,-1.81,-16.32,19.46,15.60,3.78,25.98,-26.04,-0.68,2.55,13.05,10.61,7.36,8.58,5.00
1999,23.81,12.57,21.07,28.76,-0.41,15.32,51.00,3.35,23.13,19.80,31.49,-4.04,21.81,29.92,28.91,90.29,18.92,-0.57,7.65,-8.66,-3.52,1.85,-0.76,4.55
2000,-10.57,6.08,-9.06,-22.21,18.90,18.10,-12.00,21.88,-2.67,1.59,0.67,26.35,-7.48,-15.61,-7.59,-2.68,35.09,-5.74,4.55,19.72,14.03,8.83,11.39,5.80
2001,-10.97,-11.88,-12.02,-12.93,2.00,-0.50,-20.50,13.70,3.10,-0.78,23.98,12.35,-14.02,-20.15,-4.18,-22.52,-15.75,2.01,7.61,4.31,7.55,7.80,8.43,3.99
2002,-20.96,-20.91,-22.15,-23.68,-9.90,-14.61,-27.70,-14.20,-20.02,-15.41,4.90,3.75,-13.35,-15.08,4.78,-13.88,39.43,24.00,16.61,16.67,14.15,8.02,8.26,1.51
2003,31.35,32.25,28.50,25.92,37.80,34.14,42.40,37.19,45.63,42.88,79.43,35.65,41.90,40.34,67.67,57.37,29.80,19.24,8.00,2.68,2.37,2.38,3.97,0.82
2004,12.52,15.29,10.74,7.20,23.40,20.35,15.20,23.55,19.90,16.06,20.12,30.76,19.77,20.84,34.71,31.77,16.40,5.22,8.27,7.12,3.40,1.03,4.24,1.00
2005,5.98,7.09,6.12,5.09,13.68,13.93,11.80,6.07,7.36,8.64,4.08,11.89,17.96,15.57,23.99,20.49,20.50,17.76,2.59,6.61,2.32,1.77,2.40,2.77
2006,15.51,22.15,15.49,9.01,19.92,13.60,10.36,19.24,15.64,11.94,11.48,35.07,27.37,26.64,29.80,30.34,-3.00,21.95,0.43,1.74,3.14,3.77,4.27,4.55
2007,5.49,0.09,6.29,12.56,-4.37,6.02,17.30,-7.07,1.16,9.63,-5.17,-16.46,12.66,15.52,8.79,5.15,23.80,31.10,11.59,9.24,9.98,7.89,6.92,4.65
2008,-37.04,-35.97,-37.08,-38.32,-36.64,-41.82,-47.07,-32.05,-36.07,-40.00,-39.50,-37.05,-41.74,-44.10,-44.19,-46.62,-43.33,4.92,-2.85,22.52,13.32,6.68,5.05,1.97
2009,28.70,19.58,27.60,36.29,37.61,40.22,42.54,30.34,36.12,41.85,25.95,29.58,33.77,36.73,50.81,47.01,39.92,24.03,10.80,-12.05,-1.69,1.44,5.93,0.25

Below are some details on the return data sources (Vanguard Funds are used where possible).
I don't keep up with this anymore... so the most recent data is thru 2009.

TSM = US Cap Weighted Market:
=============================
1970-1992 CRSP Market Decile 1-10 (-.19)
1993-Forward Vanguards Total Stock Market Index Fund (VTSMX)

LB = US Large Blend:
====================
1970-1976 S&P 500: Standard & Poors (-.18)
1977-2004 Vanguards 500 Index Fund (VFINX)
2005-Forward Vanguards Large Cap Index Fund (VLACX)

LV = US Large Value:
====================
1970-1978 Ibbotson (-.26)
1979-1992 Russell 1000 Value Index (-.26)
1993-Forward Vanguards Value Index Fund (VIVAX)

LG = US Large Growth:
=====================
1970-1978 Ibbotson (-.28)
1979 1992 Russell 1000 Growth Index (-.28)
1993-Forward Vanguards Growth Index Fund (VIGRX)

MB = US Mid Blend:
==================
1970-1978 CRSP Decile 3-5 (-.27)
1979-1998 Russell Mid Cap Index (-.27)
1999-Forward Vanguards Mid Cap Index Fund (VIMSX)

MV = US Mid Value:
==================
1970-1985 Ibbotson (-.30)
1986-2006 Russell Mid Cap Value Index (-.30)
2007-Forward Vanguards Mid Cap Value Index Fund (VMVIX)

MG = US Mid Growth:
===================
1970-1985 Ibbotson (-.30)
1986-2006 Russell Mid Cap Growth Index (-.30)
2007-Forward Vanguards Mid Cap Growth Index Fund (VMGIX)

SB = US Small Blend:
====================
1970-1978 Ibbotson (-.28)
1979-1991 Russell 2000 Index (-.28)
1992-Forward Vanguards Small Cap Index Fund (NAESX)

SV = US Small Value:
====================
1970-1978 Ibbotson (-.28)
1979-1998 Russell 2000 Value Index (-.28)
1999-Forward Vanguards Small Cap Value Index Fund (VISVX)

SG = US Small Growth:
=====================
1970-1978 Ibbotson (-.28)
1979-1998 Russell 2000 Growth Index (-.28)
1999-Forward Vanguards Small Cap Growth Index Fund (VISGX)




D10 = US MicroCap Blend:
========================
1970-1997 CRSP Decile 10 (-.75)
1998-Forward Bridgeway Ultra Small Market (BRSIX)

REIT = Real Estate:
===================
1970-1971 *simulated* 50/50 Small Value/Small Blend (-.26)
1972-1996 Nat. Assn. of Real Estate Inv Trusts (-.26)
1997-Forward Vanguards REIT Index Fund (VGSIX)

Note on International Return Data:
Asset Class Data shown includes both Developed & EM (where possible) and at near market weight. Prior to 2009 Developed/EM mixed at 85/15 ratio. 2009 Forward mixed at 80/20 ratio. Where Vanguard Fund data is used, Total International Fund includes both Developed/EM at Market Weight; International Value and Explorer funds also include both Developed/EM at near market weights – although this may vary since those two funds are actively managed funds (not index funds). Vanguards FTSE X-US International Small Cap fund is used 2010 Forward for ISB and it includes both Developed/EM at market weight.

ILB - Total International – International Large Market:
=======================================================
1970-1987 MSCI EAFE Index (Developed Only)(-.29)
1988-1996 85% EAFE Index, 15% Emerg Mkt Index (-.34)
1997-Forward Vanguards Total International Index Fund (VGTSX)

ILV - International Large Value (including EM):
===============================================
1970-1990 85% IV, 15% EV (ifa.com)
IV – 1970-1974 MSCI EAFE Gross Div (-3.67 bp/month)
---- 1975-1990 MSCI EAFE Value Gross Div (-3.67 bp/month)
EV - 1970-1988 IFA EM Index
---- 1989-1990 Fama/French EM Value Index (-5.0 bp/month)
1991-Forward Vanguards International Value Fund (VTRIX)

ISB - International Small Cap (including EM):
=============================================
1970-1996 85% IS, 15% ES (ifa.com)
IS - Dimensional Intl Small Cap Index (-4.58bp/month)
ES - 1970-1988 IFA Emerging Markets Index,
---- 1989-1996 Fama/French EM Small (-6.5bp/month)
1997-2009 Vanguards International Explorer Fund (VINEX)
2010-Forward Vanguards FTSE X-US Intl Small Cap Index (VFSVX)

ISV – International Small Value (including EM):
===============================================
1970-1994 85% ISV, 15% ESV (data from ifa.com)
ISV 1970-1981 Dimensional Intl Small Cap Index (-4.58 bp/month)
--- 1982-1994 Dimensional Intl Small Value Index (-5.75 bp/month)
--- 1995-Forward – DFA Intl Small Cap Value Fund (DISVX)
ESV = 50% EV, 50% ES (data from ifa.com)
--- EV 1970-1988 IFA EM Index
------ 1989-1998 Fama/French EM Value Index (-5.0 bp/month)
------ 1999-Forward DFA EM Value Fund (DFEVX)
--- ES 1970-1988 IFA EM Index
------ 1989-1998 Fama/French EM Small Index (-6.5 bp/month)
------ 1999-Forward DFA EM Small Cap Fund (DEMSX)
Note – prior to 2009 Developed/EM mixed at 85/15 ratio
2009-Forward Developed/EM mixed at 80/20 ratio (for example)
80% DISVX, 10% DFEVX, 10% DEMSX


COMM – Commodities / Natural Resources:
=======================================
1970-1971 Standard & Poor's Commodity Index (data from fpanet)(-.74)
1972-1990 Collateralized Chase Index (-.74)
1991-1996 DJ-AIJ plus T-Bills (-.74)
1997-2000 DJ-AIG plus Yahoo’s IPS “category” returns (prior to VIPSX)(-.74)
2001-2002 DJ-AIJ plus VIPSX (-.50)
2003-Forward Pimco (PCRIX)
Note on Commodities Return data. 1972-2002 the return data was gathered by Simba, Gummy and others on the bogleheads board in an attempt to replicate Pimco/PCRIX

GOLD = Gold:
============
1970-2004 www.finfacts.ie/Private/curency/goldmarketprice.htm (-.40)
2005-Forward (GLD) ETF

LTT = Long Term Treasury:
==================================
1970-1687 Tamasset Spreadsheet - LT Gov Bonds (-.25)
1988-Forward Vanguards Long Term Treasury (VUSTX)

ITT – InterTerm Treasury:
=========================
1970-1991 Tamasset Spreadsheet - 5 Year Treasury Notes (-.25)
1992-Forward Vanguards InterTerm Treasury Fund (VFITX)

STT = Short Term Treasury
============================================
1970-1977 5 Yr T Notes (–1.5bp/month)
1978-1991 US Treasury 1-3 Yr (–1.5bp/month)
1992-2008 Vanguards Short Term Treasury Fund (VFISX)

ITB = InterTerm Bonds:
======================
1970-1972 Ibbotson (-.22)
1973-1986 Lehman Brothers (-.22)
1987-Forward Vanguards Total Bond Index Fund (VBMFX)

TIPS = Treasury Inflation Protected Securities:
===============================================
1970-2000 Synthetic TIPS (-.25)
2001-Forward Vanguard Inflation Protected Securities Fund (VIPSX)

TBILLS = Risk Free Benchmark for Sharpe:
========================================
1970-1983 T-Bills (-.12)
1984-Forward Vanguard Treasury Money Market Fund (VPMXX)

Note on return data:
Where possible I use annual return data (total return which includes both capital & income return) from Vanguard Asset Class specific index funds. Investor share class data is used which includes the expense ratio (investment cost) of Vanguards Investor Share Class funds. Where actual index fund data does not exist and raw index return data is used (Russell, CRSP, Ibbotson for example) – the investor share class expense ratio of Vanguards equivalent asset class index fund is backed out to apply a (forward looking) reasonable cost to the return data.


Trev H
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