Sample Funds to Study Alpha-Beta Matrix

By today, Zhen has completed the first part of data preparation calculations. Now we need to test some real mutual fund data in order to derive our understandings of the scope of Alpha-Beta Matrix. First, let’s study the equity style funds and sector funds first. Stlyle and Sector funds are used often to construct diversified portfolios.

We are going to select 27 style funds, 18 sectors funds, and 5 real estate funds in our first test. Three funds are selected for each style and two funds are chosen for each sector. We use five real estate funds in this test. So we have a total of 50 sample funds, or about 1% of the mutual fund universe.

Some of the factors considered in selecting funds are fund size versus fund family, index versus actively managed fund, and management fees. Based on these factors, we selected the following 27 style funds in nine styles.

(1) Large cap growth
a. FCNTX – Fidelity Contra fund
b. JANSX – Janus Fund
c. VIGRX –Vanguard Growth Index
(2) Large cap blend
a. VFINX –Vanguard 500 Index
b. FMAGX – Fidelity Magellan Fund
c. JSVAX – Janus Contrarian Fund
(3) Large cap value
a. DODGX – Dodge & Cox Stock
b. FEQIX – Fidelity Equity Income Fund
c. VWNDX – Vanguard Winsor
(4) Mid-cap growth
a. RPMGX – T. Rowe Price Mid-cap Growth
b. FDEGX – Fidelity Aggressive Growth
c. JAENX – Janus Enterprise
(5) Mid-cap blend
a. FLPSX – Fidelity Low Price Stock Fund
b. VSEQX – Vanguard Strategic Equity
c. VIMSX – Vanguard Mid-cap Index
(6) Mid-cap value
a. FDVLX – Fidelity Value Fund
b. JMCVX – Janus Mid-cap Value
c. VASVX – Vanguard Selected Value
(7) Small cap growth
a. BGRFX – Baron Growth
b. JAVTX – Janus Venture
c. VISGX – Vanguard Small Growth Index
(8) Small cap blend
a. NAESX – Vanguard Small Cap Index
b. FSLCX – Fidelity Small Cap Stock
c. DISSX – Dreyfus Small Cap Index
(9) Small cap value
a. RYTRX – Royce Total Return
b. VISVX – Vanguard Small Cap Value
c. JSCVX – Janus Small Cap Value

We have selected 18 sector funds in nine sectors.

(1) Consumer goods
a. FDFAX – Fidelity Select Consumer Staples
b. ICLEX – Icon Leisure & Consumer Staples
(2) Consumer Services
a. FSCPX – Fidelity Select Consumer Discretionary
b. ICCCX – Icon Consumer Discretionary
(3) Energy
a. FSENX – Fidelity Select Energy
b. VGENX – Vanguard Energy
(4) Financial
a. FIDSX – Fidelity Select Financials
b. FSFSX – AIM Financials
(5) Health care
a. FSPHX – Fidelity Select Health Care
b. VGHCX – Vanguard Health Care
(6) Industrial
a. FCYIX – Fidelity Select Industrials
b. ICTRX – Icon Industrials
(7) Materials
a. FSAGX – Fidelity Select Gold
b. VGPMX – Vanguard Precious Metals
(8) Technology
a. FSPTX – Fidelity Select Technology
b. JAGTX – Janus Global Technology
(9) Utilities
a. FIUIX – Fidelity Utilities
b. BULIX – American Century Utilities

The Five Real Estate Funds selected are listed below.

(1) FRESX – Fidelity Real Estate Fund
(2) VGSIX – Vanguard REIT Index
(3) CSRSX – Cohen & Steers Realty Shares
(4) REACX – American Century Real Estate
(5) AIGYX – Alpine Realty Income & Growth