The £237.5m portfolio, headed up by Timothy Youngman and Guy Thornewill, has a Sharpe ratio of 1.13 over the period – the highest for any fund across the IMA Absolute Return, Mixed Investment 0-35%, 20-60%, 40-85% and Flexible Investment sectors.
Three of the five funds with the best risk-adjusted returns over 10-yrs are managed by Ruffer – the other two being its Total Return and Equity & General portfolios. Sebastian Lyon’s Trojan fund and Martin Gray’s CF Miton Special Situations Portfolio make up the rest of the top-five.
Top-10 risk/return funds
| Name | Sharpe ratio | 10-yr return (%) | 10-yr vol (%) |
| CF Ruffer - European | 1.13 | 280.81 | 10.11 |
| CF - Miton Special Situations Portfolio | 1 | 173.97 | 8.05 |
| Trojan | 0.91 | 164.31 | 7.01 |
| CF Ruffer - Total Return | 0.86 | 149.97 | 7.46 |
| CF Ruffer - Equity & General | 0.75 | 157.45 | 10.09 |
| McInroy & Wood - Balanced | 0.63 | 160.12 | 10.87 |
| McInroy & Wood - Income | 0.62 | 143.49 | 9.78 |
| Newton - Real Return | 0.62 | 146.27 | 10.55 |
| Investec - Diversified Income | 0.61 | 101.86 | 8.51 |
| Newton - Global Balanced | 0.6 | 170.51 | 11.59 |
Source: FE Analytics
The Sharpe ratio measures a fund's return relative to a notional risk-free investment – in this case, cash. The difference in returns is then divided by the fund's volatility.
The Ruffer European fund has returned 280.81 per cent over 10 years, with an annualised volatility of 10.11 per cent. This compares with a return of 86.4 per cent from its IMA Mixed Investment 40-85% Shares sector average, which has a volatility of 11.17 per cent over the period.
Performance of fund vs sector over 10-yrs
Source: FE Analytics
The fund also tops its sector for total returns over 10 years, beating its closest competitor – Newton Global Balanced – by more than 110 percentage points. Youngman and Thornewill’s portfolio is also a top-quartile performer over one, three and five years.
Ruffer European invests in pan-European equities and bonds, as well as alternative investments such as cash and commodities.
It currently has 21 per cent in UK equities, 49 per cent in continental European equities, 13 per cent in cash and 12 per cent in European fixed interest. The fund has a minimum investment of £1,000 and a total expense ratio (TER) of 1.57 per cent.
While CF Ruffer Total Return and Trojan have both returned significantly less than Ruffer European, they have taken on significantly less risk over 10 years. They are among only a select few that managed to make money in 2008, and remained cautiously positioned even during the 2009 and 2010 QE-fuelled rally.
Performance of funds over 10-yrs
Source: FE Analytics
The top-10 list includes some of the highest-profile multi-asset funds in the IMA universe, including Iain Stewart’s Newton Real Return and Global Managed portfolios as well as those already mentioned.
However, there was no place for the popular Jupiter Merlin portfolios, which are headed up by John Chatfeild-Roberts and his multi-manager team. Jupiter Merlin Income only just missed out, in 11th place.
Many investors may not be familiar with FE Alpha Manager Victor Wood’s McInroy & Wood Balanced and Income funds, which are sixth and seventh on the list respectively. Both portfolios are top quartile in their Mixed Investment 40-85% Shares sector over three, five and 10 years.
They are available with a minimum investment of £10,000 and have a TER of 1.55 per cent.
In a recent interview with FE Trustnet, Clear Financial Advice’s Paul Davis highlighted CF Miton Special Situations, Trojan and Newton Real Return as his favourite multi-asset options. The IFA says funds such as these are far superior to self-made portfolios.