Largest active U.S. equity DC mutual funds lag S&P 500

The Dodge & Cox Stock Fund Class I was the largest U.S. equity mutual fund in defined contribution plans, based on data collected by Pensions & Investments. The mutual fund’s DC assets totaled $43.4 billion as of June 30, up from $35 billion in 2017.

For 2022, a year that saw the S&P 500 index lose 18.1%, the Dodge & Cox Stock Fund and Vanguard PRIMECAP Fund Class Admiral outperformed with returns of -7.2% and -15.1%, respectively.

However, none of the five largest funds gained more than the S&P 500’s 9.4% annualized five-year return.

Only the Vanguard PRIMECAP Fund had a positive alpha (a measure of excess return vs. the benchmark) and information ratio (performance vs. the benchmark after considering volatility) over the past year.

Over the past five years, none of the five largest mutual funds had positive alphas or information ratios. On an absolute risk-return basis, the funds all had lower Sharpe ratios, which measure the excess return over a risk-free return when compared with its volatility, than the S&P 500 index’s 0.54.