This does not mean, though, that investors have benefited from stellar performance against a risk-free rate. Taking the average of the monthly rolling one-year Sharpe ratio (using UK retail prices index plus 3 per cent) over four years to May 2016, only 10 funds in the classification returned a positive Sharpe ratio average.
It might be tempting to turn to funds in this sector when shorter-term macro factors such as Brexit grab the headlines. However, the evidence in this sector suggests that funds here may not be matched to shorter-term time horizons any better than those in other market-exposed sectors.
Jake Moeller is head of UK and Ireland research at Thomson Reuters Lipper