Active funds are supposed to earn their stripes during bear markets, right?

Indeed, one of the big arguments in support of active funds versus passive funds is that the former should be better positioned to nimbly sift through the wreckage of market crashes and outperform index-based funds beholden to the carnage of falling markets.

But that hasn’t been the case during the current market swoon, according to Morningstar analyst Jeffrey Ptak.

In a research note published today, Ptak said roughly 42% of active mutual funds topped their indexes during the bear market period from February 20 through March 16. During the preceding rally, from December 24, 2018 through February 19, about 44% of active funds beat their bogeys.

But on the plus side (relatively speaking), the average active fund lagged its index by approximately 0.42% during the bear market, an improvement over the lag of 0.72% during the preceding rally.

Active managers have fared best in the commodities, alternatives and sector-equity sectors.

Ninety percent of actively managed commodities funds have topped their bogey during the downturn, and have done so by an average margin of 3.92%. Ptak said this is mainly because most of the funds in this space aren’t as long to their index.

“So it’s a risk/reward story there,” he said in an email reply.

Funds focused on alternatives have been second best in terms of success rate during the bear market (84%), but the best in terms of average margin of outperformance (6.89%). And 60% of sector-equity funds beat their indexes during the past month, and did so with an average outperformance of 0.86%.

Funds in the following areas have underperformed their bogeys the most during the downturn: taxable-bond funds (minus 2.07%); international equity (minus 1.36%) and allocation (minus 0.47%).

In total, roughly two-thirds of active funds that have outperformed during the bear market had lagged during the preceding rally, Ptak wrote.

A prime example is active alternative funds, where just 8% of such funds outperformed their bogey during the prior rally.