Don’t expect many actively managed mutual funds to outperform index funds in volatile markets.

During a tumultuous October when the S&P 500 lost almost 7%, the average actively managed large-cap funds lost even more, 7.5%, according to analysis by Bank of America Merrill Lynch. It was the worst monthly performance for actively managed large-cap funds since September 2011.

Actively managed large-cap growth funds performed worst of all. The average actively managed large-cap growth fund lost 9.3% in October and only 14% of those funds bested their benchmark. In contrast, the average actively managed large-cap value fund fell 5.8%, and 30% of them beat their benchmark.

Large-cap core funds performed best of all, but they only matched the performance of their benchmark, losing 6.8%. Fifty-six percent beat their benchmark, the second straight month more than half of them did.

Large-cap managers underperformed even after rotating out of cyclical sectors into defensive sectors at a record pace in September, according to Merrill Lynch analysts.

Cyclical sectors such as consumer discretionary, energy, industrials and materials were among the worst performing sectors in October along with FANG stocks — Facebook, Apple, Netflix and Google — which remained overweighted by the average growth fund manager.

Actively managed small-cap funds performed much better than their large-cap counterparts in October. Sixty-eight percent beat their benchmarks, and the percentage topped 70% for core and growth small-cap funds.

Although a smaller percentage of actively managed small-cap value funds beat their benchmarks — just 34% — that category of the small-cap universe performed better than small-cap core and growth. The Russell 2000 small cap value index lost 9% in October compared with 10.9% for small-cap core and 12.7% for small-cap growth.

— Check out Millionaire Confidence Sags Going Into Elections: Spectrem Group on ThinkAdvisor.