(MONEY Magazine) – Even the leading lights of the investing world couldn't beat back a brutal bear market. Still, half of last year's Ultimate Investment Club bested the S&P 500, and only two suggested portfolios of stocks that sank lower than the index.

The best call of the bunch came from Pimco's Bill Gross, who recommended bonds backed by the Government National Mortgage Association. Over the past five years, average annual returns on these mortgage-backed securities have ranged from 6.7% to 7.8%, and a big helping of Ginnie Maes helped Gross' Pimco Total Return fund gain 7.4% over the past year.

Another club member who stayed in the black was Vanguard Health Care fund's Ed Owens, whose two picks managed a 0.4% gain. The stocks, drugmaker Pharmacia (up 1.5%) and health-care-products maker Johnson & Johnson (down 0.7%), both remain top 10 holdings in his fund. The index-beaters also included Sanford C. Bernstein's Sallie Krawcheck, Sequoia fund's Bill Ruane, and private investor Michael Price, who turned in returns of -3.5%, -4.3% and -6.6%, respectively.

Three other club members--Glen Bickerstaff, Bill Miller and David Herro--about matched the S&P 500's painful ride down the charts. Bickerstaff, manager of TCW Galileo Select Equities, did have one gainer with auto insurer Progressive (+14%), which is still his top holding, and he's enthusiastic about all of last year's losing picks, including Siebel Systems and Qualcomm, because they're gaining market share. Legg Mason Value Trust's Bill Miller also had one winner with Amazon, which rose about 16%. He still likes AOL Time Warner (-74.7%) and Eastman Kodak (-24.8%).

Among Oakmark International manager David Herro's choices, Metso (+2.7%), a Finnish maker of machinery for the paper industry, and Diageo (+11.3%), a U.K. beverage firm, rose in value. The biggest upset of the year was the poor showing of Abby Joseph Cohen's picks. After years of standout performance by the Goldman Sachs strategist--in 2000, eight of her analyst's 10 choices rose in value--her picks struggled in 2001. Sun fell 76%, Merck sank 25% and Enron--yes, Enron--fell 98.5% through Jan. 15, when it was delisted. Cohen notes that her energy analyst had shifted out of Enron by the time our story came out last September. --JEFF NASH