NEW YORK ( TheStreet) -- During the volatile markets of recent months, many target-date funds delivered disappointing results. When the S&P 500 dropped 13.9% in the third quarter, Goldman Sachs Retirement Strategy 2040 ( GRNAX) lost 17.7%, while DWS LifeCompass 2040 ( TGTAX) declined 17.0%, according to Morningstar. The showing was especially painful because target-date funds are supposed to protect assets in downturns by holding diversified mixes of stocks and bonds. But not all target-date funds trailed the S&P 500. During the quarter, Invesco Balanced-Risk Retirement 2040 ( TNDAX) returned 2.3%, while PIMCO RealRetirement 2040 ( POFAX) lost 9.7%.The divergent returns should serve as a reminder that target-date funds vary considerably. Although the funds all aim to serve retirement savers, some portfolio managers take significant risk, while others maintain a cautious stance. Riskier funds suffered the biggest losses in the downturns.