Tag Archives: SPIVA

Prediction for 2018: There Will Be Many Predictions

A calendar that offers a forecast for every day of the coming year is not uncommon in Chinese households.  I don’t often hear references to the calendar on most days. But every now and again I would hear my mom marvel, “Oh that calendar was right on for today!” In investing, there is also particular Read more […]

Pockets of Active Achievement

The last 16 years have not been kind to active management. But that shouldn’t come as a surprise. Unless the laws of basic arithmetic change, the theoretical argument on the perils of active management is ironclad. SPIVA data offer solid evidence to back up theory. As the chart below shows, most active managers underperform most Read more […]

What Are Large-Cap Active Managers Up To? A Look at Their Active Factor Bets Relative to the S&P 500 (Part II)

In a recent study published in the Financial Analysts Journal, Ang, Madhavan, and Sobczyk (2017)[1] highlighted that using regression-based factor loadings to measure managers’ factor exposures, even when conducted on a rolling basis, can be misleading due to excessively smoothed coefficients, given that active managers adjust their exposures dynamically. The authors argued that holdings-based attribution Read more […]

What Are Large-Cap Active Managers Up To? A Decomposition of Their Active Sector and Factor Bets (Part I)

The SPIVA U.S. Mid-Year 2017 Scorecard shows that the relative performance of actively managed domestic equities funds across large-, mid-, and small-cap segments has improved in recent months.  For example, only 56.56% of large-cap equity managers underperformed the S&P 500® for the one-year period, whereas 84.62% underperformed the benchmark at mid-year 2016.[1]  More importantly, when Read more […]

Getting What You Pay For

Earlier this week, the Wall Street Journal featured a long article arguing that Morningstar’s star ratings for mutual funds were a “mirage.”   Since these ratings exert a powerful influence over fund flows, their usefulness is obviously of keen interest to investors.  To its credit, Morningstar, although arguing that its ratings are a “worthwhile starting point,” Read more […]

Stock Picking AI? Elementary, My Dear Watson

Keen watchers of the ever-developing exchange-traded product space may have noticed an intriguing development last week, as the first purely “artificial intelligence”-based stock-picking ETF launched.  Powered by IBM’s “Watson” platform, the fund sponsors claim to use a proprietary quantitative model to select stocks that will outperform, based on machine learning applied to vast data sets. One cannot help wondering Read more […]

Timeline of Percentage of Active Funds That Underperformed Their Benchmarks

The active versus passive debate has been a continuous subject of discussion in the evolving asset management industry.  S&P Dow Jones Indices launched the first SPIVA India scorecard in 2013 to provide a barometer on this subject. The Indian market has witnessed significant growth (albeit from a small base) in passive investment products that offer Read more […]

Comparing Active and Passive in Latin America – SPIVA® Latin America

The SPIVA Latin America Mid-Year 2017 Scorecard was released this week.  The report covers Brazil, Chile, and Mexico in selected fund categories.  In line with the rest of the world, widespread gains were seen in both fixed income and equity markets in Latin America in the first six months of 2017. The recent rise in Read more […]

Don’t Shoot the Messenger

Here are some recent headlines about the consequences of passive investing: Japan Central Bank’s ETF Shopping Spree Is Becoming a Worry Passive Market Share to Overtake Active in the US No Later than 2024 Passive investing boom is creating a ‘frightening’ risk for markets ETFs are taking over the world, and there’s nothing anyone can Read more […]

Why Did the Majority of A-REIT Funds Outperform in the Past 12 Months?

In the mid-year 2017 SPIVA® Australia Scorecard, the majority of Australian funds underperformed their respective benchmarks across most categories, similar to previous scorecards.  More than 80% of Australian Mid- and Small-Cap funds underperformed the S&P/ASX Mid-Small over the past 12 months.  In contrast, A-REIT funds stood out as the best-performing category versus their benchmark, the Read more […]