Tag Archives: Risk-Adjusted SPIVA

Jun 4, 2020

Exploring SPIVA on a Risk-Adjusted Basis

What happens to active manager performance when risk is factored in? S&P DJI’s Gaurav Sinha takes a closer look at SPIVA data from markets around the globe.

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May 19, 2020

Risk-Adjusted SPIVA® Year-End 2019 Scorecard: Most Active Managers Still Lagged

In addition to absolute returns, institutional investors also evaluate active funds by risk-adjusted returns. This is not surprising since Modern Portfolio Theory tells us that higher returns tend to be associated with higher risk. Our Risk-Adjusted SPIVA Scorecard was introduced in 2018 as an extension of the standard SPIVA Scorecards. It aims to assess whether…

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Jun 5, 2019

Are Active Funds Better at Managing Risks? Not Really.

In investing, risk and return are two sides of the same coin; the expected returns of an asset must be accompanied by variation or uncertainty around the outcome of those returns. All else equal, higher-risk assets should be compensated, on average, by higher returns. The same philosophy applies to performance evaluation. The performance of both…

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Jul 9, 2018

Risk-Adjusted SPIVA® Scorecard: The Evaluation of Active Managers’ Performance Through a Risk Lens

Evaluating active managers’ performance through a risk lens is rooted in modern portfolio theory (MPT), which states that the expectation of returns must be accompanied by risk—the variation (or volatility) around the expected return. MPT assumes that higher risk should be compensated, on average, by higher returns. Institutional investors tend to be interested in risk-adjusted…

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