How can style bias impact the perception of active manager outperformance? S&P DJI’s Craig Lazzara and Anu Ganti discuss how a better understanding of style bias can help market participants interpret active manager performance and our SPIVA results. Learn more: https://www.spglobal.com/spdji/en/research/article/style-bias-and-active-performance/
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We can think of an active equity portfolio as a combination of a benchmark (the S&P 500®, for example) and a set of active bets that measure the portfolio’s deviation from the benchmark. The relative size of the active bets is sometimes called “active share,” and is a convenient way to judge a manager’s aggressiveness….
The percentage of active funds that underperformed their respective benchmarks in the Indian Equities Large-Cap and Mid-/Small-Cap fund categories over a one-year investment horizon doubled from 2019 to 2020, as seen in the SPIVA® India Year-End Scorecards for 2019 and 2020. The percentage of Large-Cap active funds that underperformed the S&P BSE 100 over a…
Berkshire Hathaway is scheduled to hold its annual shareholders’ meeting this Saturday, May 1. This is the second consecutive year in which the meeting will be virtual; in 2019, attendance was nearly 40,000, which makes social distancing somewhat difficult. We noted two years ago that Berkshire’s investment performance, though formidable over the long run, had…
How are Custom Indexing tools helping Australian investors plan for superannuation and optimize broad market exposure? Take a closer look at the design process, objective, and performance of the Hamilton12 Australian Diversified Yield Index with S&P DJI’s Kenny Chan and Hamilton12’s Jason Hall.
We’ve previously argued that most managers should prefer above-average correlation, because the incremental volatility a manager accepts to pursue an active strategy will be lower when correlations are high. In addition, active managers should prefer above-average dispersion, because stock selection skill is worth more when dispersion is high. Both correlation and dispersion rose in 2020….
In 2020, the Indian ETF market continued to expand, finishing the year with ~USD 37 billion in assets spread across 99 listings. This represents a year-over-year increase of USD 23.3 billion, or 171%, placing India as the ETF market in the Asia-Pacific region with the highest growth on a percentage basis in 2020.1 Within the…
Modern Portfolio Theory tells us that higher returns tend to be associated with higher risk. Active managers tend to boast about their risk management skills and claim that they can generate higher returns than passive funds on a risk-adjusted basis. The Risk-Adjusted SPIVA® Scorecard assesses the risk-adjusted returns of actively managed funds against their benchmarks…
Although 2020 was a year that offered ample opportunities for stock pickers to shine, most Canadian active fund managers in five of the seven categories tracked by the SPIVA® Canada Year-End 2020 Scorecard underperformed their benchmarks over the past year. The Canadian equity market was not spared from the COVID-19 shock in 2020. Nevertheless, major…
Last week S&P Dow Jones Indices released its SPIVA® U.S. Year-End 2020 Scorecard. As has been the case for 17 of the past 20 calendar years, the majority of active large-cap managers underperformed the S&P 500®. Performance was better for mid- and small-cap managers, as Exhibit 1 shows. What caused the advantage for smaller-capitalization strategies?…
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