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Performance - March 16, 2006

EDHEC and EuroPerformance produce the Alpha League Table for Spain and Italy

EDHEC and EuroPerformance have released their rankings of the top Italian and Spanish asset management companies: the Alpha League Table. The rankings were constructed on the basis of a genuine measure of alpha, using a methodology developed by EDHEC which corresponds to the state-of-the-art in financial research.

In terms of alpha creation in both Spain and Italy, internationally invested funds dominate. A possible explanation lies in the low stock market capitalisation of the countries and the need for managers to look for higher levels of liquidity in larger markets.

The Italian rankings

In Italy, the rankings are largely dominated by Italian banks. Of the ten management companies selected in the rankings, only one is a subsidiary of a foreign group: DWS Investment Italy, which belongs to the Deutsche Bank group.

Top of the rankings in Italy is an independent asset management company: Anima SGR. Second on the list is Azimut and third place is taken by Pioneer of the Unicredito Italiano group, the third largest Italian manager in terms of assets under management.

The top 10 in the Alpha League Table Italy 2006 can be found in the following table:

RankingGroupCompanyAverage Alpha (%)Alpha Frequency (%)Final Score (%)
1Banco Desio e della BrianzaAnima3.2254.171.74
2Azimut Holding SpaAzimut2.0046.880.93
3Unicredito ItalianoPioneer Investment Management3.4519.280.68
4Nextra Investment ManagementNextra Investment Management2.7018.860.51
5BNLBNL Gestioni4.0111.110.45
6Deutsche BankDWS Investment Italy2.2919.030.44
7Assicurazioni Generali SpaGenerali Asset Management2.1517.640.37
8Banca LeonardoLeonardo0.9029.170.24
9Banca Popolare di MilanoBipiemme Gestioni1.8716.890.24
10Banca SellaGestnord Fondi1.7012.940.21

The Spanish rankings

Of the five management companies selected for the rankings in Spain, four are among the ten largest managers in Spain. This shows the domination of the banking networks in active management and their capacity to generate alpha with a high level of frequency.

The winner of the rankings in Spain is a major asset management company and subsidiary of the bank Bankinter: Gesbankinter. In second place is the management company of the bank Bancaja, and third place is taken by Banco Sabadell’s asset management subsidiary.

The top 5 in the Alpha League Table Spain 2006 can be found in the following table:

RankingGroupCompanyAverage Alpha (%)Alpha Frequency (%)Final Score (%)
1BankinterGesbankinter SA SGIIC5.7848.752.80
2BancajaGestora Bancaja SGIIC SA4.3543.101.85
3Banco SabadellBansabadell Inversion SGIIC SA2.9638.341.15
4BBVABBVA Gestion3.7118.780.70
5Banco PopularSogeval SA SGIIC3.2217.660.55

About the EuroPerformance-EDHEC Style Ratings and the Alpha League Table

In November 2004 in Paris, EDHEC and EuroPerformance presented the first fund ratings based on alpha: the EuroPerformance-EDHEC Style Ratings.

These ratings provide a response to both academic and professional criticism directed at traditional fund ratings. The latter rely on relative rankings defined within categories that do not take the risks that were really taken by the manager over the analysis period into account and do not therefore allow the performance of active management to be evaluated and rewarded, whether the performance comes from stock picking or tactical allocation.

In 2005, on the basis of the Style Ratings, EDHEC and EuroPerformance set up special rankings that aim to distinguish European asset management companies according to their capacity to deliver alpha for all of their “equity” funds: the Alpha League Table.

For each company rated, the Alpha League Table highlights its alpha intensity, which is constructed from two indicators:

  • the average alpha, which gives the value of the average alpha for the funds that outperformed their benchmark

  • and the frequency of alpha, which represents the percentage of funds that have a positive alpha

These annual rankings cover major geographical areas, and are also applied at the European level. The first edition was dedicated to France and the second to Spain-Italy, These will be followed by Switzerland-Luxembourg and the United Kingdom. A pan-European table will then be compiled.