Edhec-Risk
Features
Performance Measurement - May 21, 2007

Alpha League Table Spain/Italy

The reference rankings in Europe

Following the French investment management rankings, the second publication of the Alpha League Table 2007 is devoted to Spain and Italy.

The Alpha League Table compares asset management companies on the basis of their capacity to deliver positive alphas. The tableís leading companies are the best providers of alpha, i.e., those that offer a good compromise between the value and frequency of the alphas produced.

These second rankings confirm the award winners from the previous edition. In Spain, two companies are ranked joint 1st: Bankinter, which was already crowned in 2006, and Ibercaja Gestion, a subsidiary of the Ibercaja Group. The asset management companies distinguished in the top 5 are characterised by a high frequency of alpha funds and very significant average alpha.

In the top 5 in Italy, we find companies that were already present in the previous rankings: Pioneer, Sella Gestioni and Bipiemme Gestioni. The winner of the 2007 edition for Italy is Banca Intermobiliare di Investimenti e Gestioni, a private bank specialised in personal wealth management. Overall, the frequency of alpha funds is around 14% and the average alpha is about 1.53%, which places active management in Italy at a fair distance behind French and Spanish managers for the 2007 vintage.



In Italy, out of the 46 companies that could compete, only the top 5 were selected, based on the number of funds analysed and the regularity with which alpha is created.

Banca Intermobiliare di Investimenti e Gestioni claims the top spot in our rankings with an alpha frequency of 11.8% and an average rate of alpha of 3.48%, which gives a score of 0.38%. BIM is a subsidiary of the Banca Intermobiliare Group, a private bank specialised in personal wealth management.

For the whole of the equity market, the proportion of funds that deliver significant alpha is 14.0%. This frequency is lower than that of Spanish managers and only half the rate of European managers as a whole. A possible explanation for this result is the strong concentration of poor performance investment management in the European markets and internationally. In the last edition of the Alpha League Table for Italy, we awarded the top spot to Anima SGR, who presented an alpha frequency of more than 50% over a reduced range of funds and an average alpha of 3.2%. Through its contrarian value approach, and with the recovery in the markets, Anima harvested in 2005 the fruit of its policy of purchasing risks during a period of bear markets. Due to the Alpha League Table rules (a minimum of 6 funds rated), Anima is no longer in the rankings because its product offering is too concentrated.



Three companies that are present in the top 5 for this edition were already ranked in the previous edition. These are Pioneer, who take 2nd place, with an alpha frequency of 20.9% and an average alpha of 1.56%; Sella Gestioni (formerly Gestnord Fondi), who are in 3rd place with a frequency of 8.4% and an average alpha of 1.56%; and finally Bipiemme Gestioni, who take 5th place with a frequency of 17.9% and an average alpha of 1.10%.

After BIM, the second new entrant in the rankings is BPU Pramerica, a subsidiary of the UBI Banca Group, which takes 4th place with an alpha frequency of 32.1% and an average alpha of 0.67%.

The 4 and 5-star funds in the Style Rating that contributed to the companies being included in the Alpha League Table have 24.9% of their investments in sector funds.



The North American market arrives in second position with 19% of the funds, followed by the Italian market (18.5%). Furthermore, these markets are the ones that allow the managers to generate the most significant alphas.



The geographical investment choices have an impact on the dominant management styles. Most of the alpha is generated on large-cap funds. The average exposure to small caps is more significant for Europe and Italy.



In conclusion, Italian managers have not done as well as their Spanish and French counterparts in 2007. It is true that the tax rate of 12.5% on dividends and capital gains does not facilitate the Italian managersí task. The frequency of alpha funds is low, because less than 1 fund in 6 delivers alpha. In addition, this alpha is below the European average: 1.53% compared to 2.6%.

Small-cap management of European and Italian stocks is the significant source of value-added over the last three years. The average alpha for these zones is 1.69% compared to 1.53% on average. With the exception of the American market, alpha is lower than average for all the international zones.

Spanish rankings

The second edition of the Alpha League for Spain has confirmed the good performance of the major banking networks. Out of the 78 companies that could compete, only the top 5 were selected, based on the number of funds analysed and the regularity with which alpha was created.



Two asset management companies are joint 1st in our rankings: Bankinter and Ibercaja Gestion. By topping the Alpha League Table for the second consecutive time, Bankinter has confirmed its position as leader in the area of active management in the Spanish market. Its alpha frequency is greater than 40% and the average alpha of the funds rated 4 and 5-stars in the EuroPerformance-EDHEC Style Rating is 3.96%, which gives the company a score of 1.54%. Ibercaja Gestion obtains the same score with an alpha frequency of 42.3% and an average alpha on the 4 and 5-star funds of 3.72%. This asset management company, which is a subsidiary of the Ibercaja Group, enters the rankings for the first time.

For the whole of the equity market, the proportion of funds that deliver significant alpha is 25.6%. This frequency measures the probability for the investor of buying a fund that delivers performance that is better than the normal reward for the risks to which the portfolio is exposed. Bankinter and Ibercaja Gestionís results are particularly remarkable, with an alpha frequency of more than 40%. The same goes for the average alpha, which is 2.38% higher than the national average for the whole of the equity market.

3rd place goes to Bansabadell Inversion of the Banco Sabadell Group with a score of 1.11%. Next come Bancaja Fondos (4th), with a score of 1.10 and Renta 4 Gestora (5th) with 0.71%.

The funds rated 4 and 5-stars in the Style Rating which contributed to the companies being included in the Alpha League Table have 27% of their investments in Spanish stocks.



The international investment zone represents around 20% of the investments. Sector funds, with 19.3%, are the third market in which Spanish managers deploy their talent. The Euro zone market is in fourth position with 7.8% of the funds. Emerging markets represent a significant share of the funds that deliver outperformance 7.8%), but the alpha generated remains on average well below that of sector funds.



The geographical investment choices have an impact on the dominant management styles. Most of the alpha is generated on large-cap funds.



In conclusion, three companies that are in the top 5 for the Alpha League Table Spain 2007 were already included in the last edition. Bankinter confirms its expertise in sector funds and the same goes for Ibercaja, which takes the top spot on the podium, also thanks to the quality of its sector funds.

Related links

The Style Rating Website

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