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Performance Measurement - May 20, 2008

Alpha League Table Italy/Spain 2008

The reference rankings in Europe

Following the French investment management rankings, the second publication of the Alpha League Table 2008 is devoted to Italy and Spain.

The Alpha League Table compares asset management companies on the basis of their capacity to deliver positive alphas. The table’s 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.

Alpha League Table Italy & Spain 2008


This third edition of the rankings of Spanish and Italian asset management firms shows a fall in the alpha generated by the firms in the rankings. Average alpha for Spain fell from 2.38% to 2.08% and for Italy from 1.53% to 1.14%.

For Spain, Bankinter is once again in first place, with a score of 1.49 obtained on the strength of alpha of 3.22% and a very respectable frequency of 46.79%, the highest of any firm in the Spanish rankings. In second place is Ibercaja Gestión. Third place is held by Gesmadrid.

With a score of 0.39, Monte dei Paschi di Siena takes first place in Italy. Second in the rankings, up two places from last year, is Gruppo Ubi Banca. Pioneer Investments, in second place last year, is now in third.


Like the industry as a whole, Italian asset managers had to deal with the falling stock markets of the second semester of 2007. The equities management we study here was hit particularly hard. Like their French counterparts, Italian asset managers recorded a drop in the production of alpha in 2007. Outperformance for the year came to 1.14%, a drop of 54 basis points from the year before.

Not all is as dismal as it may seem, however, as Italian asset managers have managed to raise the frequency with which they deliver alpha. It is, to be sure, lower than that of French asset managers, but in one year it rose by more than 6% to reach 22.4%.

One of the reasons for the poor results of Italian asset management—relative to the European average—is the country’s tax regime. Italian firms must also deal with the loss of investor confidence. Figures from Assogestioni (an association of Italian asset management professionals) show that in one year the assets managed by funds registered in Italy fell by 10.5%, while assets managed by Italian funds registered abroad rose by 6.5%. Over the same period, Italian assets managed by foreign firms rose by 38.4%.

Italian Alpha League Table 2008 Source: EuroPerformance - Style Analytics. Drawn up between February 2007 and February 2008

The Rankings

With a score of 0.39, Monte dei Paschi di Siena takes the top spot in our rankings of Italian asset management firms. In the previous edition, the firm was ineligible for the rankings, as it had no outperforming funds. This year, its average alpha is 1.53% and its average frequency 22.4%. The asset management firm of the historic Italian bank had €45 billion of assets under management as of late October 2007. It earns its results from six funds; equity investment in its home market accounts for 46% of average alpha, investment in Europe for nearly 40%, and in international equities for 15%.

Gruppo Ubi Banca, second in our rankings, is two spots higher than last year. Its score of 0.36 is the result of a significant increase (66 basis points) in its average alpha, which stands at 1.33% this year. Its frequency of alpha drops (-6.87%), but at 25.3% it remains the highest of all the Italian firms in our rankings. Gruppo Ubi Banca’s results come from three funds. North America and international equities are the major sources of outperformance. As of late October 2007, Gruppo Ubi Banca managed slightly more than €45 billion of assets.

In third place is Pioneer Investments, second in last year’s rankings. This firm has the widest range of funds of the firms in our rankings; it is active in some ten investment zones. Four of them are sources of alpha, which, on average, comes to 1.42% (essentially equivalent to the previous year’s average). The frequency of alpha is 21.9%. North America is the source of 56% of overall alpha, and international equities account for 31%. The vehicles invested in its home market, by contrast, make no contribution to Pioneer Investments’ overall alpha. As of late October 2007, the firm had €205 billion of assets under management.

In fourth place in our rankings is last year’s winner. The tumble of Gruppo Banca Intermobiliare is largely the result of its inability to maintain last year’s high level of alpha. Indeed, it fell 260 basis points to 0.88%. Last year’s results, however, showed that alpha production was clustered in four funds. Though lower this year, two additional funds are sources of alpha. Moreover, the frequency at which it is delivered (21.5%) has risen substantially. With a range of products invested in seven different zones, the bank can boast active management, as six investment vehicles generated positive alpha over the period. Returns on these investments were efficient in Italian equities (43% of overall alpha) and in emerging markets and international markets, Japan included (8%).

In fifth place for the second year in a row is Gruppo Bipiemme. At 21.4%, the frequency of alpha improved, but the overall level fell to 0.55%. The bank offers a range of products in five distinct geographic zones. But it is in Italian equities and in Europe that the bank’s expertise is most highly rewarded. Indeed, European equities are the source of 70% of its alpha. Gruppo Bipiemme had more than €18 billion of assets under management as of late October 2007.

Stella Gestioni, in third place last year, was ineligible for competition, as it had no outperforming funds over the period. Two funds that contributed to the firm’s results last year were closed.

Alpha by investment zone

Italian asset managers have trouble generating alpha beyond their borders. With the exception of North America (where alpha, measured at 1.52%, is down from last year), the domestic markets were the scene of most alpha-generation. At home, Italian managers generated alpha of 1.42% (2.10% one year earlier). By comparison, the alpha generated in France by French asset managers came to 2.43%. In addition, international equities products also managed to deliver average alpha of 1.28%.

Another indication of the difficulties encountered by Italian funds is that no investment vehicle in the Americas, Asia, and euro-zones generated alpha.

Average Alpha by Investment Zone Source: EuroPerformance - Style Analytics. Data as of 08/02/08

Distribution of funds by zone

The funds that produced alpha are largely invested in domestic equities (30%), in North America (27%), and in international shares (20%). Only 10% are invested in Europe.

Italy - Alpha Funds by Investment Zone
Source: EuroPerformance - Style Analytics. Data as of 08/02/08

Management Style

In Italian equities, the average portfolio is the result of a blend of management styles. In international and North America portfolios there is a growth bias, whereas investments in European equities are biased toward small-caps.

Management Style of Alpha Funds by Investment Zone Source: EuroPerformance - Style Analytics. Data as of 08/02/08

Delta 2007/2008 of Management Styles by Investment Zone Source: EuroPerformance - Style Analytics. Data as of 08/02/08

Much like French asset managers over the last year, Italian asset managers increased the sensitivity of their portfolios to growth factors in 2007. All the same, this observation does not hold for investments in the Italian stock market. More broadly, domestic asset management styles have remained stable. Change has occurred primarily in the larger zones in which the funds are invested.

According to Pietro Giuliani, president of the independent asset manager Azimut, an additional reason may be found in the very nature of Italian asset management, in which the allocation of client portfolios has remained essentially unchanged over the last five years. The investor receives very little advice and as a result prefers fixed-income products to shares. So the great majority of portfolios are invested in bonds and money market instruments. Allocation to shares accounts for only 26% of investment; for the past several years, management of this asset class has been burdened with the reputation of excessive reliance on indices.

According to an Assogestioni report, the problems of Italian asset management are the result of three factors: the redemptions of shares of Italian-registered funds, the increasing tendency of Italian managers to focus on other European markets, and an insufficient institutional presence—a presence that is essential to the health of the financial services market and to the provision of advice to investors.


As in Italy, France, Germany, and the Netherlands, asset management in Spain suffered from significant withdrawals of investors in 2007, according to the European Fund and Asset Management Association (EFAMA). This trend, which began in April 2007, is confirmed by the figures published by INVERCO (an association of institutional investors and pension funds): in late February 2008, the assets managed by Spanish funds (all asset classes) had fallen by nearly €30 billion over the last year. Funds invested in shares were the hardest hit by this fall.

The Spanish asset managers that were eligible for this year’s rankings delivered average alpha of 2.08% at an average frequency of 29.64%. These results are in line with the results posted last year.

But the great particularity of the Spanish market is the overwhelming presence of banks in the asset management industry. A large majority of the assets under management are held by banks or managed by their asset management affiliates.

Spanish Alpha League Table 2008 Source: EuroPerformance Style Analytics. Drawn up between February 2007 and February 2008

The Rankings

Tied for first in the previous edition of the Spanish ALT, Ibercaja Gestión and Bankinter keep their stranglehold on the top spots. This year, however, the tie has been broken, although the difference between the two asset management specialists remains very slight. Their average alpha has slipped (down between 60 and 74 basis points on last year), but the average frequency at which it is generated remains much the same as last year.

Bankinter (1st place) obtains a score of 1.49 as a result of average alpha of 3.22% at an altogether respectable frequency of 46.79%, the highest of any firm in the Spanish rankings. These results are somewhat stable with respect to the previous year’s—although average alpha did fall 74 basis points—demonstrating the ability of the company to perform over the longer term. The bank offers a range of share funds in six investment zones. Eight of these funds managed to generate significant alpha. The bank’s management teams did their best with international funds and global sector funds.

For Ibercaja Gestión as well, the results for 2008 highlighted the regularity with which it is capable of outperforming. Here again, average alpha falls (60 basis points), but at 3.13% it is still among the highest of any Spanish bank. In addition, frequency comes to 45.99%. The final score is 1.44, just below that of the winner. Eight of its funds, which cover seven investment zones, performed particularly well over the period. The alpha on global sector shares accounted for 41% of the bank’s overall alpha. Another source of alpha, international equities, accounted for 31%.

In third place is Gesmadrid, whose range of funds is the widest of any asset manager in competition. Eleven of these funds outperformed, giving the bank average alpha of 3.05%, up 100 basis points on last year. But Gesmadrid also owes its climb up the charts (it was in 7th place last year) to improvement in frequency, now at 30.4%. Equities management does particularly well in Europe (the source of 44% of alpha) and in international shares (35%). Only 4% of alpha is generated in Spanish markets.

Renta 4 Gestora takes fourth place (up one from last year). At 2.23%, average alpha is down slightly on last year, but frequency, at 37.5%, is up. Five funds managed significant outperformance over the period; the company draws on investment in Asia and Japan for 84% of its alpha.

In fifth place, falling one place from last year, is Bancaja Fondos. A fall in average alpha (from 2.94% to 1.71%) is entirely responsible for this slide. Frequency stands at 41.28%. Eight of the company’s investment vehicles produce alpha. Although here too global sector funds contribute greatly to this production (55%), Bancaja Fondo is the only bank in the top five to stand out for its performance in its home market, the source of 32% of its alpha.

Alpha by investment zone

Unlike their Italian counterparts, Spanish asset managers generate the bulk of their alpha beyond their borders. In addition, Italian asset managers stand out in seven distinct investment zones, where as the Spaniards manage to produce alpha in twelve zones.

Asia, Europe, and global sector funds are fertile ground when it comes to outperformance, as are the euro-zone and international shares.

Average Alpha by Investment Zone Source: EuroPerformance - Style Analytics. Data as of 08/02/08

Distribution of funds by zone

The average alpha generated by Spanish equities comes to 1.37%. It is also Spanish equities that have the greatest number of funds (22%) that produce alpha. Next, with a similar percentage, are international equities. With eleven outperforming vehicles for total outperformance of 3.20%, global sectors are also well represented.

In the other investment zones in which alpha was also significant, there were few funds. In Asia, for example, only one fund generated alpha. In Europe and in the euro zone, there were four each.

Spain - Alpha Funds by Investment Zone Source: EuroPerformance - Style Analytics. Data as of 08/02/08

Management style

It is interesting to note the differing management styles to which Italian and Spanish portfolios, invested in similar investment zones, are subject. In European equities, for example, Italian managers have a clear bias towards small-caps (55% of the average style), whereas Spanish managers have a 90% orientation to large caps.

More broadly, the average styles of geographic zones are largely tilted towards large-caps. As in France, the delta of the style shows a re-allocation of assets towards "growth" shares. In home-market shares, by contrast, style management has remained unchanged since last year.

Management Style of Alpha Funds by Investment Zone Source: EuroPerformance - Style Analytics. Data as of 08/02/08

Delta 2007/2008 of Management Styles by Investment Zone Source: EuroPerformance - Style Analytics. Data as of 08/02/08

Related links

The Style Rating website