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Performance and Risk Reporting
Performance - September 13, 2007

EDHEC-EuroPerformance Alpha League Table

Previous Editions

France
Alpha League Table France 2008

The third ranking for France reveals that both the frequency of alpha and the average alpha generated by French asset managers have fallen in comparison with the 2007 edition.

  • Average alpha dropped from 2.98% to 2.50%, a decline that may be attributed in part to the behaviour of small-cap stocks. Small-cap stocks, which in France have a large role in the production of alpha, fell over the second half of 2007, just as broad-based indices did.

  • Overall, levels of alpha generated by French funds dropped especially in France, but also in emerging markets, in Asia (excluding Japan), and in European sector funds. Average alpha rose however for funds in International markets and in Japan.

  • The winner of the 2008 edition is HSBC Private Bank France with a score of 1.52%, resulting from 53.2% of its selected funds generating significantly positive alpha and an average alpha of 2.89%. MMA Finance, with a score of 1.43%, takes second place after improving from eighth position last year. The biggest jump in this year’s edition was from State Street Global Advisors France. The firm moved up sixteen places in the rankings to third.

  • Style-factor analysis shows that, compared to last year, there has been a clear reduction in portfolio exposure to small-cap and mid-cap stocks. These stocks, the major sources of alpha in the French, European, and euro-zone markets, likewise account for smaller shares of instruments invested in Japan. Another reason can be found in the large current falls in the stock markets, in the wake of the turbulence experienced by the shares of financial companies. As the shares of these companies make up a large share of Value-type indices, 2007 has seen a tilt towards Growth-style.
  Download the Alpha League Table France 2008

Alpha League Table France 2007

This second ranking for France reveals considerable stability in the production of alpha, with 17 of the 25 ranked companies appearing for the second time. This confirms that the alpha being produced is the result of a management process that is more to do with the talent of the asset managers than with the configuration of the markets.

  • The top spot goes to a non-specialist, ODDO Asset Management, with second place taken by a subsidiary of the HSBC Group, HSBC Private Bank France. The third podium position goes to Martin Maurel Gestion, an asset management branch of Banque Martin Maurel, a specialist in wealth management.

  • An analysis of the results shows that alpha remains the domain of the specialists, even in the major French networks, where it is the specialist subsidiaries that reveal the greatest capacity to generate alpha. Most of the top ten places are awarded to independent companies.

  • For the whole of the equities market, the proportion of funds that deliver significant alpha is around 30%. This frequency measure provides investors with the probability that a fund will deliver a performance that is superior to the remuneration that might normally be expected from the risks to which the portfolio is exposed.

  • In terms of investment zones, the French Equities class tops the table with almost 24% of funds generating alpha. This is followed by International Equities (21%), European Equities (13%) and North American Equities (9%). In comparison to the previous Alpha League Table, these figures represent a drop-off in the French Equities class (24% as against 46% in 2006) and a concordant and significant rise in international and European investment.

  • The analysis of exposure to style factors reveals considerable sensitivity to small and mid caps in the Euro Zone, France and Europe, with more of an emphasis on large caps in Asia, North America and the International Zone. Our second French-based ranking confirms the information acquired from the first: alpha on the European markets is quite sensitive to small caps, while on the more distant markets asset managers seek alpha through investment in large caps.
  Download the Alpha League Table France 2007

Alpha League Table France 2005

For its first edition, the Alpha League Table ranked the 25 best asset management firms in France. The main lessons drawn from the Alpha League Table France 2005 were:

  • Alpha is an affair for specialists: the top three in the rankings are asset managers that do not have a captive network in France: one independent firm, la Financière de L’Echiquier; one subsidiary of a major Belgian and Dutch group: Fortis France; and finally, SINOPIA, a subsidiary of the HSBC group, specialised in quantitative management.

  • Foreigners are well placed in the rankings, with French subsidiaries representing almost one-third of the Top 25 companies in the Alpha League Table France 2005.

  • With an average positive alpha of 3.1% and a frequency of 15.2%, versus 2.6% and 13.7% respectively, French "equity" management offerings do better than the European averages.
  Download the Alpha League Table France 2005


Spain & Italy

Alpha League Table Spain and Italy 2007

In the second publication of the Alpha League Table 2007 devoted to Spain and Italy, the 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.
    Download the Alpha League Table Spain & Italy 2007

Alpha League Table Spain and Italy 2006

Among the principal revelations of the Alpha League Table 2006 for Spain and Italy:

  • 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.

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

  • Of the five management companies selected for the rankings, 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.
  Download the Alpha League Table Spain 2006

  Download the Alpha League Table Italy 2006


Switzerland

Alpha League Table Switzerland 2007

The Alpha League Table 2007 for Switzerland reveals that:

  • The winner of the 2007 edition is the Geneva private bank Lombard Odier Hentsch & Cie. With 38.4% alpha frequency and an average alpha rate of 3.8%, LODH & Cie has a score of 1.5%. Bank Sarasin, in third place in 2006, climbs a spot on the strength of improvements in average alpha (from 2.9% last year to 3.1% this year) and in the frequency of “alpha” funds (from 31.9% to 43.4%). In third place, with average alpha of 3.5% and a frequency of 35.8%, giving it a score of 1.2%, is Swisscanto, the joint venture for investment and pension services of the Swiss cantonal banks.

  • This year again private banks dominate the rankings, occupying four of the top five spots. The rankings are dominated by world-renowned firms attracting high levels of asset inflows. As such, the rankings contain few surprises and—with eight holdovers from last year’s top ten—confirm the results of the previous edition.

  • The average score of the top ten firms in this ranking is 0.8%, a slight improvement over last year (0.6%). This improvement is the result of an increase in the frequency of “alpha” funds (from 27.4% last year to 33.6% this year) and of a 16-basis point fall in average alpha (from 2.56% in 2006 to 2.4% in 2007).

  • The average rates of alpha vary from to 2 to 4% depending on the zone. The strongest performances can be found in sector funds and in European markets. However, it appears to be more difficult to generate significant alpha with portfolios invested in emerging-market stocks.

  • On average, the "alpha" funds favour large-cap stocks and the share of small caps is limited to 30% of the portfolios.
  Download the Alpha League Table Switzerland 2007

Alpha League Table Switzerland 2006

The Alpha League Table 2006 for Switzerland reveals that:

  • The results are extremely tight, with a score of 0.97% for the top-ranked company and 0.22% for the tenth-placed company. The top three are only separated by a hair’s breadth with a difference of less than one hundredth of a point!

  • Vontobel Asset Management and Pictet & Cie share 1st place in the awards listing. With an alpha frequency of 29.9% and an average rate of alpha of 3.1%, Vontobel Asset Management receives a score of 0.97%. Pictet & Cie obtain the same score with an alpha frequency of 50.0% and an average rate of alpha of 1.8%. Banque Sarasin takes 3rd place.

  • Specialists and private banks monopolise the top places in the rankings with investment management oriented towards emerging markets and sector funds.

  • The average rates of alpha vary from to 2 to 4% depending on the zone. The strongest outperformance is obtained in the Asian and emerging markets. However, it appears to be more difficult to generate significant alpha with portfolios invested in Swiss company stocks.

  • On average, the “alpha” funds favour large-cap stocks and the share of small caps is limited to 30% of the portfolios.
  Download the Alpha League Table Switzerland 2006


United Kingdom

Alpha League Table UK 2007

The Alpha League Table 2007 for the UK reveals that:

  • The winner of the 2007 edition is Aberdeen Asset Managers with a score of 2.82%. Frequency of alpha is high, with 81.2% of selected funds generating significantly positive alpha. Average alpha is 3.48%. Jupiter Asset Management, with a score of 2.68%, takes second place, and M&G Securities takes third place with a score of 2.51%.

  • The rankings are dominated by the firms that attract the largest asset inflows, so it is no surprise to see such firms as Schroders, Fidelity or Invesco among the top ten.

  • Overall, by the yardstick of alpha generated in equity funds, the results of UK asset management firms are far superior to those noted in our earlier analyses of French, Italian, Spanish, and Swiss firms. With a frequency of funds delivering alpha of over 45% and average alpha of 2.6%, UK asset managers provide unparalleled active asset management.

  • Average alpha is high in all investment zones. Asia and sector funds offer the greatest opportunities, with alpha levels of 5%. The large number of international funds, with average alpha of 3%, is characteristic of the quality of UK asset management. Europe, emerging markets, and Japan generate average alpha of between 2% and 3%. Funds invested in UK securities, however, have an average of less than 3%.

  • On average, the “alpha” funds favour large-cap stocks and the share of small caps is limited to 30% of the portfolios.
  Download the Alpha League Table United Kingdom 2007

Alpha League Table UK 2006

The Alpha League Table 2006 for the UK reveals that:

  • Compared to the results obtained by leading asset managers in France, Italy and Spain, the figures from the UK are truly remarkable, with the top five companies obtaining a score of at least 2.5%.

  • Average alpha for the entire list is 3.11%, with this figure being slightly higher among the insurance companies (3.62%) and asset managers (3.22%). The banking subsidiaries post average alpha of 2.61%.

  • AXA Framlington takes the top spot with a score of 4.64%. M&G Group, a fully-owned subsidiary of Prudential, takes second place with 2.83%. Behind the two insurance subsidiaries is Aberdeen Asset Management, on 2.78%.

  • Unlike the analysis of previously-studied countries, here the role of foreign companies is significant. Our rankings show 10 British companies among the top 25 alpha performers, with 7 American companies, 2 apiece from Germany and Australia and one each from South Africa, France, Switzerland and the Netherlands.

  • A breakdown of the alpha funds by investment zone reveals a majority of UK funds (26.5%). Those invested internationally represent 16.4% of the 4 and 5 star funds, while funds invested in North America are also a major source of alpha (13.8%).
  Download the Alpha League Table United Kingdom 2006