Since the first publication of the S&P Indices Versus Active Funds (SPIVA) U.S. Scorecard in 2002, S&P Dow Jones Indices has been the de facto scorekeeper of the ongoing active versus passive debate.
The SPIVA Canada Scorecard measures the performance of Canadian actively managed funds against their respective benchmarks over various time horizons, covering large-, mid- and small-cap segments, as well as international and global equity funds.
Year-End 2022 Highlights
2022 was a relatively less challenging year for most actively managed funds in Canada. A little over one-half of active funds underperformed their benchmarks in several categories, including Canadian Equity at 52%, Canadian Focused Equity at 63%, U.S. Equity at 58% and Global Equity at 54% (see Exhibit 1 and Report 1). Canadian Dividend & Income Equity funds posted the lowest one-year underperformance, with just 42% lagging the benchmark. Underperformance rates generally increased with time horizons.
- Canadian Equity Funds: The S&P/TSX Composite Index fell 5.8% in 2022, while Canadian Equity funds dropped 5.8% and 5.5% on equal- and asset-weighted bases, respectively. Underperformance rates hit 52% for the one-year period, climbing to 84%, 93% and 85% over the 3-, 5- and 10-year horizons, respectively.
- Canadian Focused Equity Funds: The blended benchmark of 50% S&P/TSX Composite Index + 25% S&P 500® + 25% S&P EPAC LargeMidCap fell 8.2% in 2022, outperforming 63% of Canadian Focused Equity funds. This rose to 71%, 92% and 96% over the 3-, 5- and 10-year horizons, respectively.
- Canadian Dividend & Income Equity Funds: The S&P/TSX Canadian Dividend Aristocrats® Index fell 3.7% during 2022, while Canadian Dividend & Income Equity funds lost 4.4% and 3.7% on equal- and asset-weighted bases, respectively. Underperformance rates reached 42% over the one-year period, rising to 57%, 88% and 72% over the 3-, 5- and 10-year horizons, respectively.
- Canadian Small-/Mid-Cap Equity Funds: The S&P/TSX Completion Index dipped 4.2% in 2022, and 90% of Canadian Equity Small-Mid-Cap funds underperformed the index. Funds in this category lost 11.5% and 11.4% on equal- and asset-weighted bases, respectively, over the one-year period.
- U.S. Equity Funds: The S&P 500 shed 12.2% in 2022, and 58% of U.S. Equity funds underperformed the index. Few funds in the U.S. Equity category outperformed over the long term, with 94%, 96% and 98% underperforming over 3-, 5- and 10-year horizons, respectively.
- International Equity Funds: 69% of International Equity funds trailed the S&P EPAC LargeMidCap, and 84% and 93% underperformed over the 5- and 10-year periods, respectively.
- Global Equity Funds: The S&P Developed LargeMidCap fell 12.3% in 2022 and Global Equity funds sank 14.7% and 14.4% on equal- and asset-weighted bases, respectively. Over the one-year period, 54% of funds in the category trailed the benchmark. Over the 3-, 5- and 10-year periods, 93%, 94% and 97% of funds underperformed, respectively.
- Fund Survivorship: Liquidation rates for all categories were in single digits for the one-year period ending Dec. 30, 2022. Over the 10-year period, 45% of Canadian Equity funds merged or liquidated and 37% of funds disappeared across all categories (see Report 2).