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SPIVA India Mid-Year 2022

SPIVA Latin America Mid-Year 2022

SPIVA Canada Mid-Year 2022

SPIVA® Europe Mid-Year 2022

SPIVA U.S. Mid-Year 2022

SPIVA India Mid-Year 2022

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Benedek Vörös

Director, Index Investment Strategy

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Davide Di Gioia

Director, Index Investment Strategy

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 India Scorecard compares the performance of actively managed Indian equity and bond mutual funds with their respective benchmark indices YTD and over 1-, 3-, 5- and 10-year investment horizons.

Mid-Year 2022 Highlights

In the first half of 2022, performance among Indian active managers was greatly mixed across categories. There was an unusually high underperformance rate in Indian Equity Large-Cap funds, where 88% of actively managed funds underperformed the S&P BSE 100, and an unusually low proportion—just 19%—of Indian Composite Bond funds underperformed the S&P BSE India Bond Index.

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SPIVA Latin America Mid-Year 2022

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Anu R. Ganti

Senior Director, Index Investment Strategy

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Tim Edwards

Managing Director and Global Head of Index Investment Strategy

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Joseph Nelesen, Ph.D.

Senior Director, Index Investment Strategy

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Davide Di Gioia

Director, Index Investment Strategy

SUMMARY

The SPIVA Latin America Scorecard measures the performance of actively managed funds across Brazil, Chile and Mexico against their respective benchmarks over various time horizons, providing statistics on outperformance rates, survivorship rates and fund performance dispersion.

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.

Mid-Year 2022 Highlights

In the first half of 2022, performance among Latin American active managers was greatly mixed across countries. Mexico was a rare bright spot, with less than 50% of managers underperforming the S&P/BMV IRT. The majority of active managers in Brazil and Chile failed to outperform over longer periods.

SPIVA Latin America Mid-Year 2022 Exhibit 1

Mexico

The S&P/BMV IRT lost 9.3% over the first half of 2022, and 63% of active managers outperformed the S&P/BMV IRT over that period.

Fewer funds were able to maintain their record of outperformance over the five-year period, with 80% of the funds underperforming their benchmark.

Coupled with the outperformance of most active managers in the first half of the year, the survival rates of active funds in Mexico were among the highest in Latin America, at 100%, 94%, 91% and 78% over the 1-, 3-, 5-, and 10-year periods, respectively.

Brazil

The S&P Brazil BMI fell by 8.94% YTD, and 57% of Brazil Large-Cap funds underperformed the index. Their long-term record was even worse, with 80% of funds underperforming over a 10-year period.

Large-cap companies only declined by 6.15% YTD, as measured by the S&P Brazil LargeCap. Funds in this category lost 8.14% and 7.34% on equal- and asset-weighted bases, respectively, over the same period.

Chile

Chilean equities were a bright spot, with the S&P Chile BMI up 20.46% YTD. However, 94% of Chile Equity funds underperformed the index over the same period, and 98% of Chilean Equity funds underperformed over 10 years.

Larger funds performed relatively better than smaller funds over one and three years periods on average, while smaller funds outperformed over five and ten-year periods.

Fixed Income

Meanwhile, 64% of Brazil Government Bond funds outperformed their benchmark over a six-month period. Consistent with their equity peers, rates of underperformance increased over longer periods.

Brazil Corporate Bond funds fared slightly worse, with 53% underperforming their benchmark over a six-month period.

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SPIVA Canada Mid-Year 2022

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 as well as international and global equity funds.

Mid-Year 2022 Highlights

In the turmoil of the first half of 2022, actively managed funds in Canada navigated the challenges relatively well. Less than one-half of active funds underperformed their benchmarks in the Canadian Equity (43%), Canadian Focused Equity (43%), Canadian Dividend & Income Equity (48%) and Global Equity (47%) categories (see Exhibit 1 and Report 1). Underperformance rates generally increased with measurement horizons, with a cross-category average of 90% of active funds underperforming over the past 10 years.

Exhibit 1

- Canadian Equity Funds: The S&P/TSX Composite fell 9.9% in H1 2022 and Canadian Equity funds dropped 9.0% and 9.3% on equal and asset-weighted bases, respectively. Underperformance rates hit 43% over six months, climbing to 83%, 96% and 82% over the 3-, 5- and 10-year horizons, respectively.

- Canadian Focused Equity Funds: The blended benchmark of 50% S&P/TSX Composite + 25% S&P 500® + 25% S&P EPAC LargeMidCap fell 14.7% in H1 2022, outperforming 43% of Canadian Focused Equity funds. This rose to 68%, 91% and 97% over the 3-, 5- and 10-year horizons, respectively.

- Canadian Dividend & Income Equity Funds: The S&P/TSX Canadian Dividend Aristocrats® Index fell 5.3% during H1 2022, while Canadian Dividend & Income Equity funds lost 5.8% and 5.5% on equal and asset-weighted bases, respectively. Underperformance rates reached 48% over six months, and rose to 90%, 88% and 79% over the 3-, 5- and 10-year horizons, respectively.

- Canadian Small-/Mid-Cap Equity Funds: The S&P/TSX Completion Index dipped 10.9% in H1 2022, and 80% of Canadian Equity Small-Mid-Cap funds underperformed the index. Funds in this category lost 16.4% and 15.6% on equal- and asset-weighted bases, respectively, over six months.

- U.S. Equity Funds: The S&P 500 shed 18.3% in the first six months of 2022, and 61.3% of U.S. Equity funds underperformed the index. Very few funds in the U.S. Equity category outperformed over the long term, with 97%, 95% and 97% underperforming over 3-, 5- and 10-year horizons, respectively.

- International Equity Funds: 64% of International Equity funds trailed the S&P EPAC LargeMidCap, and 87% and 93% underperformed over 5- and 10-year periods, respectively.

- Global Equity Funds: The S&P EPAC LargeMidCap fell 18.5% during H1 2022 and Global Equity funds sank 19.7% and 19.6% on equal and asset-weighted bases, respectively. Over the six-month period, 47% of funds in the category trailed the benchmark. Over the 3- 5- and 10-year periods, 91%, 93% and 96% of funds underperformed, respectively.

- Fund Survivorship: Liquidation rates for all categories were in single digits for the one-year period ending June 30, 2022. Canadian Focused Equity had the highest attrition rate, at 96%. Over the 10-year period, 47% of Canadian Equity funds merged or liquidated and an average of 40% of funds disappeared across all categories (see Report 2).

SPIVA® Europe Mid-Year 2022

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Benedek Vörös

Director, Index Investment Strategy

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Tim Edwards

Managing Director and Global Head of Index Investment Strategy

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Davide Di Gioia

Director, Index Investment Strategy

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.  First published in 2014, the semiannual SPIVA Europe Scorecard reports on the performance of actively managed European equity funds as compared to the performance of category-appropriate S&P DJI benchmark indices, providing statistics on outperformance rates, survivorship rates and fund performance dispersion.

Mid-Year 2022 Highlights

A majority of actively managed funds underperformed their respective benchmark in nearly every fund category included in our Europe scorecard.  Among the major regional markets, Germany Equity funds had the best (i.e., lowest) underperformance rate in H1, at 55%, followed closely by underperformance rates of 57% and 58%, respectively, in U.K. Small-Cap Equity funds and Eurozone Equity funds.  The U.K. large-/mid-cap category saw the highest underperformance rate, with 96% underperforming the S&P United Kingdom LargeMidCap.  Pan-European equity funds lay in the middle, 84% undperformiing in H1 2022.  The relatively small Poland Equity category was the sole segment where a majority of active funds outperformed in H1 2022.

  • 82% of British pound sterling-denominated, and 84% euro-denominated actively managed pan-European equity funds underperformed the S&P Europe 350® in H1 2022, respectively, while only 58% of Eurozone funds underperformed the S&P Eurozone BMI.
  • Euro-denominated Global Equity funds maintained a relatively high underperformance rate over longer time horizons. Over the 10-year period ending June 2022, 98% of funds underperformed the S&P Global 1200.
  • British pound sterling-denominated U.S. Equity funds displayed a slight edge over their euro-denominated brethren; underperformance rates for the former were consistently below those of the latter across all time horizons.

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SPIVA U.S. Mid-Year 2022

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Tim Edwards

Managing Director and Global Head of Index Investment Strategy

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Anu R. Ganti

Senior Director, Index Investment Strategy

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Craig Lazzara

Managing Director, Core Product Management

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Joseph Nelesen, Ph.D.

Senior Director, Index Investment Strategy

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Davide Di Gioia

Director, Index Investment Strategy

SUMMARY

The S&P 500® made an all-time high on the first trading day of 2022, but as monetary taps tightened, U.S. equity markets turned bearish. The Federal Reserve had telegraphed its intention to raise rates before the year turned, but when the conflict in Ukraine triggered a spike in energy and raw commodity prices, producing a 40-year high in U.S. inflation, the central bank accelerated its plans. A series of rate hikes helped send the S&P 500 into a 20% drawdown by mid-June, and fixed income offered few safe harbors as yields rose across the curve and longer-dated Treasury bonds made their worst start to a year this century.

Declining markets make active management skills all the more valuable, and our report shows that a significant minority of active managers were able to outperform in several categories. After suffering an 85% underperformance rate in 2021, just 51% of large-cap domestic equity funds lagged the S&P 500 in the first six months of 2022, putting actively managed large-cap U.S. equity funds on track for their best (i.e., lowest) underperformance rate since 2009.

SPIVA U.S. Mid-Year 2022 Exhibit 1

Similarly, 54% of mid-cap and 63% of small-cap funds underperformed the S&P MidCap 400 and the S&P SmallCap 600, respectively, in H1. There was a wide range of performance across various domestic equity categories, topped by a creditable 33% of Mid-Cap Core funds underperforming in H1. At the other end of the spectrum, a turn to outperformance from value accompanied a disappointing period for growth managers, 79%, 84% and 89% of whom underperformed in the large-, small- and mid-cap Growth categories, respectively, in H1.

In international equities, a majority of actively managed funds underperformed in every category during H1 but, in relative terms, managers in the International Small-Cap category continued to outshine their peers, with just 57% underperforming compared to H1 underperformance rates of 68%, 71% and 74%, in the Global, International, and Emerging Market categories, respectively.

The February 2022 completion of the merger between IHS Markit and S&P Global brought a new range of fixed income indices to the S&P DJI stable, and this edition of our SPIVA U.S. Scorecard welcomes a new range of fixed income comparison indices, as well as several new fixed income categories. Highlights from the H1 fixed income statistics included 93% of Core Plus Bond funds and 59% of actively managed high-yield U.S. funds outperforming the iBoxx $ Liquid Investment Grade Index and iBoxx $ Liquid High Yield Index, respectively, but benchmark-beating returns were harder to find in the Loan Participation, General Municipal Debt and Intermediate U.S. Government categories—with underperformance rates of 83%, 86% and 89%, respectively.

Echoing a frequent theme of SPIVA Scorecards over the past 20 years, underperformance rates generally rose with the length of the period in which they were measured. Exhibit 2 illustrates the marked differences in the distributions of short- and longer-term underperformance rates across all the reported fund categories in our scorecard. While there was a broad mix of underperformance rates in H1, over a 15-year horizon, more than 70% of actively managed funds failed to outperform their comparison index in 38 out of 39 categories.

SPIVA U.S. Mid-Year 2022 Graph 2

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