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SPIVA® Japan Year-End 2019


SPIVA® U.S. Year-End 2019

SPIVA® South Africa Year-End 2019

Scorecard SPIVA® da América Latina - Fechamento de 2019

SPIVA® Japan Year-End 2019

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Arpit Gupta

Senior Analyst, Global Research & Design

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Priscilla Luk

Managing Director, Global Research & Design, APAC


  • S&P Dow Jones Indices has been the de facto scorekeeper of the ongoing active versus passive debate since the first publication of the SPIVA U.S. Scorecard in 2002. Over the years, we have built upon our experience by expanding scorecard coverage into Australia, Canada, Europe, India, South Africa, Latin America, and Japan. While this report will not end the debate surrounding active versus passive investing in Japan, we hope to make a meaningful contribution by examining market segments in which one strategy performs better than the other.

  • The SPIVA Japan Scorecard reports on the performance of actively managed Japanese mutual funds against their respective benchmark indices over 1-, 3-, 5-, and 10-year investment horizons. In this scorecard, we evaluated returns of more than 741 Japanese large- and mid/small-cap equity funds, along with more than 646 international equity funds investing in global, international, and emerging markets, as well as U.S. equities.

  • Domestic Equity Funds: In 2019, the S&P/TOPIX 150 and the S&P Japan MidSmallCap gained 19.3% and 16.8%, respectively. Over the same period, 42.4% and 74.6% of large- and mid/small-cap equity funds beat their respective benchmarks, with equal-weighted average returns of 19.1% and 21.0%, respectively. The performance of domestic equity funds relative to their benchmark in 2019 was better than in 2018, with more funds outperforming the benchmark.

    Over the 10-year horizon, 30.9% and 45.2% of large- and mid/small-cap funds managed to outperform their benchmarks, while 35.4% and 37.3% of funds were liquidated, respectively. The large-cap funds recorded equal- and asset-weighted average excess returns of 8 bps and -5 bps relative to benchmark, respectively, while the mid/small-cap funds reported excess returns of 2.53% and 0.32% on equal- and asset-weighted bases, respectively. Mid/small-cap funds tended to perform better than large-cap funds in Japan, as compared to their relative benchmark indices.

  • Foreign Equity Funds: In 2019, the relative performance of U.S. and international equity funds against their benchmarks was worse than in 2018, while the relative performance of emerging market equity funds improved. 8% and 67.7% of U.S. and international equity funds underperformed their respective benchmarks, while 56.2% and 56.8% of global and emerging market equity funds did not beat their benchmarks, respectively. For 2019, all foreign equity fund categories reported negative equal-weighted average returns relative to their benchmark indices, ranging from -0.84% (global equity funds) to -5.47% (U.S. equity funds). There was significant divergence between the asset- and equal-weighted average returns in the emerging market fund category, as the asset-weighted return was dominated by a few well-performing large funds.

    Over the 10-year period, the majority of foreign equity funds underperformed their respective benchmarks. More than 90% of global, international, and emerging equity funds underperformed their respective benchmarks on absolute and risk-adjusted bases. U.S. equity funds had the worst benchmark-relative performance, underperforming the benchmark by 5.3% and 6.4% on equal- and asset-weighted bases, respectively. Foreign equity funds had a 10-year survivorship rates of 56.3%, which was slightly lower than the rate for domestic equity funds (63.9%).

SPIVA Japan Year-End 2019 Exhibit 1




  • S&Pダウ・ジョーンズ・インデックスは2002年にSPIVA米国スコアカードを最初に発行しました。それ以来、このスコアカードはパッシブ運用とアクティブ運用の議論において高い注目を集める調査となっています。弊社はこれまで長年にわたり、スコアカードの対象をオーストラリア、カナダ、欧州、インド、南アフリカ、ラテンアメリカ、そして日本に拡充することで、経験を築き上げてきました。 本レポートでは、日本におけるアクティブ運用とパッシブ運用をめぐる議論を終了しませんが、弊社はある戦略が他の戦略よりも優れたパフォーマンスを上げている市場セグメントを調べることで、有意義な貢献をしたいと考えています。

  • SPIVA日本スコアカードでは、アクティブに運用されている日本の投資信託についてそれぞれのベンチマーク指数に対するパフォーマンスを1年、3年、5年、10年の投資期間にわたり報告します。1 このスコアカードでは、741以上の日本の大型株・中型株・小型株の株式ファンドのリターンに加え、グローバル市場、国際市場、新興国市場、及び米国市場に投資する646以上の国際株ファンドのリターンも評価しました。
  • 国内株式ファンド:2019年、S&P/TOPIX 150指数及びS&P日本中小型株指数はそれぞれ19.3%及び16.8%上昇しました。 同期間に、大型株ファンド及び中小型株ファンドの42.4%及び74.6%がそれぞれのベンチマークを上回り、均等加重平均リターンはそれぞれ19.1%及び21.0%となりました。 2019年の国内株式ファンドのベンチマークに対するパフォーマンスは2018年よりも好調となり、より多くのファンドがベンチマークをアウトパフォームしました。

    過去10年の期間では、日本の大型株ファンド及び中小型株ファンドの30.9%及び45.2%がベンチマークをアウトパフォームしましたが、これらのファンドのそれぞれ35.4%及び37.3%が清算されました。 大型株ファンドについては、均等加重及び資産加重ベースでベンチマークに対してそれぞれ0.08%及び -0.05%の平均超過リターンを計上した一方、中小型株ファンドについては、均等加重及び資産加重ベースでそれぞれ2.53%及び0.32%の平均超過リターンを計上しました。 それぞれのベンチマーク指数との比較では、日本の中小型株ファンドは大型株ファンドよりも優れたパフォーマンスを上げる傾向がありました。
  • 外国株式ファンド:2019年、米国株式ファンド及び国際株式ファンドのベンチマークに対する相対パフォーマンスは2018年よりも悪化した一方、新興国株式ファンドの相対パフォーマンスは改善しました。 米国株式ファンド及び国際株式ファンドの78.8%及び67.7%がそれぞれのベンチマーク指数をアンダーパフォームした一方、グローバル株式ファンド及び新興国株式ファンドの56.2%及び56.8%がそれぞれのベンチマーク指数を上回ることができませんでした。2019年については、全ての外国株式ファンド・カテゴリーが、均等加重ベースでそれぞれのベンチマーク指数に対してマイナスの平均超過リターンとなり、-0.84%(グローバル株式ファンド)から-5.47%(米国株式ファンド)の範囲となりました。新興国株式ファンド・カテゴリーでは、資産加重リターンはパフォーマンスが好調となった少数の大型ファンドの影響を大きく受けたため、資産加重リターンと均等加重リターンの間には大きな相違がありました。

    過去10年の期間では、外国株式ファンドの大部分がそれぞれのベンチマークをアンダーパフォームしました。グローバル株式ファンド、国際株式ファンド、及び新興国株式ファンドの 90% 以上が、絶対ベース及びリスク調整後ベースでそれぞれのベンチマーク指数をアンダーパフォームしました。米国株式ファンドはベンチマークに対する相対パフォーマンスが最低となり、均等加重及び資産加重ベースでベンチマークをそれぞれ5.3%及び6.4%アンダーパフォームしました。外国株式ファンドの10年間の生存率は56.3%であり、国内株式ファンド(63.9%)の生存率をやや下回りました。

SPIVA®日本スコアカード(2019年末版) 図表1

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SPIVA® U.S. Year-End 2019

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Berlinda Liu

Director, Global Research & Design


2019 was a remarkable year for equity markets in the U.S. and around the world. Boosted by an accommodative Fed policy, low unemployment, low inflation, and continued global growth, risk assets across the board did well—all of the benchmarks tracked in the SPIVA U.S. Scorecard had positive returns, with the S&P 500® Value leading the pack at 31.9%.

The Information Technology-heavy and more internationally diversified companies of the S&P 500 pushed the index to its second-highest annual return (31.5%) since 2001 and fourth-highest return in 30 years, rising in 10 of the 12 months. The S&P MidCap 400® (26.2%) and the S&P SmallCap 600® (22.8%) also had strong years.

While these tailwinds helped U.S. equity managers post excellent absolute returns, none of them translated into active managers’ superior performance compared with their benchmarks. For example, 70% of domestic equity funds lagged the S&P Composite 1500® during the one-year period ending Dec. 31, 2019, making for the fourth-worst performance since 2001.

SPIVA U.S. Year-End 2019 Exhibit 1

Large-cap funds made it a clean sweep for the decade—for the 10th consecutive one-year period, the majority (71%) underperformed the S&P 500. Their consistency in failing to outperform when the Fed was on hold (2010-2015), raising interest rates (2015-2018), and cutting rates (2019) deserves special note, with 89% of large-cap funds underperforming the S&P 500 over the past decade.

Mid-cap funds could be excused for some swagger when presenting to investment committees: 68% of mid-cap funds beat the S&P MidCap 400 in 2019, the third consecutive year the majority did so. Similarly, 62% of small-cap funds beat the S&P SmallCap 600. However, the awkward long-term statistic remains that 84% of mid-cap funds and 89% of small-cap funds underperformed over the past 10 years.

The perennial growth versus value debate continues, with the continued pain for value funds particularly pronounced in 2019 and visible across all three market cap segments. A staggering 97% of large-cap value funds lagged the S&P 500 Value in 2019, joined by 65% and 80% of their mid- and small-cap peers underperforming their value benchmarks, respectively. The situation was neatly reversed on the growth side, however, with 67%, 91%, and 86% outperforming the S&P 500 Growth, S&P MidCap 400 Growth, and S&P SmallCap 600 Growth, respectively.

There was little to debate over the full decade though, with scant difference between growth and value funds’ likelihood of underperforming their benchmarks: large cap (90%, 92%), mid cap (78%, 88%), and small cap (82%, 97%) all delivered painful results.

Global equities followed the U.S., with 46 of the 50 countries in the S&P Global BMI up on the year (in USD terms). Emerging market funds had a better go of it, with 64% beating the S&P/IFCI Composite. Only about 40% of global, international, and international small-cap funds beat the S&P Global 1200, S&P International 700, and S&P Developed Ex-U.S. SmallCap, respectively.

Government funds struggled across tenors, with 98%, 69%, and 73% underperforming in the long, intermediate, and short-term buckets, respectively. Government bond funds in general had a miserable decade, as an incredible 99% of long bond funds failed to clear the bar over the past 10 years, along with 80% and 70% of intermediate and short-end bond funds, respectively.

Investment-grade funds had split results: while a mere 5% of long-dated funds outperformed, a healthy 68% and 63% of intermediate- and short-term funds managed to do so, respectively. High-yield funds had little reason to celebrate, with 65% falling short. These results matched their longer-term track records: more than 97% of high yield and investment-grade long funds fell short of their benchmark over the decade, but roughly half of the investment-grade intermediate and short- term funds did outperform.

Elsewhere, solid majorities of municipal debt funds and global income funds outperformed, while MBS and loan participation funds disappointed in 2019.

SPIVA’s report accounting for survivorship bias continues to be a valuable cautionary tale. Fund liquidation numbers across segments regularly reached into the 60% range over a 15-year horizon. In line with 2018, roughly 5% of domestic equity funds disappeared in 2019, with ~40% having been confined to the history books over the past decade. International equity funds posted similar numbers for 2019 and the 2010s, but only ~30% of funds in most fixed income categories were merged or liquidated over the decade.


SPIVA® South Africa Year-End 2019

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Andrew Innes

Head of EMEA, Global Research & Design

S&P Dow Jones Indices has been the de facto scorekeeper of the ongoing active versus passive debate since the first publication of the S&P Indices Versus Active (SPIVA) U.S. Scorecard in 2002. The SPIVA South Africa Scorecard measures the performance of actively managed, South African equity and fixed income funds denominated in South African rands (ZAR) against their respective benchmark indices over one-, three-, and five-year investment horizons.


South African Equities

Over 68% of South African active equity funds underperformed the S&P South Africa 50 over the one-year period. The same equity funds fared better when compared to the broader benchmark; 56% outperformed the S&P South Africa Domestic Shareholder Weighted (DSW) Capped Index in 2019.

The difference in fund performance between the two aforementioned benchmarks reflected the strength of South African large-cap stocks in relation to mid and small caps. The large-cap benchmark, the S&P South Africa 50, was up 10.4% in 2019. It outperformed the S&P South Africa DSW Capped Index by over 3% annualized over each of the one-, three-, and five-year periods, demonstrating the tendency of the largest 50 stocks to outperform in recent years.

Local market gains in 2019 were generally buoyed by the global rally following the late 2018 selloff and were not widely viewed as a reflection of economic strength. In fact, the IMF concluded in November 2019 that South Africa faced persistently weak economic growth, deteriorating debt, and major difficulties in its state-owned enterprises.

S&P DJI’s series of factor, smart beta, and sector indices within South Africa had a disperse range of outcomes in 2019. Momentum strategies led the field in factors, with the S&P Momentum South Africa up 28.5% over the calendar year. The S&P Enhanced Value South Africa Composite Index trailed behind and was down 3.8% over the same period. The S&P South Africa DSW Materials Index posted a strong return of 32.5%, while the S&P South Africa DSW Information Technology Index lost ground and fell 10.6%. Interestingly, the S&P South Africa DSW Capped Carbon Efficient Index outperformed its benchmark by 2.6% in the year that saw the South African government introduce the Carbon Tax Act.

Global Equities

South African funds with a global portfolio saw higher returns than those with a domestic focus when measured on an asset-weighted basis—the Global Equity category returned 21.8% for the one-year period. This growth was more than matched by the S&P Global 1200 in local ZAR, with 73% of funds in this category unable to beat it in the year. On an asset-weighted basis, these funds underperformed the global benchmark by 3% in 2019. Similarly, over a three- and five-year period, the annualized asset-weighted returns were below that of the benchmark, by 3% and 2.5%, respectively.

Fixed Income

Over 73% of funds in the Diversified/Aggregate Bond category were unable to surpass the one-year performance of the S&P South Africa Sovereign Bond 1+ Year Index, which posted gains of over 10% in 2019. This was higher than the benchmark’s annualized five-year return of 7.7%. Over both time periods, the returns from the S&P South Africa Sovereign Bond 1+ Year Index outstripped those from the broad local equity index (S&P South Africa DSW Capped Index).

In the Short-Term Bond funds category, 92% of managers were able to outperform the South Africa Short Term Fixed Interest (STeFI) Composite. The ability of these managers to outmaneuver the benchmark persisted across the three- and five-year periods.


Scorecard SPIVA® da América Latina - Fechamento de 2019


O scorecard SPIVA da América Latina compara o desempenho de fundos mútuos de gestão ativa no Brasil, Chile e México com os seus benchmarks em horizontes temporais de um, três, cinco e dez anos.

A performance dos gestores ativos contra os seus índices de referência ou benchmarks teve discrepâncias entre os países. Este relatório demonstra que os gestores ativos no Brasil, especialmente no segmento Large cap, estiveram bem preparados para a forte recuperação do mercado brasileiro de valores. Entretanto, 2019 foi difícil para os gestores no México e no Chile, apesar das diferentes condições de mercado observadas em ambos os países. O bechmark do México ganhou do mercado enquanto o benchmark chileno encerrou o ano com perdas.


  • O ano de 2019 foi o quarto consecutivo com retornos de dois dígitos para o mercado brasileiro de valores. O S&P Brazil BMI subiu 16,10% na segunda metade do ano e 35,09% no ano completo. As empresas Mid cap e Small cap (medidas pelo S&P Brazil MidSmallCap) lideraram os resultados com ganhos de 55,21%, enquanto as companhias Large cap (medidas pelo S&P Brazil LargeCap) tiveram um retorno de 26,35%.
  • A inflação se manteve controlada ao longo de 2019, mas aumentou em dezembro, fechando o ano em 4,31%. Além disso, as expectativas de crescimento diminuíram em julho de 1,6% para 0,8%, e a previsão foi modificada para 1,1% em 19 de dezembro.1 Durante a segunda metade do ano, o Conselho Monetário Nacional reduziu a taxa referencial quatro vezes, gerando uma queda total da taxa de 200 pontos-base. A entidade também reduziu a taxa SELIC de 6,00% para 4,50%. Como resultado, os títulos de dívida corporativa (medidos pelo Anbima Debentures Index) se valorizaram 2,5% enquanto os títulos de dívida pública (medidos pelo Ambima Market Index) subiram 4,6% na segunda metade do ano. Para o ano completo, os títulos de dívida corporativa subiram 8,6% enquanto o títulos de dívida pública se valorizaram 12,8%.
  • A maioria dos gestores em quatro das cinco categorias perdeu para o seu benchmark no período de um ano (ver relatório 1). Contudo, 2019 foi um bom ano para os gestores de fundos Large cap, pois 88,57% ganharam do seu benchmark no horizonte de um ano e 66,67% conseguiram ganhar no horizonte de três anos. Os gestores ativos das outras categorias não se deram bem contra os seus benchmarks nos períodos de um, cinco e dez anos.
  • No horizonte de dez anos, os fundos de maior tamanho tiveram melhores resultados do que os fundos mais pequenos, com exceção da categoria de títulos de dívida pública, ao comparar o desempenho médio ponderado equitativamente (ver relatório 3) com o desempenho médio ponderado por ativos (ver relatório 4).


  • O mercado chileno de valores apresentou retornos negativos por segundo ano consecutivo, gerando -8,83% no período de doze meses encerrado em dezembro de 2019, segundo a medição do S&P Chile BMI. A volatilidade afetou os mercados do país na segunda metade do ano, principalmente após a crise social que começou em 18 de outubro.
  • A maioria (80%) dos gestores ativos perdeu para o S&P Chile BMI no período de um ano. A mediana do desempenho inferior ao benchmark foi de 2,91% (ver relatório 5).
  • A performance dos fundos piorou em horizontes temporais mais longos, uma vez que 98% e 100% dos fundos perderam para o benchmark durante os períodos de cinco e dez anos, respectivamente. Os fundos no Chile tiveram baixas taxas de sobrevivência: 56% e 50% dos fundos foram fusionados ou liquidados nos períodos de cinco e dez anos.
  • Em todos os horizontes temporais, os fundos mais pequenos se deram relativamente melhor do que os fundos de maior tamanho ao comparar o desempenho médio ponderado equitativamente (ver relatório 3) com o desempenho ponderado por ativos (ver relatório 4).


  • Levando em conta que os efeitos do enfraquecimento do crescimento interno foram compensados pela diminuição da tensão comercial entre os EUA e a China, o mercado mexicano de valores encerrou o segundo semestre de 2019 de forma positiva com uma alta de 2,2% do S&P/BMV IRT. Durante o período de doze meses, o índice subiu 7,9%, que é um resultado notável em comparação com o retorno de -13,62% nos doze meses de 2018.
  • Mais de 70% dos gestores ativos perderam para o S&P/BMV IRT em todos os períodos estudados. A maioria dos gestores ativos não conseguiu antecipar o mercado em alta e repetir o seu sucesso relativo observado no relatório de fechamento de 2018. Durante o período de doze meses encerrado em dezembro de 2019, 71% dos fundos perderam para o benchmark com uma mediana de desempenho inferior de 3,11%. Quanto maior foi o horizonte temporal, pior foi a performance dos gestores desta categoria, já que 87% dos fundos perderam para o benchmark no período de 10 anos com uma mediana de desempenho inferior de 2,10%.
  • O México teve a maior taxa de sobrevivência de fundos na América Latina para a maioria dos períodos estudados, com exceção do horizonte temporal de dez anos. No período de doze meses, a taxa de sobrevivência diminuiu de 100% no relatório do primeiro semestre de 2019 para 98% no fechamento do ano. As taxas de sobrevivência de três e cinco anos estiveram acima de 96% e 88%, respectivamente.


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