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SPIVA® Latin America Scorecard Year-End 2019

Scorecard SPIVA® da América Latina - Fechamento de 2019

Scorecard SPIVA® para América Latina - Cierre de 2019

SPIVA® Europe Year-End 2019

SPIVA® Australia Year-End 2019

SPIVA® Latin America Scorecard Year-End 2019

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María Sánchez

Associate Director, Global Research & Design

The S&P Indices Versus Active (SPIVA) Latin America Scorecard compares the performance of actively managed mutual funds in Brazil, Chile, and Mexico to their benchmarks over 1-, 3-, 5-, and 10-year time horizons.

Active managers’ performance relative to their benchmark indices showed discrepancies across individual countries. The report shows that active managers in Brazil, especially in the large-cap segment, were well prepared for the strong rally in the Brazilian equities market. Meanwhile, 2019 proved challenging for both Mexican and Chilean equity managers, despite the different market conditions seen in the two countries: Mexico’s benchmark outperformed while Chile's benchmark ended the year down.

Brazil

  • 2019 was the fourth consecutive year of double-digit returns in the Brazilian equity market, with the S&P Brazil BMI rising 16.10% during the second half of the year and 35.09% for the full year. Mid- and small-cap companies (as measured by the S&P Brazil MidSmallCap) led the way, up 55.21%, while large-cap companies (as measured by the S&P Brazil LargeCap) returned 26.35%.
  • Inflation was controlled throughout 2019 but rose in December, closing the year at 4.31%. Furthermore, growth expectations for the year shifted lower in July 2019, from 1.6% to 0.8%, and the forecast was revised to 1.1% on Dec. 19, 2019.1 During the second half of the year, the National Monetary Council reduced the reference rate on four different occasions, decreasing the rate by a total of 200 bps, and the institution cut the monetary policy interest rate, SELIC, from 6.00% to 4.50%. As a result, corporate bonds were up 2.5% (as measured by Anbima Debentures Index) and government bonds were up 4.6% (as measured by Anbima Market Index) over the second half of the year. For all of 2019, corporates gained 8.6%, while government bonds were up 12.8%.
  • The one-year period saw most active fund managers underperforming their benchmarks in four of the five categories (see Report 1). However, it was a good year for Brazil Large-Cap Fund managers, with 88.57% beating the benchmark over the one-year horizon and 66.67% over the three-year horizon. Active managers from the other categories fared poorly relative to their respective benchmarks over the 1-, 5-, and 10-year periods.
  • Over the 10-year horizon, larger funds performed better than smaller funds, except in the Brazil Government Bond Funds category, when comparing performance on an equal-weighted (Report 3) versus asset-weighted basis.

Chile

  • The Chilean equity market posted negative returns for the second consecutive year, returning -8.83% over the 12-month period ending in December 2019, as measured by the S&P Chile BMI. Volatility affected the country's markets in the second half of the year, mainly after the social outbreak of Oct. 18, 2019.
  • The majority (80%) of active equity fund managers underperformed the S&P Chile BMI over the one-year period, with the median fund underperforming the benchmark by 2.91%.
  • Fund performance worsened over longer time horizons, as 98% and 100% of funds underperformed the benchmark over the 5- and 10-year periods, respectively. Funds in Chile posted poor survival rates—56% and 50% of funds were merged or liquidated over the 5- and 10-year periods, respectively, as of December 2019.
  • Smaller funds performed relatively better than larger funds in all time horizons when comparing average fund performance on an equal-weighted versus asset-weighted basis.

Mexico

  • With the effects of weakened domestic economic growth outweighed by lessened commercial tension between the U.S. and China, the Mexican equity market ended the second half of 2019 on a positive note, with the S&P/BMV IRT increasing 2.2%; for 12-month period, the index was up 7.9%, a remarkable result compared with 2018's 12-month return of -13.62%.
  • More than 70% of active managers underperformed the S&P/BMV IRT over all periods observed. The majority of active managers were unable to anticipate the up market and repeat their relative success seen in the year-end 2018 report. Over the 12-month period ending in December 2019, 71% of funds underperformed the benchmark, with a median underperformance of 3.11%. The longer the time horizon, the worse managers in this category fared: over the 10-year period, 87% of funds underperformed the benchmark, with a median underperformance of 2.10%.
  • Mexico saw the highest survival rate for equity funds in Latin America for most of the observed periods, with exception of the 10-year horizon. Over the 12-month period, the survival rate was reduced by 2% from the 100% observed in the mid-year 2019 report, finalizing the year at 98%. The three- and five-year survival rates were above 96% and 88%, respectively.

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Scorecard SPIVA® da América Latina - Fechamento de 2019

RESUMO

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.

Brasil

  • 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).

Chile

  • 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).

México

  • 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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Scorecard SPIVA® para América Latina - Cierre de 2019

RESUMEN

El scorecard SPIVA para América Latina compara el rendimiento de fondos de gestión activa en Brasil, Chile y México con sus índices de referencia en horizontes de inversión de uno, tres, cinco y diez años.

El desempeño de los gestores activos en comparación con sus índices de referencia o benchmarks mostró discrepancias en los países analizados. Este informe muestra que los gestores activos en Brasil, especialmente en el segmento de alta capitalización, estuvieron bien preparados para el fuerte repunte del mercado brasileño de valores. Mientras tanto, 2019 presentó desafíos tanto para los gestores mexicanos como chilenos, a pesar de las diferentes condiciones de mercado observadas en ambos países: el índice de referencia de México superó al mercado, mientras que el benchmark de Chile cerró el año con pérdidas.

Brasil

  • El 2019 fue el cuarto año consecutivo con rendimientos de doble dígito para el mercado de acciones brasileño. El S&P Brazil BMI subió 16.10% en el seguno semestre y 35.09% en el año completo. Las empresas de capitalización media y baja lideraron los resultados (medidas por el S&P Brazil MidSmallCap) con un alza de 55.21%, mientras que las empresas large cap presentaron un rendimiento de 26.35% (medidas por el S&P Brazil LargeCap).
  • La inflación se mantuvo controlada a lo largo de 2019, pero tuvo un alza en diciembre y cerró el año en 4.31%. Por otra parte, las expectativas de crecimiento para el año se redujeron de 1.6% a 0.8%, y la proyección fue modificada a 1.1% el 19 de diciembre.1 Durante el segundo semestre, el Consejo Monetario de Brasil redujo la tasa de interés referencial en cuatro ocasiones, generando una caída total de 200 puntos base. Asimismo, la entidad redujo la tasa de interés de política monetaria, SELIC, de 6.00% a 4.50%. Como resultado, los bonos corporativos tuvieron un alza de 2.5% (Anbima Debentures Index) y los bonos gubernamentales subieron 4.6% (Anbima Market Index) en la segunda mitad del año. Considerando el año completo, los bonos corporativos aumentaron 8.6%, mientras que los bonos gubernamentales subieron 12.8%.
  • En el período de un año, la mayoría de los gestores perdió frente a su benchmark en cuatro de las cinco categorías (ver tabla 1). Sin embargo, los gestores de fondos large cap tuvieron un buen año: 88.57% venció a su benchmark en el horizonte de un año y 66.67% lo hizo en el horizonte de tres años. Los gestores activos de otras categorías tuvieron un mal desempeño en comparación sus respectivos benchmarks en los períodos de uno, cinco y diez años.
  • Durante el hozironte de diez años, los fondos de mayor tamaño rendieron relativamente mejor que los fondos más pequeños, con excepción de la categoría de bonos gubernamentales, al comparar su desempeño promedio equiponderado (ver tabla 3) con su desempeño ponderado por activos (ver tabla 4).

Chile

  • El mercado de capitales en Chile presentó resultados negativos por segundo año consecutivo, generando rendimientos de -8.83% durante el período de doce meses culminado en diciembre de 2019, según la medición del S&P Chile BMI. La volatilidad afectó a los mercados del país en la segunda mitad del año, principalmente luego del estallido social del 18 de octubre.
  • La mayoría (80%) de los gestores activos tuvo un desempeño inferior al S&P Chile BMI durante el último período de un año. La mediana de desempeño inferior de los fondos frente a sus benchmarks fue de 2.91% (ver tabla 5).
  • El desempeño de los fondos empeoró en horizontes de más largo plazo: 98% y 100% perdió frente al benchmark durante los períodos de cinco y diez años, respectivamente. Los fondos en Chile presentaron bajas tasas de supervivencia. Durante los períodos de cinco y diez años, respectivamente, 56% y 50% de los fondos fueron fusionados o liquidados.
  • En todos los horizontes temporales, los fondos más pequeños rindieron relativamente mejor que los fondos de mayor tamaño al comparar su desempeño promedio equiponderado (ver tabla 3) con su desempeño ponderado por activos (ver tabla 4).

México

  • Considerando que los efectos de un crecimiento interno debilitado fueron compensados por la disminución de las tensiones comerciales entre Estados Unidos y China, el mercado mexicano de valores cerró la segunda mitad de 2019 en tono positivo con un alza de 2.2% del S&P/BMV IRT. En el período de doce meses, el índice mostró un alza de 7.9%, que es un resultado notable si se compara con el rendimiento de -13.62% durante los doce meses de 2018.
  • Más de 70% de los gestores activos perdió contra el S&P/BMV IRT en todos los períodos analizados. La mayoría no logró anticipar el mercado alcista y repetir su éxito relativo observado en el informe de cierre de 2018. Durante el período de doce meses finalizado en diciembre de 2019, 71% de los fondos perdió contra el benchmark con una mediana de desempeño inferior equivalente a 3.11%. Cuanto mayor fue el horizonte de tiempo, peores fueron los resultados de los gestores de esta categoría. En el período de diez años, 86% de los fondos perdió contra su benchmark con una mediana de desempeño inferior de 2.10%.
  • Los fondos mexicanos de renta variable presentaron la mayor tasa de supervivencia de América Latina en la mayoría de los períodos estudiados, excepto el horizonte de diez años.

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SPIVA® Europe 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 Funds (SPIVA) U.S. Scorecard in 2002. The SPIVA Europe Scorecard measures the performance of actively managed European equity funds denominated in euro (EUR), British pound sterling (GBP), and other European local currencies against the performance of their respective S&P DJI benchmark indices over 1-, 3-, 5-, and 10-year investment horizons.

YEAR-END 2019 HIGHLIGHTS

  • Over the one-year period, 71% of active European equity funds denominated in euros underperformed the S&P Europe 350®.
    • On an asset-weighted basis, the benchmark outperformed funds in this category by 1.5%.
  • 2019 was a buoyant year for European equities following the sharp downturn that occurred at the end of 2018. Markets proved more resilient in the face of continued trade disputes between the U.S. and China, while a stimulus package from the European Central Bank in September 2019 gave equities a further boost.
    • Over the one-year period, 18 of the 23 equity benchmarks measured in the SPIVA Europe Scorecard posted returns of over 20%.
    • The asset-weighted returns of active fund managers were lower than those of their benchmarks in 15 of the 23 categories.
  • Active fund managers investing in single countries in the eurozone largely failed to outperform their benchmarks over the one-year period.
    • Notably, managers with a focus on French, Italian, Dutch, or Spanish Equity underperformed their benchmark by 5% or more on an asset-weighted basis.
    • Only German equity managers were able to beat their benchmark, with funds in this category outperforming the S&P Germany BMI by 90 bps on an asset-weighted basis.
  • Emerging market equity funds domiciled in Europe had a more favorable year compared with 2018.
    • Funds denominated in GBP and EUR outperformed their benchmark by 64% and 50% in 2019, respectively.
    • Over the 10-year period, the outperforming emerging market funds were still heavily outnumbered, with 15% and 4% of GBP- and EUR-denominated funds beating their benchmark, respectively.
  • European active fund managers with a U.S. or global focus were predominantly outpaced by the S&P 500® and S&P Global 1200, respectively, over both short- and long-term periods in EUR terms.
    • In 2019, 81% of euro-denominated U.S. equity funds underperformed their benchmark. Over the 10-year period, this rate increased to over 98%.  The S&P 500 was up 34% in EUR terms in 2019 and outperformed the U.S. Equity fund category by 3.6% on an asset-weighted basis.  Over the 10-year period, this figure rose to 3.8% per year.
    • Similarly, the S&P Global 1200 was up 31% in EUR in 2019, and only 18% of European active funds focused on global equities were able to beat this performance. Fewer than 2% of funds in this category beat the benchmark over the 10-year period.
  • Active UK equity funds had a better run than most in 2019; 73% of funds in this category beat the S&P United Kingdom BMI.
    • The majority of funds in both the UK Equity and UK Large-/Mid-Cap Equity categories outperformed their benchmarks in 2019. However, over the same period, 60% of UK Small-Cap equity funds underperformed their benchmark. Furthermore, less than a third of funds outperformed over the 10-year period in each of these three categories.
    • The strength seen in active UK equity funds did not apply to most of the other GBP-denominated fund categories, implying that UK fund managers may generally only have had an advantage on home soil.
      • Two-thirds of pound sterling-denominated active equity funds in the Europe Ex-UK, Global, and U.S. Equity categories underperformed their benchmarks in 2019.

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SPIVA® Australia Year-End 2019

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Priscilla Luk

Managing Director, Global Research & Design, APAC

SUMMARY

  • 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. We have built on our 17 years of experience publishing the report by expanding scorecard coverage into Australia, Canada, Europe, India, Japan, Latin America, and South Africa.
  • The SPIVA Australia Scorecard reports on the performance of Australian active funds against their respective benchmark indices over 1-, 3-, 5-, 10-, and 15-year periods.1 In this scorecard, we evaluated returns of over 829 Australian equity funds (large, mid, and small cap, as well as A-REIT), 420 international equity funds, and 115 Australian bond funds.
  • In 2019, benchmark-relative performance of Australian funds was better than in 2018 for the majority of fund categories. In the Australian Equity General, Australian Equity Mid- and Small-Cap, and Australian Equity A-REIT categories, 61.5%, 46.9%, and 65.2% of funds were outperformed by their benchmarks, respectively.

SPIVA Australia Year-End 2019 - Exhibit 1

  • Australian Equity General Funds: In 2019, the S&P/ASX 200 recorded a total return of 4%, while Australian large-cap equity funds recorded a net return of 21.9% and 21.8% on equal- and asset-weighted bases, respectively. On an absolute and risk-adjusted basis, 61.5% and 67.9% of funds did not outperform the benchmark, respectively, and 1.8% of them were liquidated over the one-year period. Over the 5- and 10-year periods, 80.8% and 83.9% of funds underperformed the S&P/ASX 200 on an absolute basis, respectively.
  • Australian Equity Mid- and Small-Cap Funds: The S&P/ASX Mid-Small gained 6% in 2019, while Australian mid- and small-cap funds recorded larger net returns of 25.6% and 23.3% on equal- and asset-weighted bases, respectively. On an absolute and risk-adjusted basis, 46.9% and 43.1% of funds lagged the benchmark, respectively, with 3.8% of them being liquidated. Over the 5- and 10-year periods, 69.7% and 49.1% of funds underperformed the S&P/ASX Mid-Small on an absolute basis, respectively.
  • International Equity GeneralFunds: In 2019, more than 70% of international equity funds underperformed the S&P Developed Ex-Australia LargeMidCap on absolute and risk-adjusted International equity general funds posted an equal-weighted average gain of 24.6%, while the S&P Developed Ex-Australia LargeMidCap recorded a gain of 28.1%. Over the 5- and 10-year periods, 86.6% and 93.5% of funds in this category failed to beat the S&P Developed Ex-Australia LargeMidCap respectively.
  • Australian Bond Funds: The S&P/ASX Australian Fixed Interest 0+ Index gained 2% in 2019, while the Australian bond funds gained 6.4% and 6.5% on an equal- and asset-weighted basis, respectively. On an absolute basis, 72.2% of Australian bond funds underperformed the benchmark, while 59.7% of funds underperformed on a risk-adjusted basis.  Over 10-year period, 85.0% and 66.7% of funds in this category did not beat the benchmark on an absolute and risk- adjusted basis, respectively.
  • Australian Equity A-REIT Funds: The S&P/ASX 200 A-REIT recorded a total return of 4% in 2019, while the Australian A-REIT funds gained a net return of 18.6% and 18.4% on equal- and asset-weighted bases, respectively. Of Australian A-REIT funds, 65.2% and 43.5% underperformed the benchmark on an absolute and risk-adjusted basis, respectively. Over the 10- year period, 82.0% and 71.9% of funds in this category underperformed the benchmark on an absolute and risk-adjusted basis, respectively.
  • Fund Survivorship: As of year-end 2019, 3.5% and 3% of Australian funds from all measured categories were merged or liquidated over the one- and three-year periods, respectively. Over the longer periods, the survivorship rate dropped to 78.5% and 58.7% over the 5- and 10-year periods, respectively, with Australian A-REIT funds having the highest survival rates for both periods.
  • Average Fund Returns: The Australian mid- and small-cap funds recorded lower asset-weighted returns than equal-weighted returns for all measured periods, indicating that smaller funds in this category tended to perform better than their larger This trend has been consistently observed in the SPIVA Australia Scorecards.

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