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SPIVA Latin America Year-End 2023

Australia Persistence Scorecard: Year-End 2023

SPIVA MENA Year-End 2023

SPIVA® Europe Year-End 2023

SPIVA India Year-End 2023

SPIVA Latin America Year-End 2023

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Joseph Nelesen, Ph.D.

Head of Specialists, Index Investment Strategy

S&P Dow Jones Indices

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Anu R. Ganti

U.S. Head of Index Investment Strategy

S&P Dow Jones Indices

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Davide Di Gioia

Director, Index Investment Strategy

S&P Dow Jones Indices

Summary

The S&P Indices Versus Active (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.

Year-End 2023 Highlights

In a year of recovery and double-digit positive performance across Latin American benchmarks, underperformance rates among active managers significantly varied by country and asset class. Managers of equity funds in Chile and corporate bond funds in Brazil fared better than most, with less than one-half of funds underperforming their benchmarks. In all other categories, the majority of active funds underperformed in 2023 and over longer periods (see Exhibit 1).

SPIVA Latin America Year-End 2023: Exhibit 1

Mexico

  • The S&P/BMV IRT gained 22.7% during calendar year 2023. In a dramatic reversal compared to 2022, the vast majority of active Mexico Equity fund managers (90.7%) underperformed for the one-year horizon.  Over longer periods, outperformance remained challenging, with 79.1%, 77.8% and 87.8% of managers underperforming the benchmark over 3-, 5- and 10-year periods, respectively (see Report 1a).
  • The median active fund return trailed the benchmark by 5.3% in 2023, worse than in longer periods; median funds underperformed by 3.8%, 3.0% and 2.7% for the 3-, 5- and 10-year periods, respectively (see Reports 3 and 5). Over the 10-year period, even the threshold for top-quartile managers lagged the benchmark by 1.4%.
  • The survival rates of active funds in Mexico remained the highest in Latin America, at 100.0%, 100.0%, 91.1% and 78.0% over the 1-, 3-, 5- and 10-year periods, respectively (see Report 2); this marked seven scorecards in a row that Mexico Equity funds had the highest three- and five-year period survivorship rates.
  • Funds with greater assets performed significantly worse than smaller funds in 2023, with average returns for Mexico Equity funds 2.7% lower on an asset-weighted basis than on an equal-weighted basis (see Reports 3 and 4).

Brazil

  • Brazil’s equity market ended 2023 sharply up, with the S&P Brazil BMI rising 25.3% (see Report 3). Large caps, as measured by the S&P Brazil LargeCap, increased 25.9%, slightly outperforming mid- and small-cap companies, as measured by the S&P Brazil MidSmallCap, which finished the year up 23.7%.
  • In 2023, 61.3% of active Brazil Mid-/Small-Cap funds underperformed their benchmark, while a larger majority of active equity funds underperformed their benchmarks in other categories, with underperformance rates of 88.0% among Brazil Large-Cap funds and 82.1% for Brazil Equity funds. Active managers from all categories, with the exception of Brazil Large-Cap funds, fared even worse relative to their respective benchmarks over the longer 10-year period ending in 2023, with underperformance rates of 91.6%, 81.2% and 90.2% in the Brazil Equity, Brazil Large-Cap and Brazil Mid-/Small-Cap fund categories, respectively (see Report 1a).

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Australia Persistence Scorecard: Year-End 2023

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Sue Lee

Director, APAC Head of Index Investment Strategy

S&P Dow Jones Indices

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Davide Di Gioia

Director, Index Investment Strategy

S&P Dow Jones Indices

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Sabatino Longo

Quantitative Analyst, Index Investment Strategy

S&P Dow Jones Indices

Summary

Can investment results be attributed to skill or luck?  Genuine skill is more likely to persist, while luck is random and fleeting.  Thus, one measure of skill is the consistency of a fund’s relative performance.  The Persistence Scorecard measures that consistency and shows that, regardless of asset class or style focus, active management outperformance is frequently short-lived.

Almost no Australian funds, except for one Australian bond fund, remained in the top performance quartile within their category over five consecutive years ending December 2023.  The results did not improve significantly by lowering the bar from the top quartile to the top half: the proportion of funds remaining in the top half over five consecutive years was smaller than would be expected if the performance were completely random (see Report 2 and Exhibit 1).

Australia Persistence Scorecard: Year-End 2023: Exhibit 1

Report Highlights

2023 was a challenging environment for active equity managers in Australia and persistence of outperformance was hard to find, largely in line with the results of prior years.  In comparison to equity managers, there was a higher degree of persistence in the outperformance of bond managers versus peers as well as benchmarks; however, more such results will need to be seen consistently over longer time periods to conclude the existence of genuine skill among bond managers.

  • 20% of above-median funds in calendar year 2021 remained so in each of the two succeeding years. If outperformance were purely random, we would expect a 25% repeat rate (see Report 1a).
  • Of 2021’s top quartile equity funds, only 2% remained in the top quartile for each of the next two years (versus a 6.25% expectation under random distribution). The result was much better for bond funds, with 44% of the top quartile remaining in the top quartile for the next two years (see Report 1a).
  • Persistence of outperformance against benchmarks was rare: 196 out of a total 329 Australian Equity General funds outperformed the S&P/ASX 200 in calendar year 2021, and only 4 of those 196 winners—about 2%—managed to continue outperforming annually through December 2023 (see Report 1b).

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SPIVA MENA Year-End 2023

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Davide Di Gioia

Director, Index Investment Strategy

S&P Dow Jones Indices

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Joseph Nelesen, Ph.D.

Head of Specialists, Index Investment Strategy

S&P Dow Jones Indices

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Sabatino Longo

Quantitative Analyst, Index Investment Strategy

S&P Dow Jones Indices

Summary

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 MENA Scorecard measures the performance of actively managed MENA equity funds against their respective benchmarks over various time horizons, providing statistics on outperformance rates, survivorship rates and fund performance dispersion.

Year-End 2023 Highlights

2023 seemed not to be a challenging year for active equity managers. Despite strong market performance, a majority of funds across all categories outperformed their respective benchmarks over the one-year horizon. MENA Equity funds heavily outperformed, with 71% of funds surpassing the S&P Pan Arab Composite LargeMidCap Index.

SPIVA MENA Year-End 2023: Exhibit 1

MENA

  • Underperformance rates were low over the one- and three-year periods, with 29% and 44% of active funds, respectively, trailing the S&P Pan Arab Composite LargeMidCap Index. When compared to the S&P Pan Arab Composite, 42% of MENA Equity Funds underperformed in 2023.
  • As time horizons extended, fund managers lost the ability to outperform in this category, with 91% of MENA Equity funds underperforming both benchmarks over the 10-year period ending in 2023.
  • Over the 10-year period, 62% of MENA Equity funds merged or were liquidated, higher than the average across all categories.

GCC

  • The S&P GCC Composite finished 2023 up 10.0%, and 33% of equity funds focused on the Gulf Cooperation Council (GCC) region underperformed over the one-year period. Underperformance rates rose to 56%, 53%, and 68% over the 3-, 5- and 10-year horizons, respectively
  • Survival rates for active GCC Equity funds were moderate, with 79% of funds surviving over the 10-year period.

Saudi Arabia

  • The S&P Saudi Arabia gained 15.7% in 2023, and 29% of funds underperformed the index. The category underperformance rate was among the smallest within all MENA categories over the one-year period.
  • Over a longer time horizon, the majority of Saudi Arabia Equity funds trailed the benchmark, with an underperformance rate of 55% over 10-year period.
  • The survival rate of active Saudi Arabia Equity funds was the second highest among all MENA categories, with 73% of funds surviving over the 10-year period.

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SPIVA® Europe Year-End 2023

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Tim Edwards

Managing Director and Global Head of Index Investment Strategy

S&P Dow Jones Indices

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Sue Lee

Director, APAC Head of Index Investment Strategy

S&P Dow Jones Indices

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Davide Di Gioia

Director, Index Investment Strategy

S&P Dow Jones Indices

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Sabatino Longo

Quantitative Analyst, Index Investment Strategy

S&P Dow Jones Indices

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.

This edition marks the 10th anniversary of the SPIVA Europe Scorecard.  Over the full decade since we began publishing, a significant majority of the actively managed funds offered in Europe underperformed their assigned benchmark in each of our reported domestic and international equity and fixed income categories.

Exhibit 1 summarizes the percentage of underperforming funds over the 10-year period ending in 2023 across all the fund categories included in this scorecard.

Exhibit #1: SPIVA® Europe Year-End 2023

2023 Highlights

  • Although rising markets have generally been welcomed by both fund managers and their clients, 2023 was a challenging year for the European active fund industry in terms of relative performance, particularly in equities.
  • In the category with the largest number of available funds, namely Global Equity funds denominated in euros, 84% of actively managed funds underperformed the S&P World Index over the full year. Across the broad European and emerging market categories, one-year underperformance rates ranged from 66% for pound sterling-denominated Emerging Markets Equity funds to 83% for broad Europe Equity funds.
  • Outperformance was hard to find in European country equity funds, particularly in Germany, France, Sweden, Spain, Denmark and Italy; where actively managed domestic equity funds posted one-year underperformance rates of 87%, 90%, 95%, 97%, 97% and 98%, respectively.

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SPIVA India Year-End 2023

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Benedek Vörös

Director, Index Investment Strategy

S&P Dow Jones Indices

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Davide Di Gioia

Director, Index Investment Strategy

S&P Dow Jones Indices

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Sabatino Longo

Quantitative Analyst, Index Investment Strategy

S&P Dow Jones Indices

Summary

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 over 1-, 3-, 5- and 10-year investment horizons.

Full-Year 2023 Highlights

In 2023, performance among Indian active managers varied across categories.  A slim majority of Indian Equity Large-Cap funds failed to beat their benchmark, with 52% of actively managed funds underperforming the S&P BSE 100.  Indian ELSS funds fared the best, with just 30% underperforming the S&P BSE 200.

Exhibit #1: SPIVA India Year-End 2023

Indian Equity Large-Cap Funds

  • The S&P BSE 100 gained 23.2% in 2023, and 51.6% of active managers underperformed the benchmark over that period.
  • Underperformance rates were significantly high over the three- and five-year periods, at 87.5% and 85.7%, respectively.
  • Active managers produced relatively better results over the 10-year period, with the underperformance rate dropping to 62.1%.

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