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How actively managed strategies fared against benchmarks in August
28 September 2020
We look at how actively managed strategies fared against market benchmarks in August, highlighting what percentage of managers in a given universe are beating their benchmarks and the degree to which they are outperforming. August’s performance analysis uses 6,503 equity and fixed income products from eVestment Analytics that have qualified for inclusion in this month’s analysis.

Active manager outperformance was regionally diverse and a welcome respite from YTD performance for some strategies. Within the top 10 equity universes by the percentage of sample outperforming benchmarks, there were multiple country-focused (Japan, Canada, Latin America, and India) and region-focused (Pan-Europe, EAFE, ACWI ex-US, and EM) groups.

The high outperformance percentages in August were particularly welcome for Japan Large Cap Value, Canadian Large Cap Value, and Canadian All Cap Value products, since only 30%, 13%, and 4% respectively, of these universes’ constituents were outperforming the selected benchmarks YTD in 2020.

Top Equity Universes: August 2020

Source: eVestment Analytics
Top equity universes by percentage of products outperforming selected benchmark. Performance in USD gross.

eVestment Primary Universe% Outperforming BenchmarkSelected Universe BenchmarkBenchmark ReturnOutperformers
Avg. Return vs. Benchmark
Average Return vs. BenchmarkSample Count
Japan Large Cap Value Equity100.00%TOPIX7.85%1.68%1.68%10
Pan-Europe Large Cap Growth Equity90.91%MSCI Europe Large Cap Growth-GD3.09%1.82%1.65%11
EAFE Large Cap Growth Equity88.89%MSCI EAFE Large Cap Growth-GD4.11%1.89%1.55%18
Canadian Large Cap Value Equity86.67%S&P/TSX Composite5.22%0.99%0.80%15
Asia ex-Japan All Cap Growth Equity86.67%MSCI AC Asia ex-Japan All Cap-GD3.75%2.91%2.40%15
Latin America Equity86.67%MSCI EM Latin America-GD-6.20%1.99%1.69%15
Canadian All Cap Value Equity83.33%S&P/TSX Composite5.22%1.80%1.36%24
India Equity83.33%MSCI India-GD3.53%3.38%2.61%18
ACWI ex-US Large Cap Growth Equity82.76%MSCI ACWI ex-US Large Cap Growth-GD3.94%1.08%0.78%29
EM All Cap Value Equity82.50%MSCI EM Value-GD0.78%1.74%1.31%40

The same can be said about a few fixed income universes making it into last month’s top 10. YTD only 24% of US Multi-Sector, 7% of Multi-Asset Credit, and 6% of US Unconstrained products are outperforming the selected benchmarks, but in August all of the Multi-Asset Credit and US Unconstrained strategies that reported returns, and 88% of US Multi-Sector strategies, were outperformers.

Top Fixed Income Universes: August 2020

Source: eVestment Analytics
Top fixed income universes by percentage of products outperforming selected benchmark. Performance in USD gross.

eVestment Primary Universe% Outperforming BenchmarkSelected Universe BenchmarkBenchmark ReturnOutperformers
Avg. Return vs. Benchmark
Average Return vs. BenchmarkSample Count
US Government Fixed Income100.00%BB/Barc US Government-1.06%0.81%0.81%11
Asia Fixed Income - Hard Currency100.00%ICE BofAML Asia Dollar Investment Grade-0.03%1.22%1.22%22
Multi-Asset Credit Fixed Income100.00%BB/Barc Multiverse-0.09%1.66%1.66%30
US Unconstrained Fixed Income100.00%60% BB/Barc US Govt/Credit/40% BB/Barc US Corp HY-0.31%0.97%0.97%16
Canadian Corporate Fixed Income95.83%BB/Barc Canadian Aggregate - Corporate2.31%0.42%0.37%24
Canadian Core Fixed Income94.44%BB/Barc Canadian Aggregate1.62%0.35%0.33%54
EM Fixed Income - Hard Currency92.59%JPM EMBI Global Diversified0.51%0.72%0.64%54
Japan Core Fixed Income89.29%NOMURA Bond Performance-0.77%0.15%0.11%28
Global Multi-Sector Fixed Income88.00%BB/Barc Multiverse-0.09%1.34%1.13%25
US Multi-Sector Fixed Income88.00%60% BB/Barc US Govt/Credit/40% BB/Barc US Corp HY-0.31%1.06%0.88%25

Performance within the largest equity and fixed income universes by Q2 2020 institutional AUM shows quite a bit of dispersion. The largest US and Global equity universes (except for ACWI ex-US All Cap Growth) generally had low percentages of their constituents best the benchmarks in August. But a few of the largest EMEA and APAC universes, such as Pan-European Large Cap Core, Pan-European Large Cap Growth, and Onshore China A-Shares, did stand out with 80%+ of constituents outperform. The largest US and Global fixed income universes all fared well however, as two-thirds or more of constituents surpassed their benchmarks.

Top Equity Universes by Q2 2020 Institutional AUM

Source: eVestment Analytics
Performance in USD gross.

RegioneVestment Primary Universe% Outperforming BenchmarkSelected Universe BenchmarkBenchmark ReturnOutperformers
Avg. Return vs. Benchmark
Average Return vs. BenchmarkSample Count
North AmUS Large Cap Growth Equity16.02%Russell 1000 Growth10.32%1.54%-1.81%181
North AmUS Large Cap Value Equity52.50%Russell 1000 Value4.14%1.23%0.24%240
North AmUS Large Cap Core Equity21.53%S&P 5007.19%1.02%-1.12%209
North AmNorth American Equity36.36%MSCI North America-GD7.41%0.44%-1.34%22
North AmUS Small Cap Growth Equity22.41%Russell 2000 Growth5.87%1.46%-1.38%116
GlobalGlobal Large Cap Core Equity11.35%MSCI World Large Cap-GD7.10%0.98%-1.86%185
GlobalGlobal All Cap Core Equity19.70%MSCI World-GD6.72%0.82%-1.44%198
GlobalGlobal All Cap Growth Equity12.50%MSCI World Growth-GD8.52%2.97%-1.89%64
GlobalEM All Cap Core Equity43.88%MSCI EM-GD2.24%1.38%0.01%98
GlobalACWI ex-US All Cap Growth Equity80.00%MSCI ACWI ex-US Growth-GD4.09%1.67%1.14%25
EMEAPan-Europe All Cap Core Equity70.27%MSCI Europe-GD4.13%1.23%0.63%37
EMEAPan-Europe Small Cap Equity56.25%MSCI Europe Small Cap-GD6.93%1.31%0.12%32
EMEAPan-Europe Large Cap Core Equity81.48%MSCI Europe Large Cap-GD3.56%1.40%0.97%27
EMEAPan-Europe Large Cap Growth Equity90.91%MSCI Europe Large Cap Growth-GD3.09%1.82%1.65%11
EMEAUK All Cap Core Equity64.29%FTSE All Share4.49%1.74%0.83%28
APACAustralian Equity Shares - Long Only63.89%S&P/ASX 3006.27%1.95%0.82%108
APACJapan All Cap Core Equity27.42%TOPIX7.85%1.38%-1.23%62
APACJapan All Cap Growth Equity17.65%TOPIX7.85%3.11%-1.04%34
APACOnshore China A-Shares Equity80.77%MSCI China A Onshore-GD4.15%1.53%0.96%26
APACJapan All Cap Value Equity60.47%TOPIX7.85%1.94%0.52%43

Top Fixed Income Universes by Q2 2020 Institutional AUM

Source: eVestment Analytics
Performance in USD gross.

RegioneVestment Primary Universe% Outperforming BenchmarkSelected Universe BenchmarkBenchmark ReturnOutperformers Avg. Return vs. BenchmarkAverage Return vs. BenchmarkSample Count
North AmUS Core Fixed Income80.60%BB/Barc US Aggregate-0.81%0.33%0.23%134
North AmUS Long Duration Fixed Income66.27%BB/Barc US Long Govt/Credit-3.75%0.91%0.33%83
North AmUS Corporate Fixed Income85.48%BB/Barc US Credit-1.27%0.53%0.44%62
North AmUS Core Plus Fixed Income92.77%BB/Barc US Aggregate-0.81%0.57%0.51%83
North AmUS Short Duration Fixed Income79.55%BB/Barc US 1-3 Yr Govt/Credit0.04%0.22%0.16%132
GlobalGlobal Aggregate Fixed Income66.67%BB/Barc Global Aggregate-0.15%1.13%0.68%63
GlobalGlobal Multi-Sector Fixed Income88.00%BB/Barc Multiverse-0.09%1.34%1.13%25
GlobalGlobal Unconstrained Fixed Income88.16%BB/Barc Multiverse-0.09%1.54%1.33%76
GlobalEM Fixed Income - Hard Currency92.59%JPM EMBI Global Diversified0.51%0.72%0.64%54
GlobalGlobal Credit Fixed Income66.67%BB/Barc Global Aggregate - Credit-0.23%1.55%0.94%60

Below we present a scatterplot of the 151 universes included in this month’s analysis, showing the percentage of products within a universe that outperformed selected benchmarks, the average excess return of these outperforming products over the benchmark, and the representative universe sizes by institutional AUM as of Q2 2020.

Outperformers' Average Returns vs. Universe-Selected Benchmarks

Universe Sample Notes
eVestment primary universes chosen this month must have had at least 10 products reporting gross returns for the last month based on the data pull from 9/23/2020. Universes must have at least 40% of products that reported returns last month versus the universe’s prior-12M reporting average of active products. Certain universes excluded due to lack of a singular benchmark fit (e.g. sector focused equity) or because they did not fit the theme of the analysis (e.g. cash management, passives, SMA/Wrap). Instances where outperformers/underperformers average return vs. benchmark shows “N/A” means sample excluded due to size.

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