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Most active managers outperformed benchmarks in May
25 June 2020
We look at how and which actively managed strategies fared against market benchmarks in May -- highlighting what percentage of managers in a given universe are beating their benchmarks and the degree to which they are outperforming. April’s performance analysis uses over 6,300 equity and fixed income products from eVestment Analytics that have qualified for inclusion in this month’s analysis based on the criteria listed at the end.

May was a good month for stock and bond pickers. More than half of actively managed strategies in 74% of universes outperformed their benchmarks. Of the 130 primary universes qualifying for inclusion this month, four showed 100% of reporting constituents with excess returns (Japan All Cap Growth Equity, Global Core Plus Fixed Income, Global Convertibles, and Canadian Short Duration) and there were 53 universes with at least 75% of constituents reporting excess returns as well.

Outperformers' Average Returns vs. Universe-Selected Benchmarks

Active manager outperformance in May was widespread and geographically diverse. Beyond Global and ACWI ex-US universes, Japan-focused and US-focused are in the top of both equity and fixed income lists, Pan-Europe and EM strategies showed up on the equity list, and Australia, Canada, and Asia-focused strategies on the fixed income list.

The majority of the universes on the top equity list targeted Large Caps and on the fixed income list they focused on investment grade bonds (i.e. Core strategies).

Top Equity Universes: May 2020

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

eVestment Primary Universe% Outperforming BenchmarkOutperformers Avg. Return vs. BenchmarkAverage Return vs. BenchmarkUnderperformers Avg. Return vs. BenchmarkSelected Universe BenchmarkBenchmark Return
Japan All Cap Growth Equity100.00%2.50%2.50%N/ATOPIX6.02%
Pan-Europe Large Cap Value Equity94.44%1.91%1.69%N/AMSCI Europe Large Cap Value-GD3.35%
ACWI ex-US Large Cap Core Equity93.33%1.59%1.45%-0.53%MSCI ACWI ex-US Large Cap-GD2.85%
ACWI ex-US Large Cap Growth Equity90.32%2.05%1.84%-0.16%MSCI ACWI ex-US Large Cap Growth-GD3.65%
Global REIT89.71%1.72%1.13%-4.04%FTSE EPRA/NAREIT Developed0.29%
EM Large Cap Value Equity88.89%1.72%1.53%-0.04%MSCI EM Large Cap Value-GD-0.55%
US All Cap Value Equity86.36%1.82%1.47%-0.72%Russell 3000 Value3.39%
Pan-Europe Large Cap Core Equity86.36%1.56%1.28%-0.48%MSCI Europe Large Cap-GD4.12%
US REIT86.21%1.81%0.71%-6.18%MSCI REIT0.18%
ACWI ex-US Large Cap Value Equity82.35%1.33%0.99%-0.58%MSCI ACWI ex-US Large Cap Value-GD1.95%

Top Fixed Income Universes: May 2020

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

eVestment Primary Universe% Outperforming BenchmarkOutperformers Avg. Return vs. BenchmarkAverage Return vs. BenchmarkUnderperformers Avg. Return vs. BenchmarkSelected Universe BenchmarkBenchmark Return
Global Core Plus Fixed Income100.00%1.66%1.66%N/ABB Barc Global Aggregate0.44%
Global Convertibles100.00%3.18%3.18%N/AICE BofAML Invt Grade Convertible1.84%
Canadian Short Duration Fixed Income100.00%0.23%0.23%N/ABB Barc Canadian Aggregate 1-3 Years0.70%
US Core Plus Fixed Income98.77%1.02%1.01%-0.27%BB Barc US Aggregate0.47%
Multi-Asset Credit Fixed Income96.55%3.17%3.03%-0.88%BB Barc Multiverse0.66%
Japan Core Fixed Income96.15%0.15%0.14%-0.03%NOMURA Bond Performance-1.17%
Asia Fixed Income - Hard Currency94.74%1.37%1.25%N/AICE BofAML Asia Dollar Investment Grade2.07%
US Core Fixed Income94.16%0.54%0.50%-0.18%BB Barc US Aggregate0.47%
Australian Fixed Interest - Core94.12%0.29%0.27%N/ABloomberg AusBond Composite Bond1.68%
Global Multi-Sector Fixed Income92.59%2.30%2.11%-0.35%BB Barc Multiverse0.66%

Observations across the biggest equity and fixed income universes by Q1 2020 institutional AUM that were included in the analysis show that the majority of active managers, in the majority of these universes, also outperformed their benchmarks.

The biggest US universes showed significant improvement in the proportion of products outperforming benchmarks in May versus their April reading: a 26.6 point increase among US LC Growth to show 57.3% of constituents had produced excess returns in May, a 12.7 point improvement among US LC Value, and a 21.7 point rise among US LC Core.

The month-over-month gains were not as drastic for the biggest US fixed income universes, but it is notable that over 80% of the products in the five largest universes still outperformed the benchmarks.

Top Equity Universes by Q1 2020 Institutional AUM

Source: eVestment Analytics
Performance in USD gross.

RegioneVestment Primary Universe% Outperforming BenchmarkOutperformers Avg. Return vs. BenchmarkAverage Return vs. BenchmarkUnderperformers Avg. Return vs. BenchmarkSelected Universe BenchmarkBenchmark Return
U.S.US Large Cap Growth57.30%1.71%0.52%-1.09%Russell 1000 Growth6.71%
U.S.US Large Cap Value73.14%1.16%0.65%-0.74%Russell 1000 Value3.43%
U.S.US Large Cap Core57.75%1.33%0.42%-0.83%S&P 5004.76%
U.S.US All Cap Core60.40%1.86%0.74%-0.98%Russell 30005.35%
U.S.US Small Cap Growth68.97%3.13%1.57%-1.92%Russell 2000 Growth9.45%
GlobalGlobal Large Cap Core51.91%1.11%0.05%-1.10%MSCI World Large Cap-GD4.51%
GlobalGlobal All Cap Core43.72%1.37%-0.09%-1.23%MSCI World-GD4.90%
GlobalEM All Cap Core65.35%1.77%0.88%-0.81%MSCI EM-GD0.79%
GlobalGlobal All Cap Growth67.19%3.42%1.78%-1.58%MSCI World Growth-GD6.54%
GlobalACWI ex-US All Cap Growth80.77%3.55%2.72%-0.77%MSCI ACWI ex-US Growth-GD4.38%
EMEAPan-Europe All Cap Core70.73%1.15%0.48%-1.12%MSCI Europe-GD4.65%
EMEAPan-Europe Large Cap Core86.36%1.56%1.28%-0.48%MSCI Europe Large Cap-GD4.12%
EMEAPan-Europe Small Cap66.67%1.54%0.51%-1.54%MSCI Europe Small Cap-GD6.88%
EMEAUK All Cap Value18.75%1.25%-0.97%-1.48%FTSE All Share1.36%
EMEAUK All Cap Core39.39%1.67%-0.26%-1.51%FTSE All Share1.36%
APACJapan All Cap Core52.70%1.90%0.30%-1.48%TOPIX6.02%
APACAustralian Shares - Long Only55.05%1.42%0.37%-0.93%S&P/ASX 3006.04%
APACJapan All Cap Growth100.00%2.50%2.50%N/ATOPIX6.02%
APACJapan All Cap Value31.91%1.25%-0.29%-1.02%TOPIX6.02%
APACPacific Basin78.95%2.79%2.10%-0.48%MSCI AC Asia Pacific-GD1.95%

Top Fixed Income Universes by Q1 2020 Institutional AUM

Source: eVestment Analytics
Performance in USD gross.

RegioneVestment Primary Universe% Outperforming BenchmarkOutperformers Avg. Return vs. BenchmarkAverage Return vs. BenchmarkUnderperformers Avg. Return vs. BenchmarkSelected Universe BenchmarkBenchmark Return
U.S.US Core94.16%0.54%0.50%-0.18%BB Barc US Aggregate0.47%
U.S.US Long Duration82.02%1.13%0.65%-1.55%BB Barc US Long Govt/Credit0.09%
U.S.US Corporate80.60%0.42%0.29%-0.25%BB Barc US Credit1.63%
U.S.US Core Plus98.77%1.02%1.01%-0.27%BB Barc US Aggregate0.47%
U.S.US Short Duration88.62%0.67%0.57%-0.17%BB Barc US 1-3 Yr Govt/Credit0.33%
GlobalGlobal Aggregate87.69%1.16%0.97%-0.36%BB Barc Global Aggregate0.44%
GlobalGlobal Multi-Sector92.59%2.30%2.11%-0.35%BB Barc Multiverse0.66%
GlobalGlobal Unconstrained81.58%2.16%1.52%-1.32%BB Barc Multiverse0.66%
GlobalEM - Hard Currency79.63%1.22%0.71%-1.28%JPM EMBI Global Diversified6.07%
GlobalGlobal Credit69.84%0.90%0.47%-0.52%BB Barc Global Aggregate - Credit1.59%

Universe Sample Notes:
eVestment primary universes chosen this month must have had at least 15 products reporting gross returns in the most recent month (MRM) based on a data pull from 6/22/2020. Universes with between 15 and 20 products reporting must have >=50% of products that reported returns in MRM versus the universe’s prior-12M reporting average of active products. Universes with >20 products reporting must have ~40% or more products that have reported returns in MRM versus prior-12M. 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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