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Many active managers outperform in March despite COVID-19

23 April 2020
We look at the performance of actively managed products in eVestment’s traditional equity and fixed income primary universes from eVestment Analytics and compare them to the performance of selected benchmarks available on the platform to see what percentage of a universe’s products has outperformed the benchmark and what these returns looked like for the month.

For March 2020 comparisons of manager performance, we use 8,907 actively managed products across 145 eVestment primary universes from eVestment’s Analytics solution. The average universe’s proportion of products reporting in the most recent month (MRM) versus the prior-12M was 86% and average sample size was 61 products reporting MRM returns as of 4/20/2020. Additional details on the universe samples chosen are located at the end of this piece. A follow-up article will look at how the largest actively managed universes by institutional AUM fared across major geographic regions.

The top equity universes by the percentage of products outperforming selected benchmarks included multiple Canadian strategies, REITs across several regions, two niche strategies (infrastructure and MLP), and Onshore China A-Shares. Infrastructure products averaged the highest excess return relative to their benchmark, 6.20%, followed by MLPs relative theirs, at 5.53%. Canadian small cap managers outperformed their benchmark with near unanimity and by an average of 347 bps. Global REITs, US REITs, and Australian REITs showed encouraging relative returns with high percentages in each group outperforming their benchmarks.

March 2020 Top Equity Universes

Source: eVestment Analytics. Calculated as a percentage of products outperforming selected benchmark (USD gross)

eVestment
Primary Universe
% Outperforming BenchmarkOutperformers
Avg. Return vs. Benchmark
Average Return vs. BenchmarkUnderperformers
Avg. Return vs. Benchmark
Selected Universe BenchmarkBenchmark Return
Canadian Small Cap96.30%3.72%3.47%-2.94%S&P/TSX Small Cap-33.33%
Infrastructure91.94%7.11%6.20%-4.13%S&P Global Infrastructure-22.96%
Master Limited Partnership (MLP)88.57%6.34%5.53%-0.70%Alerian MLP-47.23%
US REIT83.93%4.25%2.88%-4.25%MSCI REIT-21.62%
Canadian Large Cap Growth83.33%2.53%1.96%-0.88%S&P/TSX Composite-22.08%
Global REIT80.00%3.28%1.82%-4.06%FTSE EPRA/NAREIT Developed-22.62%
Australian Shares - REIT78.95%2.53%1.38%-2.95%S&P/ASX 300 A-REIT-38.45%
Canadian Large Cap Value73.68%2.81%1.21%-3.26%S&P/TSX Composite-22.08%
Canadian Small-Mid Cap73.33%4.43%1.99%-4.73%S&P/TSX Mid Cap-29.42%
Onshore China A-Shares73.33%2.30%0.93%-2.81%MSCI China A Onshore-GD-8.22%

The top fixed income universes by the percentage of products outperforming selected benchmarks include high yield strategies, US and global bank loans, US short and intermediate duration Munis, and US and global convertibles. US convertibles performed exceptionally well with nearly all products besting the benchmark and by an overall average of 226 bps. The four high yield fixed income universes that were included in this month’s comparison all made the top 10 list, with US HY Munis standing out in particular as 85% outperformed the benchmark and the overall group averaged 248 bps in excess of the benchmark.

March 2020 Top Fixed Income Universes

Source: eVestment Analytics. Calculated as a percentage of products outperforming selected benchmark (USD gross)

eVestment
Primary Universe
% Outperforming BenchmarkOutperformers
Avg. Return vs. Benchmark
Average Return vs. BenchmarkUnderperformers
Avg. Return vs. Benchmark
Selected
Universe
Benchmark
Benchmark Return
US Convertibles96.43%2.38%2.26%-1.11%ICE BofAML
All US
Convertible
-13.54%
Global Convertibles93.55%4.01%3.47%-4.44%ICE BofAML
Invt Grade
Convertible
-12.31%
US High Yield Municipal85.00%3.10%2.48%-1.04%Bloomberg
Barclays US
Municipals: HY
-11.00%
US Floating-Rate Bank Loan70.45%2.49%1.00%-2.57%CS Leveraged Loan-12.46%
Europe - High Yield68.09%2.38%1.03%-1.86%ICE BofAML
Euro High Yield Constrained
-13.59%
US High Yield64.32%2.44%0.85%-2.03%ICE BofAML
US High Yield
-11.76%
US Municipal - Short Duration62.50%0.55%0.15%-0.51%Bloomberg
Barclays US
3 Yr Municipals
-1.37%
Global High Yield56.79%2.34%-0.03%-3.14%ICE BofAML
Global High Yield Constrained
-12.81%
US Municipal - Intermediate Duration53.85%0.75%-0.21%-1.32%Bloomberg
Barclays US 1-10
Yr Municipals
-2.52%
Global Floating-Rate Bank Loan53.33%2.53%0.21%-2.44%CS Leveraged Loan-12.46%

Even among equity and fixed income universes where the percentage of products topping the benchmark was less than half, the products that did outperform showed robust returns. The average UK all cap value manager that outperformed the FTSE All Share did so by 9.68% while the average UK all cap growth manager did it by 7.33%. Japan large cap value and all cap value managers that outperformed the TOPIX showed excess returns of 9.07% and 4.68% on average. US micro cap value products that bested the Russell Microcap Value did so by 6.03% on average. Some examples among fixed income strategies include US long duration managers (5.41% in excess of Bloomberg Barclays US Long Govt/Credit) and EM blended currency managers (3.85% in excess of 50% JPM GBI-EM Global Div/50% JPM EMBI Global Div).

Outperformers' Avg Return vs. Benchmark

Source: eVestment Analytics

While some universes fared much better in terms of the proportion of products outperforming the selected benchmarks in March, across nearly all universes there were still managers that delivered meaningfully higher returns than the benchmarks.

Universe Sample Notes:
eVestment universes chosen this month must have had at least 15 products reporting gross returns in MRM and roughly 60% of products reporting in MRM versus the prior-12M reporting average. Certain universes excluded due to lack of a singular benchmark fit (e.g. unconstrained, sector focused) or because they did not fit the theme of the analysis (e.g. cash management, passives, SMA/Wraps).

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