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Impact of Strategy Size on Performance – 2017
The 2017 eVestment Impact of Strategy Size on Performance Report provides an overview of the quantitative and qualitative characteristics of small, medium and large strategies within the most viewed universes by consultants and institutional investors using the eVestment platform in 2016. This report uses eVestment’s Advantage and Asset Flows solutions to arrive at a variety of conclusions about the impact of strategy size on performance and provides a detailed break down across a wide variety of investment types, sizes and time horizons. We have created three regional versions of this report: one targeted for North America, one for EMEA and one for Asia-Pacific.
Key Findings: North America
Among equity universes of most interest to eVestment’s US clients, the average small strategy almost always had higher returns than the average medium, which in turn nearly always had higher returns than the average large.
Across all three US Small Cap Equity style segments, large strategies exhibited less volatility and lower downside market capture ratios more frequently; in several instances, large outperformed with 100% consistency.
Medium Global Small Cap Equity strategies provided favorable returns, volatilities, and information ratios more frequently. As rolling timeframes extend from 3 to 5 to 7 years, the magnitude of the average medium strategy’s absolute outperformance over its peers expands.
Key Findings: EMEA
Small Emerging Markets All Cap Core Equity strategies posted higher returns than their large counterparts in both frequency and magnitude.
Within Pan-Europe Small Cap Equity, trends have been fairly consistent in terms of magnitudes for the size groups. Outside of the 1-year period, the average small strategy provided more favorable returns, volatilities, and IRs than the average medium strategy, which in turn surpassed the average large strategy in the same metrics.
By both frequency and magnitudes, small South Africa Balanced strategies fared worse than medium and large strategies.
Key Findings: Asia-Pacific
Small Japan All Cap Core Equity strategies generally outperformed their medium and large peers more frequently in absolute and risk-adjusted (information ratio) returns, but were less steady in down market capture comparisons and also more volatile.
Large Global Agg Fixed Income strategies beat their peers more frequently across nearly all metrics and timeframes.
Small Australian Equity Shares – Small Cap strategies were superb in their outperformance of medium and large strategies.