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84% of Actively Managed U.S. Equity Funds Underperformed Their Benchmark in 2011; 57% Trail Over 3 Year Period

 
 

SPIVA Reaches 10 Year Anniversary Mark as De Facto Scorekeeper of the Active Vs Passive Debate

NEW YORK, March 12, 2012 /PRNewswire/ -- Findings released today by S&P Indices for its full year 2011 S&P Indices Versus Active Funds Scorecard (SPIVA) show that approximately 84% of actively managed U.S. equity funds underperformed their relative S&P benchmark in 2011. Over the previous three-and five-year periods, approximately 56% and 61% of actively manage equity funds underperformed their benchmark.

SPIVA reports on the performance of actively managed U.S. funds corrected for survivorship bias and shows equal and asset-weighted averages. The complete SPIVA scorecards for the U.S., Australia, Canada and India is available at www.spindices.com/spivaresearch.

Drilling down to style categories, the SPIVA scorecard shows that approximately 69% of large cap funds, 70% of mid cap funds and 51% small cap funds failed to beat the S&P 500, S&P MidCap 400 and S&P SmallCap 600 respectively over the previous three years. The results are similar over the five-year period and more dramatic over the one-year period for 2011. 

A table showing the percentage of U.S. equity funds outperformed by their benchmarks can be found at the conclusion of this release.

The script was similar for non-U.S. equity funds, with indices outperforming a majority of actively managed non-U.S. equity funds over the past three- and five-years with approximately 69% and 55% of global equity funds failing to outperform the S&P Global 1200.

While the active versus passive debate gets less play for bond market funds, S&P Indices has seen similar results over five-year horizons in this asset class. In most bond fund categories, benchmark indices have outperformed a majority of active managers.

Bear markets should favor active managers. Instead of being 100% invested in a market that is turning south, active managers have the opportunity to move to cash, or seek more defensive positions. Unfortunately, that opportunity does not translate to reality. In the two true bear markets the SPIVA Scorecard has tracked over the last decade, most active equity managers failed to beat their benchmarks.

 

 

 

 

 

Report 1: Percentage of U.S. Equity Funds Outperformed by Benchmarks

Fund Category

Comparison Index

One Year

Three Years

Five Years

All Domestic Equity Funds

S&P Composite 1500

84.07

56.53

61.88

 

 

 

 

 

All Large Cap Funds

S&P 500 

81.28

69.39

61.93

All Mid Cap Funds

S&P MidCap 400

67.36

70.6

79.55

All Small Cap Funds

S&P SmallCap 600

85.78

51.6

72.56

All Multi Cap Funds

S&P Composite 1500

84.01

68.4

70.56

 

 

 

 

 

Large Cap Growth Funds

S&P 500 Growth

95.63

70.03

80.2

Large Cap Core Funds

S&P 500 

81.31

79.78

67.93

Large Cap Value Funds

S&P 500 Value

54.26

53.76

36.71

 

 

 

 

 

Mid Cap Growth Funds

S&P MidCap 400 Growth

75.39

83.61

90.7

Mid Cap Core Funds

S&P MidCap 400

64.07

77.86

86.87

Mid Cap Value Funds

S&P MidCap 400 Value

64.86

63.31

75.58

 

 

 

 

 

Small Cap Growth Funds

S&P SmallCap 600 Growth

93.75

63.2

85.64

Small Cap Core Funds

S&P SmallCap 600

86.1

57.56

71.43

Small Cap Value Funds

S&P SmallCap 600 Value

83

38.06

57.78

 

 

 

 

 

MultiCap Growth Funds

S&P Composite 1500 Growth

94.79

71.68

83.12

MultiCap Core Funds

S&P Composite 1500

84.23

74.32

70.25

MultiCap Value Funds

S&P Composite 1500 Value

64.66

56.25

61.38

 

 

 

 

 

Real Estate Funds

S&P BMI United States REIT

76.22

74.29

70.24

 

 

 

 

 

Source: S&P Indices

About SPIVA

The SPIVA methodology is designed to provide an accurate and objective apples-to-apples comparison of funds' performance versus their appropriate style indices, correcting for factors that have skewed results in previous index-versus-active analyses in the industry. SPIVA scorecards show both asset- and equal-weighted averages and include survivorship bias correction to account for funds that may have merged or been liquidated during the period under study.

About S&P Indices

S&P Indices, a leading brand of The McGraw-Hill Companies, Inc. (NYSE: MHP), maintains a wide variety of investable and benchmark indices to meet an array of investor needs. Over $1.45 trillion is directly indexed to our indices, which includes the S&P 500, the world's most followed stock market index, the S&P/Case-Shiller Home Price Indices, the leading measure of U.S. home prices, the S&P Global BMI, an index with approximately 11,000 constituents, the S&P GSCI, the industry's most closely watched commodities index, and the S&P National AMT-Free Municipal Bond Index, the premier investable index for U.S. municipal bonds. For more information, please visit: www.standardandpoors.com/indices.

SOURCE S&P Indices

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