by Tina Byles Williams | Apr 1, 2013 | Market Insights Alerts
In 2011, FIS Group published a research paper which analyzed the drivers of entrepreneurial (or smaller) manager outperformance in US equity strategies from 2006-2010.1 While the study illustrated out-performance for five out of seven long-only equity investment styles offered through smaller managers/strategies (based on assets under management (AUM)) relative to their larger manager peers, it also detected the apparent beginnings of diminishing excess returns to fundamental active equity management strategies in the post-financial crash period. The most marked erosion of return has been observed among active Large Growth and Large Core products. By the end of 2012, the S&P 500 Index had risen over 100% since the market bottom in March 2009; but as a class, U.S. Large Cap active managers have been underperforming the market benchmark with a tenacity that is troubling. The paper analyzes several key questions including:
by Tina Byles Williams | Apr 1, 2011 | Market Insights Alerts
The three to five years ending December 31, 2010 have challenged many active long only (and long-short) equity managers’ ability to produce alpha, particularly if their investment decisions are based on the intrinsic fundamental characteristics of individual stocks. As a manager of Entrepreneurial managers1 , the majority of whom employ this type of investment approach, FIS Group conducted research on the major factors driving the impairment of excess return observed over the last five years. Additionally, we examined whether the performance advantage of Entrepreneurial managers over their Established manager peers (by investment style and market capitalization) observed in our and others’ prior research had altered as a result of the changing macroeconomic and market environments. Our conclusions are as follows:
by Tina Byles Williams | Dec 1, 2006 | Market Insights Alerts
The purpose of this study is to determine whether there are significant relationships between asset levels that traditionally determine a manager’s status as emerging and various measurements of risk-adjusted return. Those measurements include the Information Ratio, Sharpe Ratio and Sortino Ratio. Additionally, the study attempts to evaluate the impact of certain salient characteristics of the firm universe, such as portfolio concentration (as measured by average number of portfolio securities), degree of trading activity (as measured by portfolio turnover) and number of research analysts and portfolio managers.
