Friday, February 23, 2007

International Large & Mid/Small Funds Outperformed MSCI EAFE 1, 3 and 5 years

Returns through January 2007 1 year 3 years 5 years 10 years
Accessor International Equity Adv 24.70% 21.85% 17.38% 8.64%
AIM International Small Company A 26.28% 33.93% 33.75% N/A
AllianceBernstein Intl Val A 24.55% 24.36% 22.67% N/A
Allianz NACM International Instl 22.23% 26.57% 22.14% N/A
Amer Century Intl Disc Inv 22.99% 24.34% 21.78% 16.09%
BlackRock International Opp A 23.25% 28.54% 24.97% N/A
Columbia Acorn International Se Z 28.72% 25.00% 20.40% N/A
Columbia Acorn International Z 25.58% 27.96% 22.35% 13.07%
Delaware Pooled Int’l Equity 24.52% 21.07% 18.47% 11.09%
Delaware Pooled Lab Select Intl Eq 24.31% 20.69% 18.51% 11.61%
DFA Intl Small Cap Value 22.82% 27.32% 31.25% 13.48%
DFA Intl Value 27.92% 25.54% 23.26% 12.16%
DFA Intl Value II 28.19% 25.75% 23.44% 12.22%
DFA Intl Value III 28.20% 25.75% 23.47% 12.37%
DFA Intl Value IV 28.18% 25.76% 23.44% N/A
DFA Tax-Managed Intl Value 27.19% 25.11% 22.18% N/A
Dodge & Cox International Stock 22.24% 25.02% 21.85% N/A
Dreyfus Founders Passport F 21.45% 22.11% 21.88% 10.71%
Forward Inter Equity 24.92% 21.53% 17.82% N/A
Forward Inter Small Co Instl 22.37% 25.71% 25.42% 15.72%
Gartmore International Growth A 23.73% 25.27% 18.64% N/A
Glenmede International 21.08% 20.77% 17.25% 10.40%
GMO Foreign III 20.88% 20.45% 19.30% 12.16%
GMO Foreign Small Companies III 28.81% 27.41% 27.03% 16.39%
Goldman Sachs Structured Intl Equity A 21.89% 21.01% 17.07% N/A
Harbor International Instl 23.59% 23.48% 21.02% 12.52%
Hartford Intl Small Company HLS IA 22.25% 21.24% 22.05% N/A
Hartford Intl Small Company Y 21.50% 20.77% 22.29% N/A
ING International SmallCap A 20.84% 24.34% 19.56% 16.90%
Janus Adviser International Growth S 30.20% 30.92% 19.49% N/A
Janus Aspen International Grth Instl 30.92% 31.04% 19.76% 13.97%
Janus Overseas 31.86% 31.34% 20.72% 14.12%
JPMorgan International Equity Index Sel 20.92% 20.94% 17.64% 9.00%
JPMorgan International Val I 26.13% 25.56% 19.82% 8.82%
Julius Baer International Equity A 23.37% 23.84% 20.90% 16.91%
Laudus Rosenberg Intl Small Cap Instl 21.16% 26.02% 28.23% 12.98%
LWAS/DFA Intl High Book To Market 27.93% 25.50% 23.23% 12.17%
Manning & Napier World Opportunities A 25.26% 21.83% 17.54% 12.46%
MFS International Value A 22.58% 22.47% 19.05% 11.14%
Nicholas-Applegate Intl Growth Opp I 20.65% 25.40% 21.33% 19.09%
Oakmark International Small Cap I 29.77% 26.97% 25.76% 15.61%
Oppenheimer International Small Co A 21.62% 32.00% 31.12% N/A
Phoenix Foreign Opportunities A 25.03% 24.08% 19.94% 9.62%
Putnam International Capital Opp A 24.05% 26.18% 20.34% 16.26%
Putnam International Growth & Inc A 21.76% 20.72% 17.00% 10.91%
Quant Foreign Value Ord 22.57% 23.19% 23.37% N/A
RiverSource Intl Select Value A 20.80% 23.53% 19.93% N/A
Rochdale Atlas 21.04% 25.13% 20.23% N/A
SA International HBtM 24.98% 23.45% 20.20% N/A
SSgA International Stock Selection 22.53% 22.46% 19.20% 7.69%
T. Rowe Price Intl Gr & Inc 23.72% 22.69% 18.94% N/A
Templeton Instl Foreign Equity 23.26% 20.96% 17.58% 10.74%
The Boston Co Intl Core Equity 23.15% 23.17% 21.54% 12.13%
The Boston Company Intl Small Cap 22.25% 29.86% 29.35% N/A
Thomas White International 20.93% 24.87% 20.10% 10.86%
TIAA-CREF Instl International Eq Instl 22.89% 21.10% 17.85% N/A
TIAA-CREF International Equity 22.91% 20.71% 17.36% N/A
Vanguard International Explorer 24.97% 26.92% 24.01% 16.65%
MSCI EAFE Index 20.33% 20.12% 16.85% 8.52%

Large & Mid Cap Mutual Funds that Outperformed S&P 500 over 1,3,5 & 10 Years

Manager Returns through January 2007. Funds in Bold also outperformed their style benchmarks for the same periods. 1 year3 years5 years10 years returns
AIM Leisure Inv 25.60% 12.54% 9.93% 15.00%
Alger Capital Appr Instl I 16.15% 13.55% 6.95% 11.41%
Allegiant Large Cap Value I 17.29% 14.96% 10.58% 9.24%
Allianz OCC Value Instl 19.25% 12.09% 9.68% 13.08%
Amana Trust Income 15.88% 19.04% 12.99% 9.66%
Am Beacon Lg Cp Vle Inst 17.46% 15.87% 12.89% 9.82%
Ameri Century Equ Inc Inv 17.60% 11.38% 10.50% 12.22%
Am Century Inc & Grth Inv 15.90% 11.39% 8.39% 8.78%
Am Century Value Inv 17.57% 12.24% 10.49% 10.87%
Am Funds Am Mutual A 15.34% 10.84% 8.29% 9.27%
Am Funds Wash Mutual A 16.51% 10.43% 7.93% 9.52%
Aston/Optimum Mid Cap N 14.82% 12.26% 11.78% 11.96%
Baron Asset 17.46% 18.11% 12.39% 9.30%
Baron Partners 24.07% 25.72% 19.04% 14.73%
Barrett Opportunity 17.89% 14.68% 9.72% 9.54%
BB&T Large Cap I 18.36% 13.43% 8.32% 8.61%
BlackRock Basic Value I 20.71% 11.91% 9.98% 9.51%
BlackRock Focus Value I 18.93% 12.35% 9.36% 11.83%
BlackR Mid-Cap Value A 17.48% 17.24% 12.33% 12.84%
Columbia Disci Value T 19.28% 15.11% 7.33% 8.61%
Columbia L Cap Value Z 14.91% 13.10% 9.80% 8.01%
Concorde Value 16.21% 11.25% 6.98% 8.00%
Consult Grp L Cap Value E 17.53% 12.76% 8.78% 8.49%
Credit Suisse L Cap Value A 18.90% 12.94% 9.23% 9.87%
Davis NY Venture A 14.70% 12.43% 10.56% 10.18%
Delafield 15.96% 16.28% 15.63% 13.25%
Delaware P L-Cap Value Eq 21.87% 12.39% 9.58% 8.94%
DFA U.S. Large Cap Value 18.07% 16.60% 12.78% 11.84%
DFA U.S. Large Cap Value II18.25% 16.73% 12.89% 11.87%
DFA U.S. Large Cap Value III18.23% 16.74% 12.93% 11.99%
Diversif Value & Income Inv 17.36% 12.20% 9.08% 9.32%
Dodge & Cox Stock 16.28% 14.88% 13.33% 14.05%
Dreyfus Prem Core Value A 19.80% 11.93% 7.49% 8.46%
Dreyfus Prem Strat Value A 18.42% 14.36% 10.41% 10.25%
DWS Equity Partners A 17.03% 11.29% 10.26% 9.94%
Eaton Vance L-Cap Value A 17.53% 15.61% 10.32% 11.50%
Evergreen Discip Value I 17.77% 14.29% 9.74% 9.60%
Federated Stock 16.24% 10.68% 7.72% 8.94%
Fidelity Adv Equity Income I 14.91% 11.84% 9.37% 9.58%
Fidelity Equity-Income 17.55% 12.23% 9.27% 9.12%
Fidelity Exchange 17.31% 11.56% 8.56% 8.18%
Fidelity Select Air Transpor 24.29% 21.73% 11.25% 15.39%
Fidelity Select Chemicals 16.81% 18.77% 15.84% 10.25%
Fidelity Select Consumer St 21.73% 14.73% 9.76% 9.14%
Fidelity Select Defense & A 20.96% 20.50% 16.40% 14.89%
Fidelity Select Leisure 17.64% 12.51% 11.32% 12.21%
Fidelity Select Retailing 16.25% 14.08% 9.76% 11.60%
Fidelity Value Strategies 14.54% 10.54% 11.48% 12.21%
Fifth Third Mu Cap Va Adv 15.35% 12.92% 12.12% 11.40%
First American Equity Inc A 17.28% 10.82% 7.63% 8.53%
First Eagle Fund of Amer Y 16.81% 13.06% 10.76% 11.88%
Gabelli Asset AAA 20.45% 14.49% 11.80% 12.75%
Gabelli Equity Income AAA 16.74% 12.51% 11.63% 11.22%
Gabelli Value A 20.55% 11.64% 10.05% 13.50%
Goldm Sachs MCap Val Inl 15.37% 18.85% 15.74% 14.16%
Harbor Large Cap Value Instl 15.67% 11.13% 7.72% 8.88%
Hartford Div & Grth HLS IA 17.45% 13.05% 9.48% 9.94%
Hartford Value Opportu N 15.23% 13.19% 9.79% 9.29%
HighMark Value MomentFid 17.31% 13.60% 9.50% 8.57%
Homestead Value 14.74% 15.02% 11.67% 9.84%
ING Corporate Leaders Tr B 15.99% 15.95% 12.05% 9.01%
ING T. Rowe Price Equ Inc S 17.72% 12.34% 9.40% 8.35%
JPMorgan Div Mi Cap Val Sl 15.97% 14.29% 12.11% 12.70%
JPMorgan Equity Income Sel 21.25% 12.63% 8.10% 7.95%
Legg Mason Part Inve Val A 15.85% 10.48% 7.82% 9.43%
Longleaf Partners 19.83% 11.15% 11.28% 12.81%
Loomis Sayles Value Instl 21.97% 17.64% 11.85% 8.93%
Lord Abbett Affiliated A 14.52% 11.08% 8.02% 9.62%
Madison Mosaic Mid-Cap 15.55% 11.29% 9.80% 11.17%
MainStay ICAP Equity I 16.02% 13.98% 8.43% 9.46%
Managers Value 16.18% 11.55% 7.21% 8.44%
Manning Napier Pro Blmaxt 15.22% 13.33% 10.27% 11.42%
Manning Napier Tax ManaA 18.20% 14.36% 9.99% 10.74%
MassMutual Premier Value L 15.54% 11.76% 8.69% 8.01%
Meridian Value 15.62% 11.98% 11.24% 17.86%
MFS Value A 18.97% 13.98% 10.27% 12.01%
Mor Stanley L Cap Re Val A 15.11% 13.50% 8.52% 10.11%
Mor Stanley I Md Cp Value I 21.58% 17.07% 11.32% 12.64%
Morgan Stanley Inst Value 17.97% 12.94% 9.35% 8.53%
Munder Large Cap Value Y 15.90% 13.15% 9.65% 8.17%
Mutual Beacon Z 21.13% 15.61% 12.39% 11.91%
Mutual Qualified Z 19.62% 16.33% 12.70% 11.95%
Mutual Shares Z 18.04% 14.70% 11.62% 11.39%
Neub Berman Socia Resp Inv 14.66% 11.93% 11.14% 9.07%
Old Mut Anal U.S. Lg/Sht Z 21.90% 13.12% 7.30% 9.32%
Pioneer A 16.01% 11.94% 7.16% 9.34%
Pioneer Equity-Income A 22.64% 15.46% 10.03% 10.04%
Princ Inv Equity Income I A 16.26% 15.17% 12.13% 11.05%
Putnam Equity Income A 17.40% 12.38% 9.62% 9.32%
Putnam New Value A 16.29% 12.39% 10.23% 9.39%
RSI Reti Trust Value Equity 16.19% 12.01% 8.10% 10.10%
SEI I Mgd La Cap Value A 18.12% 14.07% 10.16% 9.60%
Selected American Shares S 14.76% 12.02% 10.14% 10.52%
Sound Shore 16.18% 12.23% 10.71% 10.11%
State Farm Growth 14.89% 10.45% 7.57% 8.11%
STI Class L Cap Rel Value I 16.72% 13.48% 8.95% 9.18%
STI Class L Cap Value Equi 19.43% 13.19% 9.44% 8.56%
T. Rowe Price Equity Income 17.88% 12.55% 9.67% 9.99%
T. Rowe Price Value 17.93% 13.52% 10.22% 10.95%
Target L Cap Value 17.30% 14.85% 12.62% 10.02%
TCW Dividend Focused N 17.73% 13.21% 12.05% 11.76%
T Boston Co L Cap Core 14.93% 10.74% 8.09% 8.22%
Thornburg Value A 21.40% 13.15% 9.08% 11.98%
UBS PACE L Co Val Eq P 15.32% 14.02% 9.94% 7.95%
Van Kampen AmerValue A 17.43% 15.40% 12.02% 10.87%
Van Kampen Comstock A 16.74% 12.17% 8.76% 11.87%
Vanguard Equity-Income 18.77% 12.78% 9.11% 9.61%
Vanguard Value Index 19.44% 14.43% 10.36% 9.07%
Vanguard Windsor 17.70% 12.04% 9.48% 9.29%
Vanguard Windsor II 17.19% 13.97% 10.90% 9.89%
Weitz Hickory 21.15% 13.98% 11.27% 11.97%
Weitz Partners Value 22.60% 10.94% 8.16% 14.14%
Weitz Value 21.78% 10.73% 8.64% 14.13%
Wells Far Ad CB Lg Cap Val 20.31% 11.11% 10.64% 11.19%
Wells Far Adv Div Income In 15.60% 13.24% 8.11% 9.62%
Wells Far Adv U.S. Val Z 16.06% 10.86% 8.61% 8.72%
Westwood Equity AAA 15.48% 15.14% 9.26% 9.45%
Wilshire Lar Co Value Invmt 15.56% 13.00% 9.85% 8.96%
S&P 500 14.51% 10.32% 6.82% 7.93%

Wednesday, February 07, 2007

Rock the House.. Big Time

An FT article reveals a few jaw dropping statistics from Merill Lynch research:

  • 28% of fund management industry revenues are accounted for by hedge funds which manage an estimated 3% of the industry's assets.
  • Private equity accounts for 8% of industry revenue with about 1% of assets
Barrons also details some hedge fund statistics from recent Dresdner Kleinwort research:
  • hedge Funds may account for 1% of global AUM but triple to 3% with leverage
  • hedge funds account for 2/3 of margin debt
  • hedge funds account for 25%-60% of trading in major global markets
  • transaction costs and manager & performance fees consume about 8-9% of assets managed annually meaning funds must generate returns of 20%/yr

Friday, February 02, 2007

Mutual Funds Outperform..without your money

A study mentioned in the FT suggests mutual fund managers can add value by picking stocks but fall behind as they are forced to manage investor cash-flows. In the study, Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds authors Gordon J. Alexander, Gjergji Cici, and Scott Gibson conclude that:


“fund managers possess the ability to value stocks and that motivation matters when assessing trade performance. Conditioning on the size of trades and net investor flows, we find that valuation motivated buys outperformed their benchmarks by a statistically significant 2.79% in the following year. In contrast, liquidity-motivated buys underperformed by a statistically insignificant 0.41%, suggesting that fund managers were unable to beat the market when forced to invest excess cash from investor inflows. The evidence from stocks sold by fund tells a similar story. Valuation-motivated sells underperformed their benchmarks by an insignificant 0.66%. In contrast, liquidity-motivated sells outperformed by 1.55%, suggesting that fund managers were compelled to sell stocks they would have (correctly) preferred to hold longer based on valuation beliefs. These results are found to be robust to alternative methods of portfolio creation and benchmarking.”
These findings support the contention that actively managed ETF’s should have a performance advantage over mutual funds and that SEC’s proposed rule 22c-2 should have a positive impact on investors.

Taken a step futher these results might imply that closed end funds should yield superior pre-tax performance to open end funds. In addition, funds with limited investor cashflows due to size, obscurity, availability, smaller distribution channels etc might exhibit a higher propensity to outperform. Funds with tightly focused and disciplined valuation driven buy /sell rules will often have more concentrated portfolios and may accumulate inflows or sales proceeds as cash while they wait for the market to offer those higher potential valuation driven buying opportunities. These are the Funds that can add value to a portfolio, though by virtue of their valuation discipline, can look unappealing and out of step with benchmark performance in the short run.

Thursday, February 01, 2007

Pension Conference

Plansponor has made available audio recordings of presentations from the Plansponsor Defined Benefit Summit conference held in early December. Registration is required. While certain sessions may be of particular topical interest to you, we found these sessions worth a listen.

Opening remarks- Ron Gebhardtsbauer provides an optimistic alternative perspective on the future of DB plans. Factually illuminating in terms of the basic rationality of the PPA legislation but not persuasive that this will stem the tide of Plan terminations.

Session B – as part of a panel discussion, Michael Peskin of Morgan Stanley provides interesting opinions on FASB regulations, imbalances in Public DB plans, future of DB plans and liability driven investing in the US and the mismatch of the current legislative and regulatory structure to what is needed to secure a future for DB plans.

Opening Dinner – Keith Ambachtsheer, a noted academic authority on pension plan governance, outlines his idea for a revolution in pension coverage that would provide 100% coverage using a lifecycle based approach, an annuity backend and delivery by a large pension co-ops.

Session H – Roger Fenningdorf from Rocaton Advisors provides a very good overview of hedge fund options in today markets, highlighting the pros and cons of single manager, multi-strategy and fund of funds. He reviews hedge fund risk and provides a summary of principles to observe when investing in hedge funds