• Share
•  Delicious
•  Digg
•  Facebook
•  LinkedIn
•  Reddit
•  Twitter

聯絡: 美世回應

			以電子郵件傳送網頁				列印本頁

Australia
Melbourne, 4 March 2010

Some active equity fund managers have higher portfolio turnover rates than they themselves claim, a new Mercer and IRRC Institute study finds. Nearly two-thirds of institutional investor-focused investment strategies exceeded their expected turnover from June 2006 through June 2009. Of these strategies, the turnover was on average 26 per cent higher than claimed with some strategies reporting turnover between 150 and 200 per cent more than expected.

The new report, “Investment Horizons – Do Managers Do What They Say?”, demonstrates that investment managers themselves underestimate turnover and often do not live up to their stated claims when it comes to the holding periods for the stocks in their portfolio. The Mercer study, funded by the not-for-profit IRRC Institute, examines the investment horizon of active equity investment managers, comparing various strategies, different geographies and styles between June 2006 and June 2009.

Helga Birgden, Mercer’s Head of Responsible Investment, Asia Pacific, said the results may indicate broader issues and that transparent communication is needed.

“If fund managers’ actual trading behaviour produces higher turnover than what they tell their clients it will be, it may signify deeper problems with investment processes. If there is deviation between the ways a strategy is managed and how it is being marketed to clients, fund managers need to be upfront and explain why. Equally, clients interested in longer-term, lower turnover strategies should feel able to ask questions of their fund manager if this is occurring.”

Jon Lukomnik, program director for the IRRC Institute, said the study indicates that short-term investing is a systemic issue, rather than limited to particular sectors or products.

“Short-term investing is often cited as an issue by the press, policymakers, academics, and many in the business and investing community,” he said. “What has not been recognised until now is that this is not only particular to day traders or arbitrage funds or others who may have short time horizons by design. When two-thirds of long only equity institutional investment products have turnover that exceeds what they themselves expect, there is a systemic issue.”

“The findings should raise serious questions for investors,” Lukomnik continued. “When managers greatly exceed their expected turnover level, the impact can be significant in terms of cost, performance, and risk that the strategy is not being managed in line with its stated investment approach.”

The study deployed two approaches to the data analysis. First a quantitative analysis of portfolio turnover of more than 900 strategies examined intended and realised average holding periods for various investment products across different regions and styles. Then Mercer researchers conducted a qualitative case study analysis on eight active equity fund managers.

The key findings of the quantitative analysis include:

• Nearly two-thirds of strategies have turnover higher than expected, with some strategies recording more than 150-200 per cent higher turnover than anticipated. Of the 822 strategies for which Mercer had expected and actual turnover information, 550 exceeded the turnover during the sample period. The average turnover was 26 percent higher than anticipated.

• Within the entire sample of 991 strategies, the average annual turnover of the sample is 72 per cent, with some 20 per cent of strategies having turnover of more than 100 per cent. 

• Value managers tend to have a lower annual turnover figure than the other style types. Large capitalisation portfolios have lower turnover rates than small capitalisation strategies, and socially responsible investing (SRI) strategies have lower turnover than non-SRI strategies.

• Across regions, of the managers that exceeded their stated turnover, Australian, Canadian and UK equity strategies have the lowest average turnover value, while European (including UK), international and US strategies have the highest average turnover levels.

The key insights from the qualitative case study analysis from the fund managers include:

• Causes of short-termism  include volatile markets (as has been seen during the Global Financial Crisis) and changing macroeconomic conditions; mixed signals from clients; short-term incentive systems; and behavioural biases.

• Fund managers recognise the potential destructive nature of short-termism even while claiming it was unavoidable. The managers indicated that short-termism potentially places short-term pressure on companies; increases market volatility; demonstrates a lack of discipline in fund managers’ investment processes; and creates a misalignment of interests between fund managers and their clients.

• The managers also identified potential solutions to short-termism, further details of which can be found in the report.

The complete study, Investment horizons – do managers do what they say? is available, free of charge, at www.mercer.com/ri.

以電子郵件傳送網頁

列印本頁

聯絡: 美世回應