![]() ![]() ![]() ![]() For more information on S&P DJI please visit S&P Dow Jones Indices. This material is reproduced with the prior written consent of S&P DJI. Lazzara, “ Dispersion: Measuring Market Opportunity,” S&P Dow Jones Indices, 2014.ĭisclosure: Copyright © 2023 S&P Dow Jones Indices LLC, a division of S&P Global. However, active funds in all the other fund categories struggled to take advantage of the abundance of opportunity presented in 2022’s market environment.ġ For example, see Edwards, Tim and Craig J. Taken all together, the data in the SPIVA Japan Year-End 2022 Scorecard suggest that among the active funds offered in Japan, International Equity managers were relatively more successful in turning opportunities into positive outcomes. Then, there are other times when the difference between winners and losers is larger. At times when most securities perform similarly, differentiation is surely harder to find. For an active manager, the key is to find not just securities that outperform, but those that outperform materially. 1 As illustrated in Exhibit 3, the average monthly annualized dispersion in the securities of the scorecard comparison indices was higher in 2022 than was typical over the past 10 years.ĭue to the costs associated with running any portfolio, an actively managed fund may still underperform even if it picks outperforming securities. At the benchmark level, dispersion is the measure of the degree to which securities differ-above or below-the average performance. Second, opportunities for outperformance through stock selection were plenty in 2022. This potentially created a tailwind for active managers, as funds are typically less likely to own all the largest stocks at market weight. For example, the largest companies (as represented by the S&P/TOPIX 150) had lower returns than small- and mid-sized Japanese companies (as represented by the S&P Japan MidSmallCap see Exhibit 2). Several aspects of the market environment in 2022 stood out as potentially indicative of a favorable environment for active managers in Japanese equities over the period. The SPIVA Japan Scorecard measures the performance of actively managed funds domiciled in Japan against their respective S&P DJI comparison benchmarks over various time horizons, covering large-, mid- and small-cap, as well as international and global equity funds.Īccording to the recently published SPIVA Japan Year-End 2022 Scorecard, 70% of All Japanese Equity funds underperformed the broad-based S&P Japan 500 over the full-year 2022, and more than half of equity funds underperformed their benchmarks in every reported category, except for International Equity funds, which had an underperformance rate of 42% (see Exhibit 1). Scorecard was published in 2002, and has since been extended to Australia, Canada, Europe, India, Japan, Latin America, South Africa and the Middle East & North Africa (MENA), allowing investors to experience the active versus passive debate on a global scale. The inaugural S&P Indices versus Active (SPIVA ®) U.S. ![]()
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