How fund managers did in the last quarter
Actuaries Melville Jessup Weaver gives its report card on fund manager performance in the past quarter.
Thursday, August 3rd 2000, 12:00AM
The question of whether managers can add value is difficult to answer at present as there are conflicting results. The scope for managers to add value in the three months to June 30 was limited as all six sectors produced similar returns, however if you look at it over the past 12 managers, on average, have actually added value to their portfolios.
Yet, taking a longer term view and looking over at the 5-year results the answer is more debatable.
Actuaries Melville Jessup Weaver provide its report card on manager performance over the past quarter plus they show who has actually added value.
Mark Weaver says the quarter was characterised by:
- Reasonable performance from the local share market, despite Telecom's sizeable decline
- Poor performance from overseas share markets, down 2.5% in local currency terms
- Local and overseas fixed interest markets performed well, with the indices up 2.3% and 1.7% respectively
- Continued exchange rate weakness, with the Trade Weighted Index falling 4.7%
- The average gross return for the quarter for the fund managers surveyed was 1.3%.
Manager results for the last 12 months
Arcus Investment Management (formerly Spicers) – Over the last 12 months, they have added good value to both share sectors and to the total fund. However, they have lost significant value in these areas over the last three months.
Armstrong Jones - They had their worst quarter for some time with the their local share performance suffering particularly. They continue to add value for the longer periods considered.
AMP Asset Management - While their investment in passive shares yields important tax benefits, their performance tends to disappoint with the exception of local fixed interest.
ANZ Asset Management - They added good value for the quarter, a result more in line with their ability to add value over the 3 and 5 year periods.
AXA - The results for all four periods show that surprisingly they have consistently added value. Their share performance both local and overseas for the last quarter was particularly good.
BNZ Investment Management - Their local shares are showing improved performance, but they seem unable to achieve good results in the other sectors.
BT Funds Management - They currently look the most improved manager around with strong value added in the last year for both the share sectors and for their asset allocation decisions.
Colonial First State - Their particularly good result in local (and Australian) shares propelled them to achieve the best value added result for the total fund for the quarter. Over the last three years their local shares performance has achieved a ranking of fourth out of twelve, which the new management team in Australia will hopefully emulate.
Guardian Trust Funds Management - Their performance has continued to slide, presenting their new CIO with a great opportunity to use his experience to produce improvements in the future. Following the merger of GTFM and RSA, the results for RSA have been discontinued.
NZ Funds Management - While continuing to achieve good one year value added results for their total fund, they had a poor quarterly result.
Tower Asset Management - At long last their own distinct strategy has produced quarterly results which saw them third out of eleven for adding value compared to benchmark. They will need continuing above average results to make up the ground lost in the last two years.
WestpacTrust Investment Management - Their total fund results are improving for all four periods shown, principally on the back of good overseas shares performance.
|
Total Fund returns (after fees and tax) |
||||||||
|
Manager |
3 Months |
1 Year |
3 Yrs |
5 Yrs |
||||
|
AIM |
-0.8 |
(11) |
10.2 |
(3) |
8.7 |
(3) |
n.a |
|
|
AJ |
-0.3 |
(10) |
8.6 |
(7) |
8.6 |
(5) |
9.6 |
(3) |
|
AMPAM |
1.0 |
(7) |
8.7 |
(6) |
8.7 |
(4) |
9.3 |
(5) |
|
ANZAM |
1.3 |
(4) |
6.0 |
(11) |
6.8 |
(10) |
8.6 |
(7) |
|
AXA |
2.4 |
(2) |
9.2 |
(5) |
6.5 |
(12) |
8.3 |
(9) |
|
BNZIM |
1.1 |
(6) |
9.5 |
(4) |
9.7 |
(2) |
9.9 |
(2) |
|
BTFM |
1.7 |
(3) |
12.6 |
(1) |
7.4 |
(7) |
9.6 |
(4) |
|
CFS |
2.6 |
(1) |
7.7 |
(9) |
6.7 |
(11) |
n.a |
|
|
GTFM |
0.4 |
(9) |
7.4 |
(10) |
8.4 |
(6) |
9.1 |
(6) |
|
NZFM |
-1.3 |
(12) |
12.0 |
(2) |
10.1 |
(1) |
10.9 |
(1) |
|
TAM |
1.3 |
(5) |
5.0 |
(12) |
6.9 |
(9) |
8.4 |
(8) |
|
WIM |
1.0 |
(8) |
7.8 |
(8) |
7.2 |
(8) |
7.4 |
(10) |
|
Average |
0.9 |
|
8.7 |
|
8.0 |
|
9.1 |
|
|
Index |
1.1 |
6.9 |
7.9 |
8.6 |
||||
Notes:
1. The index return for the total fund is the average of the benchmark returns of the managers.
2. AJ, AXA and GTFM provided their net returns on a pre-fees basis. A net fee of 24 basis points was assumed.
3. AIM, ANZAM and NZFM were unable to supply net figures. Fees of 24 b.p and tax at 33% was assumed.
4. The average is the arithmetic mean of all the managers results.
5. Active New Zealand shares returns only are shown for AMPAM, AXA and BNZIM.
All returns are per annum except those for the 3 month period.
|
Total Fund value added |
||||||||
|
Manager |
3 Months |
1 Year |
3 Yrs |
5 Yrs |
||||
|
AIM |
-2.9 |
(11) |
4.2 |
(3) |
0.5 |
(4) |
n.a |
|
|
AJ |
-1.5 |
(9) |
3.8 |
(4) |
2.9 |
(1) |
2.6 |
(1) |
|
AMPAM |
-0.8 |
(8) |
-2.0 |
(10) |
-1.8 |
(10) |
-0.5 |
(5) |
|
ANZAM |
0.3 |
(4) |
1.7 |
(6) |
0.5 |
(5) |
1.3 |
(2) |
|
AXA |
1.5 |
(2) |
3.4 |
(5) |
0.2 |
(6) |
0.9 |
(3) |
|
BNZIM |
-0.1 |
(7) |
-0.8 |
(9) |
-0.5 |
(7) |
-0.5 |
(4) |
|
BTFM |
0.0 |
(6) |
10.8 |
(1) |
1.1 |
(3) |
n.a |
|
|
CFS |
2.2 |
(1) |
-0.3 |
(8) |
-4.1 |
(11) |
n.a |
|
|
GTFM |
n.a |
|
n.a |
|
n.a |
|
n.a |
|
|
NZFM |
-2.9 |
(10) |
7.4 |
(2) |
1.4 |
(2) |
n.a |
|
|
TAM |
0.6 |
(3) |
-2.4 |
(11) |
-1.7 |
(9) |
-0.9 |
(6) |
|
WIM |
0.1 |
(5) |
0.3 |
(7) |
-1.2 |
(8) |
-1.8 |
(7) |
|
Average |
-0.3 |
|
2.4 |
|
-0.2 |
|
0.2 |
|
|
Asset Allocation value added |
||||||||
|
Manager |
3 Months |
1 Year |
3 Yrs |
5 Yrs |
||||
|
AIM |
n.a |
|
n.a |
|
n.a |
|
n.a |
|
|
AJ |
-0.1 |
(8) |
0.3 |
(3) |
0.4 |
(3) |
0.6 |
(1) |
|
AMPAM |
-0.1 |
(6) |
-0.3 |
(6) |
-0.6 |
(6) |
-0.3 |
(5) |
|
ANZAM |
0.0 |
(3) |
0.4 |
(2) |
0.7 |
(1) |
0.6 |
(2) |
|
AXA |
0.0 |
(4) |
0.2 |
(5) |
0.2 |
(4) |
0.4 |
(3) |
|
BNZIM |
-0.1 |
(7) |
0.3 |
(4) |
0.7 |
(2) |
0.3 |
(4) |
|
BTFM |
-0.5 |
(9) |
1.4 |
(1) |
-0.7 |
(8) |
n.a |
|
|
CFS |
0.0 |
(5) |
-1.9 |
(9) |
-3.6 |
(9) |
n.a |
|
|
GTFM |
n.a |
|
n.a |
|
n.a |
|
n.a |
|
|
NZFM |
n.a |
|
n.a |
|
n.a |
|
n.a |
|
|
TAM |
0.1 |
(1) |
-1.0 |
(8) |
-0.5 |
(5) |
-0.3 |
(6) |
|
WIM |
0.1 |
(2) |
-0.7 |
(7) |
-0.7 |
(7) |
-0.9 |
(7) |
|
Average |
-0.1 |
|
-0.1 |
|
-0.5 |
|
0.1 |
|
Notes:
1. The value added by a manager is shown for both the individual asset sectors and for tactical asset allocation decisions.
2. No figures are shown for GTFM as no benchmark asset allocations are available.
3. The asset allocation figures are the difference between the value added in total and that added for stock selection.
4. All returns are per annum except those for the 3 month period.
Table 3 - Actual Asset Allocation as at 30 June 2000
|
Manager |
NZ Shares |
O’Seas Shares |
Property |
Growth Assets |
NZ Fixed Int |
O’Seas Fixed Int |
Cash |
Income Assets |
Currency Exposure |
Currency Outlook |
|
AIM |
18.4 |
39.5 |
4.0 |
61.8 |
20.0 |
5.0 |
13.2 |
38.2 |
30.1 |
Positive |
|
AJ |
19.3 |
30.5 |
9.6 |
59.4 |
14.8 |
11.9 |
13.9 |
40.6 |
17.0 |
Positive |
|
AMPAM |
17.2 |
37.6 |
5.1 |
59.9 |
24.9 |
9.8 |
5.4 |
40.1 |
37.6 |
Neutral |
|
ANZAM |
20.5 |
31.4 |
9.9 |
61.8 |
24.1 |
10.2 |
3.8 |
38.2 |
11.5 |
n.a |
|
AXA |
22.8 |
32.3 |
6.9 |
62.1 |
20.8 |
9.4 |
7.7 |
37.9 |
22.6 |
Positive |
|
BNZIM |
22.3 |
27.9 |
0.0 |
50.2 |
12.4 |
32.3 |
5.1 |
49.8 |
30.1 |
Neutral |
|
BTFM |
20.5 |
35.2 |
4.6 |
60.4 |
20.1 |
14.6 |
4.9 |
39.6 |
35.2 |
Positive |
|
CFS |
19.1 |
25.4 |
0.0 |
44.5 |
0.0 |
55.5 |
0.0 |
55.5 |
13.2 |
Positive |
|
GTFM |
21.0 |
35.5 |
4.3 |
60.8 |
18.5 |
14.1 |
6.7 |
39.2 |
n.a |
n.a |
|
NZFM |
17.5 |
49.8 |
6.0 |
73.3 |
14.0 |
7.0 |
5.7 |
26.7 |
20.8 |
Positive |
|
TAM |
10.9 |
26.4 |
9.7 |
47.0 |
19.6 |
11.9 |
21.4 |
53.0 |
19.3 |
Negative |
|
WIM |
18.2 |
32.6 |
2.1 |
52.9 |
14.8 |
21.2 |
11.1 |
47.1 |
23.0 |
Positive |
|
Average |
19.0 |
33.7 |
5.2 |
57.8 |
17.0 |
16.9 |
8.2 |
42.2 |
23.7 |
|
Notes:
1. Shaded figures indicate an increased asset allocation since the previous quarter.
2. Growth Assets are the subtotal of NZ Shares, Overseas Shares and Property.
3. Income Assets are the subtotal of NZ Fixed Interest, Overseas Fixed Interest and Cash.
4. Currency Exposure is the percentage of total assets exposed to movements in the NZ dollar.
5. Currency Outlook represents manager attitudes to future movements in the NZ dollar.
6. The Overseas Fixed Interest portfolios are 100% hedged except for BNZIM and AJ.
|
The survey analyses the managers discretionary funds shown below. |
|
The value added results compare actual returns to increases in the following indices. |
||
|
Manager |
Fund |
|
Asset Class |
Index |
|
AIM |
Balanced Value Fund |
|
New Zealand Shares |
NZSE40 Gross |
|
AJ |
SIL Balanced Fund |
|
Overseas Shares* |
MSCI Cap |
|
AMPAM |
Superannuation Balanced Unit |
|
New Zealand Fixed |
CSFB NZGS Gross |
|
ANZAM |
Balanced Discretionary Fund |
|
Overseas Fixed |
Salomon Bros (Hedged) |
|
AXA |
EFG Managed Fund |
|
Property† |
Watson Wyatt iPs |
|
BNZIM |
FLP Balanced Growth Fund |
|
|
NZSE Property index |
|
BTFM |
BTNZIS Balanced Fund |
|
Cash |
CSFB 90 Day |
|
CFS |
Asset Growth Fund |
|||
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