League tables show alpha generators in good light

In an increasingly complicated and crowded fund market, European distributors may welcome alpha league tables developed by EDHEC business school and EuroPerformance, a fund rating agency. In each European country, asset management companies have been ranked on the basis of their ability to deliver “intensity of alpha”. The highest-ranked firms are those that provide the best compromise between the “average alpha” generated by their funds and the “frequency” of alpha, indicating the percentage of funds that outperformed their benchmark. The alpha league table for Italy shows that national banks largely dominate the rankings. The top two firms, according to the analysis, are independent companies Anima and Azimut. Among the top 10, only one is a subsidiary of a foreign group, DWS Investment Italy, of the Deutsche Bank group. “If in multi-management I want to include a manager to maximise alpha, this methodology offers an added value,” said Giuseppe Gambacorta, head of advisory services at Bipitalia gestioni, a subsidiary of Gruppo Banca Popolare Italiana. “But in our perspective of portfolio diversification a variety of methodologies must be used,” he added. He explained that analysis of portfolio volatility and macro-asset allocation, which depends on the portfolio strategies upstream, are also important. “In a directional market, like that we had in the last couple of years, generating alpha may have been subject to less volatility. Managers who have looked for more volatility, have had more returns, but in a more volatile market they would be penalised more,” said Mr Gambacorta. Topping the rankings in Spain is Gesbankinter, followed by the asset management companies of Bancaja and Banco Sabadells. Alpha tables are due to be published for Switzerland, Luxembourg and the UK. A summary for Europe will also follow.

ET