Lyxor’s latest Alpha/Beta Allocator: What asset allocators need to know

Each quarter, we review the performance of over 6000 active funds domiciled in Europe. Together they manage more than €1.4tn – but are investors getting what they pay for?

Q3 results were once again quite striking – and less than a ringing endorsement of active, despite some pockets of real improvement. Here are the 10 things I think asset allocators should know from our latest report:

  • 2018 results look set to be weaker than last year
  • Managers are well behind their 2017 results and their 5-yr averages, but broadly in line with 10-yr results
  • Q3 results were at least a marked improvement on what’s gone before, notably for European government and corporate bond managers as rate and credit conditions turned
  • Their relative performance was very correlated to a 17 bps increase in German rates over Q3, which allowed them to exploit their underweight duration positioning
  • That said, just 27% of fixed income managers have outperformed YTD – down from 39% in 2017
  • YTD, only 33% of equity managers are outdoing their benchmarks – down from 47% last year
  • Europe remains a bright spot for equity alpha generators
  • US, World and Japanese equity markets were far harder to crack
  • Fixed income investors should focus almost exclusively on passive funds for now, despite the improved results. There’s little in the way of consistency over the last three quarters, meaning there are very few managers for all seasons
  • Looking forward, conditions in Europe still suggest that active equity managers can prosper. Look anywhere else and you’ll see passive in pole position, at least for now

Read the latest report

Source: Al views & opinion taken from Lyxor ETF Research as at 31 October 2018 unless otherwise stated.  Morningstar data from 30/12/17 to 28/09/2018. Past performance is no guide to future returns, and the same applies to historical market data. For professional clients only.
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