Guest Post: By Foresight Analytics
Here's your monthly round up of the latest Foresight posts.
Do active managers add value in Emerging market equities? Part 1.
- Emerging Markets (EM) have been outperforming Developed Markets (DM) and this trend is likely to continue given the fundamental backdrop.
- Factor premiums across EM have been very strong and broad-based.
- Correlations between major markets and the MSCI index subside.
- Volatility levels across major EM markets are at their lowest points since 2002 but not in Russia and Brazil.
- The median active manager has delivered positive active returns against a challenging and contrasting market backdrop.
- Over the past 10 years, the median active manager has added 1.53% p.a. while the first quartile manager has added 2.5% p.a., before fees.
- Over the shorter-term periods, divergence in performance of active managers (top quartile less bottom quartile) has been almost 400% higher than the spread observed over the past decade.
Realised factor premiums in Emerging markets much stronger than Developed markets
- Global Developed markets experienced notable reversals in factor premiums so far in 2017 with Value style factors delivering negative premiums while Growth and Momentum style factors delivering positive premiums.
- The picture was quite different in Global Emerging Markets though where YTD factor premiums were positive across most styles. In relative terms, Growth, Momentum and Size stood out, delivering very strong positive premiums.
- From a trend perspective, factor premiums in general have been deteriorating in Developed markets while they have been strengthening in Global Emerging markets.
- Rolling 36 month factor premiums in EM are at the higher end of the historical observed range.
How are the Australian super funds investing their capital?
Using Q2 2017 data from APRA, we take a fresh look at how Australian superannuation funds have invested their capital over the past 4 years. At 30 June 2017, total assets of Australian superannuation industry grew by $211 billion (10%) to $2,324 billion compared to June 2016. This growth was solely driven by APRA-regulated entities (with more than 4 members) and 62% market share of the entire industry. Within these influential entities, equity remained the most attractive asset class with international-listed equity witnessing significant rise in allocation over time. Allocations to Fixed income and infrastructure also increased over the period. Elsewhere, Corporate, Industry, Public-sector and Retail funds broadly maintained their market share in the Industry although the underlying asset allocation for Retail segment was most differentiated from the rest of the groups.
Check out our previous blogs:
How to reduce fund selling, hiring and firing mistakes by using factor insights?
Uncovering the Popularity of FAANG Stocks
Emerging market sweet spot: high returns, low volatility and falling correlations.
FAANGs and Fundamentals – Part 1
Super Industry Intelligence: ATO regulated SMSFs continue to outpace system growth
Global Equity Market Environment Review
Active Managers Deliver: Evidence from the Australian Micro-Cap Sector
Smart beta may not be so smart: risk diversification or risk amplification
Industry Intelligence: Australian Funds Management Industry
Factor Rotations: Evidence from global equity markets
About Foresight Analytics™ Foresight Analytics™ is a leading provider of quantitative investment research, analytics and advisory solutions to the global institutional investors. Using its innovative 360-degree framework and cloud-based technology, Foresight Analytics™ provides insight based analytical, predictive and industry intelligence solutions to leading investment management companies, superannuation funds, third-party product distributors, family offices and endowment funds.
