Fri, 18/11/2005 - 06:11
EDHEC and EuroPerformance have published the Alpha League Table -- the first rankings of European asset management firms' capacity to deliver alpha.
The rankings provide a response to both academic and professional criticism directed at traditional fund ratings. These rely on relative rankings defined within categories that do not take the risks that were really taken by the manager over the analysis period into account and do not therefore allow the performance of active management to be evaluated and rewarded, whether the performance comes from stock picking or tactical allocation.
Based on Style Ratings, the Alpha League Table aims to rank European asset management companies according to their capacity to deliver alpha for all of their "equity" funds.
For each company rated, the Alpha League Table highlights its alpha intensity, which is constructed from two indicators:
• the average alpha, which gives the value of the average alpha for the funds that outperformed their benchmark; and
• the frequency of alpha, which represents the percentage of funds that have a positive alpha.
These annual rankings cover major geographical areas, and are also applied at the European level. The first edition is dedicated to France and it will be followed by Spain-Italy, Switzerland-Luxembourg and finally Great Britain.
The Alpha League Table France 2005
For its first edition, the Alpha League Table has ranked the 25 best asset management firms in France. The main lessons drawn from the Alpha League Table France 2005 are --
• Alpha is an affair for specialists. The top three in the rankings are asset managers that do not have a captive network in France -- one independent firm, la Financière de L'Echiquier; one subsidiary of a major Belgian and Dutch group, Fortis France; and finally, SINOPIA, a subsidiary of the HSBC group, specialised in quantitative management.
• Foreigners are well placed in the rankings, with French subsidiaries representing almost one-third of the Top 25 companies in the Alpha League Table France 2005.
• With an average positive alpha of 3.1 per cent and a frequency of 15.2 per cent, versus 2.6 per cent and 13.7 per cent respectively, French "equity" management offerings do better than the European averages.
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