Wed, 01/08/2007 - 06:58
Edhec and EuroPerformance have released their annual rankings of the top Swiss asset management companies: the Alpha League Table. The Alpha League Table is constructed on the basis of a genuine measure of alpha, using a state-of-the-art methodology developed by Edhec.
The winner of the 2007 edition is the Geneva private bank Lombard Odier Darier Hentsch & Cie. With 38.4 per cent alpha frequency and an average alpha rate of 3.8 per cent, LODH & Cie has a score of 1.5 per cent. Bank Sarasin, in third place in 2006, climbs a spot on the strength of improvements in average alpha (from 2.9 per cent last year to 3.1 per cent this year) and in the frequency of 'alpha' funds (from 31.9 per cent to 43.4 per cent).
In third place, with average alpha of 3.5 per cent and a frequency of 35.8 per cent, giving it a score of 1.2 per cent, is Swisscanto, the joint venture for investment and pension services of the Swiss cantonal banks.
This year again private banks dominate the rankings, occupying four of the top five spots. The rankings are dominated by world-renowned firms attracting high levels of asset inflows. As such, the rankings contain few surprises and-with eight holdovers from last year's top ten-confirm the results of the previous edition.
The average score of the top ten firms in this ranking is 0.8 per cent, a slight improvement over last year (0.6 per cent). This improvement is the result of an increase in the frequency of 'alpha' funds (from 27.4 per cent last year to 33.6 per cent this year) and of a 16-basis point fall in average alpha (from 2.56 per cent in 2006 to 2.4 per cent in 2007).
The average rates of alpha vary from to 2 to 4 per cent depending on the zone. The strongest performances can be found in sector funds and in European markets. However, it appears to be more difficult to generate significant alpha with portfolios invested in emerging-market stocks. On average, the 'alpha' funds favour large-cap stocks and the share of small caps is limited to 30 per cent of the portfolios.
The Alpha League Table is a ranking constructed upon a measure of the intensity of alpha (the performance adjusted for the risks that were actually taken) for all of the asset management firm's active equity management. The asset management firm must be registered with the regulatory authorities and must have at least six equity funds analysed, marketed and managed in the country studied.
The funds that produce alpha are identified from the EuroPerformance-Edhec Style Ratings. The alpha intensity is calculated every month using two indicators: the average alpha, which corresponds to the average of the positive alphas for the 4, 5 or 5 star 'h' funds in the style ratings; and the frequency of alpha, which is expressed by the number of funds with a strictly positive alpha (4, 5 and 5 star 'h' in the style ratings) out of all the funds rated.
The final score, or alpha intensity, is the average of the 12 monthly scores. Only companies that have participated in the 12 monthly rankings are retained for the final rankings.
These annual rankings cover major geographical areas, and are also applied at the European level. The first edition was dedicated to France, the second to Spain-Italy, and the third to Switzerland. These will be followed by the United Kingdom and a pan-European table.
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