EDHEC and EuroPerformance have released their rankings of the top Swiss asset management companies - the Alpha League Table.
The table is constructed on the basis of a genuine measure of alpha, using a state-of-the-art methodology developed by EDHEC.
The Alpha League Table 2006 for Switzerland reveals that:
- The results are extremely tight, with a score of 0.97% for the top-ranked company and 0.22% for the tenth-placed company. The top three are only separated by a hair's breadth with a difference of less than one hundredth of a point!
- Vontobel Asset Management and Pictet & Cie share 1st place in the awards listing. With an alpha frequency of 29.9% and an average rate of alpha of 3.1%, Vontobel Asset Management receives a score of 0.97%. Pictet & Cie obtain the same score with an alpha frequency of 50.0% and an average rate of alpha of 1.8%. Banque Sarasin takes 3rd place.
- Specialists and private banks monopolise the top places in the rankings with investment management oriented towards emerging markets and sector funds.
- The average rates of alpha vary from to 2 to 4% depending on the zone. The strongest outperformance is obtained in the Asian and emerging markets. However, it appears to be more difficult to generate significant alpha with portfolios invested in Swiss company stocks.
- On average, the 'alpha' funds favour large-cap stocks and the share of small caps is limited to 30% of the portfolios.
Background notes: 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 four equity funds analysed, marketed and managed in the country studied. We identify the funds that produce alpha 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.
- 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.
For more information on the EuroPerformance-EDHEC Style Ratings, please visit the Style Ratings website at http://www.stylerating.com/