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The best equity fund management groups risk-adjusted

10 April 2016

FundCalibre bases the main results of the index* on fund outperformance. However, we have also included some risk-adjusted data for investor interest.

FundCalibre's Fund Management Equity Index 2016:

  1. The top 10, results in brief
  2. What does the index tell us?
  3. More about the top five, biggest gainers and biggest fallers
  4. Risk-adjusted results (this page)
  5. Download the full list
  6. View the methodology

Top 10 fund groups – risk-adjusted

Rank 2016 Fund group % of funds outperforming ave. IA sector Sharpe No. of funds
1 Unicorn Asset Management 100.00% 4
2 Stewart Investors 100.00% 7
3 T Rowe Price 100.00% 10
4 Rathbone 100.00% 4
5 SVM Asset Management 100.00% 5
6 Artemis Fund Managers 87.50% 8
7 Baillie Gifford 86.67% 15
8 Invesco Perpetual 84.62% 26
9 Investec 80.00% 10
10 Barclays 77.78% 9

Data source FE Analytics. All cumulative statistics % change bid to bid, net income reinvested, five years to 31/12/2015.
View the complete risk-adjusted list with all 65 fund groups

Why look at risk-adjusted returns?

Risk-adjusted performance is important, because if fund managers are taking more risk, you would expect them to achieve a higher return. This is definitely something to look out for with fund selection. Funds that are taking excessive risk but only delivering average returns may be ones to avoid.

In particular, funds with higher risk levels will probably perform badly during times of crisis. Funds that are less risky may perform better in times of crisis.

Our risk-adjusted index uses the Sharpe ratio. It is one of the most widely used metrics for measuring a fund's risk-adjusted performance.

Very simply, higher performance and a lower volatility gives a higher Sharpe ratio (meaning a better risk-adjusted investment).

We compared each fund's Sharpe ratio with their average Investment Association fund sector Sharpe ratio.

How do the risk-adjusted results differ?

Five groups had 100% of their funds outperform over the past five years on a risk-adjusted basis: Unicorn, Stewart Investors, T. Rowe Price, Rathbone and SVM.

Of the larger groups with at least eight qualifying funds, T. Rowe Price, Baillie Gifford, Invesco Perpetual and Investec all deliver risk-adjusted returns in over 80% of their funds.

Other large groups that performed very well (between 65% to 75% of their funds outperforming) included Threadneedle, Fidelity, Schroders, Allianz and Jupiter.

Most fund groups had a similar number of funds outperforming on a risk-adjusted basis compared with simple outperformance, but there were a few exceptions.

For example, on a risk-adjusted basis, 71% of Marlborough funds outperformed over the five years. In the main index, 57% of its funds outperformed.

View our Fund Management Equity Index 2015 and our Fund Management Bond Index 2015.

*A bit about the main index

FundCalibre's Fund Management Equity Index looks at the majority of actively managed equity funds recognised by the Investment Association and compares them with their sector averages over a five year timeframe.

Each fund group's funds are then collected together to calculate the group's average fund performance. Fund groups must have a minimum of four qualifying funds to be included in the index.

Read more on the methodology

Go to the next page in this report (3/4)

Past performance is not a reliable indicator of future returns. Please note the Fund Management Equity Index does not constitute investment advice. If you are in any doubt as to the suitability of any investment you should seek professional advice. An appearance of any fund on this index is not an indication it should be bought, sold or switched.

This is a purely statistical chart. All cumulative statistics % change bid to bid, net income reinvested, five years to 31/12/2015. Source FE Analytics. While every effort has been made to ensure the accuracy of this information, FundCalibre takes no responsibility for any errors, omissions or inaccuracies therein.