Lipper Fund Industry Insight Reports

European Fund Market Review (2013)

lipperclientservices@thomsonreuters.com — Fri, 22 Mar 2013 00:00:00 -0600

Lipper's annual review of the European funds industry provides over 45 pages packed with sales and assets data on activity in different markets, as well as a look at which groups and products have prospered over the year. The report includes unique data on cross-border activity, as well as commentary on various issues that impact the industry over the near term and long term.

Sector Averages: The Yo-Yo Effect

lipperclientservices@thomsonreuters.com — Mon, 14 Jan 2013 00:00:00 -0700

An examination of the average returns of IMA sectors in the UK over the past 30 years and assessing how the best and worst performing sectors have fared in subsequent years.

Does the Winner Take it All?

lipperclientservices@thomsonreuters.com — Fri, 05 Oct 2012 00:00:00 -0600

Analysis of the concentration of flows into a small proportion of mutual funds in the European industry and exploration of the perception that this phenomenon has become more pronounced through the financial crisis.

Performance Fees: Paying Your Dues?

lipperclientservices@thomsonreuters.com — Mon, 10 Sep 2012 00:00:00 -0600

This report examines trends in the use of performance fees by open-ended funds in the UK since the ban on such fees was lifted in 2004. As a large proportion of funds with this fee structure are Absolute Return funds, the report also analyses the differences in historical returns and risk of such funds depending on the use of performance fees.

Balancing Business & Investor Interests

lipperclientservices@thomsonreuters.com — Mon, 02 Jul 2012 00:00:00 -0600

Lipper’s latest analysis of the European funds industry looks at the different pressures on fund management companies in balancing business and investor interests, with specific analysis of sales trends, fund costs and performance.

Trends in the European ETF Industry

lipperclientservices@thomsonreuters.com — Wed, 13 Jun 2012 00:00:00 -0600

An overview of the European ETF industry, including analysis of a so-called 'Death List' of ETFs, in other words under review for profitability reasons by fund promoters. The high concentration of the industry can be seen with fewer than 50 ETFs (46) accounting for nearly 50% of industry assets (49.1%). 310 ETFs were launched in 2011. In Q1 2012, 62 ETFs were launched - half in the equity space. 19 bond funds were launched in the first quarter, but these have gathered 63% of assets among new ETFs.

SRRI European Overview

lipperclientservices@thomsonreuters.com — Wed, 02 May 2012 00:00:00 -0600

The first analysis of Synthetic Risk and Reward Indicators (SRRIs) across the European funds industry. Lipper’s report looks at the proportion of European funds in the different risk bandings overall and by sector, as well as a closer look at funds in the UK.

European Fund Market Review

lipperclientservices@thomsonreuters.com — Tue, 28 Feb 2012 00:00:00 -0700

Lipper's annual review of the European funds industry provides over 30 pages packed with sales and assets data on activity in different markets, as well as a look at which groups and products prospered in 2011. The report includes unique data on cross-border activity, as well as an introduction that discusses not only current themes but also trends in the industry over the past decade.

EMEA Research Insights - 2012

lipperclientservices@thomsonreuters.com — Wed, 01 Feb 2012 00:00:00 -0700

To coincide with the start of this year's series of Lipper Fund Awards events, this report offers a compilation of articles written by Lipper's EMEA Research team, originally commissioned by Reuters News. The articles range from the Arab Spring to Abba, ETFs to equine investing, and from SRI to the KIID.

Lipper 2011 Subadvised Funds Research Series - Part Two - Performance

Mon, 14 Nov 2011 00:00:00 -0700

Part 1 of our "Lipper 2011 Subadvisor Series" found that subadvised funds are slightly more expensive than funds that are not subadvised, and the portion of the management fee retained by advisors varies greatly among subadvisor relationships. Renewed interest in the expenses and fees of subadvised funds is the result of recent litigation. Part 2 continues the Lipper Subadvisor Series by addressing subadvisor performance, namely whether subadvised funds perform better than funds that are not subadvised. In addition, we look at the top subadvisors and subadvised funds by assets, as well as clones, a term described in detail later.

KEY POINTS:

1. Subadvised funds and funds that are not subadvised have nearly identical median performance for one-, three-, five-, and ten-year annualized total return figures.

2. The top ten subadvisors based on AUM have high Lipper Leaders scores.

3. The top ten subadvised funds based on AUM have high Lipper Leader scores.

4. When comparing subadvised and advised clones, the subadvised fund performs better than the advised fund, but the relationship reverses in some cases when expenses are added back.

Lipper 2011 - Walking the Walk - ETF Performance

lipperclientservices@thomsonreuters.com — Tue, 11 Oct 2011 00:00:00 -0600

Exchange-traded funds (ETFs) are receiving a tremendous amount of attention from investors, the media, and fund companies alike. This attention is warranted given the rapid growth in the number of ETFs in the past five years and their unique structure compared to open-end funds. Unlike actively managed funds, ETFs hold an underlying basket of securities designed to track a specified index. Since the index serves as the investment focal point, the fund management company and the board of directors must examine how the ETF is performing in relation to its stated benchmark, as well as its performance relative to peers.

"Time May Change Me"

lipperclientservices@thomsonreuters.com — Mon, 10 Oct 2011 00:00:00 -0600

This unique report explores the extent to which mutual funds in the UK and Europe (cross-border) have changed their annual management fees over the past ten years, and the size of such changes.

Lipper's 2011 Subadvisor Research Series--Part 1: Subadvisor Fees & Expenses

lipperclientservices@thomsonreuters.com — Wed, 07 Sep 2011 00:00:00 -0600

Subadvised funds, or funds whose portfolios are managed by an outside investment company, have taken center stage this year in part because of excessive fee lawsuits sought by investors. Generally speaking, these suits allege that the advisors in question maintain excessive fees in relation to the amount of work delegated to the subadvisor. The plaintiffs contend that while almost all fund management duties of the advisor are delegated to the subadvisor, in some instances the advisor is retaining over 80% of the total management fee charged. As a result, the plaintiffs argue it is not feasible that the advisory contracts are the result of arm's length bargaining. Due to the increased interest in and scrutiny of subadvised fund expenses and management fees, this paper will examine the fees and expenses of subadvised funds with two main objectives. First, it will discern if the subadvisor fee is an additional fee tacked onto the management fee or if other expenses decrease to compensate for the cost of the subadvisor. Second, the paper will examine how much of the management fee is retained by the advisor and/or administrator. Finally, recommendations regarding 15(c) report content for subadvised mutual funds are made.

New launches shed light on distribution in the fund industry

lipperclientservices@thomsonreuters.com — Mon, 04 Jul 2011 00:00:00 -0600

European mutual fund assets under management stood at €3.01 trillion at the end of 2001, rising 81% to €5.45 trn at the end of Q1 2011. Of this latest total, 43% (€2.36 trn) of assets are managed in funds that have been launched within the previous nine years and thus account for 97% of the industry growth.

This report examines structural and distribution issues related to the level of sales for new product launches compared to sales of funds launched in previous years.

The Pressure to Perform

lipperclientservices@thomsonreuters.com — Mon, 07 Mar 2011 00:00:00 -0700

This research into the UK funds industry explores the pressure on fund companies to perform. This also manifests itself as the pressure to justify fees as well as a further knock-on effect — the potential for an overly short-term outlook. The report coincides with Lipper Fund Awards 2011.

Money Market Yields and Expenses

lipperclientservices@thomsonreuters.com — Wed, 01 Sep 2010 00:00:00 -0600

Traditionally, money market funds have been a safe vehicle for investors to store money, and a significant part of the economy in terms of generating short-term capital. Recently though, money market yields have been low enough to discourage potential investors. Over the past decade, money market yields have increased with the Federal Funds Rate. In response to the economic downturn, both the Federal Funds Rate and money market yields plummeted. This paper explains this decrease in yields, as well as the change in money market funds' expenses in reaction to the decreasing yields.

Paying for pain or pleasure?

lipperclientservices@thomsonreuters.com — Mon, 16 Aug 2010 00:00:00 -0600

Are performance-related fees a panacea or Pandora’s box? This report provides new insights on the topic. By analysing both mutual funds in the UK and hedge funds, the report has relevance for the wider international funds industry.

Zen and the art of mutual fund maintenance

lipperclientservices@thomsonreuters.com — Tue, 29 Jun 2010 00:00:00 -0600

This report addresses four key questions in order to better illuminate the relationship between fund companies, their distributors and end-investors in Europe. First up, how concentrated are sales? Secondly, how much does performance affect sales? Thirdly, is the European funds industry the land of Lilliput or Brobdingnag (a look at the relative importance of giants and boutiques)? And lastly, why hasn’t competition lowered charges?

The European ETF Segment Shows a New High in Assets Under Management, Even After Ten Years of a Healthy Growth Pattern

lipperclientservices@thomsonreuters.com — Wed, 12 May 2010 00:00:00 -0600

In this study we highlight for example:

- the developements in on exchange ETF turnover on the European exchanges

- the best and worst performing funds by asset class

- the largest funds by asset class

The report will also provide you with indepth information on the nine most important ETF promoter in Europe.

Riding The Currents - 2010 Version

lipperclientservices@thomsonreuters.com — Mon, 29 Mar 2010 00:00:00 -0600

- Over the past ten years, in spite of two bear markets, the U.S. mutual fund industry has grown exponentially from just over $6.0 trillion in 2000 to nearly $12 trillion today. Over the same period, management fee revenues have increased from an estimated $30 billion to a high of more than $50 billion in 2007.

- Because industry assets under management have rebounded their substantially from 2009 lows, we expect management fee revenues to bounce back in 2010 to more than $40 billion (at current AUM).

- Despite historically low yields, funds in the Lipper money market classifications have realized huge inflows over the past couple of years. Assets have more than doubled for U.S. Treasury money market funds, and tripled from U.S. government money market funds.

- Some of the fastest growing Lipper fund classifications include commodities, China region, Latin America, and Pacific ex-Japan funds.

The Halfway Point

lipperclientservices@thomsonreuters.com — Fri, 06 Nov 2009 00:00:00 -0700

This report examines the impact of the financial market downturn on fund expense ratios. We have examined the semiannual reports for mutual funds that have been released since the financial crisis of late 2008 and we are now able to measure actual expense ratio changes in basis points, rather than estimating the impacts.

- Approximately 70% of all equity fund total expense ratios increased over this period. For funds with increases, the average increase was 8.2 bps. Approximately 25% of the expense increases were greater than 10 bps.

- Long-term fixed income fund total expense ratios were largely unchanged. This is true for both taxable funds and municipal debt funds.

- Money market fund total expense ratios declined by 3.3 bps. Most of this decrease was driven by increased waivers for retail money market funds.

- Much of the increase in equity fund expense ratios was driven by increases in transfer agency fees and other fixed nonmanagement expenses. As fund assets declined, there was a smaller asset base over which to spread fixed costs.

- Lipper estimates that industry revenue derived from management fees is down approximately 40%. Total fees collected by the industry are down an estimated 30%.

Picking Up The Pieces: Fund Companies Respond to the State of the Industry One Year Later

lipperclientservices@thomsonreuters.com — Mon, 19 Oct 2009 00:00:00 -0600

As the U.S. fund industry begins to recover from possibly the worst economic and financial correction that it has ever experienced, it is important to understand what has changed from a year ago. Lipper sent a survey to a number of U.S. asset managers in order to gauge some of the industry’s reactions to the recent market events and identify potential changes, going forward. This report aggregates the responses of this recent survey.

- The U.S. fund industry is beginning to exhibit some signs of stabilization as the recent recession appears to be easing. Fund assets have increased substantially from February lows, driven by strong market returns and increasing net sales of mutual fund shares.

- The impact of the past year on fund expense caps seems to have been mixed. While a number of firms sought board approval for expense cap increases, it appears that it was only for a small number of funds. A number of firms indicated that expense caps were lowered for funds over the past year as well.

- It is likely that 2009 will realize more merger activity than has been experienced in the industry for some time. As fund assets plummeted, many funds were merged due to decreasing sales and in order to stem some operational inefficiencies.

- As expected, profitability for asset managers has declined over the past year. Substantial declines in assets under management decreased firm profitability.

(Executive Summary only – Please contact us to purchase the full version of this report.)

2008 Fund Expense Recap

lipperclientservices@thomsonreuters.com — Tue, 26 May 2009 00:00:00 -0600

Lipper's review of U.S. 2008 fund fiscal expense ratios, current investment expense trends, and fee and expense outlook for 2009.

Riding The Currents

lipperclientservices@thomsonreuters.com — Tue, 31 Mar 2009 00:00:00 -0600

Riding The Currents - A Fund Executive's Guide to Maintaining Revenue Streams and Asset Flows.

A Means of Mitigating Fund Losses in Turbulent Markets

lipperclientservices@thomsonreuters.com — Sat, 13 Dec 2008 00:00:00 -0700

- In 2008 investors could have mitigated losses (improved their returns on average) by as much as 11.61 percentage points by choosing a fund with a Lipper Leader for Preservation rating.

- Adding an evaluation of downside risk to the portfolio review and creation process can help temper the wild swings we encounter every now and then.

- Lipper Leaders for Preservation is a tool investors can use to evaluate the downside history of their funds in their overall asset allocation and diversification portfolio-building process.

GCC Fund Market Report H1 2008 - Stock Markets in the GCC Recorded Positive Returns for First Semester 2008

lipperclientservices@thomsonreuters.com — Fri, 15 Aug 2008 00:00:00 -0600

GCC markets posted mixed results during the first semester, with two of the seven markets closing in the red. The Kuwaiti and Omani bourses retained their bull trends, with the Kuwait Stock Exchange posting a 26.95% return and the Muscat Securities Markets 30 a 25.30% return. The Qatari market rebounded strongly during the second quarter, posting an astonishing 24.00% return after a mediocre first quarter (-0.20%). For their part the Abu Dhabi and Bahraini bourses recorded positive performances, notably during the second quarter, and ended the semester gaining 8.82% for the Abu Dhabi Securities Market and 3.47% for the Bahrain All Shares. On the other hand, the Dubai and Saudi markets were the big losers of the first six months, shedding 8.24% and 15.26%, respectively.

Lipper Hedge Fund Survey, November 2007

lipperclientservices@thomsonreuters.com — Wed, 02 Jan 2008 00:00:00 -0700

Global hedge fund managers optimistic for industry performance in 2008, citing Distressed Securities, Global Macro, Long/Short Equity and Emerging Markets as the likely best performing strategies

Lipper Hedge Fund Survey, November 2007

Tue, 01 Jan 2008 00:00:00 -0700

Global hedge fund managers optimistic for industry performance in 2008 citing Distressed Securities, Global Macro, Long/Short Equity and Emerging Markets as the likely best performing strategies

Lipper Performance Fees in the UK

Mon, 10 Dec 2007 00:00:00 -0700

This new report provides an overview of the use of performance fees in the UK, touching on different relevant issues, including:

- Performance fees are used by around 1% of Unit Trusts and OEICs in the UK, three years after the ban on these fee structures was lifted.

- Examining FSA regulations on structuring performance fees shows how different factors may help investors.

- Looking at the use of performance fees by funds in other European domiciles and by closed-ended funds in the UK reveals how much more widely performance fees are used.

- US mutual fundsâ€™ use of performance-related (fulcrum) fees, including 130/30 funds, offer interesting comparisons.

- The relative annual management fees for funds with and without performance fee structures are compared - assessing whether funds with performance fees bear lower â€˜fixedâ€™ fees.

- A â€˜checklistâ€™ of factors to be considered when assessing performance fees is provided as a guide for investors and fund companies

For further information, please contact:

Claire Appleton
Global Client Account Manager
Lipper

E-mail: claire.appleton@reuters.com
Tel: +44 20 7307 1464

or

Ed Moisson
Director of European Fiduciary Operations
Lipper

Tel: +44 20 7307 1460
Email: ed.moisson@reuters.com

Ranking Target-Date Funds Using Past Performance--Part II

lipperclientservices@thomsonreuters.com — Thu, 29 Nov 2007 00:00:00 -0700

In Part II of Ranking Target-Date Funds Using Past Performance, we show ranking results for 2010, 2020, and 2040 target-date funds using the newly developed methodology of paired comparison diagraphs. This methodology produces the same results as the Bradley Terry method used in Part I where we described the ranking methodology and showed results for 2030 target-date funds.

High Grading Data: Retaining Variation, Reducing Dimensionality

lipperclientservices@thomsonreuters.com — Tue, 13 Nov 2007 00:00:00 -0700

In the quantitative analysis of financial data researchers are frequently confronted with the situation of more (potentially far more) financial measures--return values, benchmarks, indices, prices, balance-sheet values, etc.--than observations of the financial objects from which the measures were taken. Such an analytical context in which the number of samples or observations is fewer than the number of items or properties being measured has certain consequences for statistical analyses of the dataset. Researchers at Lipper are often confronted with analyses of very large datasets of this type. In this paper we describe elements of a patent pending process we have dubbed "high grading," which can be used in this analysis environment to preserve relationships among data elements, while ensuring certain types of analyses are more tractable.

Ranking Target-Date Funds Using Past Performance

lipperclientservices@thomsonreuters.com — Tue, 06 Nov 2007 00:00:00 -0700

In this paper we will discuss the following:
- A simple way of ranking target-date funds that will benefit investors.
- This benefit arises because the ranking method rewards consistent fund outperformance.
- The ranking method also chooses a dominant set of funds, i.e., a group of funds that consistently beats its peers. These funds can be viewed as the Roger Federers of the target-date fund world.
- The ranking methodology also allows examination of the factors influencing the rankings. We find evidence that individual target-date fund expense levels may not affect performance rankings.

Stock Fund Net Flows Are Down, But Are They Out?

lipperclientservices@thomsonreuters.com — Mon, 17 Sep 2007 00:00:00 -0600

In this study we highlight the recent downturn of stock fund net flows and show that:
- Net flows into stock funds are down more than 50% from their 2003 highs.
- Domestic stock fund net flows are currently hovering around zero on a month-to-month basis.
- Net flows into world stock funds are about $12 billion per month.
- This low level of net flows into stock funds has not been seen since 1994.

We also examine the strong impact life-cycle funds have had on stock fund flows and why their impact may be a long-lasting one.

A Yield by Any Other Name Would Smell As Sweet . . . ? Comparing Yield Calculations for Closed-End Funds

lipperclientservices@thomsonreuters.com — Tue, 19 Jun 2007 00:00:00 -0600

- There are many attractive features of closed-end funds; one of the biggest is yield. Understanding the many available yield calculations is vital in picking the right fund.
- Quite a few closed-end funds have a managed distribution policy; using only the standard yield calculation in fund analysis may not provide all the needed information.
- While there are a slew of yield calculations from which to choose, the annualized yield, income-only yield, and 12-month yield calculations are the most common measures found online.
- Knowing the differences between the calculations and being able to compare and contrast each with the others help us understand the workings of the fund and how to make more-informed investment decisions.

GERMAN PORTFOLIO MANAGERS REDUCE THEIR BOND EXPOSURE IN FEBRUARY

lipperclientservices@thomsonreuters.com — Thu, 01 Mar 2007 00:00:00 -0700

The February Asset Allocation Poll showed a decrease in the average equities component with reference to a global balanced portfolio.

The average percentage invested in the bonds component of a global balanced portfolio also decreased in February.

The cash component increased on average.

In February the alternatives component increased slightly.

The Role of Hedge Funds and Hedge Fund-Like Mutual Funds in a Portfolio

lipperclientservices@thomsonreuters.com — Wed, 07 Feb 2007 00:00:00 -0700

- Hedge funds offer good diversification benefits, especially when stock or bond markets are falling.
- Hedge fund-like mutual funds offer the same or similar diversification benefits as hedge funds do.
- The value at risk (VaR) for most of these hedge funds and hedge fund-like mutual funds is smaller than the VaR for large-cap, small-cap, and REIT funds.

SPANISH MANAGERS MAINTAIN THEIR ASSET EXPOSURE BASICALLY UNCHANGED IN JANUARY

Wed, 31 Jan 2007 00:00:00 -0700

The January asset allocation poll showed a slight decrease of exposure to equities and a slight increase to bonds.

Equitiesâ€™ average exposure decreased slightly to 46.47% from the 46.63% recorded in December, while bondsâ€™ average exposure increased to 37.76% from 37.55%.

The median readings for equities and bonds decreased and increased, respectively, so they were consistent with the average figures.

The Pharma & Health sector has become one of the sectors where most managers are overweighted relative to their internal benchmark (64%).

SPANISH FUND MANAGERS INCREASE THEIR EXPOSURE TO CASH IN DECEMBER

lipperclientservices@thomsonreuters.com — Sun, 31 Dec 2006 00:00:00 -0700

The December Asset Allocation Poll showed Spanish managers increased their average aggregate exposure to cash to a level not seen since July.

The average equities exposure was also increased slightlyÃ¢â‚¬â€to 46.63% from the 46.24% recorded in November.

On the other hand, the average aggregate exposure to bonds decreased to 37.55% from the 38.32% recorded a month earlier.

The positive view and confidence in equities was further reinforced by the fact that no manager planned to reduce exposure to this asset type over the next three months.

Pan European ETFs Assets under Management and Trading Activity Increased in 2006, with Turnover Reading Climbing About 51% Year On Year.

lipperclientservices@thomsonreuters.com — Fri, 29 Dec 2006 00:00:00 -0700

In December the traded volume of ETFs decreased 11% to 508 million shares, posting a 26.78% increase year on year.
Turnover in euros of ETFs listed on the European exchanges decreased 15.79% from November. Conversely, the turnover reading climbed 50.38% year on year at December 2006.
The London exchange together with the German exchanges and the OMX Copenhagen maintained the leadership in terms of market share in Europe and were among the top five, considering both traded volume and turnover.
With the exception of the Spanish stock exchanges, the average intraday bid-ask spread tightened in December.
Turnover in shares and euros decreased in the exchange-traded commodities (ETCs) segment of the European exchanges in December.

European Cross-Border Fund Fee & Expenses

Thu, 09 Nov 2006 00:00:00 -0700

• Average Total Expense Ratios (TERs) for cross-border equity funds generally rise in line with the number of European country registrations.
• The average fund size for different numbers of market registrations does not correlate to higher or lower average TERs.
• For bond and cash funds, the correlation between increasing the number of European countries for sale and TER averages is not so clear.
• There are wide differences in TER averages between cross-border fund promoters; promoters’ average TERs range from 1.21% to 2.93%.

Impact of Fund Expenses on Alpha

lipperclientservices@thomsonreuters.com — Thu, 09 Nov 2006 00:00:00 -0700

• A relationship does exist between TERs and superior performance for bond funds. Within a sector, lower cost funds tend to rank favourably for alpha among the sectors. Conversely higher expense funds ranked within the lower alpha quintile.
• However, the TER/alpha relationship for equity funds is not as strong. In some cases, equity funds with higher TERs do compensate investors; in others the low-cost funds have the performance advantage.
• Less than half of the funds studied ranked in the same quintile year after year. The persistency data suggests a weak link between expenses and performance over time.
• It is important to note the study analyses the relationship between fund expenses and the relative alpha quintile ranking for specific sectors. Though investor returns will be higher in a low cost fund with similar returns to a high cost fund, low cost equity funds do not necessarily rank as favourably for alpha within a sector in a given one-year period.

Targeting Target Maturity Funds

lipperclientservices@thomsonreuters.com — Fri, 30 Jun 2006 00:00:00 -0600

- In this paper we describe a methodology for examining target maturity funds as an integrated whole over all funds in a given program.
- The target maturity programs (the collection of target maturity funds) of four fund companies--AllianceBernstein Retirement Strategies (2005), Fidelity Freedom Funds (2005), T. Rowe Price Retirement Funds (2005), and Vanguard Target Retirement Funds (2006)--were examined.
- The simulation results find that AllianceBernstein's offering was the leader for both raw returns and risk-adjusted returns.
- Other than raw and risk-adjusted returns there are three additional factors to consider: idiosyncratic investments, strategy complexity, and percentage of equities in the glide path.
- Keeping an eye on the standard deviation as a measure of risk is misleading. Investors should be focusing instead on expected shortfall, which will be likely to compensate them with what they need at their retirement.

Patterns in Higher-Yielding Debt Funds: Comparisons, Contrasts, and Caveats

lipperclientservices@thomsonreuters.com — Thu, 29 Jun 2006 00:00:00 -0600

- Considerable differences exist in three higher-yielding domestic debt funds classes as to performance, consistency, asset growth, and net money flows over time.
- Investors and intermediaries clearly should not consider the three types profiled as interchangeable.
- Some higher systematic risk appears to exist in high-yield taxable debt funds, which intermediaries and fund marketers should clearly point out to prospective buyers.
- Retail investors strongly gravitate to higher yield but sometimes their choices are not well informed; professionals' attention is warranted in this challenge.

Targeting Target Maturity Funds: Extended Executive Summary

lipperclientservices@thomsonreuters.com — Tue, 27 Jun 2006 00:00:00 -0600

- In this paper we describe a methodology for examining target maturity funds as an integrated whole over all funds in a given program.
- The target maturity programs (the collection of target maturity funds) of four fund companies--AllianceBernstein Retirement Strategies (2005), Fidelity Freedom Funds (2005), T. Rowe Price Retirement Funds (2005), and Vanguard Target Retirement Funds (2006--were examined.
- The simulation results find that AllianceBernstein's offering was the leader for both raw returns and risk-adjusted returns.
- Other than raw and risk-adjusted returns there are three additional factors to consider: idiosyncratic investments, strategy complexity, and percentage of equities in the glide path.
- Keeping an eye on the standard deviation as a measure of risk is misleading. Investors should be focusing instead on expected shortfall, which will be likely to compensate them with what they need at their retirement.

REIT Funds: Cheap, Dear, or Fairly Priced?

lipperclientservices@thomsonreuters.com — Thu, 20 Apr 2006 00:00:00 -0600

In a study on the prices of the components of real estate investment trust (REIT) funds, Lipper has found that:
• Given their current price, office REITs have an implied long-term (ten-year) earnings-per-share (EPS) growth rate of 2.9% versus combined analysts’ estimates of 5.8%.
• Residential REITs have an implied long-term EPS growth rate of 2.4% versus combined analysts’ estimates of 5.1%.
• Shopping center REITs have an implied long-term EPS growth rate of 2.7% versus combined analysts’ estimates of 6.2%.
• “Other” REITs have an implied long-term EPS growth rate of 3.7% versus combined analysts’ estimates of 5.8%.
• So, current prices for all REIT segments appear to be cheap versus analysts’ long-term EPS estimates.
• Therefore, when you examine your REIT fund or if you’re planning to buy one, see what the mix of REIT industries is. It may make a difference in how well your REIT performs in the future.

Picking the Neffs and Millers of the Future with Lipper Leaders

lipperclientservices@thomsonreuters.com — Tue, 21 Mar 2006 00:00:00 -0600

In this study Lipper found that:
• Using Lipper Leaders for Total Return, Consistent Return, and/or Preservation can help pick equity and bond funds that have above-average future one-year returns more than 50% of the time and sometimes more than 70% of the time.
• For funds that were Lipper Leaders for 12 months running in:
o Total Return
o Total Return and Consistent Return
o Total Return, Consistent Return, and Preservation
Lipper found that in more than 50% of the cases, the next year’s returns for these equity and bond funds were in the first or second quintile, with there often being a two-to-one chance that the funds would be in the first quintile (top 20%) of their peers.

Mixing Active and Passive Investments

lipperclientservices@thomsonreuters.com — Mon, 13 Mar 2006 00:00:00 -0600

Abstract
While the debate concerning the value of actively versus passively managed funds continues, this paper shows there are times when investors would be better-served by moving from one type to the other. Specifically, our focus is on S&P 500 Index-Objective (SPSP) funds and funds included in Lipper’s Large-Cap Core (LCCE) classification. Using a popular technical indicator to trigger movement of assets between SPSP and LCCE portfolios has provided returns above those of the passively managed portfolio alone. The indicator is based on a simple ratio of the number of actively managed portfolios outperforming the average passively managed portfolio on a risk-adjusted basis. Buy-and-sell signals are generated by crossovers of moving-average convergence/divergence (MACD) of the active-versus-passive ratio (AVPR). Over the 20-year period of this study SPSP funds created an average annual return of 11.36%, and the corresponding average annual return of LCCE funds was 10.84%. Using the buy-and-sell signals of the MACD crossover to move monies between an SPSP fund and a small selection of LCCE funds produced an average annual return of 11.92%. This 56-basis-point advantage may not seem significant; however, over this 20-year period the SPSP funds accumulated an average 760% gain, while the portfolio based on the buy-sell signals accumulated an average 852% and LCCE funds alone produced an average 684% gain.

Asset Allocation Poll December 2006: German Portfolio Managers Show A Slightly Increasing Appetite For Risk In December

lipperclientservices@thomsonreuters.com — Wed, 01 Mar 2006 00:00:00 -0700

The December Asset Allocation Poll showed an increase in the average equities component with reference to a global balanced portfolio.

The average percentage invested in the bonds component of a global balanced portfolio decreased in December.

The cash component increased on average in global balanced portfolios in December.

Trend Analysis of UK Funds’ Fees and Expenses

lipperclientservices@thomsonreuters.com — Wed, 18 Jan 2006 00:00:00 -0700

• Trends in active and passive equity funds’ expense levels suggest a growing divergence between these products

• Where asset levels have risen for actively managed equity funds there are signs of falling simple average Total Expense Ratios (TERs)

• However, for asset-weighted averages of both bond funds and actively managed equity funds the overall picture is of rising TERs and management fees

• Importantly, passively managed funds’ average TERs are falling

• Companies changing management fees are far more likely to raise them towards competitors, rather than lower them

Asset Allocation Umfrage Deutschland Dezember 2006: Im derzeitigen positiven Umfeld sind Portfoliomanager von gemischten Portfolios wieder bereit mehr Risiko zu tragen

lipperclientservices@thomsonreuters.com — Tue, 03 Jan 2006 00:00:00 -0700

Die Dezember Asset Allocation Umfrage zeigt einen erneuten Anstieg der Aktienquote in den globalen gemischten Portfolios.

Der Rentenanteil der gemischten globalen Portfolios wurde im Berichtsmonat leicht gesenkt.

Die durchschnittliche Kassenhaltung in den globalen gemischten Portfolios stieg im Betrachtungszeitraum an.