Nov. 12, 2002 — Standard & Poor’s launched Standard & Poor’s Indices Versus Active Funds Scorecard (SPIVA) to provide an unbiased comparison of actively-managed funds versus their respective style indices.
The scorecard contains quarterly performance data for domestic equity mutual funds benchmarked against corresponding Standard & Poor’s indices, including the S&P 500 for large-cap funds, the S&P MidCap 400 for mid-cap funds, the S&P SmallCap 600 for small-cap funds, and the S&P SuperComposite 1500 for broad market comparisons.
Among the findings: More than 63% of all large-cap equity funds were unable to beat the S&P 500 benchmark over the last five years. As the market turned bearish, however, actively-managed large-cap funds fared relatively better, with 54% beating the index over the last three years.
The report also revealed that actively-managed funds did not tend to outperform the index benchmark in the small-cap arena. Measured against the S&P SmallCap 600, 67% of actively-managed small-cap funds over the five-year period, and 71% over three years, under-performed the index.
The methodology behind the scorecard is designed to provide an accurate and objective apples-to-apples comparison of funds’ performance versus their appropriate style indices, correcting for factors that have skewed results in previous index-versus-active analyses in the industry.
The Standard & Poor’s scorecards show both asset-weighted and equal-weighted averages, include survivorship bias correction to account for funds that may have merged or been liquidated during the period under study, and show style consistency for each style group across different time horizons.
The SPIVA Scorecard is available at: http://www.standardandpoors.com.