Consulting actuaries Melville
Jessup Weaver report on what happened in the past quarter and
how the fund managers fared.
Tuesday, October 30th 2001, 9:00AM
The September quarter results
were dominated by the events of 11 September:
Overseas markets were down 15.3%
although they have since recovered somewhat,
The local share market fell
9.9%,
The NZ dollar fell 5.4% as measured
by the TWI, benefiting those managers with high currency exposures,
and
Fixed interest markets rose
by around 3 to 4%, while the CPI rose 0.6%, giving a 2.4% result
for the recent 12 month period.
The average return for the fund
managers for the quarter was –6.4% with –8.0% for the
year.
Of interest is the wide range
of exposure to foreign currency varying from a low of 12.6% for
ACM to 35.2% for AMPH.
Do Managers add value?
The average result for the last
12 months was –1.6% with one manager losing 8.7%. Interestingly
managers only added value in the local asset sectors excluding
property.
Manager results for the last
12 months
With overseas share manager
results varying between –13.8% to –41.9% this sector
again dominated the overall fund results. A particular feature
of the negative returns is that those managers with no passive
funds and only active shares have boosted their relative net
results thanks to tax credits on their losses.
Alliance Capital –Their performance has slipped
on the back of poor local share numbers albeit they continue
to achieve good local fixed interest and cash numbers.
Arcus Investment Management
–While their
overall result slipped for the last quarter they continue to
achieve good 12 month results partly on the back of their strong
Australasian share results.
Armstrong Jones –The results for the total
fund continue their poor run due to poor numbers from their overseas
share manager. In contrast their local share numbers are improving.
AMP Henderson Global Investors
–Their numbers
are getting better. They now rank 3rd for value added in the
last quarter.
ANZ Asset Management –Their performance has slipped
with continuing poor numbers in the local share sector. Their
best sector is overseas fixed interest.
BNZ Investment Management
–Their absolute
return numbers are consistently above average. The Templeton
overseas growth style fund has achieved excellent results.
BT Funds Management –Their fund’s performance
has slipped to an average ranking in the last 12 months on the
back of poor local and overseas fixed interest results and poor
asset allocation decisions. As expected their local share manager
continues to achieve good value added numbers.
Colonial First State –Their fund has produced
a very respectable result boosted partly by their low exposure
to growth assets. Their local and overseas share results continue
to impress.
Global Retriement Trust –While their performance
has marginally improved this quarter they have continued to suffer
from their 100% exposure to a passive overseas share portfolio.
Guardian Trust Funds Management
–While their
fixed interest and cash results are either ranked 1st or 2nd
their overall result has been dragged down by a poor local share
result. Their overseas share result is above average.
Tower Asset Management –They have continued as
the number 1 value added manager for a second quarter. Their
local share numbers are starting to return to their historical
above average position.
WestpacTrust Investment Management
–Their fund
has slightly better results than their sub manager AJ due principally
to their greater exposure to foreign currency.
Table 1 - Actual Gross Returns
(before fees and tax)
Total Fund (after fees and tax)
Manager
3 mths (%)
1 yr (%)
3 yr (%)
5 yr (%)
ACM
-6.1
(11)
-8.1
(9)
4.3
(7)
4.6
(11)
AIM
-5.5
(10)
-6.3
(6)
4.7
(4)
n.a
AJ
-4.7
(5)
-9.7
(11)
3.1
(12)
5.5
(8)
AMPH
-6.7
(12)
-10.9
(12)
3.9
(9)
5.5
(9)
ANZAM
-4.6
(4)
-4.8
(3)
4.4
(6)
5.7
(7)
BNZIM
-5.2
(9)
-5.5
(4)
5.9
(1)
7.1
(1)
BTFM
-4.2
(3)
-5.8
(5)
5.5
(2)
6.0
(4)
CFS
-3.7
(2)
-2.6
(2)
5.3
(3)
5.7
(6)
GRT
-5.1
(8)
-7.5
(8)
4.5
(5)
5.9
(5)
GTFM
-5.1
(7)
-6.7
(7)
3.5
(10)
6.0
(3)
TAM
-2.7
(1)
-1.5
(1)
4.3
(8)
6.3
(2)
WIM
-5.0
(6)
-8.2
(10)
3.4
(11)
4.7
(10)
Average
-4.9
-6.5
4.4
5.7
Index
-3.3
-4.3
4.4
6.0
Notes:
1. The index return for the
total fund is the average of the benchmark returns of the managers.
2. ACM, AJ and GTFM provided
their net returns on a pre-fees basis. A net fee of 30 basis
points was assumed.
3. AIM, ANZAM, and GRT were
unable to supply net figures. Fees of 30 b.p and tax at 33% were
assumed.
4.ACM and ANZAM share
returns are 'active'. AMPH and BNZIM 'passive' returns are unhedged.
5. FUM (Funds Under Management)
is in $m and is in respect of the funds analysed and performance
results shown.
Table 2 - Value Added
Total Fund
Manager
3 mths (%)
1 yr (%)
3 yr (%)
5 yr (%)
ACM
-2.1
(9)
-3.8
(9)
0.2
(6)
-0.7
(6)
AIM
-1.9
(8)
0.1
(4)
0.6
(3)
n.a
AJ
-2.7
(10)
-8.7
(11)
-1.9
(11)
0.1
(3)
AMPH
0.0
(3)
-0.5
(5)
-0.8
(10)
-1.0
(7)
ANZAM
-1.8
(7)
-1.3
(7)
0.4
(5)
1.1
(1)
BNZIM
0.0
(4)
0.7
(3)
0.7
(2)
-0.3
(5)
BTFM
-1.2
(6)
-1.0
(6)
2.0
(1)
0.7
(2)
CFS
0.4
(2)
2.4
(2)
0.5
(4)
-2.4
(10)
GRT
-4.0
(11)
-6.8
(10)
-0.2
(8)
-1.2
(8)
GTFM
n.a
n.a
n.a
n.a
TAM
-0.6
(5)
3.8
(1)
0.0
(7)
-0.1
(4)
WIM
0.5
(1)
-2.2
(8)
-0.7
(9)
-1.6
(9)
Average
-1.2
-1.6
0.1
-0.5
Asset Allocation
Manager
3 mths (%)
1 yr (%)
3 yr (%)
5 yr (%)
ACM
-0.5
(8)
-0.1
(8)
0.0
(3)
0.1
(4)
AIM
n.a
n.a
n.a
n.a
AJ
0.2
(4)
-0.1
(7)
0.2
(2)
0.6
(1)
AMPH
-0.2
(7)
0.6
(3)
-0.1
(4)
-0.3
(6)
ANZAM
0.5
(2)
0.5
(5)
-0.2
(6)
0.5
(2)
BNZIM
0.3
(3)
0.9
(2)
0.9
(1)
0.5
(3)
BTFM
-1.2
(9)
-0.9
(9)
-0.1
(5)
-0.1
(5)
CFS
1.2
(1)
3.1
(1)
-0.8
(9)
-1.6
(9)
GRT
n.a
n.a
n.a
n.a
GTFM
n.a
n.a
n.a
n.a
TAM
0.1
(5)
0.5
(4)
-0.7
(8)
-0.3
(7)
WIM
-0.1
(6)
0.3
(6)
-0.3
(7)
-0.8
(8)
Average
0.0
0.5
-0.1
-0.2
Notes:
1. No figures are shown for
GTFM as no benchmark asset allocations are available.
2. The asset allocation figures
are the difference between the value added in total and that
added for stock selection.
Table 3 - Actual Asset Allocation
as at 30 September 2001
