Melville Jessup Weaver

Investment survey - March 2001

Wednesday, May 9th 2001, 3:48PM

Investment Survey - March 2001

Consulting actuaries Melville Jessup Weaver report on what happened in the past quarter and how the fund managers fared.

March quarter features
The main features of the March quarter were:

Strong performance from the local share market, particularly from the larger stocks,
Overseas share markets performed poorly, losing 9.9% in local currency terms (i.e. on a hedged basis), amid fears of a world economic slowdown,
Steady returns from fixed interest markets, with the local and overseas markets returning 2.2% and 2.9% respectively,
The NZ dollar weakened against most major trading partners, notably down 9.0% against the US dollar, and
The CPI fell 0.2%, strongly influenced by the move to income-related rents for Housing New Zealand tenants.

The average return for the fund managers surveyed was -0.8%.

Do Managers add value?
While 4 managers in the last 12 months did, for the average manager the answer is no.

Highly volatile results
The top balanced fund manager achieved a result of 5.2% for the year, with the bottom manager achieving -6.2%, a variation of 11.4%.

Manager results for the last 12 months
Our comments are primarily focused on our view of how well the manager's fund is constructed to provide consistent annual returns to an investor.

Alliance Capital - The fund is well constructed for consistent performance which has served it well in the last 12 months. The property returns continue to languish.
AMP Henderson Global Investors - The fund with its emphasis on passive share exposure has suffered accordingly in the last 12 months. The local fixed interest result remains good
Arcus Investment Management - While their absolute results over the last year have dropped significantly, performance assessed on a value added basis is average. Exposure to listed property has boosted the overall result.
Armstrong Jones - The fund has suffered from its sole focus on investing in growth overseas shares. They continue to provide solid property returns
ANZ Asset Management - The fund is well constructed and in the last 12 months provided a good absolute return. The manager continues to add value.
BNZ Investment Management - The fund is reasonably well constructed and they have had a very good past 12 months. The individual sector results remain around average.
BT Funds Management - The fund has suffered from a solely growth oriented overseas share exposure. They continue to add significant value in the local share sector.
Colonial First State - Over the last 12 months they have added reasonable value despite a poor overseas share result.
GRT - The fund continues to suffer from overexposure to passive assets. The addition of an active local manager should contribute towards better and more consistent future results.
Guardian Trust Funds Management - The well constructed overseas share portfolio has helped their results improve. While local shares returns over the past 12 months have been poor, they are top in local fixed interest.
NZ Funds Management - The fund's overall result has slipped due to the performance of their share managers. They had a good result for the cash sector.
Tower Asset Management - Their results have turned completely around on the back of their value-oriented overseas share manager. They are well placed to now consider adding a growth manager to their overseas share exposure.
WestpacTrust Investment Management - · With the decision to switch all their investments to AJ, WIM need to consider the performance implications for the fund of the consequent overseas share exposure to solely growth shares.

Actual Gross Returns (before fees and tax)

Total Fund (after fees and tax)
Mngr	3 mths (%)		1 yr (%)		3 yr (%)		5 yr (%)
ACM	0.3	(2)	1.4	(4)	4.5	(11)	6.3	(10)
AIM	-1.3	(10)	-2.0	(11)	5.6	(4)	n.a
AJ	-2.5	(13)	-4.4	(13)	4.2	(12)	7.0	(8)
AMPH	-0.7	(7)	-3.5	(12)	4.5	(10)	6.8	(9)
ANZAM	-0.9	(9)	1.1	(5)	5.0	(8)	7.1	(7)
BNZIM	1.9	(1)	2.0	(3)	6.4	(2)	8.6	(1)
BTFM	-0.7	(6)	0.1	(6)	5.7	(3)	7.1	(5)
CFS	-1.4	(11)	2.3	(2)	5.5	(5)	n.a
GRT	-0.6	(5)	-1.5	(10)	5.2	(6)	7.2	(4)
GTFM	-0.2	(4)	-0.1	(7)	5.1	(7)	7.6	(3)
NZFM	-0.8	(8)	-1.5	(9)	6.4	(1)	7.9	(2)
TAM	0.3	(3)	2.9	(1)	4.6	(9)	7.1	(6)
WIM	-2.2	(12)	-1.2	(8)	4.1	(13)	5.8	(11)
Average	-0.7		-0.3		5.1		7.1
Index	0.0		0.8		4.7		7.0

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 24 basis points was assumed.
	3.	AIM, ANZAM, GRT and NZFM were unable to supply net figures. Fees of 24 b.p and tax at 33% were assumed.
	4.	The average is the arithmetic mean of all the managers' results.
	5.	The share returns in respect of ACM, AMPH, ANZAM, and BNZIM are for active funds.
	6.	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	-0.1	(3)	-0.3	(5)	0.3	(5)	-0.2	(5)
AIM	-0.5	(6)	-0.8	(6)	2.3	(3)	n.a
AJ	-3.7	(12)	-6.9	(12)	0.2	(6)	0.9	(4)
AMPH	-0.3	(4)	-3.4	(10)	-1.5	(12)	-1.5	(9)
ANZAM	-0.4	(5)	1.1	(2)	1.8	(4)	1.4	(2)
BNZIM	1.0	(2)	0.6	(3)	0.2	(7)	-0.2	(6)
BTFM	-1.7	(9)	-2.4	(8)	2.5	(2)	1.0	(3)
CFS	-3.3	(11)	0.5	(4)	-0.3	(9)	n.a
GRT	-0.6	(7)	-5.8	(11)	-0.3	(10)	-0.7	(8)
GTFM	n.a		n.a		n.a		n.a
NZFM	-0.9	(8)	-3.1	(9)	2.6	(1)	1.6	(1)
TAM	1.6	(1)	4.4	(1)	0.1	(8)	-0.3	(7)
WIM	-3.1	(10)	-2.3	(7)	-1.3	(11)	-2.0	(10)
Average	-1.0		-1.5		0.6		0.0

Asset Allocation
Manager	3 mths (%)		1 yr (%)		3 yr (%)		5 yr (%)
ACM	0.2	(3)	0.2	(6)	0.1	(5)	0.3	(4)
AIM	n.a		n.a		n.a		n.a
AJ	-0.1	(9)	-0.1	(9)	0.4	(3)	0.5	(1)
AMPH	0.2	(4)	0.3	(5)	0.0	(6)	-0.3	(6)
ANZAM	0.3	(2)	0.0	(7)	0.3	(4)	0.5	(3)
BNZIM	0.0	(6)	0.5	(2)	0.9	(2)	0.5	(2)
BTFM	0.2	(5)	0.4	(3)	1.0	(1)	-0.1	(5)
CFS	0.3	(1)	1.3	(1)	-0.3	(7)	n.a
GRT	n.a		n.a		n.a		n.a
GTFM	n.a		n.a		n.a		n.a
NZFM	n.a		n.a		n.a		n.a
TAM	-0.1	(8)	0.3	(4)	-0.3	(8)	-0.3	(7)
WIM	0.0	(7)	-0.1	(8)	-0.4	(9)	-0.8	(8)
Average	0.1		0.3		0.2		0.0

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 31 March 2001

Manager	NZ Shares		Aus	O'seas Shares		Property	Growth	NZ	O'Seas	Cash	Income	Currency	Currency
	Active	Passive	Shares	Active	Passive		Assets	Fixed Int	Fixed Int		Assets	Exposure	Outlook
ACM	8.1	8.1	0.4	18.1	16.9	7.0	58.6	19.7	14.3	7.5	41.4	21.7	Positive
AIM	10.9	0.0	4.7	44.7	0.0	4.3	64.6	14.7	5.5	15.2	35.4	21.9	Positive
AJ	18.7	0.0	0.0	35.6	0.0	10.3	64.6	19.0	12.0	4.4	35.4	19.1	Positive
AMPH	0.0	17.8	0.0	0.0	43.1	5.4	66.3	22.1	6.0	5.6	33.7	34.5	Positive
ANZAM	4.9	7.8	2.5	38.4	0.0	5.2	58.9	23.3	13.0	4.8	41.1	18.8	Neutral
BNZIM	3.6	15.7	0.0	6.1	23.7	0.0	49.0	14.5	35.3	1.1	51.0	30.7	Neutral
BTFM	19.6	0.0	0.0	37.6	0.0	4.6	61.8	20.2	12.6	5.4	38.2	18.8	Neutral
CFS	6.0	0.0	13.9	29.7	0.0	0.0	49.6	0.0	50.4	0.0	50.4	14.5	Positive
GRT	0.0	12.7	0.0	0.0	32.1	6.9	51.7	23.2	15.4	9.7	48.3	16.1
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Melville Jessup Weaver

Investment survey - March 2001

Wednesday, May 9th 2001, 3:48PM

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