Managers add value locally

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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

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	12.2	7.8	0.6	16.1	19.8	6.9	63.5	18.8	11.6	6.1	36.5	12.6	Positive
AIM	11.8	0.0	5.1	45.5	0.0	4.6	67.0	15.3	10.3	7.4	33.0	22.5	Neutral
AJ	20.0	0.0	0.0	33.5	0.0	12.2	65.7	23.0	10.6	0.7	34.3	18.8	Positive
AMPH	8.6	7.1	0.0	0.0	41.4	5.8	62.9	24.7	6.3	6.1	37.1	35.2	Positive
ANZAM	5.0	7.7	2.6	40.1	0.0	5.7	61.1	23.3	14.1	1.5	38.9	21.6	Neutral
BNZIM	3.9	15.1	0.0	7.1	23.3
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