SPIVA U.S. Year-End 2021 Scorecard - S&P Global
Research
Contributors Berlinda Liu, CFA Director Global Research & Design berlinda.liu@ Gaurav Sinha Managing Director Global Research & Design gaurav.sinha@
Experience the active vs. passive debate on a global scale.
Funds Underperforming Benchmark (%)
40.7 42.3 43.3
48.0 48.3 48.9
51.4 54.9 57.1 58.3 60.5 63.4 64.9 64.9 68.0 68.8 70.0 74.0 79.6 84.7 86.9
SPIVA? U.S. Scorecard
SUMMARY
Global equity markets powered ahead in 2021, despite the ongoing COVID19 pandemic. As rocky vaccine rollouts and new coronavirus variants prolonged the pandemic, governments and central banks continued their strategies of generous fiscal spending and loose monetary policy. The S&P 500? gained 28.7% in 2021, capping an impressive 100.4% cumulative advance over the past three years.
The positive market performance translated into good absolute returns for active fund managers, although relative performance continued to disappoint: 79.6% of domestic equity funds lagged the S&P Composite 1500? in 2021 (see Report 1a).
Exhibit 1: Percentage of All Domestic Equity Funds Underperforming the S&P Composite 1500 on an Absolute Basis
100 90 80 70 60 50 40 30 20 10 0
2009 2005 2013 2003 2010 2007 2004 2001 2020 2002 2016 2017 2008 2012 2006 2018 2019 2015 2021 2011 2014
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Chart is provided for illustrative purposes.
In 16 of the 18 categories tracking U.S. equities-focused funds, more than half the funds underperformed their benchmark. Particularly noteworthy were the 98.6% of large-cap growth funds that failed to beat the S&P 500 Growth--not only the worst-performing category in 2021, but the worst performing of any U.S. equities category in the past 21 years (see Report 1a).
Large-cap funds continued their underperformance for the 12th consecutive calendar year, as 85% of active large-cap funds trailed the S&P 500. Mid-cap (62%) and small-cap (71%) funds acquitted themselves
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SPIVA U.S. Scorecard
Year-End 2021
slightly better relative to the S&P MidCap 400? and S&P SmallCap 600?, but still offered scant reason to celebrate (see Report 1a).
Fund managers often respond to evidence of active underperformance by claiming to offer better returns per unit of volatility (i.e., to outperform in risk-adjusted terms). This would be an appropriate counterargument, if only it were true. However, the data shows that the vast majority of actively managed funds underperformed on this metric as well. Among domestic equity funds, while 90% have underperformed the S&P Composite 1500 over the past 20 years, an even greater 95% did so on a risk-adjusted basis (see Reports 1a and 1b).
Funds Underperforming Benchmark (%)
Exhibit 2: Percentage of All Domestic Equity Funds Underperforming the S&P Composite 1500 on an
Absolute and Risk-Adjusted Basis
100
80
80
72
81 75
93 86
90
95
60
40
20
0
3-Year
5-Year
10-Year
20-Year
Measured by Absolute Returns
Measured by Risk-Adjusted Returns
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Chart is provided for illustrative purposes.
For internationally focused U.S. funds, relative results in 2021 were a mixed bag. Most global (84%) and emerging markets (65%) funds failed to top the S&P Global 1200 and S&P/IFCI Composite, respectively. Investors in international (50%) and international small-cap (31%) funds were less likely to fall short of the S&P International 700 and S&P Developed Ex-U.S. SmallCap, respectively. Taking a longer view, however, nearly 85-90% trailed their benchmarks over the past 20 years, similar to their domestic counterparts (see Report 6a).
While equity markets whistled past the inflation graveyard, the fixed income world started to price in the end of the easy money party. The Bloomberg Barclays US Government (1-3 Year), Intermediate, and Long indices returned -0.60% -1.69%, and -4.57% for the year, respectively. The funds charged with beating these benchmarks reflected this non-parallel movement in the rates term structure: government short funds had little chance (26%) of beating their hurdle rate, but intermediate (52%) and long (82%) funds took greater advantage of the lower bars they needed to clear (see Report 11a).
Echoing the results from equities, longer observation horizons offered little sanctuary. More than 60% of funds did not surpass their benchmarks across all fixed income categories over the 15-year horizon on both an absolute and risk-adjusted basis (see Report 11a).
The SPIVA Scorecard's accounting for survivorship bias continues to be a valuable cautionary tale. As has generally been the case in recent years, roughly 5% of funds across asset classes and categories were merged or liquidated in 2021. Over 20 years, nearly 70% of domestic equity funds and twothirds of internationally focused equity funds across segments were confined to the history books. Similarly, roughly half of fixed income funds closed their doors over the past 15 years (see Reports 2, 7, and 12).
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SPIVA U.S. Scorecard
Year-End 2021
A UNIQUE SCORECARD FOR THE ACTIVE VERSUS PASSIVE DEBATE
There is nothing novel about the index versus active debate. It has been a contentious subject for decades, and there are a few strong believers on both sides, with the vast majority of market participants falling somewhere in between. Since its first publication in 2002, the SPIVA Scorecard has served as the de facto scorekeeper of the active versus passive debate. When headline numbers have deviated from their beliefs, we have heard passionate arguments from both camps.
Beyond the SPIVA Scorecard's widely cited headline numbers is a rich data set that addresses issues-- often far more fascinating though far less discussed--about measurement techniques, universe composition, and fund survivorship. These data sets are rooted in the following fundamental principles of the SPIVA Scorecard, with which regular readers will be familiar.
? Survivorship Bias Correction: Many funds might be liquidated or merged during a period of study. However, for someone making an investment decision at the beginning of the period, these funds are part of the opportunity set. Unlike other commonly available comparison reports, SPIVA Scorecards account for the entire opportunity set--not just the survivors--thereby eliminating survivorship bias.
? Apples-to-Apples Comparison: Fund returns are often compared to popular benchmarks such as the S&P 500, regardless of size or style classification. SPIVA Scorecards avoid this pitfall by measuring a fund's returns against the returns of a benchmark appropriate for that particular investment category.
? Asset-Weighted Returns: Average returns for a fund group are often calculated using only equal weighting, which results in the returns of a USD 10 billion fund affecting the average in the same manner as the returns of a USD 10 million fund. A more accurate representation of how market participants fared in a particular period is found by calculating weighted average returns where each fund's return is weighted by net assets. SPIVA Scorecards show both equal- and assetweighted averages.
? Style Consistency: SPIVA Scorecards measure style consistency for each style category across different time horizons. Style consistency is an important metric because style drift (the tendency of funds to diverge from their initial investment categorization) can have an impact on asset allocation decisions.
? Data Cleaning: SPIVA Scorecards avoid double counting multiple share classes in all count-based calculations, using only the share class with greater assets. Since this is meant to be a scorecard for active managers, it excludes index funds, leveraged and inverse funds, and other index-linked products.
? Risk-Adjusted Returns: The return/volatility ratio looks at the relationship and the trade-off between risk and return. A fund with a higher ratio is preferable since it delivers a higher return per unit of risk taken.
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SPIVA U.S. Scorecard
Year-End 2021
HISTORICAL VIEW
To provide context for the relative performance of active funds, we compile annual league tables (see Exhibits 3a, 3b, and 3c) across the U.S. equity, international equity, and fixed income categories. The tables show how active funds performed against their benchmarks in each calendar year.
We also provide the three-year relative performance of managers across major domestic and international equity categories (see Exhibits 4, 5, and 6). The figures are calculated on a rolling semiannual basis.
Exhibit 3a: Percentage of U.S. Equity Funds Underperforming Benchmarks Each Year
FUND CATEGORY
All Domestic Funds All Large-Cap Funds
COMPARISON INDEX S&P Composite 1500
S&P 500
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 48.9 64.9 40.7 48.3 84.6 64.9 43.3 86.9 74.0 60.5 63.4 68.8 70.0 57.1 79.6 44.6 56.0 48.4 65.9 82.2 62.7 54.6 86.7 65.4 66.0 63.1 64.5 71.0 60.3 85.1
All Mid-Cap Funds S&P MidCap 400
45.8 75.7 55.7 73.3 68.6 79.8 37.1 66.1 57.2 89.4 44.4 45.6 31.7 50.7 61.9
All Small-Cap Funds S&P SmallCap 600 46.0 83.3 30.7 54.0 85.8 66.3 67.8 72.0 71.8 85.5 47.7 68.5 38.5 45.5 70.5
All Multi-Cap Funds
S&P Composite 1500
46.0 70.1 39.3 60.4 83.9 65.2 46.8 81.6 70.1 74.9 56.5 66.8 69.2 55.6 80.3
Large-Cap Growth Funds
S&P 500 Growth
27.1 90.7 36.8 51.0 95.9 45.6 41.1 95.6 47.6 89.8 32.9 60.3 33.3 38.2 98.6
Large-Cap Core Funds
S&P 500
43.5 52.3 50.5 76.6 83.2 66.6 57.7 80.4 73.7 74.6 69.0 75.8 69.5 65.9 78.8
Large-Cap Value Funds
S&P 500 Value
45.8 24.5 45.7 70.6 54.3 85.0 64.9 77.8 61.5 78.0 46.9 46.3 97.2 33.4 38.5
Mid-Cap Growth Funds
S&P MidCap 400 Growth
42.0 91.0 54.0 84.1 76.5 86.8 34.5 55.4 79.7 94.6 18.0 15.2 9.3 17.2 83.2
Mid-Cap Core Funds
S&P MidCap 400
60.8 60.2 70.7 86.5 65.7 78.6 43.0 58.6 68.2 90.6 61.7 62.2 40.5 80.4 44.8
Mid-Cap Value Funds
S&P MidCap 400 Value
57.8 68.0 47.3 57.1 67.6 73.5 40.8 71.4 34.4 96.8 43.1 72.2 65.0 52.7 62.7
Small-Cap Growth Funds
S&P SmallCap 600 Growth
40.8 94.8 31.3 62.2 94.1 62.9 55.3 64.0 87.5 96.0 15.1 61.5 13.8 13.7 87.2
Small-Cap Core Funds
S&P SmallCap 600 55.5 82.1 33.2 58.6 86.0 68.7 77.7 66.9 77.5 89.5 58.6 87.5 41.4 62.4 61.3
Small-Cap Value Funds
S&P SmallCap 600 Value
39.4 72.1 25.2 42.0 81.8 61.5 78.8 94.1 45.0 88.9 74.1 83.3 80.0 43.8 50.7
Multi-Cap Growth Funds
S&P Composite 1500 Growth
29.8 88.3 42.0 45.7 94.8 51.6 38.8 87.4 65.5 85.3 46.3 65.9 45.2 46.7 92.9
Multi-Cap Core Funds
S&P Composite 1500
45.2 65.8 39.2 66.1 82.9 68.2 53.3 84.1 83.9 74.5 68.8 81.7 74.4 62.1 80.1
Multi-Cap Value Funds
S&P Composite 1500 Value
58.1 48.4 35.8 68.2 66.7 72.6 47.9 67.3 55.6 71.2 49.6 74.8 91.8 50.0 50.9
Real Estate Funds
S&P United States REIT
45.3 72.9 38.3 66.7 66.3 62.0 64.8 67.8 43.0 84.0 36.9 88.9 26.6 24.7 70.3
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is provided for
illustrative purposes.
Exhibit 3b: Percentage of International Equity Funds Underperforming Benchmarks Each Year
FUND CATEGORY Global Funds
COMPARISON INDEX
S&P Global 1200
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 54.2 61.6 52.3 43.8 71.8 61.8 47.5 76.5 58.2 79.7 50.2 70.6 57.1 54.3 84.1
International Funds S&P 700
68.2 64.3 71.5 40.2 69.5 44.3 43.2 68.2 25.5 84.9 54.0 76.8 57.3 54.6 49.7
International Small Cap Funds
S&P Developed Ex? U.S. SmallCap
36.5 53.1 49.2 45.3 60.0 24.6 47.9 69.0 48.9 71.8 44.0 90.8 60.5 51.9 31.1
Emerging Markets Funds
S&P/IFCI Composite
69.9 65.3 71.2 64.9 52.6 45.6 55.0 70.7 66.0 63.9 64.9 61.9 36.1 52.0 64.6
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is provided for
illustrative purposes.
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SPIVA U.S. Scorecard
Year-End 2021
Exhibit 3c: Percentage of Fixed Income Funds Underperforming Benchmarks Each Year
FUND CATEGORY
COMPARISON INDEX
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
Government Long Funds
Barclays US Government Long
89.4 95.7 8.3 95.3 96.6 71.4 10.9 96.8 20.3 87.9 96.4 17.0 98.0 94.3 17.6
Government Intermediate Funds
Barclays US Government Intermediate
92.6 90.0 9.1 73.8 60.5 33.3 76.7 44.4 88.9 74.1 57.9 100.0 68.8 53.6 48.1
Government Short Funds
Barclays US Government (1-3 Year)
90.7 86.0 23.8 59.5 61.0 42.5 95.1 60.0 89.7 63.2 47.8 87.0 73.1 47.8 73.7
Investment-Grade Long Funds
Barclays US Government/Credit Long
84.3 95.2 7.4 78.0 99.3 62.0 7.3 98.0 12.1 75.0 96.7 9.1 95.3 94.4 9.4
Investment-Grade Intermediate Funds
Barclays US Government/Credit Intermediate
93.0 89.9 14.1 31.4 49.6 20.7 63.5 33.1 93.2 19.8 31.4 90.8 32.2 33.5 36.7
Investment-Grade Short Funds
Barclays US Government/Credit (1-3 Year)
96.3 98.8 16.7 25.0 56.6 11.1 52.6 50.0 70.9 26.6 22.2 92.6 37.1 44.0 23.3
Barclays US
High Yield Funds Corporate High
44.2 39.2 90.7 75.3 80.0 72.9 68.3 74.1 34.7 94.2 81.0 75.6 64.8 77.7 64.3
Yield
Mortgage-Backed Securities Funds
Barclays US Aggregate Securitized - MBS
87.5 94.3 36.5 25.0 53.1 24.6 71.2 75.8 72.9 60.0 67.9 84.6 70.8 52.1 55.3
Global Income Funds
Barclays Global Aggregate
69.4 77.0 30.0 39.6 77.7 18.5 48.9 37.8 61.5 33.1 64.9 61.0 38.8 69.1 41.8
Emerging Markets Debt Funds
Barclays Emerging Markets
42.9 65.4 48.3 34.5 91.4 50.8 74.0 77.8 89.3 39.2 22.6 93.0 49.1 64.4 79.7
General Municipal Debt Funds
S&P National AMTFree Municipal Bond
84.1 81.5 25.0 57.3 77.2 20.8 68.7 31.3 59.3 71.9 42.9 85.3 40.3 59.7 31.5
California Municipal Debt Funds
S&P California AMT-Free Municipal Bond
95.2 94.9 10.5 77.8 75.0 6.1 91.4 13.9 38.9 61.1 25.7 93.9 32.4 68.6 12.5
New York Municipal Debt Funds
S&P New York AMT-Free Municipal Bond
91.2 88.2 27.3 58.1 75.0 17.2 100.0 7.1 53.6 74.1 33.3 76.0 26.9 57.1 11.5
Loan Participation Funds
S&P/LSTA U.S. Leveraged Loan 100
- - - 55.0 14.8 77.5 36.8 56.9 13.5 81.8 52.1 56.9 100.0 90.6 27.3
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is provided for
illustrative purposes.
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