Two funds managed by Bambos Hambi at Rothschild Asset Management have failed to pass the quantitativ...
Two funds managed by Bambos Hambi at Rothschild Asset Management have failed to pass the quantitative screen for a Standard & Poor's (S&P) rating in its 2001 review of managed funds. The three Friends Provident funds Hambi left to join Rothschild earlier in the year have also failed the quants screen.
The Five Arrows Independent Income and Five Arrows Independent Growth funds, both under review since Hambi took them over, have subsequently lost their rations. The Friends Provident Independent Balanced, Friends Provident Independent Growth and Friends Provident Managed portfolios, which have all been under Hambi's management in the past year, are also now un-rated.
Other funds to have unsuccessfully come against S&P's quantitative screens include the Henderson Independent Portfolio, which is managed by John Husselbee.
The screen, which must be passed for a fund to even be considered for a rating, is based solely on performance data.
Discrete period performance comparisons are made as opposed to cumulative returns over a three-year period, on both an absolute and a volatility adjusted basis.
In all, eight funds have moved up a rating in the review, all from A-rated to AA-rated.
These include the CF IMS Select fund, an actively managed portfolio, which S&P said benefits from an experienced team and a coherent investment approach.
The Investec Cautious Managed Portfolio Trust has also been promoted to a double A-rating, as it has had an increase in team resources and produced significant relative outperformance. Its discrete returns for the 12 months to 1 October 2001 are -7.29%, which places it second in its sector.
Equally, eight funds have had their ratings reduced. The Fidelity Investment Funds ' International fund has been downgraded from AAA to AA. The reason behind this is that its emphasis on more cautious funds has resulted in less exposure to the more aggressive managers who have been the key drivers of performance in the recent past, said James Tew, Standard & Poor's European director of research.
The JPMorgan Fleming Masterfund has fallen from a AA-rating to A following the appointment of a new team in the past year. According to S&P, the fund has significantly trailed the sector median, which is largely the result of underperformance in the underlying UK funds. The RSA Portfolio trust has fallen from a AAA-rating to a AA-rating, as the fund's growth bias has hurt relative performance.
According to S&P, the manager did not use his ability to invest in non-RSA funds, while asset allocation decisions also detracted from performance.
Tew said that sliding equity markets internationally were an unhelpful background for managed funds over the year to 1 September 2001.
He added: 'Median fund performances for the eight investment sub-sectors, each reflecting a different make-up of funds, all showed a decline over the period.
'However, there was a wide variation in the returns. In sharp contrast to the 2000 review when the Active Managed sector outperformed all others, this year the Cautious Managed sector has recorded the best relative performance. The median fund for this sector dipped by 0.9% in sterling terms, while the Active Managed median tumbled 19.4%.'
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