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CAMRADATA IQ Independent Quantitative Universe Evaluation Quarter 4 – 2010


CAMRADATA IQ CAMRADATA IQ is a seven factor quantitative screen which is applied to the CAMRADATA Universes to highlight strong managers in each asset class. The results are presented as traditional league tables but also as risk / returns charts so that the different risk profiles of the products can easily be identified. The CAMRADATA seven factor quantitative screen looks to identify and evidence consistently skilful good performing managers by applying the following analysis: Excess Return; measure of added value over the benchmark Information Ratio; measure of efficiency of how risk is being translated into returns Hit Rate; measure of consistency of beating the benchmark Expected Wins – Expected Losses; measure of the quality of bet structure the manager is taking Drawdown; indicates the worst twelve month return Hurst; measure of the persistency of manager returns Gaussian Noise; measure of confidence that a manager is doing more than just random stock picking. This edition of CAMRADATA IQ is based on universe returns in CAMRADATA Live as at 2nd March 2011.


Top 5 Managers 1

Contents 2

5

8

11

European Equity €

14

Emerging Markets Equity $

26

UK Equity £

Financiere d’Echiquier

AXA Rosenberg Investment Management Limited

Investec Asset Management

MFS Investment Management

Lee Munder Capital Group LLC

MFS Investment Management

UBS Global Asset Management

AllianceBernstein

Aegon Asset Management

Natixis Global Associates International

PanAgora Asset Management Inc.

Undisclosed Manager

Threadneedle Asset Management Limited

Undisclosed Manager

Slater Investments Limited

European Fixed Income €

17

Emerging Markets Debt $

29

UK Non Gilt £

BNY Mellon Asset Management International Ltd

AllianceBernstein

Henderson Global Investors Limited

Wellington Management International Limited

HSBC Global Asset Management (UK) Limited

BlackRock

BNP Paribas Investment Partners

Investec Asset Management

Aberdeen Asset Management

BlackRock

Wellington Management International Limited

Aviva Investors

Undisclosed Manager

MFS Investment Management

Royal London Asset Management

Global Equity £

20

Fund of Hedge Funds $

32

US Equity $

MFS Investment Management

GAM

Parnassus Funds

Standard Life Investments Limited

Liongate Capital Management

Standard Life Investments Limited

Cantillon Capital Management

Fauchier Partners

FIL Limited

UBS Global Asset Management

Prisma Capital Partners

State Street Global Advisors Limited

Aberdeen Asset Management

Pictet Asset Management Ltd

Walter Scott & Partners Limited

Global Broad Bonds £

23

Multi Asset £

35

US High Yield $

Putnam Investments Limited

Standard Life Investments Limited

AXA Investment Managers

Undisclosed Manager

Pyrford International Ltd

Nomura Asset Management U.K. Limited

Invesco Perpetual

Investec Asset Management

Metropolitan West Asset Management

PIMCO

Baring Asset Management (London)

Artio Global Management LLC

Wellington Management International Limited

Aberdeen Asset Management

J.P. Morgan Asset Management


European Equity € – Benchmark: MSCI Europe € 2

1

Product Name

Organisation

Echiquier Major

Financiere d'Echiquier

Excess Return

Information Ratio

Win Loss Differential

0.89

0.93

0.81

Hit Rate

Gaussian Noise

Drawdown – Max Drawdown

Hurst

Score

Excess Return

Excess Risk

Hedged

0.79

0.99

0.87

0.13

0.77

12.66

7.02

Unknown

2

MFS European Core – Segregated

MFS Investment Management

0.88

0.80

0.88

0.50

0.86

0.88

0.35

0.74

11.85

14.62

Unhedged

3

European Small Cap

UBS Global Asset Management

0.91

0.81

0.92

0.43

0.56

0.92

0.54

0.73

13.77

16.24

Unhedged

4

Natixis Europe Smaller Companies Fund

Natixis Global Associates International

0.82

0.82

0.69

0.61

0.63

0.50

0.73

0.69

8.34

9.00

Unhedged

5

Threadneedle (ICVC) Pan European Smaller Companies Fund (T2PESM)

Threadneedle Asset Management Limited

0.92

0.84

0.86

0.54

0.52

0.91

0.09

0.67

13.98

14.44

Unhedged

6

Undisclosed

Undisclosed Manager

0.81

0.79

0.80

0.50

0.60

0.52

0.55

0.65

7.55

10.39

Unhedged

7

Undisclosed

Undisclosed Manager

0.72

0.76

0.47

0.54

0.85

0.65

0.47

0.64

4.92

9.13

Hedged

8

BNP Paribas L1 Equity Best Selection Europe

BNP Paribas Investment Partners

0.67

0.86

0.40

0.71

0.84

0.14

0.79

0.63

3.60

3.59

Unhedged

9

Hermes European Focus Fund

Hermes Fund Managers Limited

0.62

0.52

0.76

0.25

0.93

0.22

0.85

0.59

1.96

14.23

Unhedged

10

Segregated Mandate

Lingohr & Partner Asset Management GmbH

0.71

0.78

0.73

0.50

0.45

0.40

0.58

0.59

4.84

7.83

Unhedged

11

Allianz Foncier

Allianz Global Investors

0.75

0.66

0.66

0.43

0.64

0.77

0.22

0.59

5.64

15.43

Unhedged

12

Morgan Stanley INVF European Equity Alpha Fund

Morgan Stanley Investment Management

0.64

0.71

0.72

0.29

0.68

0.19

0.76

0.57

2.22

4.70

Unknown

13

European Equity Composite

Walter Scott & Partners Limited

0.79

0.74

0.65

0.50

0.18

0.86

0.19

0.56

6.97

13.47

Unhedged

14

Overstone European Equity Fund

Oldfield Partners LLP

0.73

0.72

0.78

0.43

0.14

0.74

0.29

0.55

5.04

10.62

Unhedged

15

Europe Equity

Capital International

0.69

0.65

0.89

0.21

0.11

0.80

0.42

0.54

4.81

14.31

Unhedged

16

Composite Equities – European Small and Mid Caps

DB Advisors

0.78

0.75

0.61

0.50

0.21

0.79

0.12

0.54

6.29

12.08

Unhedged

17

Undisclosed

Undisclosed Manager

0.54

0.48

0.26

0.43

0.88

0.71

0.41

0.53

1.57

14.40

Unhedged

18

Composite Equity MinRisk Europe

Quoniam Asset Management GmbH

0.53

0.49

0.35

0.43

0.48

0.26

0.87

0.49

1.13

9.45

Unhedged

19

ING (L) Invest Europe High Dividend

ING Investment Management

0.44

0.44

0.71

0.18

0.55

0.38

0.71

0.48

-0.04

5.18

Unhedged

20

Lazard Pan European Equity Alpha

Lazard Asset Management Limited

0.47

0.55

0.49

0.43

0.44

0.09

0.81

0.47

0.63

3.29

Unhedged


European Equity € – Three year returns 3

European Equity Data

: Selected Universe, 39 products.

Benchmark

: MSCI Europe €

Period

: Three Years to Date 31−Dec−2010

7.9%

34.7%

20.4%

13.8%

34.1%

187.2%

15.3%

29.5%

−1.4%

4.6%

−5.4%

10.6%

−6.1%

23.8%

0.6%

22.4% −8.2%

−22.2%

47.2% 6.6%

−2.9%

6.8%

−34.5%

−24.6%

2.1% −16.5%

13.9%

Return (%pa)

−47.6%

Risk (%pa)

−58.4%

−9.9%

Reward to Risk

Rel Return (%pa)

Rel Risk (%pa)

Rel Reward to Risk

Financiere d’Echiquier,Echiquier Major

Inter Quartile Range

MFS Investment Management,MFS European Core − Segregated

Extrema Range

UBS Global Asset Management,European Small Cap

Benchmark: MSCI Europe €

Natixis Global Associates Inte.,Natixis Europe Smaller Companies Fund Threadneedle Asset Management .,Threadneedle (ICVC) Pan European Smaller Comp.

CAMRADATA Analytical Services


European Equity € – Three year relative risk return 4

Three Year Relative Risk Return Ended 31−Dec−2010

15.0% 0.15

Threadneedle Asset Management UBS Global Asset Management

Financiere d’Echiquier

Three Year Relative Return (Annualised)

MFS Investment Management 10.0% 0.1

Natixis Global Associates Inte.

5.0% 0.05

0.0% 0

−5.0% −0.05

−10.0% −0.1 2.0% 0.02

4.0% 0.04

6.0% 0.06

8.0% 0.08

10.0% 0.1

12.0% 0.12

14.0% 0.14

16.0% 0.16

Three Year Relative Risk (Annualised)

18.0% 0.18

20.0% 0.2

22.0% 0.22

CAMRADATA Analytical Services


Important Notice This document is prepared by CAMRADATA Analytical Services Limited (‘CAMRADATA’), a company registered in England & Wales with registration number 06651543. This communication is not intended to constitute an invitation or an inducement to engage in any investment activity. It is not intended to constitute investment advice and should not be relied upon as such. This document contains expressions of opinion which cannot be taken as fact. The commentary provided is based on currently available information and on certain assumptions which may be subject to change without notice. Although CAMRADATA has prepared this document using information derived from sources considered to be reliable, CAMRADATA has not independently verified the accuracy of such information. Although the information expressed is provided in good faith, neither CAMRADATA, its holding companies nor any of its or their associates represents, warrants or guarantees that such information is accurate, complete or appropriate for your purposes and none of them shall be responsible for or have any liability to you for losses or damages (whether consequential, incidental or otherwise) arising in any way for errors or omissions in, or the use of or reliance upon the information contained in this document. CAMRADATA Analytical Services and its logo are proprietary trademarks of CAMRADATA and are registered in the United Kingdom. Unauthorised copying of this document is prohibited. For more information Visit www.camradata.com or contact our customer service team on 020 7004 0040. © Copyright CAMRADATA Analytical Services March 2011.

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