For illustration, we give an example for a specific rating category:
Following 2014 also in 2015 European Investment Centre, o.c.p., a.s. (EIC) compared the quaility of the portfolio management of funds distributed in the Czech and the Slovak Republic (EIC Fund Rating 2015).
1071 rated funds linked to 768 portfolios and managed by 37 domestic and foreign investment management companies, were divided into 108 rating categories. In turbulent 2015 only 3% of them gained maximum of 6 stars, which is 6% less than in 2014. Yet up to 76 % of the rated funds achieved moderate rating. Number of funds in the trendy category „Total Return“ increased by 14, compared to 60 in 2014.
Five funds managed by Generali CEE Invest achieved 6 stars, and the company has become the most succesful investment management company in the EIC Fund Rating 2015, dominating in bond categories in CZK and EUR classes. Pioneer Investment Management ranked second with four 6-stars funds following by Fidelity Worldwide Investment, Franklin Templeton Investments, Raiffeisen Capital Management a BNP Paribas Asset Management ended up with two 6-stars funds each.
Unlike commonly used fund rating, based on the Sharpe ratio, for the rating purposes the methodology using CAPM model (Capital Assets Pricing Model) was applied, which evaluates the relations of risk and return of each fund in a more complex way, depending on the risk and return of other funds in the relevant category by calculating Jensen´s Alpha.
Based on the bands, created on the basis of volatility in the relevant category, in which individual achieved Alpha values of the rated funds are placed, the funds could obtain from 1 to 6 stars.
The first 3 stars were obtained by those funds that achieved negative Alpha and the other 3 stars by the funds that achieved positive Alpha value. E.g. 6 stars were obtained only by the fund the total return value of which exceeded the band created by sum of average return of the respective category, increased by 1.64 volatility multiple, applicable to the respective risk rate, measured by Beta coefficient. Theoretically, there should be maximum 5% of funds of the respective category in this band. Bands are created as shifts of SML line (security market line).
- Funds list
- Categories results
- Rating - Commodity
- Rating - Money
- Rating - Real estates
- Rating - Balanced
- Rating - Bonds
- Rating - Equity