Anatomy of Active Portfolios

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In constructing portfolios, asset managers, intentionally or otherwise, expose the portfolio to factor tilts that greatly influence fund performance. But many managers may not be aware of these exposures, which can be sources of excess returns. For example, if the value factor has performed strongly over time, a persistent negative exposure to value may have impaired returns. Those managers could be on the wrong side of history.

Using MSCI’s Peer Analytics dataset, we examined the composition and performance drivers of active global funds through the lens of the Global Total Market Equity Model (GEMLT). We attributed funds’ performance to factor exposures and stock selection, and reviewed what distinguished top-performing funds.

Source : MSCI

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