The research house downgraded the Barclays International Share Fund and its hedged version from five to four stars. The Dexia Sustainable Global Equity Fund was revised from three stars to two. S&P also upgraded the rating of the Schroders Global Active Value Fund and its hedged version from three to four stars.
S&P reviewed 37 funds - all funds from last year's review continued to be rated, while seven fund ratings were added. The review showed quantitative fund managers' returns have started to recover compared to those of qualitative managers. In the six months to 30 June, the median manager in the quant peer group outperformed the MSCI World ex Australia Index by 1.5 per cent on an annual basis, with the majority of this outperformance occurring after March 2009.
"[Quantitative fund] returns are strikingly similar to those produced by a value-style stock-picker fund," S&P fund analyst Justine Gorman said.
Quantitative models are designed to systematically exploit observable pricing anomalies. These market anomalies exist because of investor behavioural biases. "Unless that changes in the future, S&P believes that well-resourced and research-focused quant fund managers should continue to outperform over the medium to longer term," Gorman said.
