WHAT IS SPIVA?
S&P Indices versus Active (SPIVA) scorecards are semiannual reports published by S&P Dow Jones Indices that compare the performance of active equity and fixed income mutual funds against their benchmarks over different time horizons. The inaugural scorecard was published in 2002 and focused on the U.S., and has since been extended to Australia, Canada, Europe, India, Japan, Latin America, South Africa, and the Middle East and North Africa (MENA).
WHAT IS UNIQUE ABOUT THE SPIVA SCORECARDS?
SPIVA scorecards are unique because they rely on datasets that address issues related to measurement techniques, universe composition, and fund survivorship. While these issues are far less frequently discussed, they can have meaningful impacts on results. In particular, the datasets correct for the following biases.
- Survivorship Bias Correction: Many funds may merge or be liquidated during a given period. For someone making an investment decision at the beginning of the period, these funds are part of the opportunity set. Unlike other comparison reports, SPIVA scorecards account for the entire opportunity set—not just the survivors—thereby eliminating survivorship bias.
- Apples-to-Apples Comparison: Fund returns are often compared with popular benchmarks such as the S&P 500®, regardless of size or style classifications. SPIVA scorecards avoid this pitfall by comparing funds against benchmarks that are appropriate for that particular investment category.
For example, U.S. mid-cap value funds are compared with the S&P Midcap 400®Value, while the S&P SmallCap 600®Growth serves as the benchmark for U.S. small-cap growth funds.
- Equal-and Asset-Weighted Returns: Average returns for a fund group are often calculated based on equally weighting the entire fund universe. An additional representation of how every dollar invested in each category fared in a particular period can be ascertained by weighting each fund according to its net assets. SPIVA scorecards show both equal- and asset-weighted averages.
- Style Consistency: U.S., and Canada SPIVA scorecards measure consistency for each style category across different time horizons. Style consistency is an important metric because style drift (the tendency of funds to diverge from their initial investment categorization) can affect asset allocation decisions.
- Quartile Breakpoints: In each category, dispersion in fund returns across different time horizons highlight the fund selection risk that market participants face.
- Data Cleaning: SPIVA scorecards avoid double counting multiple share classes in all count-based calculations. Typically, the share class with the highest assets under management at the beginning of the period is selected. This is meant to be a scorecard for active managers, therefore index funds, leveraged and inverse funds, and other index-linked products are excluded.
