S&P Dow Jones Indices has been the de facto scorekeeper of the ongoing active versus passive debate since the first publication of the S&P Indices Versus Active Funds (SPIVA) U.S. Scorecard in 2002. The SPIVA MENA Scorecard measures the performance of actively managed MENA equity funds denominated in local currencies against the performance of their respective S&P DJI benchmark indices over 1-, 3-, 5-, and 10-year investment horizons.
YEAR-END 2021 HIGHLIGHTS
In 2021, the MENA equity market displayed a remarkable recovery following the returns of 2020, which were heavily affected by the global COVID-19 pandemic. Of the equity benchmarks covered in this scorecard, all four posted returns in excess of 30% for the one-year period. Equity funds followed suit, albeit at a lower level, with each of the corresponding fund categories seeing asset-weighted returns in excess of 20% during the same period. Even funds at the lower end of the spectrum were able to post strong returns—the 25th percentile fund in each category had returns in excess of 25% for the one-year period.
MENA
- 85.2% of MENA Equity funds were outperformed by the S&P Pan Arab Composite LargeMidCap Index during the one-year period.
- The 75th percentile of MENA Equity funds returned 2.7% less than the benchmark over the one-year period, highlighting that even above average fund managers struggled to keep pace with the benchmark.
- On an asset-weighted basis, MENA Equity funds were outperformed by 5.4% and 8.6% over the one-year period by the S&P Pan Arab Composite and S&P Pan Arab Composite LargeMidCap Index, respectively.
- Over the one-year period, 74% of MENA Equity funds underperformed the S&P Pan Arab Composite LargeMidCap Index on a risk-adjusted basis.
GCC
- GCC Equity fund managers struggled to beat the benchmark during the one-year period. In 2021, 84.6% of funds had a lower return than the S&P GCC Composite, and on an asset-weighted basis, these funds collectively underperformed by a significant 13%.
- Over the three-year period, GCC Equity funds underperformed the benchmark by an annualized 5.8%. The underperformance cannot easily be explained away by risk, as over the same period, GCC Equity funds had a lower return-to-volatility ratio, indicating that for each unit of risk, the benchmark had higher returns (see Report 4).
Saudi Arabia
- Over the one-year period, 89.5% of Saudi Arabi Equity funds were outperformed by their benchmark, the S&P Saudi Arabia. For the same period, 73.7% of funds underperformed on a risk-adjusted basis.
- Despite posting strong one-year fund returns, even the 75th percentile of Saudi Arabia Equity funds trailed the benchmark by 2% by year-end 2021.
- Over the 3- and 10-year period, the outlook was slightly better for Saudi Arabia Equity funds; on an asset-weighted basis, they managed to outperform the S&P Saudi Arabia by 2.2% and 1.3% annualized, respectively. In addition, they also posted a better return-to-volatility ratio, showing they were collectively better than the benchmark even when adjusted for risk.
