As carteiras ativas começam pela indexação

Através das interações da BPAS (Soluções e Análises de Carteiras da BlackRock) com os clientes, os investidores de sucesso destacam-se devido a:

  • maior adoção do índice,
  • maior adoção de estratégias ilíquidas e "reais" de busca de alfa
  • abordagem deliberada e adaptável para combinar estas soluções

De acordo com isto, vimos uma mudança contínua para as estratégias de indexação entre os investidores1, com os distribuidores e os investidores finais a mudarem a sua perceção sobre o papel e o valor dos veículos indexados.

Capital em risco. O valor dos investimentos e o seu rendimento podem diminuir ou aumentar e não são garantidos. O investidor poderá não recuperar o montante investido originalmente.

Quebre o hábito, indexe mais

As afetações para fundos de índice aumentaram rapidamente e continuam a crescer. Entretanto, com o crescimento dos ETF na última década, as qualidades que atraíram os adotantes iniciais - precisão, flexibilidade e preço - são cada vez mais valorizadas por um conjunto crescente de investidores.

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  • poupetempo

    Poupar temp

    A construção de carteiras leva tempo. À medida que o número de produtos aumenta, também aumenta o esforço necessário para explorar o mercado e selecionar os melhores.

    A indexação pode ajudar a reduzir a carga de governança necessária para procurar continuamente e reavaliar os gestores; permitindo-lhe mais tempo para se concentrar em encontrar alfa real em áreas selecionadas da carteira.

  • giraorisco

    Gerir riscos

    Uma das chaves para a construção bem-sucedida de carteiras é entender os riscos do seu investimento, uma vez que, ao contrário dos rendimentos, estes podem ser mais facilmente previstos e controlados.

    A indexação oferece-lhe mais controlo do risco da sua carteira, reduzindo o potencial de desalinhamento entre a carteira alvo (a visão estratégica de afetação de ativos ou do Diretor de Investimentos (CIO)) e a carteira real e implementada.

  • reduzaoscustos

    Controlar custos

    O aumento da transparência de custos, aliado a uma melhor compreensão dos fatores de rendimento das carteiras, tornou as ferramentas de indexação a opção mais óbvia para muitos investidores.

    A indexação não se refere apenas a reduzir os custos das carteiras em geral, mas também a encontrar formas potencialmente mais eficientes de obter resultados semelhantes.

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Na prática: Resolver desafios de carteira com indexação

Conheça os nossos estudos de caso de clientes e veja como a indexação o pode ajudar a maximizar a eficiência do orçamento de riscos e taxas, reduzir os custos da carteira e concentrar-se em encontrar o alfa verdadeiro em áreas selecionadas da sua carteira.

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carteiras melhores

A BPAS (Soluções e Análises de Carteiras da BlackRock) é uma equipa de consultores de investimento altamente qualificados, que procura fornecer ferramentas, análises e ideias líderes de mercado para capacitar os nossos clientes a tomarem melhores decisões de investimento e a ganharem novas perspetivas na construção de carteiras.

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1Fonte: Estudo de ETF institucionais da Greenwich Associates 2019, fevereiro de 2019. Com base em 127 respostas.

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Save time with indexing

It takes time, skill and effort to determine which managers deliver true alpha, and to continually monitor and review their performance.

As the number of products available to investors increase, the cost compounds. There are currently 136,752 different funds within Europe1, a growth of 43% from 2009. There is also a large dispersion of assets under management (AUM), which suggests there is no single consistently performing manager.

Index for alpha
In reality, there is no ‘right’ choice, at least not in the long term. Based on an extensive study of 4,500 alpha managers across 21 asset classes between 1997 and 20172, BlackRock Investment Institute (BII) looked at performance persistency of alpha managers within the top quartile over 5 year periods. A meaningful persistency probability would be above 25%. Interestingly, this is only the case for a few asset classes based on the set of confidence bands. The probability highlighted that the selection of a ‘good’ manager could not be set apart from a random probability.

Research from SPIVA3 showed that few firms remain at the top over the long run. Over 5 years, only 27% US equity managers within the top quartile in 2013 remained in the top quartile in 2018. For high yield funds the figure was 28%.

In other words, to build portfolios with consistently top performing managers involves high turnover. This constant search, selection, performance assessment and reselection is a considerable governance cost that should be taken into consideration.

Investors who do not have the capacity to research and regularly monitor their alpha seeking managers may be better to consolidate the number of alpha seeking managers in their portfolio and consider greater index selection. These choices will help to make portfolio monitoring more efficient and minimise implementation, transaction and increasing governance costs.

1 Source: Morningstar, as at March 2019. The number includes share classes.
2 Source: BlackRock Investment Institute, “Blending alpha-seeking, actor and indexing strategies: a new framework”, July 2018
3 Source: S&P Persistence Scorecard, S&P Dow Jones Indices LLC, CRSP as at September 2018. High yield surveyed 144 different managers; whilst US equity managers surveyed 1988 managers.

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Manage risk with indexing

One of the keys to successful portfolio construction is understanding the risks of your investment, because these can be more easily predicted and controlled. This goes beyond looking at product in a siloed approach but understanding the risk in the whole portfolio.

Often, portfolio construction practices separate asset allocation decisions from product choices. This assumes that by fitting products into an asset allocation, the risk of the portfolio will be controlled. In reality, two of the exact same asset allocations can have different risk profiles. For example, a 60/40 stock and bond portfolio4 based on index asset allocation, this would have 5 year annualised risk 7.2% in usd terms, while product implementation could cause this risk to vary from 3.5% to 11.5%5 (depending on the manager).

The blackrock portfolio analysis and solutions (bpas) team leverage the power of blackrock’s risk management platform, Aladdin to help clients understand the risk factor exposures within their portfolios. Through these interactions, we identify that often there is misalignment between risks, the bets that clients have stated they want to take and those they are actually taking. This can be because:

  1. Manager style drift
    i.e. The evolution of alpha seeking manager choices and the strategies overtime, particularly in non-transparent vehicles.
  2. Over diversification of managers
    i.e. Products have been chosen for a specific purpose but may contradict views expressed elsewhere in the portfolio.

 

Index for control
When it comes to implementing a strategic asset allocation view on a specific market or asset class, indexing can help to control risk and reduce the misalignment between the target portfolio and the implemented portfolio. It allows investors to free up risk budget to express potentially riskier tactical views and to efficiently balance risk with the potential reward.

4 Source: 60/40 Portfolio based on 60% MSCI World Index and 40% Bloomberg Barclays Global Aggregate Bond Index. Source: BlackRock, Morningstar from April 2014 - April 2019. Assumes USD-based investor. Data frequency = Monthly. 5 Source: Analysis based on all European domiciled active managers, with a 5-year track record and benchmarked to MSCI World and Bloomberg Barclays Global Aggregate Bond Index. Source: BlackRock, Morningstar from 30 April 2014 – 30 April 2019. Assumes USD-based investor. Data frequency = Monthly.

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Drive Performance with Indexing

There is more pressure than ever to reduce portfolio costs. Transparency and increased scrutiny on fees are changing revenue models, while technology is creating ‘robo’ advisers and automated offerings that deliver simple and cost-efficient solutions.

“I think costs are a huge issue – clients talk about Value for Money now, that’s something that we didn’t use to have conversations around, but it’s just because costs are under the microscope across every part of the value chain. So clients squeeze us, we squeeze managers.”
- UK Wealth Manager

There is no surprise that indexing is chosen to help lower costs. The average underlying management fees are:

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Beyond this, it is also important to consider the cost efficiencies of indexing. By this we refer to the concept of strategic market and style factor tilts that account for a large portion, often more than 90%, of returns generated by traditional long only equity managers. Unless a manager can capture idiosyncratic returns in excess of their management fee, it can often be more cost efficient to implement through indexing.

This is also relevant in large fund-of-fund portfolios where there are multiple active funds - often several within the same asset class. The diversification across many managers have unintendedly cancelled out positions and the potential for idiosyncratic returns, resulting in ultimately a more expensive version of the benchmark.

Index for returns
In the end, what matters most is the returns net of fees. The latest SPIVA8 report states that, net of fees, many alpha managers can underperform if they do not express strong conviction in tilts or exposures different to the benchmark.

Indexing can be an efficient way to express strategic views and control how you tilt between asset classes and factors, whilst freeing up fee budget to invest in high octane alpha and alternatives where true alpha is more likely to be rewarded.

Overall, we see that a portfolio with greater indexing coupled with true alpha-seeking and alternative managers’ results in better returns for investors.

6 Source: BlackRock Portfolio Analysis and Solutions (BPAS) Insights. Based on portfolios received from Jan 2018 – December 2018.
7 Source: BlackRock Global Business Intelligence Report, as at April 2019. Based on ETFs listed in Europe only.
8 Source: S&P Persistence Scorecard, S&P Dow Jones Indices LLC, CRSP as at September 2018.

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