Spiva Us Year End 2021
Spiva Us Year End 2021
Spiva Us Year End 2021
Experience the Exhibit 1: Percentage of All Domestic Equity Funds Underperforming the
S&P Composite 1500 on an Absolute Basis
active vs. passive debate 100
86.9
84.7
on a global scale.
Funds Underperforming Benchmark (%)
79.6
90
74.0
70.0
68.8
80
68.0
64.9
64.9
63.4
60.5
70
58.3
57.1
54.9
51.4
48.9
60
48.3
48.0
43.3
42.3
40.7
50
40
30
20
10
0
2009
2005
2013
2003
2010
2007
2004
2001
2020
2002
2016
2017
2008
2012
2006
2018
2019
2015
2021
2011
2014
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of
future results. Chart is provided for illustrative purposes.
slightly better relative to the S&P MidCap 400® and S&P SmallCap 600®, but still offered scant reason
to celebrate (see Report 1a).
Fund managers often respond to evidence of active underperformance by claiming to offer better
returns per unit of volatility (i.e., to outperform in risk-adjusted terms). This would be an appropriate
counterargument, if only it were true. However, the data shows that the vast majority of actively
managed funds underperformed on this metric as well. Among domestic equity funds, while 90%
have underperformed the S&P Composite 1500 over the past 20 years, an even greater 95% did
so on a risk-adjusted basis (see Reports 1a and 1b).
Exhibit 2: Percentage of All Domestic Equity Funds Underperforming the S&P Composite 1500 on an
Absolute and Risk-Adjusted Basis
100 93 95
90
86
Funds Underperforming
80 81
80 72 75
Benchmark (%)
60
40
20
0
3-Year 5-Year 10-Year 20-Year
Measured by Absolute Returns Measured by Risk-Adjusted Returns
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Chart is provided for
illustrative purposes.
For internationally focused U.S. funds, relative results in 2021 were a mixed bag. Most global (84%)
and emerging markets (65%) funds failed to top the S&P Global 1200 and S&P/IFCI Composite,
respectively. Investors in international (50%) and international small-cap (31%) funds were less likely to
fall short of the S&P International 700 and S&P Developed Ex-U.S. SmallCap, respectively. Taking a
longer view, however, nearly 85-90% trailed their benchmarks over the past 20 years, similar to their
domestic counterparts (see Report 6a).
While equity markets whistled past the inflation graveyard, the fixed income world started to price in the
end of the easy money party. The Bloomberg Barclays US Government (1-3 Year), Intermediate, and
Long indices returned -0.60% -1.69%, and -4.57% for the year, respectively. The funds charged with
beating these benchmarks reflected this non-parallel movement in the rates term structure: government
short funds had little chance (26%) of beating their hurdle rate, but intermediate (52%) and long (82%)
funds took greater advantage of the lower bars they needed to clear (see Report 11a).
Echoing the results from equities, longer observation horizons offered little sanctuary. More than 60%
of funds did not surpass their benchmarks across all fixed income categories over the 15-year horizon
on both an absolute and risk-adjusted basis (see Report 11a).
The SPIVA Scorecard’s accounting for survivorship bias continues to be a valuable cautionary tale. As
has generally been the case in recent years, roughly 5% of funds across asset classes and categories
were merged or liquidated in 2021. Over 20 years, nearly 70% of domestic equity funds and two-
thirds of internationally focused equity funds across segments were confined to the history
books. Similarly, roughly half of fixed income funds closed their doors over the past 15 years (see
Reports 2, 7, and 12).
RESEARCH | SPIVA 2
SPIVA U.S. Scorecard Year-End 2021
Beyond the SPIVA Scorecard’s widely cited headline numbers is a rich data set that addresses issues—
often far more fascinating though far less discussed—about measurement techniques, universe
composition, and fund survivorship. These data sets are rooted in the following fundamental principles
of the SPIVA Scorecard, with which regular readers will be familiar.
• Survivorship Bias Correction: Many funds might be liquidated or merged during a period of
study. However, for someone making an investment decision at the beginning of the period, these
funds are part of the opportunity set. Unlike other commonly available 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 to popular benchmarks such as
the S&P 500, regardless of size or style classification. SPIVA Scorecards avoid this pitfall by
measuring a fund's returns against the returns of a benchmark appropriate for that particular
investment category.
• Asset-Weighted Returns: Average returns for a fund group are often calculated using only equal
weighting, which results in the returns of a USD 10 billion fund affecting the average in the same
manner as the returns of a USD 10 million fund. A more accurate representation of how market
participants fared in a particular period is found by calculating weighted average returns where
each fund’s return is weighted by net assets. SPIVA Scorecards show both equal- and asset-
weighted averages.
• Style Consistency: SPIVA Scorecards measure style 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 have an impact on asset
allocation decisions.
• Data Cleaning: SPIVA Scorecards avoid double counting multiple share classes in all count-based
calculations, using only the share class with greater assets. Since this is meant to be a scorecard
for active managers, it excludes index funds, leveraged and inverse funds, and other index-linked
products.
• Risk-Adjusted Returns: The return/volatility ratio looks at the relationship and the trade-off
between risk and return. A fund with a higher ratio is preferable since it delivers a higher return per
unit of risk taken.
RESEARCH | SPIVA 3
SPIVA U.S. Scorecard Year-End 2021
HISTORICAL VIEW
To provide context for the relative performance of active funds, we compile annual league tables (see
Exhibits 3a, 3b, and 3c) across the U.S. equity, international equity, and fixed income categories. The
tables show how active funds performed against their benchmarks in each calendar year.
We also provide the three-year relative performance of managers across major domestic and
international equity categories (see Exhibits 4, 5, and 6). The figures are calculated on a rolling
semiannual basis.
Exhibit 3a: Percentage of U.S. Equity Funds Underperforming Benchmarks Each Year
COMPARISON
FUND CATEGORY 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
INDEX
S&P Composite
All Domestic Funds 48.9 64.9 40.7 48.3 84.6 64.9 43.3 86.9 74.0 60.5 63.4 68.8 70.0 57.1 79.6
1500
All Large-Cap
S&P 500 44.6 56.0 48.4 65.9 82.2 62.7 54.6 86.7 65.4 66.0 63.1 64.5 71.0 60.3 85.1
Funds
All Mid-Cap Funds S&P MidCap 400 45.8 75.7 55.7 73.3 68.6 79.8 37.1 66.1 57.2 89.4 44.4 45.6 31.7 50.7 61.9
All Small-Cap Funds S&P SmallCap 600 46.0 83.3 30.7 54.0 85.8 66.3 67.8 72.0 71.8 85.5 47.7 68.5 38.5 45.5 70.5
S&P Composite
All Multi-Cap Funds 46.0 70.1 39.3 60.4 83.9 65.2 46.8 81.6 70.1 74.9 56.5 66.8 69.2 55.6 80.3
1500
Large-Cap Growth
S&P 500 Growth 27.1 90.7 36.8 51.0 95.9 45.6 41.1 95.6 47.6 89.8 32.9 60.3 33.3 38.2 98.6
Funds
Large-Cap Core
S&P 500 43.5 52.3 50.5 76.6 83.2 66.6 57.7 80.4 73.7 74.6 69.0 75.8 69.5 65.9 78.8
Funds
Large-Cap Value
S&P 500 Value 45.8 24.5 45.7 70.6 54.3 85.0 64.9 77.8 61.5 78.0 46.9 46.3 97.2 33.4 38.5
Funds
Mid-Cap Growth S&P MidCap 400
42.0 91.0 54.0 84.1 76.5 86.8 34.5 55.4 79.7 94.6 18.0 15.2 9.3 17.2 83.2
Funds Growth
Mid-Cap Core
S&P MidCap 400 60.8 60.2 70.7 86.5 65.7 78.6 43.0 58.6 68.2 90.6 61.7 62.2 40.5 80.4 44.8
Funds
Mid-Cap Value S&P MidCap 400
57.8 68.0 47.3 57.1 67.6 73.5 40.8 71.4 34.4 96.8 43.1 72.2 65.0 52.7 62.7
Funds Value
Small-Cap Growth S&P SmallCap 600
40.8 94.8 31.3 62.2 94.1 62.9 55.3 64.0 87.5 96.0 15.1 61.5 13.8 13.7 87.2
Funds Growth
Small-Cap Core
S&P SmallCap 600 55.5 82.1 33.2 58.6 86.0 68.7 77.7 66.9 77.5 89.5 58.6 87.5 41.4 62.4 61.3
Funds
Small-Cap Value S&P SmallCap 600
39.4 72.1 25.2 42.0 81.8 61.5 78.8 94.1 45.0 88.9 74.1 83.3 80.0 43.8 50.7
Funds Value
Multi-Cap Growth S&P Composite
29.8 88.3 42.0 45.7 94.8 51.6 38.8 87.4 65.5 85.3 46.3 65.9 45.2 46.7 92.9
Funds 1500 Growth
Multi-Cap Core S&P Composite
45.2 65.8 39.2 66.1 82.9 68.2 53.3 84.1 83.9 74.5 68.8 81.7 74.4 62.1 80.1
Funds 1500
Multi-Cap Value S&P Composite
58.1 48.4 35.8 68.2 66.7 72.6 47.9 67.3 55.6 71.2 49.6 74.8 91.8 50.0 50.9
Funds 1500 Value
S&P United States
Real Estate Funds 45.3 72.9 38.3 66.7 66.3 62.0 64.8 67.8 43.0 84.0 36.9 88.9 26.6 24.7 70.3
REIT
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is provided for
illustrative purposes.
Exhibit 3b: Percentage of International Equity Funds Underperforming Benchmarks Each Year
COMPARISON
FUND CATEGORY 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
INDEX
Global Funds S&P Global 1200 54.2 61.6 52.3 43.8 71.8 61.8 47.5 76.5 58.2 79.7 50.2 70.6 57.1 54.3 84.1
International Funds S&P 700 68.2 64.3 71.5 40.2 69.5 44.3 43.2 68.2 25.5 84.9 54.0 76.8 57.3 54.6 49.7
International Small S&P Developed Ex–
36.5 53.1 49.2 45.3 60.0 24.6 47.9 69.0 48.9 71.8 44.0 90.8 60.5 51.9 31.1
Cap Funds U.S. SmallCap
Emerging Markets S&P/IFCI
69.9 65.3 71.2 64.9 52.6 45.6 55.0 70.7 66.0 63.9 64.9 61.9 36.1 52.0 64.6
Funds Composite
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is provided for
illustrative purposes.
RESEARCH | SPIVA 4
SPIVA U.S. Scorecard Year-End 2021
Exhibit 3c: Percentage of Fixed Income Funds Underperforming Benchmarks Each Year
COMPARISON
FUND CATEGORY 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
INDEX
Government Long Barclays US
89.4 95.7 8.3 95.3 96.6 71.4 10.9 96.8 20.3 87.9 96.4 17.0 98.0 94.3 17.6
Funds Government Long
Barclays US
Government
Government 92.6 90.0 9.1 73.8 60.5 33.3 76.7 44.4 88.9 74.1 57.9 100.0 68.8 53.6 48.1
Intermediate Funds
Intermediate
Barclays US
Government Short
Government 90.7 86.0 23.8 59.5 61.0 42.5 95.1 60.0 89.7 63.2 47.8 87.0 73.1 47.8 73.7
Funds
(1-3 Year)
Barclays US
Investment-Grade
Government/Credit 84.3 95.2 7.4 78.0 99.3 62.0 7.3 98.0 12.1 75.0 96.7 9.1 95.3 94.4 9.4
Long Funds
Long
Barclays US
Investment-Grade
Government/Credit 93.0 89.9 14.1 31.4 49.6 20.7 63.5 33.1 93.2 19.8 31.4 90.8 32.2 33.5 36.7
Intermediate Funds
Intermediate
Barclays US
Investment-Grade
Government/Credit 96.3 98.8 16.7 25.0 56.6 11.1 52.6 50.0 70.9 26.6 22.2 92.6 37.1 44.0 23.3
Short Funds
(1-3 Year)
Barclays US
High Yield Funds Corporate High 44.2 39.2 90.7 75.3 80.0 72.9 68.3 74.1 34.7 94.2 81.0 75.6 64.8 77.7 64.3
Yield
Barclays US
Mortgage-Backed
Aggregate 87.5 94.3 36.5 25.0 53.1 24.6 71.2 75.8 72.9 60.0 67.9 84.6 70.8 52.1 55.3
Securities Funds
Securitized - MBS
Global Income Barclays Global
69.4 77.0 30.0 39.6 77.7 18.5 48.9 37.8 61.5 33.1 64.9 61.0 38.8 69.1 41.8
Funds Aggregate
Emerging Markets Barclays Emerging
42.9 65.4 48.3 34.5 91.4 50.8 74.0 77.8 89.3 39.2 22.6 93.0 49.1 64.4 79.7
Debt Funds Markets
S&P National AMT-
General Municipal
Free Municipal 84.1 81.5 25.0 57.3 77.2 20.8 68.7 31.3 59.3 71.9 42.9 85.3 40.3 59.7 31.5
Debt Funds
Bond
S&P California
California Municipal
AMT-Free 95.2 94.9 10.5 77.8 75.0 6.1 91.4 13.9 38.9 61.1 25.7 93.9 32.4 68.6 12.5
Debt Funds
Municipal Bond
S&P New York
New York Municipal
AMT-Free 91.2 88.2 27.3 58.1 75.0 17.2 100.0 7.1 53.6 74.1 33.3 76.0 26.9 57.1 11.5
Debt Funds
Municipal Bond
S&P/LSTA U.S.
Loan Participation
Leveraged Loan - - - 55.0 14.8 77.5 36.8 56.9 13.5 81.8 52.1 56.9 100.0 90.6 27.3
Funds
100
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is provided for
illustrative purposes.
RESEARCH | SPIVA 5
SPIVA U.S. Scorecard Year-End 2021
Exhibit 4: Percentage of U.S. Equity Funds Underperforming Benchmarks (Rolling Three-Year Returns)
All Domestic Funds All Large-Cap Funds
100 100
Funds Underperforming Benchmarks (%)
50 50
25 25
0 0
2003
2005
2007
2009
2011
2013
2015
2017
2019
2021
2003
2005
2007
2009
2011
2013
2015
2017
2019
2021
All Mid-Cap Funds All Small-Cap Funds
100 100
Funds Underperforming Benchmarks (%)
75 75
50 50
25 25
0 0
2003
2005
2007
2009
2011
2013
2015
2017
2019
2021
2003
2005
2007
2009
2011
2013
2015
2017
2019
2021
All Multi-Cap Funds U.S. Real Estate Funds
100 100
Funds Underperforming Benchmarks (%)
Funds Underperforming Benchmarks (%)
75 75
50 50
25 25
0 0
2003
2005
2007
2009
2011
2013
2015
2017
2019
2021
2003
2005
2007
2009
2011
2013
2015
2017
2019
2021
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Charts are provided for
illustrative purposes.
RESEARCH | SPIVA 6
SPIVA U.S. Scorecard Year-End 2021
Exhibit 5: Percentage of U.S. Equity Funds Underperforming Benchmarks (Rolling Three-Year Returns)
Large-Cap Funds
100
Funds Underperforming
Growth = 74.5%
50
Core = 79.0%
25 Value = 72.5%
0
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
Mid-Cap Funds
100
Funds Underperforming
Growth = 25.0%
50
Core = 70.8%
25 Value = 73.8%
0
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
Small-Cap Funds
100
Funds Underperforming
Growth = 23.3%
50
Core = 64.0%
25 Value = 74.2%
0
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
Multi-Cap Funds
100
Funds Underperforming
Growth = 78.4%
50
Core = 80.5%
25 Value = 74.4%
0
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Charts are provided for
illustrative purposes.
RESEARCH | SPIVA 7
SPIVA U.S. Scorecard Year-End 2021
50 50
25 25
0 0
2003
2005
2007
2009
2011
2013
2015
2017
2019
2021
2003
2005
2007
2009
2011
2013
2015
2017
2019
2021
International Small-Cap Funds Emerging Markets Funds
100 100
Funds Underperforming Benchmarks (%)
Funds Underperforming Benchmarks (%)
75 75
50 50
25 25
0 0
2003
2005
2007
2009
2011
2013
2015
2017
2019
2021
2003
2005
2007
2009
2011
2013
2015
2017
2019
2021
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Charts are provided for
illustrative purposes.
RESEARCH | SPIVA 8
SPIVA U.S. Scorecard Year-End 2021
Funds Underperforming
Funds Underperforming
72 75 74 75
80 80 68 73
Benchmark (%)
Benchmark (%)
60 60
40 40
20 20
0 0
1-Year 3-Year 5-Year 10-Year 20-Year 1-Year 3-Year 5-Year 10-Year 20-Year
79 80
80 72 70 80 71
Benchmark (%)
Benchmark (%)
62 59 55 63 63
60 53 60 51 54
47
40 40
20 20
0 0
1-Year 3-Year 5-Year 10-Year 20-Year 1-Year 3-Year 5-Year 10-Year 20-Year
78 80 84 84
Funds Underperforming
79 82 80
80 69 72 74
Benchmark (%)
80 69
Benchmark (%)
60 62 63
60 50 60 48
40 40
20 20
0 0
1-Year 3-Year 5-Year 10-Year 20-Year 1-Year 3-Year 5-Year 10-Year 15-Year
100 85
Funds Underperforming
84 82
72
Benchmark (%)
80
Benchmark (%)
80 67 64
60 49 60
45
37 36
40 40
20 20
0 0
1-Year 3-Year 5-Year 10-Year 15-Year 1-Year 3-Year 5-Year 10-Year 15-Year
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Charts are provided for
illustrative purposes.
RESEARCH | SPIVA 9
SPIVA U.S. Scorecard Year-End 2021
REPORTS
Report 1a: Percentage of U.S. Equity Funds Underperforming Their Benchmarks – Absolute Returns
FUND CATEGORY COMPARISON INDEX 1-YEAR (%) 3-YEAR (%) 5-YEAR (%) 10-YEAR (%) 20-YEAR (%)
All Domestic Funds S&P Composite 1500 79.63 71.81 75.07 86.10 90.30
All Large-Cap Funds S&P 500 85.07 67.85 74.10 83.07 94.12
All Mid-Cap Funds S&P MidCap 400 61.87 52.94 59.22 72.45 91.67
All Small-Cap Funds S&P SmallCap 600 70.54 51.49 63.26 79.23 93.35
All Multi-Cap Funds S&P Composite 1500 80.30 71.10 71.83 87.25 91.83
Large-Cap Growth Funds S&P 500 Growth 98.64 74.46 67.61 87.34 97.08
Large-Cap Core Funds S&P 500 78.82 76.27 87.37 92.93 95.30
Large-Cap Value Funds S&P 500 Value 38.46 69.23 67.88 88.96 83.41
Mid-Cap Growth Funds S&P MidCap 400 Growth 83.21 25.00 31.62 54.07 90.05
Mid-Cap Core Funds S&P MidCap 400 44.79 70.80 76.03 87.25 89.53
Mid-Cap Value Funds S&P MidCap 400 Value 62.75 73.77 86.54 93.26 93.88
Small-Cap Growth Funds S&P SmallCap 600 Growth 87.24 23.30 30.27 65.66 96.99
Small-Cap Core Funds S&P SmallCap 600 61.34 64.04 78.03 93.13 92.23
Small-Cap Value Funds S&P SmallCap 600 Value 50.72 74.23 85.59 90.83 86.40
Multi-Cap Growth Funds S&P Composite 1500 Growth 92.90 78.36 77.50 88.73 92.41
Multi-Cap Core Funds S&P Composite 1500 80.10 80.53 88.66 93.98 92.43
Multi-Cap Value Funds S&P Composite 1500 Value 50.87 74.42 80.33 84.56 86.78
Real Estate Funds S&P United States REIT 70.27 33.75 50.59 70.45 84.21
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is provided for
illustrative purposes.
RESEARCH | SPIVA 10
SPIVA U.S. Scorecard Year-End 2021
Report 1b: Percentage of U.S. Equity Funds Underperforming Their Benchmarks – Risk-Adjusted Returns
FUND CATEGORY COMPARISON INDEX 3-YEAR (%) 5-YEAR (%) 10-YEAR (%) 20-YEAR (%)
All Domestic Funds S&P Composite 1500 80.33 80.85 92.68 95.39
All Large-Cap Funds S&P 500 72.53 74.80 90.20 95.65
All Mid-Cap Funds S&P MidCap 400 46.73 54.69 70.25 90.10
All Small-Cap Funds S&P SmallCap 600 53.72 62.54 80.33 93.61
All Multi-Cap Funds S&P Composite 1500 78.71 76.23 92.69 93.84
Large-Cap Growth Funds S&P 500 Growth 88.31 85.83 98.05 99.71
Large-Cap Core Funds S&P 500 78.81 86.67 94.70 97.99
Large-Cap Value Funds S&P 500 Value 64.92 64.24 84.74 80.09
Mid-Cap Growth Funds S&P MidCap 400 Growth 26.52 33.09 60.47 93.03
Mid-Cap Core Funds S&P MidCap 400 59.29 67.77 78.43 91.86
Mid-Cap Value Funds S&P MidCap 400 Value 54.10 69.23 78.65 77.55
Small-Cap Growth Funds S&P SmallCap 600 Growth 32.39 32.43 80.30 98.80
Small-Cap Core Funds S&P SmallCap 600 62.92 75.76 88.41 92.23
Small-Cap Value Funds S&P SmallCap 600 Value 62.89 79.28 81.67 80.00
Multi-Cap Growth Funds S&P Composite 1500 Growth 92.98 87.50 99.53 97.32
Multi-Cap Core Funds S&P Composite 1500 87.17 91.09 96.56 90.81
Multi-Cap Value Funds S&P Composite 1500 Value 87.60 86.89 89.71 85.12
Real Estate Funds S&P United States REIT 28.75 42.35 56.82 78.95
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is provided for
illustrative purposes.
RESEARCH | SPIVA 11
SPIVA U.S. Scorecard Year-End 2021
RESEARCH | SPIVA 12
SPIVA U.S. Scorecard Year-End 2021
RESEARCH | SPIVA 13
SPIVA U.S. Scorecard Year-End 2021
RESEARCH | SPIVA 14
SPIVA U.S. Scorecard Year-End 2021
RESEARCH | SPIVA 15
SPIVA U.S. Scorecard Year-End 2021
RESEARCH | SPIVA 16
SPIVA U.S. Scorecard Year-End 2021
RESEARCH | SPIVA 17
SPIVA U.S. Scorecard Year-End 2021
RESEARCH | SPIVA 18
SPIVA U.S. Scorecard Year-End 2021
Report 6a: Percentage of International Equity Funds Underperforming Their Benchmarks – Absolute Returns
1-YEAR 3-YEAR 5-YEAR 10-YEAR 20-YEAR
FUND CATEGORY COMPARISON INDEX
(%) (%) (%) (%) (%)
Global Funds S&P Global 1200 84.09 65.64 69.17 84.78 85.25
International Funds S&P 700 49.74 60.22 68.93 78.08 90.44
International Small-Cap Funds S&P Developed Ex-U.S. SmallCap 31.08 55.42 57.65 60.38 87.88
Emerging Markets Funds S&P/IFCI Composite 64.55 56.31 74.68 79.75 93.42
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is provided for
illustrative purposes.
Report 6b: Percentage of International Equity Funds Underperforming Their Benchmarks – Risk Adjusted Returns
FUND CATEGORY COMPARISON INDEX 3-YEAR (%) 5-YEAR (%) 10-YEAR (%) 20-YEAR (%)
Global Funds S&P Global 1200 67.84 74.17 89.13 87.70
International Funds S&P International 700 61.83 72.32 80.14 92.83
International Small-Cap Funds S&P Developed Ex-U.S. SmallCap 50.60 56.47 56.60 87.88
Emerging Markets Funds S&P/IFCI Composite 62.61 78.97 79.75 94.74
Source: S&P Dow Jones Indices LLC. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is provided for
illustrative purposes.
RESEARCH | SPIVA 19
SPIVA U.S. Scorecard Year-End 2021
RESEARCH | SPIVA 20
SPIVA U.S. Scorecard Year-End 2021
RESEARCH | SPIVA 21
SPIVA U.S. Scorecard Year-End 2021
Report 11a: Percentage of Fixed Income Funds Underperforming Their Benchmarks – Absolute Returns
FUND CATEGORY COMPARISON INDEX 1-YEAR (%) 3-YEAR (%) 5-YEAR (%) 10-YEAR (%) 15-YEAR (%)
Government Long Funds Barclays US Government Long 17.65 95.74 96.23 98.65 98.00
Government Intermediate Barclays US Government
Funds Intermediate 48.15 68.75 78.95 83.87 82.22
Barclays US Government
Government Short Funds 73.68 61.54 72.00 75.86 77.14
(1-3 Year)
Investment-Grade Long Barclays US
Funds Government/Credit Long 9.41 95.24 96.67 98.25 97.12
Investment-Grade Barclays US Government/Credit
Intermediate Funds Intermediate 36.70 36.18 44.76 49.21 67.00
Investment-Grade Short Barclays US
Funds Government/Credit (1-3 Year) 23.33 38.78 39.36 36.84 76.06
Barclays US Corporate High
High Yield Funds 64.29 84.92 91.12 94.24 98.59
Yield
Mortgage-Backed Barclays US Aggregate
Securities Funds Securitized - MBS 55.32 60.42 68.52 72.41 87.50
Global Income Funds Barclays Global Aggregate 41.76 45.19 66.37 55.10 64.58
Emerging Markets Debt
Barclays Emerging Markets 79.66 70.91 84.13 97.92 94.74
Funds
General Municipal Debt S&P National AMT-Free
Funds Municipal Bond 31.51 37.50 44.74 42.86 73.63
California Municipal Debt S&P California AMT-Free
Funds Municipal Bond 12.50 29.41 40.00 33.33 72.73
New York Municipal Debt S&P New York AMT-Free
Funds Municipal Bond 11.54 15.38 25.93 44.83 74.29
S&P/LSTA U.S. Leveraged
Loan Participation Funds 27.27 96.23 93.75 81.08 100.00
Loan 100
Source: S&P Dow Jones Indices LLC, FactSet. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is
provided for illustrative purposes.
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SPIVA U.S. Scorecard Year-End 2021
Report 11b: Percentage of Fixed Income Funds Underperforming Their Benchmarks – Risk-Adjusted Returns
FUND CATEGORY COMPARISON INDEX 3-YEAR (%) 5-YEAR (%) 10-YEAR (%) 15-YEAR (%)
Government Long Funds Barclays US Government Long 29.79 35.85 39.19 62.00
Government Intermediate Barclays US Government
Funds Intermediate 62.50 73.68 83.87 80.00
Barclays US Government
Government Short Funds 76.92 84.00 86.21 88.57
(1-3 Year)
Investment-Grade Long Barclays US
Funds Government/Credit Long 46.43 50.00 27.19 60.58
Investment-Grade Barclays US Government/Credit
Intermediate Funds Intermediate 93.97 93.81 83.73 95.00
Investment-Grade Short Barclays US
Funds Government/Credit (1-3 Year) 98.98 95.74 96.49 100.00
Barclays US Corporate High
High Yield Funds 71.86 81.78 90.05 88.03
Yield
Mortgage-Backed Barclays US Aggregate
Securities Funds Securitized - MBS 79.17 88.89 77.59 97.92
Global Income Funds Barclays Global Aggregate 63.46 73.45 61.22 79.17
Emerging Markets Debt
Barclays Emerging Markets 94.55 93.65 100.00 100.00
Funds
General Municipal Debt S&P National AMT-Free
Funds Municipal Bond 90.28 88.16 81.82 89.01
California Municipal Debt S&P California AMT-Free
Funds Municipal Bond 94.12 94.29 81.82 93.18
New York Municipal Debt S&P New York AMT-Free
Funds Municipal Bond 92.31 96.30 96.55 97.14
S&P/LSTA U.S. Leveraged
Loan Participation Funds 100.00 100.00 97.30 87.50
Loan 100
Source: S&P Dow Jones Indices LLC, FactSet. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is
provided for illustrative purposes.
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SPIVA U.S. Scorecard Year-End 2021
Report 12: Survivorship and Style Consistency of Fixed Income Funds (cont.)
FUND CATEGORY NO. OF FUNDS AT START SURVIVORSHIP (%) STYLE CONSISTENCY (%)
3-YEAR
Government Long Funds 47 91.49 72.34
Government Intermediate Funds 16 100.00 100.00
Government Short Funds 26 76.92 88.46
Investment-Grade Long Funds 84 90.48 92.86
Investment-Grade Intermediate Funds 199 89.95 95.48
Investment-Grade Short Funds 98 88.78 93.88
High-Yield Funds 199 89.95 74.37
Mortgage-Backed Securities Funds 48 93.75 97.92
Global Income Funds 104 89.42 88.46
Emerging Markets Debt Funds 55 87.27 98.18
General Municipal Debt Funds 72 91.67 95.83
California Municipal Debt Funds 34 91.18 97.06
New York Municipal Debt Funds 26 92.31 100.00
Loan Participation Funds 53 92.45 100.00
5-YEAR
Government Long Funds 53 79.25 75.47
Government Intermediate Funds 19 89.47 94.74
Government Short Funds 25 80.00 88.00
Investment-Grade Long Funds 90 80.00 90.00
Investment-Grade Intermediate Funds 210 82.38 93.33
Investment-Grade Short Funds 94 85.11 92.55
High-Yield Funds 214 82.24 75.70
Mortgage-Backed Securities Funds 54 81.48 94.44
Global Income Funds 113 76.11 84.07
Emerging Markets Debt Funds 63 68.25 95.24
General Municipal Debt Funds 76 85.53 94.74
California Municipal Debt Funds 35 88.57 94.29
New York Municipal Debt Funds 27 88.89 96.30
Loan Participation Funds 48 89.58 100.00
Source: S&P Dow Jones Indices LLC, FactSet. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is
provided for illustrative purposes.
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SPIVA U.S. Scorecard Year-End 2021
Report 12: Survivorship and Style Consistency of Fixed Income Funds (cont.)
FUND CATEGORY NO. OF FUNDS AT START SURVIVORSHIP (%) STYLE CONSISTENCY (%)
10-YEAR
Government Long Funds 74 72.97 59.46
Government Intermediate Funds 31 58.06 77.42
Government Short Funds 29 58.62 82.76
Investment-Grade Long Funds 114 75.44 59.65
Investment-Grade Intermediate Funds 252 70.24 64.29
Investment-Grade Short Funds 57 78.95 91.23
High-Yield Funds 191 72.77 82.20
Mortgage-Backed Securities Funds 58 74.14 82.76
Global Income Funds 98 67.35 74.49
Emerging Markets Debt Funds 48 66.67 54.17
General Municipal Debt Funds 77 74.03 88.31
California Municipal Debt Funds 33 87.88 93.94
New York Municipal Debt Funds 29 79.31 96.55
Loan Participation Funds 37 89.19 97.30
15-YEAR
Government Long Funds 50 46.00 76.00
Government Intermediate Funds 45 51.11 71.11
Government Short Funds 35 48.57 80.00
Investment-Grade Long Funds 104 46.15 58.65
Investment-Grade Intermediate Funds 200 48.50 72.00
Investment-Grade Short Funds 71 45.07 92.96
High-Yield Funds 142 54.93 82.39
Mortgage-Backed Securities Funds 48 60.42 87.50
Global Income Funds 48 60.42 68.75
Emerging Markets Debt Funds 19 68.42 89.47
General Municipal Debt Funds 91 57.14 90.11
California Municipal Debt Funds 44 65.91 93.18
New York Municipal Debt Funds 35 62.86 91.43
Loan Participation Funds 16 68.75 93.75
Source: S&P Dow Jones Indices LLC, FactSet. Data as of Dec. 31, 2021. Past performance is no guarantee of future results. Table is
provided for illustrative purposes.
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SPIVA U.S. Scorecard Year-End 2021
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SPIVA U.S. Scorecard Year-End 2021
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SPIVA U.S. Scorecard Year-End 2021
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SPIVA U.S. Scorecard Year-End 2021
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SPIVA U.S. Scorecard Year-End 2021
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SPIVA U.S. Scorecard Year-End 2021
APPENDIX A
SPIVA Styles and Lipper Fund Classifications
The CRSP Survivor-Bias-Free US Mutual Fund Database is the only complete database of both active
and liquidated or merged mutual funds. It was created in 1995 and contains fund data from December
1961. Current and historical data from August 1998 has been supplied by Lipper and Thomson
Reuters. The fund classifications are based upon the Lipper fund classification system. The SPIVA
Scorecard covers domestic equity, global equity, and global fixed income categories.
U.S. Equity
SPIVA covers major capitalization levels (large-, mid-, small-, and multi-cap funds) and investment
styles (growth, core, and value). S&P Dow Jones Indices uses the Lipper fund classifications, which
determine a fund portfolio’s capitalization and investment style assignments.
Lipper assigns a market capitalization to each fund based on the percentages of a fund’s three-year
weighted equity assets that fall into each of Lipper’s three defined market capitalization slices. The
market capitalization breakpoints are calculated using all common stocks, excluding all non-U.S.
domiciled stocks and ADRs, trading on the NYSE, AMEX, and NASDAQ. Funds are assigned to the
capitalization level in which they have a 75% or higher weighting. Any fund that has less than 75% of
its three-year weighted allocation in any of the three market capitalization ranges is classified as a multi-
cap fund.
For investment style selection, the Lipper classification system uses three-year fundamental portfolio
characteristics (price/earnings, price/book, and three-year sales-per-share growth) and, if necessary,
confirming secondary characteristics (price-to-sales and price-to-operating cash flow). Fund statistics
are compared to their relevant S&P Dow Jones Indices capitalization-level index to determine the
growth, core, or value style.
In some cases, S&P Dow Jones Indices combines closely related Lipper fund classifications in one
SPIVA category. Exhibit A1 maps the SPIVA U.S. Equity fund categories to Lipper classifications.
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SPIVA U.S. Scorecard Year-End 2021
International Equity
For international equity, SPIVA reports on four major categories (global, international, international
small-cap, and emerging markets) of interest to global asset allocators. These categories also include
multiple Lipper capitalization and style classifications.
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SPIVA U.S. Scorecard Year-End 2021
Fixed Income
SPIVA reports on nine domestic, two global, and three municipal fixed income categories. The Lipper
domestic fixed income classifications are based on maturity and credit quality. For maturity, long is over
10 years, intermediate is 5-10 years, short/intermediate is 1-5 years, and short is 1-3.5 years. For credit
quality, bonds are assigned to U.S. Treasury, U.S. government (includes government and agency
issues), A- or BBB-rated (according to Lipper fund rating methodology), loan participations, and high
yield classifications. Lipper also includes U.S. mortgages and Government National Mortgage
Association (GNMA) classifications.
In global fixed income, Lipper differentiates between global (including the U.S.) and international
(excluding the U.S.) objectives. For municipal debt funds, we include the general classification (invests
in the top four credit ratings) plus two state funds (California and New York).
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SPIVA U.S. Scorecard Year-End 2021
APPENDIX B: GLOSSARY
Percentage of Funds Underperforming the Index
To correct for survivorship bias, we use the opportunity set available at the beginning of the period as
the denominator. We determine the count of funds that have survived and beat the index. We then
report the index outperformance percentage.
Survivorship (%)
This measure represents the percentage of funds in existence at the beginning of the time period that is
still active at the end of the time period.
This calculation shows the percentage of funds that had the same style classification at the end of the
time period as at the beginning of the time period.
Equal-weighted returns for a particular style category are determined by calculating a simple average
return of all active funds in that category in a particular month.
Asset-weighted returns for a particular style category are determined by calculating a weighted average
return of all funds in that category in a particular month, with each fund's return weighted by its total net
assets. Asset-weighted returns are a better indicator of fund category performance because they more
accurately reflect the returns of the total money invested in that particular style category.
Quartiles Breakpoints
The pth percentile for a set of data is the value that is greater than or equal to p% of the data, but is less
than or equal to (100 - p)% of the data. In other words, it is a value that divides the data into two parts:
the lower p% of the values and the upper (100-p)% of the values. The first quartile is the 75th
percentile, the value separating the elements of a population into the lower 75% and the upper 25%.
The second quartile is the 50th percentile and the third quartile is the 25th percentile. For fund category
quartiles in a particular time horizon, the data used is the return of the largest share class of the fund
net of fees, excluding loads.
Survivorship Bias
Many funds might liquidate or merge during a period of study. This usually occurs due to continued
poor performance by the fund. Therefore, if index returns were compared to fund returns using only
surviving funds, the comparison would be biased in favor of the fund category. These reports remove
this bias by (a) using the entire investment opportunity set, made up of all funds in that particular
category at the outset of the period, as the denominator for outperformance calculations, (b) explicitly
showing the survivorship rate in each category, and (c) constructing peer average return series for each
category based on all available funds at the outset of the period.
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SPIVA U.S. Scorecard Year-End 2021
Fees
INDICES1
A benchmark index provides an investment vehicle against which fund performance can be measured.
U.S. Equity
S&P 500
Widely regarded as the best single gauge of the U.S. equities market, this market-capitalization-
weighted index includes a representative sample of 500 leading companies in the foremost industries of
the U.S. economy and provides over 80% coverage of U.S. equities.
This index consists of 400 mid-sized companies and covers approximately 7% of the U.S. equities
market.
This index consists of 600 small-cap stocks and covers approximately 3% of the U.S. equities market.
This is a broad, market-capitalization-weighted index of 1500 stocks. This index is comprised of three
size-based indices: the S&P 500, S&P MidCap 400, and S&P SmallCap 600, which measure the
performance of large-, mid-, and small-cap stocks, respectively. This index represents 90% of U.S.
equities.
These indices form an exhaustive, multi-factor style series covering the entire market capitalization of
the S&P 500. Constituents, weighted according to market capitalization, are classified as growth, value,
or a mix of growth and value.
These indices form an exhaustive, multi-factor style series covering the entire market capitalization of
the S&P MidCap 400.
These indices form an exhaustive, multi-factor style series covering the entire market capitalization of
the S&P SmallCap 600.
1
For more information on S&P Dow Jones Indices, please visit http://www.spglobal.com/spdji/.
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SPIVA U.S. Scorecard Year-End 2021
These indices form an exhaustive, multi-factor style series covering the entire market capitalization of
the S&P Composite 1500.
This index measures the investable universe of publicly traded real estate investment trusts.
International Equity
Capturing approximately 70% of the world’s capital markets by market capitalization, the S&P Global
1200 is a composite of seven headline indices, many of which are accepted leaders in their regions. It
includes the S&P 500 (U.S.), S&P Europe 350® (Europe), S&P/TOPIX 150 (Japan), S&P/TSX 60
(Canada), S&P/ASX All Australian 50 (Australia), S&P Asia 50 (Asia Ex-Japan), and S&P Latin America
40 (Latin America).
S&P 700
This index measures the non-U.S. component of the global equity markets, covering all the regions
included in the S&P Global 1200, excluding the U.S. (S&P 500).
This index represents the small-cap segment—the bottom 15% by size—of the world’s universe of
institutionally investable securities, excluding the U.S.
S&P/IFCI COMPOSITE
This index is widely recognized as a comprehensive and reliable measure of the world’s emerging
markets. It measures the returns of stocks that are legally and practically available to foreign market
participants.
Fixed Income2
This index consists of U.S. Treasury and U.S. government agency bonds with maturities greater than 10
years.
This index consists of U.S. Treasury and U.S. government agency bonds with maturities from 1 to 10
years.
2
Barclays Capital Fixed Income Indices were formerly the Lehman Brothers Indices.
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SPIVA U.S. Scorecard Year-End 2021
This index consists of U.S. Treasury and U.S. government agency bonds with maturities from one to
three years.
This index covers corporate and non-corporate fixed income securities that are rated investment grade
and have maturities greater than 10 years.
This index covers corporate and non-corporate fixed income securities that are rated investment grade
with maturities from 1 to 10 years.
This index covers corporate and non-corporate fixed income securities that are rated investment grade
and have one to three years until their final maturity.
This index includes all fixed income securities with a maximum quality rating of Ba1/BB+ (including
defaulted issues), a minimum amount outstanding of USD 100 million, and at least one year to maturity.
This index includes 15- and 30-year fixed-rate securities backed by mortgage pools of the Government
National Mortgage Association (GNMA), Federal Home Loan Mortgage Corporation (FHLMC), and
Federal National Mortgage Association (FNMA).
This index covers the most-liquid portion of the global investment-grade, fixed-rate bond market,
including government, credit, and collateralized securities.
This index includes fixed- and floating-rate U.S. dollar-denominated debt from emerging markets.
This index is designed to measure the performance of the investment-grade California municipal bonds
that are exempt from the Alternative Minimum Tax.
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SPIVA U.S. Scorecard Year-End 2021
This index is designed to measure the performance of the investment-grade New York bonds that are
exempt from the alternative minimum tax.
This index is designed to reflect the performance of the largest facilities in the floating-rate bank loan, or
senior loan, market.
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SPIVA U.S. Scorecard Year-End 2021
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