Schroder Asian Total Return Investment Company plc · LSE:ATR
Schroder Asian Total Return Investment — Henderson Global Investors — pres activesharemgt 3 31 08
16 slides from Schroder Asian Total Return Investment's investor presentation, September 2008
Slide 1: Introducing 'Active Share Management' – The Henderson Difference
Introducing ‘Active Share Management’ – The Henderson Difference Data as of 9/30/08 FINANCIAL INTERMEDIARY USE ONLY, NOT FOR USE WITH THE INVESTING PUBLIC
Slide 2: Agenda
Active Share Agenda z Definition of Active Share z Why Active Share is important z Trends and Indexing z Active Share in practice z Appendix: The Henderson Difference 1
Slide 3: Active Share Definition
Active Share Definition z A recent study* by two Yale academics introduced the term Active Share as a measure of active portfolio management z The term measures the degree of overlap in holdings between the manager and their benchmark index. An Active Share of 100% implies zero overlap with the benc
Slide 4: Active Share Example
Active Share Example Active Share Example: Active Share = 82% 18% 16% 14% Active Share 12% Benchmark W eight 10% 15% 11% 8% 11% 9% 9% 6% 8% 3% 4% 6% 6% 2% 4% 0% Stock 1 Stock 2 Stock 3 Stock 4 Stock 5 Stock 6 Stock 7 Stock 8 Stock 9 Stock 10 Please note that this example is hypothetical. Source: Cre
Slide 5: Why is it important?
Active Share Why is it important? z To seek outperformance, logic dictates Alpha sorted by Active Share (1980-2003) that you must be different than the benchmark. Active Share measures the 1.5% degree to which managers differ from the benchmark at the stock level 1.0% 0.5% z The Yale study has shown
Slide 6: Declining over time
Active Share Declining over time Decline of Funds with 80-100% Active Share 1980-2003 z The Yale researchers demonstrate that, in general*, Active Share has been declining 100% over time 90% z As Active Share declines, many funds are 80% looking more and more like their index 70% z The chart shows t
Slide 7: Categories of Fund Managers
Active Share Categories of Fund Managers z The Yale study identified 5 categories of fund manager (listed in order of performance): z Concentrated stock pickers (high Active Share, high return volatility managers) z Diversified stock pickers (high Active Share, low return volatility managers) z Inde
Slide 8: "Closet Indexers"
Active Share “Closet Indexers” z According to the study, there has been a shift from active towards passive management since 1980 (as of 2003) z In general, this shift is due to “Closet Indexers”: fund managers who demonstrate risk aversion relative to the benchmark by closely modelling to the bench
Slide 9: The Henderson International Opportunities Fund (HFOAX)
Active Share The Henderson International Opportunities Fund (HFOAX) z The Active Share* of the Henderson International Opportunities Fund is shown in the chart below z The International Opportunities Fund’s portfolio utilizes a bottom-up construction with the 10-15 all-cap “best ideas” of five of He
Slide 10: International Opportunities Fund (HFOAX) top ten holdings
Active Share International Opportunities Fund (HFOAX) Active Share* % of Henderson International % of holding in the holding in the % of holding in the Opportunities Fund top ten International International MSCI EAFE Index holdings Opportunities Fund Opportunities Fund (positive contribution*) Viven
Slide 11: Conclusion
Active Share Conclusion z Active Share measures the degree to which managers differ from the benchmark at the stock level z The Yale study has shown that managers with high Active Share have outperformed their benchmark z The researchers demonstrate that Active Share has been declining over time z D
Slide 12: Appendix: The Henderson Difference
Appendix: The Henderson Difference 11
Slide 13: International Opportunities Fund: The Henderson difference
International Opportunities Fund The Henderson difference, as of 9/30/08 % of funds in Morningstar Foreign Henderson International Large Cap Blend category that Most common top ten holdings in Opportunities Fund possess a Henderson top ten holding Morningstar Foreign Large Cap top ten holdings in th
Slide 14: The Henderson difference: Competitor analysis
Active Share The Henderson difference Competitor analysis*, as of 9/30/08 International Opportunities Fund Average of Morningstar Foreign (HFOAX) Large Blend Category # of Holdings 63 261 Up Capture 121.15 97.83 Down Capture 96.25 101.17 Alpha 5.28 -0.01 Beta 1.03 0.99 *Zephyr Style Advisor for all
Slide 15: Henderson Global Funds: more examples
Active Share Henderson Global Funds: more examples z The European Focus Fund has had z The Global Technology Fund has also over 85% Active Share since inception demonstrated positive Active Share Henderson European Focus Fund— Active Share Henderson Global Technology Fund— Active Share 100 100 95 90
Slide 16: Henderson Global Funds contact and risk disclosures
Henderson Global Funds 737 North Michigan Avenue 866.443.6337 Chicago, IL 60611 www.hendersonglobalinvestors.com International investing involves certain risks and increased volatility not associated with investing solely in the US. These risks include currency fluctuations, economic or financial in
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