Alpha League Table 2020: Who Are the French Champions of Alpha?

SIX is proud to announce today’s disclosure of the 2020 edition’s results of THE BEST ASSET MANAGEMENT COMPANIES RANKING in France based on alpha, a risk-adjusted performance measure, an indicator of the manager's over-performance against the market.

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SIX launched the “EuroPerformance Alpha League Table” ranking 15 years ago. As a renowned provider of high quality financial data, SIX identified the potential of such an analysis on the market already at that time and developed this ranking based on a cutting-edge method. It has since become a benchmark on the French market. At a time when passive forms of investment are enjoying an increased popularity, it is crucial to demonstrate the value of active management with comprehensive and detailed data.

The calculation of the alpha value requires a precise determination of risk positions. The benchmark, which represents the actual risks taken by the fund manager, is determined by analysing the fund's returns using a multi-index regression on investment styles - using Nobel Prize winner Willam Sharpe's “Return Based Style Analysis” method.

In 2019, a tense macro-economic environment has strongly affected the financial markets. This resulted in a concentration of equity funds and an increased role of domestic and European markets in alpha generation. Among the 27 institutions, in France, getting a mark, here stands our Top 10:

Rank MANAGEMENT ENTITY Frequency Average Alpha Mark
1 FINANCIERE DE L'ECHIQUIER 47,53% 4,26% 2,02%
2 COMGEST SA 62,92% 2,20% 1,39%
3 SAINT OLIVE GESTION 40,16% 2,29% 0,92%
4 SMA GESTION 40,48% 1,91% 0,77%
5 ODDO BHF ASSET MANAGEMENT 24,16% 2,30% 0,54%
6 ROTHSCHILD ASSET MANAGEMENT 26,52% 1,98% 0,48%
7 DNCA FINANCE 25,83% 1,67% 0,46%
8 LAZARD FRERES GESTION SAS 28,58% 1,66% 0,46%
9 AG2R LA MONDIALE GESTION D’ACTIFS 40,00% 1,13% 0,44%
10 GROUPAMA ASSET MANAGEMENT 17,98% 2,06% 0,36%

The extended analysis and methodology (in French) are available here.

ESG strategies make a breakthrough appearance in this edition’s Top 10, gaining ground on a very competitive market.

Philippe Hellinger, Head Funds Data France, Financial Information, SIX

Any questions?

Please do not hesitate to contact Julian Chan.

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SIX
SIX operates and develops infrastructure services in the Securities & Exchanges, Banking Services and Financial Information business units with the aim of raising efficiency, quality and innovative capacity across the entire value chain of the Swiss financial center. The company is owned by its users (122 banks). With a workforce of some 2,600 employees and a presence in 20 countries, it generated operating income of CHF 1.13 billion and Group net profit of CHF 120.5 million in 2019.
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