Statistics on 1003 Italian Funds and SICAVs (1984-2015)

Annual statistical survey on Italian Funds and SICAVs (December 2016)

This book covers the years from 1984 to 2015 and includes aggregate data on the 1003 main Italy-based funds: 588 open-end mutual funds (as at 31st December 2015 they accounted for 98% of total assets under management - AUM - in all Italy-based open-end mutual then operating), 37 "reserved" funds (98% of AUM), 17 "connected" funds of funds (98% of AUM), 41 "speculative" funds (94% of AUM), 35 "negoziali" (established under industry-wide labour contracts) pension funds (99% of AUM), 45 pension funds (99%), 17 closed-end funds and 99 real estate funds, as well as all "unconnected" funds of funds, SICAVs and SICAVs of funds. The data comprise AUM, a breakdown of and changes in AUM (with particular reference to portfolios), net income, earnings and losses on sales and redemptions, revaluations and writedowns, and operating expenses.

The book is available for downloading in Adobe Acrobat's portable document format (PDF).

The FAQ section also includes comments on the methodology adopted.

F.A.Q. - Frequently Asked Questions

What is the purpose of Fondi e SICAV?

Fondi e SICAV aims to provide information on Italy-based funds and SICAVs. It includes aggregate data, certain key indicators calculated on the basis of that data, and detailed figures for individual funds.

How representative is it?

In terms of net assets under management, Fondi e SICAV covers 94% of open-end mutual funds and between 96% and 100% of other funds.

When was it first published?

Fondi e SICAV was first published in 1992 as part of Indices and Data. It was published separately for the first time in 1998.

Can back issues be consulted?

Each issue includes updated figures from 1984, the year in which Italy-based funds were launched. Back issues can be consulted by telephone appointment at Mediobanca's Research Department in Milan. Most economics faculty libraries in major Italian universities also have copies.

Has it been reviewed recently?

The major Italian national and financial newspapers published reviews and comments on the most recent edition of Fondi e SICAV on 16 December 2015.

It has been stated that grouping different categories of funds together in this way is misleading

There is nothing wrong with calculating aggregate values and relative indicators. Indeed, it is the only way one can make an overall evaluation by which to judge the efficiency of the system as a whole. Moreover, aggregation is very common in economics and finance generally, from GDP, which is measured by aggregating values from totally unrelated areas of production, to stock market indices, which bring together baskets of listed shares irrespective of their individual risk profiles.

It has been stated that performance calculated in Fondi e SICAV differs from internationally accepted standards of performance measurement

International standards are a legitimate way of avoiding a situation whereby fund managers publish their results using different methods and any comparison between them is therefore impossible. They also serve to standardize performance indicators across different countries, as far as is possible. Yet researchers and independent analysts are not bound by such standards with regard to how they evaluate and compare results or the figures on which they are based, nor could they be, except in the sense that the criteria used for all fund managers must be the same.

It has been said that the Mediobanca Research Department's method for calculating performance has no precedent in the financial literature

The method we adopt for measuring performance is the widely used ROE, calculated for all firms as the relationship between net profits and assets. We would also point out that the yield profile calculated by the Research Department is the same in every respect as that deriving from calculations by other independent observers, notably those published in the Bank of Italy's annual report.

It has been said that there is no point in attempting to measure the quality of a fund by looking at balance sheet figures

Companies are legally required to publish the accounts of funds in the public interest. A study and analysis of balance sheet data can be a useful tool for assessing trends in fund management.

It has been said that Mediobanca's Research Department does not give investors the information they need

Each investor needs information specific to the type of investment he/she is intending to make. Our survey gives aggregate and individual data in such a way as to permit an overall evaluation, rather than an evaluation of individual financial products. Certain fundamental indicators are compiled from the aggregate data in order to chart the performance of the asset gathering industry as a whole. These indicators, which include average returns, rates of turnover and management costs, are universally acknowledged as being useful. Risk levels, which are essential when comparing the performance of individual funds being evaluated with an eye to buying, are not taken into account, simply because the indicators are calculated at aggregate level.

It has been said that the money-weighted rationale adopted by Mediobanca's Research Department does not conform to international principles for measuring performance, which advocate a time-weighted method

We would refer to the paper by Professors Massimo De Felice and Franco Moriconi which was published as an appendix to the Italian edition of GIPS, the Global Investment Performance Standards (June 1999). This article can currently be found on Assogestioni's website at:
dated 16/1/2001. In particular we would highlight the following comments: "It is impossible to say that any particular indicator is the best in every respect, irrespective of specific objectives. (...) Time-weighted measurements of performance are suitable for comparing a fund's performance with that of a benchmark, taking no account of volumes invested. Linear money-weighted indices provide an appropriate measure of performance over a given period, because they take account of changes according to internal rates (...). Any study of the state of the investment which purports to be informative should use both performance measurement rationales (...)'.

It has been said that the figures compiled in the survey do not fully reflect the management costs associated with Italian funds

This is true. The Research Department's survey is based on accounts of funds, and does not take account of commissions paid to financial advisors for selling fund units to investors. These costs are not accounted for in the performance data since, although they are charged to the investor, they are deducted from net subscriptions and have no impact on the fund itself. The management costs which appear in our survey therefore underestimate the overall outlay.

It has been argued (in Il Sole 24 Ore, 14/8/2007, p. 2) that the Mediobanca Research Department chooses the benchmarks with which to measure the performance of the funds arbitrarily, e.g. BOTs for cash funds

The Mediobanca Research Departments annual survey includes a table in which the performances of the main classes of funds are compared with their benchmarks. The latter are not decided by the Mediobanca Research Department, but are precisely the same benchmarks chosen by the fund managers themselves - in order to fulfil their obligations under the regulations for intermediaries issued by Consob - and published in "at least one daily national newspaper"; this is the source of the data used by us.

In more general terms, it should be noted that the aim of the survey compiled by the Mediobanca Research Department is to assess the results of the funds industry as a whole; such assessment requires inter alia use of parameters with which to measure those results in terms of performance, with a view to ascertaining whether or not the value of the funds entrusted by investors to fund managers has grown or been destroyed. Here, the parameter used is the return on risk-free assets, which are almost universally recognized as government-issued securities. In this scenario, the Mediobanca Research Department uses the simplest investment of all, i.e. annual BOTs (which are preferred to BTPs and CCTs, whose performances over the medium/long term exceed those of BOTs, significantly at times). Moreover, given the results to emerge thus far, it has been deemed preferable to defer increasing the risk-free rate with a risk premium (which would mean that the overall valuation would deteriorate significantly). As for the source of the benchmark returns used by the Mediobanca Research Department in calculating whether value has been created or destroyed, this is the Bank of Italy, which since 1995 has published such data in the section of its annual report devoted to mutual funds.

It has been objected that the most suitable benchmark for a cash fund should be the return on a current account

An intermediary offering his services to an investor must necessarily provide an indication to that investor of the terms on which he proposes to manage the assets to be entrusted to him. The terms and conditions for intermediaries issued by Consob (version dated June 2007, Article 42) oblige an intermediary to indicate an "objective reference parameter", or benchmark, consistent with the risks intended to be assumed. The Mediobanca Research Department can only use the benchmarks stated by the individual managers. Nor is it considered appropriate to use the return on current accounts, for a series of reasons, not the least of which is the fact that current accounts are governed by terms and conditions which differ significantly with respect to the characteristics of their holders (e.g. individuals vs companies), to the overall relation of the client with the intermediary, and the relative strength of the contract. Moreover, no fund manager belonging to the relevant category association has yet adopted such a benchmark, for the simple reason that in technical terms it qualifies as a "non-investment", and therefore may not be constructed - as required by Article 42 of the terms and conditions for intermediaries referred to above - "by making reference to financial indicators compiled by third parties and commonly in use". Virtually three-quarters of the cash funds included by us in our 2007 edition adopted benchmarkes comprising indexes made up of baskets of government securities and short-term bonds compiled by non-Italian investment banks; the remainder opted for the Italian MTS indexes.

It has been argued that the way in which the Mediobanca Research Department compares the funds performances with their benchmarks is analytically flawed, because the performances reflect distribution costs and commissions while the indexes do not

The extent of the effect that any such "flaw" might have is believed to be absolutely minimal. Firstly, the returns published by the individual funds are not net of distribution commissions (save where there are none), as they are calculated on the basis of only the value committed to the funds assets, already net of placing commissions, which are withheld by the selling intermediary. Secondly, the Mediobanca Research Departments survey is aimed at evaluating the managers performance, not the performance of a hypothetical investor using do-it-yourself methods (activities which are logically impossible to predict and evaluate in their infinite possibilities, both with respect to costs and to performance, and to the type of individual investors, who may be more or less sophisticated in their techniques). As far as regards the cost of an index for the fund manager, in the case of government securities this is below the minimum recorded unit for our performance data (i.e. one-tenth of a percent after the decimal point, include norms of due diligence on transactions involving trading of assets), hence the return on the benchmark is doubtless comparable to that on offer to the investor (which reflects the costs and commissions applied to a management product or service invariably described as "discretionary"). It should also be considered that fund managers receive funds from investors belonging to numerous categories, e.g. large institutional investors, banks (including those which are shareholders in the company managing the fund), organizations and companies which are owners of large or small asset portfolios, individuals with assets of differing sizes, etc.



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