Closet Indexers

Problem 

  • Develop a methodology to identify closet index funds in Europe and North America (these are funds which advertise as actively managed but, in reality, track a benchmark)

  • Provide detailed analysis and a report on the methodology used and results

 

Solution

  • Fideres filtered the universe of actively managed funds for the same criteria used by ESMA to produce a sample of over 1000 funds

  • We classified the sub-sample of funds into category-based thresholds for each key statistical metric, such as Active Share, Tracking Error and R-Squared

 

Result

  • Fideres found that over 16% of European UCITS funds of the sample analyzed show characteristics that may indicate they are potential closet indexers

  • The study was mentioned in a Financial Times article

  • Results of the study closely approximated the results published by ESMA