Phuong-Dan Pham Associate +33 1 56 59 16 33 phuong-dan.pham@ipreo.com North American institutional ownership analysis in CAC 40 companies 2011-2015
CAC 40 Performance DAX 30 Performance $Val Billions $Val Billions North American investments in CAC 40 vs. DAX 30 Ipreo analysed the aggregated trend of North American institutional ownership in CAC 40 companies over the period Q4 2011 to Q4 2015 using publicly available data, focusing on: Investment analysis by region and investment styles of investors Top holders, buyers and sellers Largest hedge fund ownership CAC 40 vs. DAX 30 North American investments in CAC 40 companies increased more than a third between Q4 2011 and Q4 2015, showing their fastest growth between Q4 2012 and Q4 2013 (+11%), in line with the CAC 40 (up 18% in the same period) if at a lower level. The CAC 40 index increased nearly 50% between Q4 2011 and Q4 2015 while remaining flat between Q4 2013 and Q4 2014, after experiencing a 35% increase between Q4 2011 and Q4 2013. The DAX 30 saw investments from North American institutions going up at a much lower rate during the same period (+10%), with the peak of the buying happening between Q4 2012 and Q4 2013 (+7%) following a slight 1% decline between Q4 2011 and Q4 2012. The DAX 30 index rose more than 50% over the same period. Historical North American institutional ownership in CAC 40 & DAX 30 5000 180 12000 140 170 11000 135 4500 160 10000 130 150 9000 125 4000 140 8000 120 130 7000 115 3500 120 6000 110 110 5000 105 3000 2011 Q4 2012 Q4 2013 Q4 2014 Q4 2015 Q4 100 4000 2011 Q4 2012 Q4 2013 Q4 2014 Q4 2015 Q4 100 NA Investment in CAC 40 CAC 40 NA Investment in DAX DAX 30 Main findings The results show the Northeast heavily invested in CAC 40 companies (led by New York and Boston), as well as the Pacific Coast (led by Los Angeles and San Francisco), followed by some distance by the Midwest (with Chicago) and Canada (with Toronto). New York and Toronto had the highest number of identified institutions using an active management style in Q4 2015, with 82 and 41 respectively, followed by Boston, Los Angeles and San Francisco with more than 20 each. Index funds massively increased their exposure to CAC 40 companies, experiencing a 63% increase between Q4 2013 and Q4 2015. Two institutions largely contributed to this increase, The Vanguard Group and BlackRock Fund Advisors. Value investors reduced their investments by 8% between Q4 2014 and Q4 2015, while remaining the largest style identified in Q4 2015. Hedge funds saw a noticeable ownership increase between Q4 2014 and Q4 2015, with a total of $1.6B invested in CAC 40 companies in Q4 2015. The funds are for the most part based in Boston and New York. taken by any person as a result of any information contained herein. 2
$ Val Billions North American institutional ownership by region (active management) The Northeast and the Pacific Coast are by far the two largest regions invested in CAC 40 companies since 2011. New York and Los Angeles saw record investments in 2011, with more than $24B each. Boston overtook Los Angeles in 2013 and has since been the second largest city invested in the CAC 40 companies, with $27B in 2014, just behind New York with $31B. The major one third divestment from Los-Angeles based institution Capital World Investors since Q4 2011 ($10B invested in Q4 2015) partially explains this, on the back of buying from Boston-based Northern Cross ($8B invested in Q4 2015), MFS Investment Management ($7B) and Fidelity Management & Research Company ($3B). On the Pacific Coast, San Francisco has the highest exposure to CAC 40 companies just behind Los Angeles at $17B, with more than $8B. San-Francisco based Dodge & Cox ($6B) and Franklin Advisers ($1B) saw their investments multiplied by two or more times between Q4 2011 and Q4 2015, reaching their highest level in Q4 2015. In the Midwest, Chicago-based Harris Associates is by far the largest institution invested in CAC 40 companies with $5B in Q4 2015, having more than doubled their investments since Q4 2011. In Canada, TD Asset Management located in Toronto had invested the most in CAC 40 companies in Q4 2015 ($2B), increasing their investments eight fold since Q4 2011. Historical North American investments by city (active management) 35,000 30,000 25,000 20,000 15,000 10,000 5,000 0 2011 Q4 2012 Q4 2013 Q4 2014 Q4 2015 Q4 taken by any person as a result of any information contained herein. 3
Top North American holders, buyers & sellers (active and passive investors) Top Holders $M EUM 2015 Q4 2014 Q4 Change Style Metro The Vanguard Group, Inc. 1,945,315.7 19,320.6 14,687.3 4,633.3 Index Philadelphia PA BlackRock Fund Advisors 1,316,666.3 14,257.5 12,220.2 2,037.3 Index San Francisco CA Capital World Investors (U.S.) 525,537.3 10,179.6 12,533.2-2,353.5 Value Los Angeles CA Northern Cross, LLC 41,381.4 8,472.5 9,598.3-1,125.8 Value Boston MA MFS Investment Management 237,103.3 7,348.7 9,252.4-1,903.8 Value Boston MA Dodge & Cox 148,578.2 6,604.4 5,076.3 1,528.1 Deep Value San Francisco CA Mellon Capital Management Corporation 168,461.1 5,112.1 2,085.8 3,026.3 Index San Francisco CA Harris Associates, L.P. 89,860.4 5,094.0 6,015.5-921.5 Value Chicago IL OppenheimerFunds, Inc 134,390.4 4,530.7 4,663.1-132.4 Growth New York NY First Eagle Investment Management, LLC 66,235.7 4,399.5 4,780.1-380.6 Growth New York NY TIAA-CREF Investment Management 253,085.2 4,379.3 4,438.0-58.7 Growth New York NY Capital Research Global Investors (U.S.) 387,002.7 3,776.1 3,795.7-19.6 GARP Los Angeles CA State Street Global Advisors (SSgA) 979,051.3 3,534.6 3,141.9 392.7 Index Boston MA Fidelity Management & Research Company 777,103.0 3,484.5 3,825.6-341.0 Growth Boston MA Dimensional Fund Advisors, L.P. (U.S.) 282,296.5 3,381.0 2,748.5 632.5 Value Los Angeles CA Total: 103,875.1 98,861.7 5,013.4 Top Buyers $M EUM 2015 Q4 2014 Q4 Change Style Metro The Vanguard Group, Inc. 1,945,315.7 19,320.6 14,687.3 4,633.3 Index Philadelphia PA Mellon Capital Management Corporation 168,461.1 5,112.1 2,085.8 3,026.3 Index San Francisco CA BlackRock Fund Advisors 1,316,666.3 14,257.5 12,220.2 2,037.3 Index San Francisco CA Dodge & Cox 148,578.2 6,604.4 5,076.3 1,528.1 Deep Value San Francisco CA TD Asset Management, Inc. 88,998.0 2,077.5 557.8 1,519.7 Growth Toronto CAN Franklin Mutual Advisers, LLC 52,892.4 2,377.5 1,636.1 741.4 Value New York NY Morgan Stanley Investment Management Inc. 62,086.7 1,238.2 597.8 640.4 Growth New York NY Dimensional Fund Advisors, L.P. (U.S.) 282,296.5 3,381.0 2,748.5 632.5 Value Los Angeles CA Lazard Asset Management, LLC (U.S.) 73,902.6 957.5 368.2 589.2 Value New York NY Orbis Investment Management, LTD 22,883.8 477.9 0.0 477.9 Value Hamilton ON State Street Global Advisors (SSgA) 979,051.3 3,534.6 3,141.9 392.7 Index Boston MA Mason Capital Management, LLC 2,102.6 316.1 0.0 316.1 Alternative New York NY Charles Schwab Investment Management, Inc. 91,029.9 837.8 527.7 310.1 Index San Francisco CA Janus Capital Management, LLC 82,172.9 423.5 125.3 298.1 Aggressive Growth Denver CO Davis Selected Advisers, L.P. 23,999.1 400.7 114.2 286.4 Value New York NY Total: 61,316.9 43,887.2 17,429.7 Top Sellers $M EUM 2015 Q4 2014 Q4 Change Style Metro Capital World Investors (U.S.) 525,537.3 10,179.6 12,533.2-2,353.5 Value Los Angeles CA Grantham Mayo Van Otterloo & Co., LLC 56,514.8 2,109.9 4,046.5-1,936.6 Value Boston MA MFS Investment Management 237,103.3 7,348.7 9,252.4-1,903.8 Value Boston MA Northern Cross, LLC 41,381.4 8,472.5 9,598.3-1,125.8 Value Boston MA Harris Associates, L.P. 89,860.4 5,094.0 6,015.5-921.5 Value Chicago IL Manning & Napier Advisors, LLC 20,838.4 392.6 1,202.1-809.5 Value Rochester NY William Blair & Company, LLC (Investment Management) 48,045.3 561.7 1,102.5-540.8 Aggressive Growth Chicago IL Thornburg Investment Management, Inc. 33,205.0 2,063.6 2,580.9-517.3 GARP Albuquerque NM Artisan Partners, L.P. 78,539.7 951.3 1,463.4-512.1 Growth Milwaukee WI First Eagle Investment Management, LLC 66,235.7 4,399.5 4,780.1-380.6 Growth New York NY Fidelity Management & Research Company 777,103.0 3,484.5 3,825.6-341.0 Growth Boston MA Scout Investments, Inc. 5,069.2 160.7 488.1-327.4 Growth Kansas City MO BlackRock Advisors, LLC 249,907.1 3,218.9 3,486.7-267.7 Value New York NY New York State Common Retirement Fund 76,087.4 783.2 997.4-214.1 Index Albany NY AllianceBernstein, L.P. (U.S.) 137,368.4 1,465.9 1,670.8-204.8 Value New York NY Total: 50,686.6 63,043.3-12,356.7 taken by any person as a result of any information contained herein. 4
1,997.6 1,107.9 44.0 10,812.5 8,194.9 1,874.2 1,281.6 45.3 7,903.5 1,645.2 1,591.7 41.0 $Val Billions 30,880.5 39,642.3 38,798.4 39,981.9 50,376.1 40,853.0 71,268.8 78,336.4 72,782.0 North American institutional ownership by style 2013 Q4 2014 Q4 2015 Q4 Index 19.9% Growth 25.0% GARP 7.0% Specialty 1.3% Alternative 0.7% Yield 0.1% Index 23.4% Growth 23.6% GARP 4.8% Specialty 1.1% Alternative 0.8% Yield 0.0% Index 28.8% Growth 23.3% GARP 4.5% Specialty 0.9% Alternative 0.9% Yield 0.1% Value 46.0% Value 46.3% Value 41.5% 90,000 80,000 70,000 60,000 50,000 40,000 30,000 20,000 10,000 0 Historical North American investments by style Value Index Growth GARP Specialty Alternative Yield 2013 Q4 2014 Q4 2015 Q4 Value, index and growth funds have dominated the landscape since Q4 2013, and hold altogether more than 93.6% of the total invested in CAC 40 companies in Q4 2015. Value investors massively increased their investments in 2014 with $78B identified in total, and made up more than 46% of the total identified in 2013 and 2014, before moving down to 41% in 2015. This decline can be mainly attributed to selling from six institutions that were part of the top ten sellers overall in Q4 2015, among them Capital World Investors (- $2.3B), Grantham Mayo Van Otterloo & Co. (-$1.9B), MFS Investment Management (-$1.9B) and Northern Cross (-$1.1B). Index investors doubled their exposure to CAC 40 companies between 2013 and 2015, with The Vanguard Group ($19B in Q4 2015) and BlackRock Fund Advisors ($14B) among the largest institutions identified, both of which as a result were ranked among the top holders in Q4 2015. These two institutions were also ranked first and third respectively among the largest buyers identified between Q4 2014 and Q4 2015. Growth funds experienced a 5% increase between Q4 2013 and Q4 2015, with only two institutions being ranked among the top fifteen buyers in Q4 2015, TD Asset Management (+$1B) and Morgan Stanley Investment Management (+$640M). taken by any person as a result of any information contained herein. 5
$ Val Billions North American Hedge Fund Analysis Top Holding Hedge Funds Ipreo Hedge Fund Ranking $M EUM 2015 Q4 2014 Q4 Change 2013 Q4 2012 Q4 2011 Q4 Style Metro The Baupost Group, LLC 39 8,217.0 868.3 868.3 0.0 578.6 393.2 0.0 Alternative Boston MA AQR Capital Management, LLC 1 65,528.9 323.1 144.4 178.8 144.4 131.9 482.3 Alternative New York NY Mason Capital Management, LLC 143 2,102.6 316.1 0.0 316.1 0.0 0.0 0.0 Alternative New York NY Sirios Capital Management, L.P. 107 2,940.0 48.8 68.3-19.4 10.7 0.0 0.0 Alternative Boston MA Alkeon Capital Management, LLC 84 3,900.0 18.5 0.0 18.5 6.0 0.0 0.0 Alternative New York NY Ascend Capital, LLC 234 1,167.5 6.3 13.9-7.6 2.4 0.0 0.0 Alternative San Francisco CA Hamilton Capital Partners, Inc. 1,262 34.2 5.5 3.0 2.5 0.0 0.0 0.0 Alternative Toronto CAN Breton Hill Capital, LTD n.a. 623.6 3.0 0.0 3.0 0.0 0.0 0.0 Alternative Toronto CAN R.H. Bluestein & Company 201 1,385.3 0.7 0.0 0.7 0.0 0.0 0.0 Alternative Detroit MI Canyon Capital Advisors, LLC 120 2,734.9 0.6 7.9-7.3 6.9 0.0 0.0 Alternative Los Angeles CA Perella Weinberg Partners Capital Management, L.P. 658 241.5 0.5 0.0 0.5 0.0 0.0 0.0 Alternative New York NY Midocean Credit Partners 630 206.2 0.1 0.0 0.1 0.0 0.0 0.0 Alternative New York NY CoreCommodity Management, LLC 871 137.9 0.0 0.3-0.2 1.5 1.7 0.0 Alternative New York NY Trian Fund Management, L.P. 28 10,359.1 0.0 0.0 0.0 0.0 435.1 0.0 Alternative New York NY Total: 1,591.7 1,106.1 485.6 750.4 961.9 482.3 Historical North American Hedge Fund investments North American Hedge Fund investments by city in Q4 2015 1,800 1,600 1,400 1,200 1,000 800 600 400 200 0 1,591.7 1,438.8 1,371.6 1,281.6 1,107.9 2011 Q4 2012 Q4 2013 Q4 2014 Q4 2015 Q4 Boston MA 57.6% New York NY 41.4% Other 1.0% San Francisco CA 0.4% Toronto CAN 0.5% Detroit MI 0.1% Los Angeles CA 0.0% Hedge funds, having sold more than 23% of CAC 40 companies between Q4 2011 and Q4 2013, have since turned positive and experienced a 24% increase between Q4 2014 and Q4 2015 reaching $1.6B in Q4 2015. The vast majority were based in the Northeast in Q4 2015, first in Boston (58%) then in New York (41%). New-York based AQR Capital Management, the largest hedge fund by EUM in Ipreo s annual hedge fund ranking, was ranked second overall with $323M held in CAC 40 companies, well behind The Baupost Group ($868M), which is based in Boston. taken by any person as a result of any information contained herein. 6
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