Zenith recently released its 2014 Global Sector Review, which found that global active managers delivered "excellent" returns while underperforming their benchmarks.
The median unhedged manager in the Zenith review returned 21.2 per cent per annum in the three years to 30 September 2014 – 0.9 per cent per annum below the MSCI World Index in Australian dollars.
Twenty-two managers out of the 37 reviewed underperformed their benchmarks in the Zenith report.
Zenith head of research Bronwen Moncrieff said a number of key reasons explain the relative underperformance.
"The impact of a quality bias, and the level of emerging markets exposure are probably the two most prevalent themes, across a broad range of investment nuances and styles that we cover in the report," Ms Moncrieff said.
"From an intuitive standpoint it would appear obvious that higher-quality companies would outperform lower-quality companies, and that has certainly been the case over the long term.
"But this has not been the case in recent years. In fact, lower-quality stocks have outperformed higher-quality stocks, and this has had a negative impact on managers with a quality bias in their portfolios.
"The low dispersion market environment has also been an interesting challenge for active managers.
"The difference in returns between the highest-performing stocks versus the lowest has been reduced, which has provided fewer investment opportunities for active managers to differentiate their performance from the benchmark," Ms Moncrieff added.
The level of emerging markets exposure in portfolios has also had an impact on returns, said the report.
