The Acadian fund was the only fund to receive four stars.
The Advance Wholesale Concentrated Australian Shares Fund and Goldman Sachs JBWere Australia Quantitative Equity Fund were both downgraded from four to three stars.
“This year, S&P was not overly impressed with the quantitative peer group,” S&P analyst Justine Gorman said.
“With the exception of Acadian, managers in this peer group have had to deal with a high level of staff turnover, which has also reduced the level of experience left in the team. A significant number of departures were the result of poor relative performance through the global financial crisis and the loss of funds under management that followed.”
Australian quantitative managers had a harder time navigating through the global financial crisis and recovery from March 2009 than their global equity peers, the research house said.
The median Australian quant manager produced excess returns of -2.7 per cent and -3.6 per cent over one and three-year periods to 31 March 2010, compared with the median hedged global quant manager’s excess returns of 7.5 per cent and 0 per cent over the same periods.
The reason for the disparity in returns could possibly be explained by the inadequate level of breadth in the Australian market, which had 300 constituents, relative to developed global markets, with 1500 constituents in the MSCI World Index, S&P said.
S&P also gave a new rating to the AUI Platypus Quantitative Growth Fund, awarding it three stars.
