On March 13, 2024, LSEG Lipper unveiled the results of the United States LSEG Lipper Fund Awards alongside its long-term media partner, InvestmentNews, in the heart of the financial district of New York.
This event gathered investment professionals, industry experts, and journalists from all over the United States to help us acknowledge and celebrate the success of portfolio managers and fund management companies who posted the strongest risk-adjusted returns compared to their peers.
While 2023 was a banner year for equity and fixed income funds, the headwinds that all asset managers faced over the last several years were challenging. From the sharp market declines seen in 2018 to the despair, lockdowns, and supply chain disruptions from the COVID-19 pandemic, subsequent global central bank interventions, and the resulting rise in inflation and related interest rate hikes to contain, to the wars in Ukraine and the Middle East, the fund industry professionals who were recognized last night did a masterful job navigating a very tricky landscape. The LSEG Lipper Fund Awards commemorates the asset management industry’s success circumventing these uncharted waters.
Different methodologies lead to different results
While the LSEG Lipper Fund Awards are quantitative, the award winners are not determined by picking the funds with the highest returns within their U.S. mutual fund classifications over the respective awards periods.
The LSEG Lipper Fund Awards are based on the Lipper Leader rating for Consistent Return. These ratings are calculated using a risk-adjusted return model based on the fund’s effective return over multiple non-overlapping periods—within the respective three-, five-, and/or 10-year horizons. The calculations over multiple periods ensure that all periods in which a fund underperforms the average of its peer group are identified.
Then, LSEG Lipper uses a utility function based on behavioral finance theory—relative loss avoidance—to penalize periods of underperformance against the peer-group average of eligible funds, with more significant weightings given to excess losses. Consistent Return is a risk-adjusted performance measure for investors with a stronger risk aversion to clustering losses than gains.
The calculation methodology ensures that the winners are funds that have provided superior consistency and risk-adjusted returns compared to a group of similar funds. This is more in line with how investors view financial gains and losses, meaning that funds receiving a Lipper fund award may be best suited for investors who value a fund’s year-over-year performance consistency relative to other funds in a particular peer group. A document outlining the full methodology for the LSEG Lipper Fund Awards can be found here.
The best mutual funds in the United States
The LSEG Lipper Fund Awards honor those funds with the highest score in the Lipper Leader rating for Consistent Return over the three-, five- and/or 10-year periods. Overall, 117 funds won an award for the three-year period ended November 30, 2023. Also, 116 funds were recognized with a Lipper Fund Award over the five-year period, and 108 funds won the prestigious trophy for the 10-year period. The complete list of winning funds can be found on our awards website.
Here are a few examples of fund excellence highlighted in this year’s LSEG Lipper United States Fund Awards:
International Large-Cap Value Funds
Artisan International Value Fund, Institutional Share Class, sweeping its classification for the second year in a row, was named the Lipper Fund Award winner for International Large-Cap Value Funds over the three-, five-, and 10-year periods ended November 30, 2023.
Exhibit 1: Three-Year Growth of $10,000 Artisan International Value Fund, Institutional Shares versus Lipper International Large-Cap Value Index
Source: LSEG Lipper
Emerging Markets Local Currency Debt Funds
Eaton Vance Emerging Markets Debt Opportunities Fund, R6 Shares Class was designated the three-, five-, and 10-year 2024 Lipper Fund Award winner for Emerging Markets Local Currency Debt Funds. The Eaton Vance Emerging Markets Debt Opportunities Fund, R6 Shares, swept its classification, winning in all three measurement periods for 2023.
Exhibit 2: Three-Year Growth of $10,000 Eaton Vance Emerging Markets Debt Opportunities Fund, R6 Shares Class versus Lipper Emerging Markets Local Currency Debt Funds Index
Source: LSEG Lipper
Pennsylvania Municipal Debt Funds
Invesco Pennsylvania Municipal Fund, R6 Shares swept its classification for the fourth consecutive year—winning for the three-, five-, and 10-year periods—and was named the Lipper 2024 Fund Award winner for Pennsylvania Municipal Debt Funds for the three measurement periods ended November 30, 2023.
Exhibit 3: Three-Year Growth of $10,000 Invesco Pennsylvania Municipal Fund, R6 Shares versus Lipper Pennsylvania Municipal Debt Funds Index
Source: LSEG Lipper
The best asset management groups in the United States
The group awards are divided into large and small asset management groups based on a regional assets-under-management split. For the U.S. awards, that breakpoint was $136.9 billion in fund assets under management as of November 30, 2023.
To qualify for the group awards, a large fund family group must have at least five equity, five bond, and/or three mixed-assets portfolios. In comparison, a small fund family group must have at least three equity, three bond, and/or three mixed-assets portfolios.
The fund family with the lowest average decile rank of their eligible funds with a three-year Consistent Return score within each asset class and group determined the award winner. The complete list of the winning fund family groups can be found on our awards website.
Competing against 25 other fund families for the 2024 claim to fame as the best large fund family equity group, Dimensional Fund Advisors LP took the top billing for the second consecutive year, while Third Avenue Management LLC, competing against 185 other fund families, took the top honors as the best small fund family equity group.
Within the fixed income space, Invesco Advisers Inc. was the best bond large asset fund manager, outperforming 25 competitors, while Frost Investment Advisors LLC, beating 84 other competitors, was the best bond small fund family manager.
There were 25 and 53 asset managers competing for large and small fund family groups, respectively, in the mixed-assets funds segment. PGIM Investments LLC won the trophy for the best mixed-assets large fund manager group, while Mutual of America Capital Management LLC was at the top of the leaderboard for the best mixed-assets small fund family group.
The winning large and small fund management firms for the overall award demonstrated a combined above-average risk-adjusted performance within its bond, equity, and mixed-assets product lineup. In this category, there were 28 and 30 fund families, respectively, competing for the prestigious trophy. Dimensional Fund Advisors LP was named the best overall large fund management group for 2024, while Putnam Investment Management LLC took the top billing for the best overall small fund management group.
As one can see from the number of fund management groups in each category, the Lipper Fund Awards are exceedingly competitive and recognize the fund managers who display fund management excellence within the industry. The Awards commemorate the expertise of the collective fund management industry and the individual funds’ ability to outperform their peers on a risk-adjusted basis.
LSEG Lipper data covers over 380,000 share classes in more than 83 countries. The Lipper Leader ratings are available for mutual funds registered for sale in 45 markets.
The views expressed are the author’s views and not necessarily those of LSEG. This material is provided as market commentary and for educational purposes only and does not constitute investment research or advice. LSEG cannot be held responsible for any direct or incidental loss resulting from applying any information provided in this publication or any other source mentioned. Please consult with a qualified professional for financial advice.
Disclaimer
The LSEG Lipper Fund Awards, granted annually, highlight funds and fund companies that have excelled in delivering consistently strong risk-adjusted performance relative to their peers.
The LSEG Lipper Fund Awards are based on the Lipper Leader for Consistent Return rating, a risk-adjusted performance measure calculated over 36, 60, and 120 months. The fund with the highest Lipper Leader for Consistent Return (Effective Return) value in each eligible classification wins the LSEG Lipper Fund Award. For more information, see lipperfundawards.com. Although LSEG Lipper makes reasonable efforts to ensure the accuracy and reliability of the data contained herein, the accuracy is not guaranteed by LSEG Lipper.
About LSEG Lipper Fund Awards:
For over 30 years and in over 17 countries worldwide, the highly respected LSEG Lipper Awards have honored funds and fund management firms that have excelled in providing consistently strong risk-adjusted performance relative to their peers and focus the investment world on top funds. The merit of the winners is based on entirely objective, quantitative criteria. This, coupled with the unmatched depth of fund data, results in a unique level of prestige and ensures the award has lasting value. Renowned fund data and proprietary methodology are the foundation of this prestigious award qualification, recognizing excellence in fund management. Find out more at www.lipperfundawards.com.
