Benchmark shruggers: The IA Global funds with the lowest correlation to their index

Investors paying for active management expect their manager to do something different from the index – but how many do?

To find out, Trustnet analysed funds in the IA Global sector over the past three years, looking for those that moved least in step with their stated benchmark and whose returns drifted the furthest from it as well.

Together, these measures separate the ‘benchmark huggers’ from the ‘benchmark shruggers’ – those that are doing something different to the index. Here we focus on the shruggers, highlighting funds whose benchmark explained less than 40% of how they performed and whose returns typically strayed at least nine percentage points from it each year.

There were 18 of them, with their three-year returns ranging from an 88.5% gain to a 33.8% loss, against 65.7% for the MSCI AC World index. Value managers came closest to keeping pace, while quality and thematic funds fell well behind.

How we did it

Using FinXL, we analysed active funds in the IA Global sector. All data points were calculated from 36 monthly returns over the three years to 30 September 2026, measured against each fund’s own stated benchmark.

For the returns pattern against the benchmark, we used R-squared, which measures how much of a fund’s performance is explained by movements in its benchmark on a range from 0 to 1.

We then measured how far the divergence went using annualised tracking error, which measures how far a fund’s returns typically deviated from its benchmark.

Because a fund can have a low R-squared but a modest tracking error if it is simply less volatile than its benchmark or a high tracking error but a high R-squared if it amplifies the index’s movements, we combined the two ratios together, identifying funds that are independent of their benchmark in pattern as well as in magnitude.

For the definition of a ‘benchmark shrugger’, we used an R-squared below 0.4, and all funds meeting this threshold also had a tracking error above 9%.

Funds benchmarked against UK inflation (CPI) were excluded because any equity fund will show an R-squared close to zero against it regardless of its holdings.

Funds without a recorded benchmark or a full three-year track record were also excluded. Returns are three-year total returns in sterling to 30 September 2026 net of fees.

However, it must be kept in mind that a low R-squared shows that a fund behaves differently from its benchmark; it does not, on its own, indicate whether that has been good or bad for investors.

The results are illustrated below.

Source: FinXL

Value broadly paid off

Ten of the 18 funds are run by value or contrarian managers. In general, these names steer clear of expensive US technology and buy unloved areas such as cheaper cyclicals, financials, energy and non-US markets.

This was the largest group on the list and the home of the study’s best performer, Heptagon Kopernik Global All Cap Equity, which returned 88.5% over the three years, with an R-squared of 0.18, which means it was the second most independent fund from its benchmark in this study.

Schroders supplied three of the 10 funds in this group: Global Recovery (56.3%), Global Sustainable Value Equity (51.6%) and ISF Global Equity Yield (47.5%).

Fidelity analysts, who include Schroder Global Recovery in their Select 50 list, described the managers as “value investors, quite contrarian and often buying companies with depressed share prices”.

They said the fund “tends to come into its own over periods of 10 years or more” and added that “over the short term, like most equity funds, it sometimes loses value”.

The fund holds £1.25bn and charges 0.92%.

Another name on the list was Artemis SmartGARP Global Smaller Companies, previously known as Artemis Global Select.

The fund transitioned from a large-cap global equity strategy to a global small-cap strategy on 29 September 2025. FE fundinfo Alpha Manager Raheel Altaf and Aalok Sathe have been managing it since October 2025, so most of the three-year record predates them.

Ranmore Global Equity stood out for its maximum five FE fundinfo Crown rating. Sean Peche, an FE fundinfo Alpha Manager, has run it since its October 2008 launch.

WS Havelock Global Select, run by Matthew Beddall since its 2018 launch, stood out for two reasons.

First, it is benchmarked against the IA Global sector average rather than a market index. Some funds’ stated benchmarks are an imperfect match for their strategy, which can increase their apparent divergence.

Second, it combines a quantitative screening to idea generation with fundamental company analysis, an approach that Square Mile analysts called “quantamental”.

They said Havelock’s bespoke software tests potential environments to establish “the likelihood of each potential outcome, thus reducing the psychological biases that many active fund managers are exposed to”.

Square Mile also noted that Havelock is “a younger and smaller firm than many of its peers”, though it called it “a strong firm”. The fund holds £302m and charges 0.81%.

Quality was far from the index but also behind it

At the other end of the style divide, there were four funds: Brown Advisory Global Leaders Sustainable (32.2%), Sanlam Global High Quality (23.9%), IFSL Evenlode Global Equity (4.1%) and Lazard Global Equity Franchise (1.2%), all against 65.7% for the MSCI ACWI.

Quality managers usually hold little of the technology that drove the index and own consumer brands, healthcare and defensive compounders instead, which fell out of favour.

Pieter Fourie is an FE fundinfo Alpha Manager and has run Sanlam Global High Quality since February 2014. The fund can have very sharp ups and downs. For example, it appeared in the 2024 Bestinvest Dog report, where it was described as “a fairly concentrated portfolio of 30-40 companies” that the managers feel “combine exceptional outcomes for their customers with strong leadership”.

But it has also been highlighted as a junior ISA pick and as a fund that held up in 2026’s momentum rotation. It is £439m in size and charges 0.68%.

At £109.3m and an OCF of 0.85%, Evenlode Global Equity has been named on Trustnet as a fund to hold instead of Fundsmith Equity.

Thematic funds had the steepest losses

Three funds depend on a single theme rather than the broad market, and they produced the worst returns on the list. Active Solar lost 33.8%, and Allianz Pet and Animal Wellbeing lost 12.8%. GMO Climate Change Transition Investment gained 1.8%.

These funds are measured against a broad global index, so some of their divergence comes from owning a narrow slice of it. A low R-squared says only that a fund behaves differently from its benchmark.

GQG: The furthest fund from its index

GQG Partners Global Equity has the lowest R-squared in the study, which means it diverged the most from its benchmark. It fits no style group and returned 26.8% over the three years.

Interactive investor analysts said its approach is “characterised by high-conviction portfolio positioning and a willingness to take significant active positions relative to the benchmark”.

Technology made up 39.9% of its portfolio at the end of August, against 12.5% three months earlier, according to interactive investor.

GQG had called AI-related stocks “Dotcom on Steroids” in a September 2025 research piece, then rotated back in after a derating.

The fund fell 9.5% in 2025 while the MSCI AC World returned 13.9% and has returned 5.9% over the past year, against 21.9% for the index.

Interactive investor analysts said investors “should appreciate that such pivots are part of the investment philosophy and process of GQG, and the likelihood of timing such decisions in perfect alignment with broader market rotations is low”.