The IA Global funds that moved most closely with their benchmark

Six active IA Global funds stayed within touching distance of their stated benchmark over three years, with just two outperforming the MSCI AC World, research by Trustnet has shown.

Active management fees are meant to buy something an index tracker can’t – yet some funds have stayed close to their benchmark.

Last week, we looked at the IA Global ‘benchmark shruggers’, the funds that behaved least like their index over the three years to 30 September 2026. This time, we turn to the other extreme: funds whose benchmark accounts for nearly all of their performance.

To qualify, a fund needed an R-squared above 95%, meaning its benchmark explained more than 95% of its movements, and an annualised tracking error below 4% (full methodology below). We have also shown the total return, comparing this with the MSCI AC World index for illustrative purposes.

Six funds were listed, with three-year returns between 54.5% and 67.5%, compared with 65.7% for the MSCI AC World. All six stayed close to their benchmark but for most that was by design.

IA Global funds with highest r-squared and low tracking error over 3yrs

Source: FinXL

Movements in the MSCI World explained 97.2% of LO Funds - TargetNetZero Global Equity’s performance, and its returns were typically within 2.15 percentage points of the index in a given year. It returned 66.8% over the period, ahead of the 65.7% for the MSCI AC World index.

Elise Beaufils, deputy head of sustainability research at Lombard Odier Investment Managers, said the strategy “is intentionally managed with a low tracking error, but that should not be confused with index replication”.

She said it aims to keep broad market exposure while favouring companies better positioned for the net-zero transition, including higher emitters investing to decarbonise.

The result is “a portfolio that looks similar to the market from a traditional risk perspective but is intentionally positioned differently when viewed through a climate-transition lens,” she said, adding that the strategy also uses “quantitative alpha sources within its risk budget”.

JPM Multi Manager Growth had the highest R-squared in the study, with the FTSE All Share Closed End Investments index explaining 97.8% of its movements.

A spokesperson for JP Morgan Asset Management said: “The fund is currently run with a tracking error target of 2%. By design, it is not a high tracking error/high relative alpha strategy but aims to provide long-term capital growth.”

The fund holds 44 trusts against 171 in its index. The remaining 127 trusts account for 38% of the index. The JPM fund beat its benchmark by 0.87 percentage points a year over three years.

Next, IFSL Rockhold Global Equity is measured against the IA Global sector, whose movements explained 96.1% of the fund’s performance, with returns typically within about 2.2 percentage points of the sector average. It returned 56% over the period, behind the MSCI AC World.

A spokesperson for Rockhold said the fund “is not managed to a benchmark in a strict sense” and is “designed as a portfolio building block”, either to sit alongside IFSL Rockhold Fixed Interest or to provide equity exposure within Rockhold’s model portfolios.

“A tracking error of more than 4% would not be desirable for an asset with a significant weight in a client portfolio,” they added. Because the fund holds passive funds, predominantly in US equities, the spokesperson described active share as “a less useful metric”.

Also managed against the peer group is HL Multi Manager Special Situations. Its key investor information document lists the sector as a comparator rather than a target. Its stated objective is to grow investors’ money over any five-year period.

Movements in the sector explained 95.8% of its performance and its returns typically landed within about 2.3 percentage points of the benchmark. As a fund of funds blending several specialist managers, it is built in a way that tends to bring it closer to the sector average.

The remaining two funds are designed to stay close to the market, aiming to add modest returns through research-driven or quantitative stock selection rather than large active bets.

Movements in the MSCI AC World explained 96.1% of T. Rowe Price SICAV - Global Structured Research Equity’s performance. It returned 62.9%, slightly behind the index.

PGIM Quant Solutions Global Equity was the best performer of the six, returning 67.5% and edging ahead of the MSCI AC World. Movements in its MSCI World benchmark explained 95.2% of its performance and its returns typically landed within about 2.7 percentage points of it.

Full methodology

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

Funds qualified with an R-squared above 0.95 and a tracking error below 4%. These are two of the three thresholds the European Securities and Markets Authority (ESMA) used in its 2016 review of potential closet trackers. The third, active share, was not available, so these figures do not on their own indicate closet tracking.

Some funds’ stated benchmarks are comparators rather than targets, meaning the fund is not managed to beat or track them. Two of the six funds above are measured against the IA Global sector average rather than a market index.

Funds benchmarked against UK inflation (CPI), funds without a recorded benchmark and funds without a full three-year track record were excluded. Returns are for three-year total returns in sterling to 30 September 2026 net of fees.

However, it must be kept in mind that a high R-squared and low tracking error show that a fund behaves similarly to its benchmark; they do not, on their own, indicate whether that has been good or bad for investors.