WisdomTree & Currency Hedging FOR FINANCIAL PROFESSIONAL USE ONLY. FOR FINANCIAL PROFESSIONAL USE ONLY.
|
|
- Kelly Stone
- 5 years ago
- Views:
Transcription
1 WisdomTree & Currency Hedging
2 Currency Hedging in Today s World The influence of central bank policy Gauging the impact currency has had on international returns Is it expensive to hedge currency risk? Thinking about when to hedge currency risk What does dynamically hedged currency look like? How to think about currency risk from an index construction standpoint without necessarily hedging the exposure 2
3 Central Bank Policy Divergence Potential to Signal a Stronger Dollar, Especially versus the Euro and Yen Easing Bias Central Bank Policy Pendulum Tightening Bias What Does QE Accomplish 1 : European Central Bank Bank of Japan Federal Reserve Higher inflation expectations Currency depreciation Higher equity valuations Bank of England Lower real interest rates 1 James Bullard, OMFIF Golden Series Lecture, May 23, 2013 Arrows: Indicates that central banks have announced monetary policy measures through2015 Dots: Indicates how aggressive central banks have been in easing monetary policy through both conventional and unconventional monetary policy easing measures through 2015 Source: WisdomTree, Relevant Central Bank Websites, Bloomberg. Past performance is not indicative of future results. 3
4 Avg. Annual Return Cumulative Dollar Impact on MSCI EAFE Index Returns Currencies in the MSCI EAFE Index Complex have Displayed Cycles that Average 8 Years Dollar Weakens Dollar Strengthens Dollar Weakens Dollar Strengthens Dollar Weakens Dollar Strengthens Currency Trend Periods Average Annual Returns for MSCI EAFE Currencies Average Annual Returns for MSCI EAFE Local Equity Markets Dec 31, Oct 31, % 4.8% Nov 1, Feb 28, % 16.9% Mar 1, Apr 28, % 8.7% May 1, Jan 31, % 7.7% Feb 1, Jul 31, % 2. August 1, Dec 31, % 9.7% Entire Period 1.1% 7.6% 12% 1 8% 6% 4% 2% MSCI EAFE Index in Local Currency (12/31/ /31/2015) 11.2% 7.6% 5.4% Down Currency Trend Up Currency Trend All Periods Source: MSCI as of 12/31/2015. Past performance is not indicative of future results. You cannot invest directly in an index. 4
5 Strategic Question is Not: Why Should I? But Rather Why Should I Wager on Currencies? MSCI EAFE w/ Currency Average Annual Returns Average Annual Standard Deviation Incremental MSCI EAFE No EAFE MSCI EAFE w/ MSCI EAFE No EAFE Change in Currency FX Currency Currency FX Risk Correlation (Equities vs. MSCI EAFE w/ Currency Sharpe Ratio MSCI EAFE No Currency Currency) 12/31/69-12/31/15 8.8% 7.6% 1.1% % 8.4% 2.6% Year % -6.5% 12.6% 11.4% 5.6% 1.2% (0.03) Year 3.6% 7.9% -3.9% % 6.3% 2.8% Year % -0.2% 18.5% 14.9% 7.6% 3.6% year 4.4% 4.9% -0.5% 16.7% 14.8% 7.4% *Equity: Volatility of the equity prices denominated in their local currency, in this case EAFE FX. **Currency: Incremental volatility added to the local due to changes in the value of EAFE FX relative to the U.S. dollar. ***Currency + Equity: Volatility of the combination of both the local equity prices denominated in local currency as well as that of the EAFE FX relative to the U.S. dollar. Source: WisdomTree, MSCI, 12/31/69-12/31/15. Past performance is not indicative of future results. Subject to change. EAFE FX refers to the underlying currency exposure of the MSCI EAFE Index. You cannot invest directly in an index. 5
6 Annualized Interest Rate Differentials Relative to U.S. Myth of Currency Hedging: It is Expensive to Your Currency Risk Cost of Hedging Currency with 1-Month Forwards Primarily Based on Interest Rate Differentials (trailing 12 month ending 12/31/2015) 12.94% 11.12% 11.56% % % -0.57% 0.17% 1.13%2.08% -0.21% -0.18%-0.01% WT Intl Equity (Dynamic ) refers to WisdomTree Dynamic Currency d International Equity, WT Intl Equity refers to WisdomTree International Equity, WT Intl Small Cap Dividend (Dynamic ) refers to WisdomTree Dynamic Currency d International SmallCap Equity, WT Intl Small Cap Dividend refers to WisdomTree International SmallCap Dividend, WT Global ex US d Dividend refers to WisdomTree Global ex-u.s. d Dividend, WT Emerging Markets Dividend refers to WisdomTree Emerging Markets Dividend Analysis done at the index level only. WT stands for WisdomTree. WisdomTree International d Quality Dividend Growth formerly known as WisdomTree International d Dividend Growth, WisdomTree International Equity Index formerly known as WisdomTree DEFA Index Source: Bloomberg. Subject to change. Past performance is not indicative of future results. You cannot invest directly in an index. 6
7 Cumulative Interest Rate Differential One Was Paid Positive Interest Rate Differentials to EAFE: Dynamic Hedging Increased Amount 25% 2 15% 1 5% Cumulative interest rate differential (IRD) gained from hedging MSCI EAFE to USD (USD base; 12/31/ /31/2015) Whole Period Annualized IRD 10 Passive Currency ¹ 0.38% Multi Signal Overlay Currency ¹ 0.69% 20.49% 10.88% Paid to -5% -1 Dec-88 Mar-91 Jun-93 Sep-95 Dec-97 Mar-00 Jun-02 Sep-04 Dec-06 Mar-09 Jun-11 Sep-13 Dec-15 Interest Rates Contribution Value and Momentum Contribution 10 Passive Signal Overlay Cost to Source: WisdomTree, MSCI, Record Currency Management, WM/Reuters. Interest rate differentials (IRD) based on 1-month FX forward prices. Euro legacy currencies proxied with Deutsche mark prior to 12/31/1998. Hong Kong Dollar excluded. ¹Currencies and exposures are reflective of the universe of the MSCI EAFE Index from 12/31/1988 to 12/31/2015. Past performance is not indicative of future results. You cannot invest directly in an index. 7
8 Rolling 3yr Annualized Interest Rate Differential Rolling Interest Rate Differential - EUR 3% 2% 3yr Rolling Annualized Interest Rate Differential (IRD) Gained from Hedging EUR to USD 12/31/ /31/ USD Base Paid to 1% -1% 0.26% 0.2-2% -3% -4% -5% Dec-91 Dec-93 Dec-95 Dec-97 Dec-99 Dec-01 Dec-03 Dec-05 Dec-07 Dec-09 Dec-11 Dec-13 Dec-15 Cost to Interest Rates Contribution Value and Momentum Contribution 10 Passive Signal Overlay Source: WisdomTree, MSCI, Record Currency Management, WM/Reuters. Interest rate differentials (IRD) based on 1-months FX forward prices. Past performance is not indicative of future results. You cannot invest directly in an index. 8
9 Rolling 3yr Annualized Interest Rate Differential Rolling Interest Rate Differential - JPY 7% 6% 3yr Rolling Annualized Interest Rate Differential (IRD) Gained from Hedging JPY to USD 12/31/ /31/ USD Base Paid to 5% 4% 3% 2% 1% -1% 0.34% 0.3-2% Dec-91 Dec-93 Dec-95 Dec-97 Dec-99 Dec-01 Dec-03 Dec-05 Dec-07 Dec-09 Dec-11 Dec-13 Dec-15 Interest Rates Contribution Value and Momentum Contribution 10 Passive Signal Overlay Cost to Source: WisdomTree, MSCI, Record Currency Management, WM/Reuters. Interest rate differentials (IRD) based on 1-month FX forwards. Past performance is not indicative of future results. You cannot invest directly in an index. 9
10 EUR TWI Correlation JPY TWI Correlation Correlation and Volatility of Europe and Japan Currency, Equity Correlation of MSCI EMU Index and EUR TWI Correlation MSCI EMU (No Currency) and EUR TWI EUR TWI Correlation MSCI Japan (No Currency) and JPY TWI JPY TWI Average Annual Standard Deviation MSCI EMU w/ Currency MSCI EMU No Currency EMU FX Incremental Change in Risk Correlation (Equities vs. Currency) 12/31/87-12/31/ % 17.8% 10.4% 2. (0.08) 3-Year 15.7% 14.3% 8.5% 1.4% (0.14) 5-Year 19.6% 15.5% 9.3% 4.2% Year 23.3% 17.6% 10.9% 5.6% year 21.1% 18.8% 10.1% 2.3% (0.01) Average Annual Standard Deviation MSCI Japan w/ Currency MSCI Japan No Currency Japan Currency Incremental Change in Risk Correlation (Equities vs. Currency) 12/31/69-12/31/ % 18.6% 11.1% 2.48% (0.07) 3-Year 13.4% % -3.54% (0.63) 5-Year % 7.9% -4.01% (0.66) 10-Year 15.5% 19.3% 9.5% -3.89% (0.62) 20-year % 10.6% -0.06% (0.30) Source: WisdomTree, Bloomberg as of 12/31/2015. Past performance is not indicative of future results. You cannot invest directly in an index. Analysis done at the index level only. Investment universe is the respect MSCI regional indexes, start dates chosen to reflect longest available data, *JPY TWI: Japan Trade weighted Index which is the value of the currency vs. its major trade partners **EUR TWI: Euro Trade weighted Index which is the value of the currency vs. its major trade partners 10
11 Signals Shown to Impact Currency Moves Interest Rates Momentum Value 1. Interest rate premia exist due to persistent macroeconomic imbalances between countries 2. Current account deficit countries offer higher real interest rates to attract foreign capital into the economy 3. Exporters of capital are rewarded via the interest rate for taking on currency risk as currency does not depreciate by as much as implied by the FX forward rate pricing 4. Signal operates at the short to medium term horizon 1. Tendency for currencies to appreciate following a previous appreciation and depreciate after a prior depreciation 2. Pricing inefficiency 3. Herding speculators, flight to safety as a result of market shocks, delta hedging from banks, and divergence in market participants beliefs about currency fair value amplify currency trends 4. Signal operates at the short to medium term horizon 1. Substantial exchange rate deviations from fundamental levels are unsustainable 2. Purchasing Power Parity (PPP) recognized as a good predictor of the long term direction of the exchange rate 3. Economic opportunities, adjustments via terms of trade, and central bank interventions help revert currencies back towards fair value 4. Signal operates over the medium to long term Source: WisdomTree, Record Currency Management as of 12/31/
12 Latest Currency Ratios by Signal and Defining Rules of Each Signal Currency Value Signal Ratio Overlay Ratio Momentum Signal Ratio Interest Rate Signal Ratio Total Ratio AUD 16.67% 33.33% CHF 33.33% 33.33% 33.33% EUR 16.67% 33.33% 33.33% 83.33% GBP 16.67% 33.33% 33.33% 83.33% JPY 16.67% % 50.0 NOK 16.67% 33.33% NZD 16.67% 33.33% SEK 16.67% 33.33% 33.33% 83.33% Momentum Signal: When the 10-day moving average of a currency s spot price versus U.S. dollar is weaker than the 240-day moving average (a currency is depreciating), a hedge ratio of 33.3% is applied to the Index. Interest Rate Signal: If the implied interest rate in the U.S. is > that of a targeted currency using one month FX forward rates, a hedge ratio of 33.3% is applied to the Index. Value Signal: A) If a currency is > 2 overvalued against PPP level and until it crosses PPP, the hedge ratio of 33.3% is applied to the Index. B) When a currency is between 2 overvalued and 2 undervalued and until it crosses one of these levels, the hedge ratio is set to % (or ½ of the signal total hedge ratio) for the Index. C) When an individual currency is >2 undervalued against PPP and until it crosses PPP, the hedge ratio is set to zero to the Index. Source: WisdomTree, Record Currency Management as of 12/31/2015. PPP: Purchasing power parity. 12
13 Ratio Cumulative Return Ratio Cumulative Return Ratio Cumulative Return Ratio Cumulative Return Ratio Evolution by Signal and Currency EUR Exposure Dec-88 May-94 Oct-99 Mar-05 Aug-10 Value Interest Rates Momentum 10 Passive GBP Exposure Dec-88 May-94 Oct-99 Mar-05 Aug-10 Value Interest Rates Momentum 10 Passive JPY Exposure Dec-88 May-94 Oct-99 Mar-05 Aug-10 Value Interest Rates Momentum 10 Passive MSCI EAFE Dec-88 May-94 Oct-99 Mar-05 Aug-10 Value Interest Rates Momentum 10 Passive Source: WisdomTree, MSCI, Record Currency Management as of 12/31/ passive hedge returns and signal overlay hedge ratio from 12/31/1988 to 12/31/2015. Past performance is not indicative of future results. You cannot invest directly in an index. 13
14 Cumulative returns Cumulative Return Cumulative Return Cumulative Return Cumulative Hedging Returns by Signal for USD Base Exposure Currencies EUR Exposure 15 JPY Exposure Dec-88 Feb-92 Apr-95 Jun-98 Aug-01 Oct-04 Dec-07 Feb-11 Apr Passive Signal Overlay Momentum Overlay Interest Rates Overlay Value Overlay 2 GBP Exposure -5 Dec-88 Feb-92 Apr-95 Jun-98 Aug-01 Oct-04 Dec-07 Feb-11 Apr Passive Signal Overlay Momentum Overlay Interest Rates Overlay Value Overlay 10 CHF Exposure Dec-88 Feb-92 Apr-95 Jun-98 Aug-01 Oct-04 Dec-07 Feb-11 Apr Passive Signal Overlay Momentum Overlay Interest Rates Overlay Value Overlay -10 Dec-88 Feb-92 Apr-95 Jun-98 Aug-01 Oct-04 Dec-07 Feb-11 Apr Passive Signal Overlay Momentum Overlay Interest Rates Overlay Value Overlay Source: WisdomTree, Record Currency Management from 12/31/1988 to 12/31/2015. For EUR exposure, Deutsche mark is used prior to 12/31/1998. Past performance is not indicative of future results. You cannot invest directly in an index. 14
15 Cumulative Return Cumulative Hedging Returns by Signal for MSCI EAFE Index Exposure Cumulative Return for Passive Hedging and Record Signal Overlay for Weighted MSCI EAFE Currency Exposure (12/31/ /31/2015) - USD Base -4 Dec-88 Feb-92 Apr-95 Jun-98 Aug-01 Oct-04 Dec-07 Feb-11 Apr Passive Signal Overlay Momentum Overlay Interest Rates Overlay Value Overlay 51.07% 35.34% % % Unhedged Annualized performance (12/31/ /31/2015) 5 Passive 10 Passive Momentum Overlay Value Overlay Interest Record Signal Rates Overlay Overlay Relative Return % -0.44% 1.13% % 1.08% Source: WisdomTree, Record Currency Management, MSCI, OECD as of 12/31/2015. Past performance is not indicative of future results. You cannot invest directly in an index. 15
16 Annualized Excess Hedging Returns by Signal for USD Base Exposure Currencies and Various Benchmarks Momentum Overlay Annualized value added to respective currency exposure using momentum overlay (12/31/ /31/2015) Currency Exposure AUD EUR GBP CHF JPY MSCI EAFE Weighted Unhedged -1.06% 1.28% -0.84% -0.13% 2.55% 1.13% 5 d 0.46% 1.71% 0.01% % 1.27% 10 d 2.28% % 1.45% 1.58% 1.56% Interest Rates Overlay Annualized value added to respective currency exposure using interest rates overlay (12/31/ /31/2015) Currency Exposure AUD EUR GBP CHF JPY MSCI EAFE Weighted Unhedged 0.86% 1.55% -0.33% -0.53% 2.09% 1.54% 5 d 2.38% 1.98% 0.51% 0.11% 1.46% 1.68% 10 d % 1.56% 1.06% 1.13% 1.98% Value Overlay Annualized value added to respective currency exposure using value overlay (12/31/ /31/2015) Currency Exposure AUD EUR GBP CHF JPY MSCI EAFE Weighted Unhedged -0.73% 0.28% -0.38% -1.72% d % 0.47% -1.08% 0.07% 0.54% 10 d 2.61% 1.41% 1.52% -0.14% -0.26% 0.84% Signal Overlay Annualized value added to respective currency exposure using signal overlay (12/31/ /31/2015) Currency Exposure AUD EUR GBP CHF JPY MSCI EAFE Weighted Unhedged -0.22% 1.13% -0.44% -0.67% 1.88% 1.08% 5 d % % 1.25% 1.22% 10 d 3.12% 2.25% 1.45% 0.91% 0.92% 1.52% Source: WisdomTree, Record Currency Management, 12/31/88-12/31/15. Past performance is not indicative of future results. You cannot invest directly in an index. 16
17 Ratio USD/EUR Spot rate Interest rate differential implied in 1m forward FX rate (USDEUR, % p.a.) Interest Rates Signal Example: USD/EUR Strong EUR Strong USD Spot 0.7 Interest Rate Differential Source: WisdomTree, Record Currency Management, Reuters. Positions are opened and closed at subsequent month-end. Period: 12/31/ /31/2015. Prior to 12/31/1998, the Deutsche mark is used for the euro. Past performance is not indicative of future results. 17
18 Ratio USD/EUR Spot rate (10 day m.a. crosses 240 day m.a. - below to hedge, above to unhedge) Momentum Signal Example: USD/EUR Spot 10 day average 240 day average Strong EUR Strong USD Source: WisdomTree, Record Currency Management, Reuters, WisdomTree. Period: 12/31/ /31/2015. Positions are opened and closed at subsequent month-end. M.A.: Moving average. Prior to 12/31/1998 the Deutsche mark was used for the euro. Past performance is not indicative of future results. 18
19 Ratio USD/EUR Spot rate (Shown with +/- 2 of PPP as part of the value signal) Value Signal Example: USD/EUR Smoothed Spot 0.8 PPP 0.7 PPP - 2 PPP Strong EUR Strong USD Source: WisdomTree, Record Currency Management, Reuters, OECD. Positions are opened and closed at subsequent month-end. Period: 12/31/ /31/2015. Smoothed spot refers to a 20-day moving average calculation aiming to smooth anomalous price movements. Prior to 12/31/1998, the Deutsche mark was used for the euro. Past performance is not indicative of future results. 19
20 Annual Gross Overlay/Hedging Return Calendar Year Hedging Returns for MSCI EAFE Currency Exposure 15% 1 5% -5% -1-15% Calendar Year Hedging/Overlay Returns for MSCI EAFE Weighted Currency Exposure 12/31/1988 to 12/31/ USD Base Jan-89 Jan-91 Jan-93 Jan-95 Jan-97 Jan-99 Jan-01 Jan-03 Jan-05 Jan-07 Jan-09 Jan-11 Jan-13 Jan Passive 5 Passive Record Signal Overlay Count of Full Years # of Value Add Years # of Value detract Years Mean Value Add Year Mean Value detract Year Mean Year 5 Passive 10 Passive Signal Overlay % 7.75% 6.15% % -0.06% -0.11% 1.22% Source: WisdomTree, Record Currency Management, MSCI, OECD as of 12/31/2015. Past performance is not indicative of future results. You cannot invest directly in an index. 20
21 Performance of MSCI EMU Index with Overlay Annualized Returns Years to 12/31/2015 Unhedged 5 Passive 10 Passive Record Signal Overlay Local Returns 1-Year -1.42% 3.73% 8.83% 7.14% 9.82% 3- Year % 12.13% 11.27% 12.22% 5-Year 3.05% 5.49% 7.76% 7.02% 7.49% 10-Year 2.25% 3.24% 3.93% 3.99% 3.09% 15-Year 2.41% 2.15% 1.61% 4.22% 1.42% Since Euro Inception 2.61% 3.15% 3.41% 5.59% 3.08% Annualized Volatility Years to 12/31/2015 Unhedged 5 Passive 10 Passive Record Signal Overlay Local Returns 1-Year % 20.04% 18.99% 20.19% 3- Year % 14.98% 14.31% 5-Year 19.63% 17.05% 15.47% 17.32% 15.47% 10-Year 23.28% 19.87% 17.51% 19.19% 17.64% 15-Year 22.39% 19.89% 18.52% 19.51% 18.51% Since Euro Inception 21.76% 19.44% 18.34% 19.19% 18.33% Since euro Inception of 12/31/1998. Past performance is not indicative of future results. You cannot invest directly in an index. 21
22 Performance of MSCI Japan Index with Overlay Years to 12/31/2015 Unhedged Annualized Returns 5 Passive 10 Passive Record Signal Overlay Local Returns 1-Year 9.57% 9.59% % 9.93% 3- Year 10.17% 16.07% 22.08% 21.23% 22.99% 5-Year 4.38% 8.27% 12.12% 11.48% 12.95% 10-Year 0.91% 1.24% 1.35% 2.08% Year 2.12% 2.87% % 2.48% 20-Year 0.37% 1.92% 3.21% 3.49% 1.15% Full Data Availability -0.31% % 2.15% -0.45% Years to 12/31/2015 Unhedged Annualized Volatility 5 Passive 10 Passive Record Signal Overlay Local Returns 1-Year 16.05% 17.63% 19.65% 18.96% 19.66% 3- Year 13.45% % 16.48% 16.99% 5-Year 14.04% 15.54% 17.82% 17.41% 18.05% 10-Year 15.45% 16.85% 19.34% 18.43% 19.34% 15-Year 16.37% 16.74% 18.33% 17.76% 18.29% 20-Year 18.03% 17.35% 18.24% 17.85% 18.09% Full Data Availability 20.76% 19.52% 19.75% 19.77% 19.56% Full data availability starting 12/31/1988. Past performance is not indicative of future results. You cannot invest directly in an index. 22
23 Performance of MSCI EAFE Index with Overlay Years to 12/31/2015 Unhedged Annualized Returns 5 Passive 10 Passive Record Signal Overlay Local Returns 1-Year -0.81% 2.06% 4.91% 2.72% 5.33% 3- Year 5.01% 8.45% 11.91% 10.43% Year % 7.67% 6.86% 7.85% 10-Year 3.03% 3.45% 3.72% 3.82% 3.23% 15-Year 3.54% 3.24% 2.81% 4.42% 2.68% 20-Year 4.42% 5.05% 5.54% 6.62% 4.91% Full Data Availability 4.34% 4.52% 4.54% 5.87% 4.33% Years to 12/31/2015 Unhedged Annualized Volatility 5 Passive 10 Passive Record Signal Overlay 1-Year 15.24% 15.28% 15.99% 15.94% 16.01% 3- Year 12.64% % Year 14.99% 13.28% 12.16% 13.56% 12.18% 10-Year 18.48% 16.31% 14.79% 15.98% 14.89% 15-Year 17.46% 15.78% 14.87% 15.59% 14.88% 20-Year 16.74% 15.41% 14.89% 15.37% 14.79% Full Data Availability 17.19% 15.72% 15.18% 15.63% 15.06% Full data availability starting 12/31/1988. Past performance is not indicative of future results. You cannot invest directly in an index. Local Returns 23
24 Currency Impact Can Also Influence Different Types of U.S. Equities Source: Bloomberg, with data from 6/1/2015 to 2/5/2016. Data begins with the inception date of the WisdomTree Strong Dollar and Weak Dollar U.S. Equity Indexes. You cannot invest directly in an Index. Past performance is not indicative of future results. Index performance does not represent actual fund or portfolio performance. A fund or portfolio may differ significantly from the securities included in the index. Index performance assumes reinvestment of dividends but does not reflect any management fees, transaction costs or other expenses that would be incurred by a portfolio or fund, or brokerage commissions on transactions in fund shares. Such fees, expenses and commissions could reduce returns. 24
25 Why Exponential Weighting? Increased Sensitivity to How Stocks Reacted to Moves in the U.S. Dollar S&P 500 constituents as of December 31, 2015 are weighted three ways: Equal-Weighting: Every stock receives the same weight, but there is no change in weight based on the correlation of returns between stocks and the U.S. dollar. Market capitalization weighting: Stocks with the greatest market capitalization receive the greatest weights, but there is no direct relationship between market capitalization and the correlation of stock returns with returns of the U.S. dollar. Exponential weighting: Directly ties the correlation of returns of stocks to the returns of the U.S. dollar to the weighting. This example tilts more weight toward stocks whose returns had a higher correlation to the returns of the U.S. dollar, and less weight to stocks whose returns had a lower correlation to the returns of the U.S. dollar. Sources: WisdomTree, Bloomberg, Matlab. Data as of 12/31/2015. Universe is the S&P 500 Index constituents. The left, vertical axis indicates constituent weighting within the Exponential Weight (blue line) and Equal Weight (orange line) examples. The Right vertical axis indicates constituent weighting within the Market Cap Weight (green line) example. The horizontal axis places the stock whose returns had the highest correlation to the returns of the U.S. dollar on the left and the stock whose returns had the lowest correlation to the returns of the U.S. dollar on the right. Since the blue line slopes downward smoothly from left to right, it is indicating a smooth relationship between correlation of returns to the returns of the U.S. dollar and constituent weight. Subject to change, You cannot invest directly in an index. 25
26 Geographic Revenue Illustrates Strong Contrast Between the Indexes Sources: WisdomTree, FactSet, Standard & Poor s. Data as of 12/31/15 when the indexes began their live performance calculation. Strong dollar refers to WisdomTree Strong Dollar U.S. Equity Index. Weak dollar refers to WisdomTree Weak Dollar U.S. Equity Index. Due to the selection rules of the WisdomTree Strong Dollar U.S. Equity index, stocks in the Energy and Materials sectors, tending to have returns that have exhibited significantly negative correlations with the returns of the U.S. dollar, are not eligible for inclusion. Past performance is not indicative of future results. You cannot invest directly in an index. 26
27 Relative Weight Differentials in Strong Dollar / Weak Dollar Indexes Strong Dollar Tilts 1 Weak Dollar Tilts 2 Sources: Bloomberg, FactSet, Standard & Poor s. Data as of 12/31/15. 1 Strong Dollar Tilts: Refers to Utilities, Financials, Consumer Discretionary and Telecommunication Services, where the WisdomTree Strong Dollar U.S. Equity Index exhibits an over-weight compared to the S&P 500 Index. 2 Weak Dollar Tilts: Refers to Energy, Health Care, Information Technology, Industrials and Materials, where the WisdomTree Weak Dollar U.S. Equity Index exhibited over-weights versus the S&P 500 Index. Energy was the exception and is considered a weak-dollar tilt because it is not included in the WisdomTree Strong Dollar U.S. Equity Index. Subject to change. You cannot invest directly in an index. 27
28 Thinking about Currency s Impact on Emerging Market Equities Source: Bloomberg, with data from 6/1/2015, the Inception Date for the WisdomTree Strong Dollar Emerging Markets Equity Index, to 2/5/2016. You cannot invest directly within an Index. Past performance is not indicative of future results. Index performance does not represent actual fund or portfolio performance. A fund or portfolio may differ significantly from the securities included in the index. Index performance assumes reinvestment of dividends but does not reflect any management fees, transaction costs or other expenses that would be incurred by a portfolio or fund, or brokerage commissions on transactions in fund shares. Such fees, expenses and commissions could reduce returns. 28
29 Conclusion What is an appropriate baseline exposure to currency exposure? Unhedged? (meaning holding the full amount of currency risk) d? (meaning seeking to mitigate the full amount of currency risk) 5 d? (meaning seeking to mitigate half of the currency risk) Dynamically d? (letting a rules-based process determine how much currency risk should be hedged on a currency-by-currency basis) Marrying index construction with currency risk considerations Client Feedback we have a constant interest in how our clients are thinking about currency risk and what they think about the potential tools available to manage it 29
WisdomTree.com Currency Hedged Equities Q2 2018
WisdomTree.com 866.909.9473 Q2 2018 Ratio of MSCI to S&P The Dollar s Impact on Equities: ACWX (Unhedged) Relative to the S&P 500 1.7 1.6 1.5 1.4 1.3 U.S. Dollar Depreciation Cumulative: -25.52% Annualized:
More information40% 30% 24.1% 25.4% 23.2% 22.8% 10% 10%
WisdomTree Dynamic Currency Hedged International Equity Fund DDWM A NEW CHAPTER: DYNAMIC CURRENCY-HEDGED EQUITIES Approximately 50% of the world s equity opportunity set is outside of the United States,
More informationRussell Investments Informed Dynamic Currency Hedging A smarter way to manage uncompensated currency risk
Russell Investments Informed Dynamic Currency Hedging A smarter way to manage uncompensated currency risk Joe Hoffman, CFA Director, Global Head of Currency Van Luu, PhD Head of Currency & Fixed Income
More information2015 FUZZY DAY CONFERENCE Facts that are Not Facts. The US dollar Safe Haven Myth and the United States Hedge Fund.
2015 FUZZY DAY CONFERENCE Facts that are Not Facts The US dollar Safe Haven Myth and the United States Hedge Fund Alessio de Longis 1 The Role of Currency in Institutional Portfolios, edited by Momtchil
More informationINTERNATIONAL INVESTING CAPTURE THE OPPORTUNITIES. REDUCE THE RISK.
INTERNATIONAL INVESTING CAPTURE THE OPPORTUNITIES. REDUCE THE RISK. INTERNATIONAL INNOVATION Approximately 97% of the world s investment opportunities are outside Canada 1 and the majority of them are
More informationMSCI EAFE Index (CAD) MSCI EAFE Index CAD 5.06% 12.90%
WisdomTree International Quality Dividend Growth Strategy IQD/IQD.B/DQI In today's fast-paced environment, investment approaches and international opportunities are constantly evolving. Approximately 95%
More informationSecurity Analysis: Performance
Security Analysis: Performance Independent Variable: 1 Yr. Mean ROR: 8.72% STD: 16.76% Time Horizon: 2/1993-6/2003 Holding Period: 12 months Risk-free ROR: 1.53% Ticker Name Beta Alpha Correlation Sharpe
More informationThe Compelling Case for Value
The Compelling Case for Value July 2, 2018 SOLELY FOR THE USE OF INSTITUTIONAL INVESTORS AND PROFESSIONAL ADVISORS 0 Jan-75 Jan-77 Jan-79 Jan-81 Jan-83 Jan-85 Jan-87 Jan-89 Jan-91 Jan-93 Jan-95 Jan-97
More informationCurrency Hedging Will Change Your Life. Presenter: CHRIS GANNATTI, CFA Associate Director of Research WisdomTree Asset Management
Currency Hedging Will Change Your Life Presenter: CHRIS GANNATTI, CFA Associate Director of Research WisdomTree Asset Management Currency Hedging Will Change Your Life Presenter: CHRIS GANNATTI, CFA Associate
More informationThe Economic Crisis & Foreign Exchange Trading. Philip Brittan Bloomberg LP
The Economic Crisis & Foreign Exchange Trading Philip Brittan Bloomberg LP U.S. Economy May Be Heading for Longest and Most Severe Economic Downturn in the post-war Period Number of Months in Recession
More informationGlobal Equities. Q&A roadshow #QAroadshow2016. Gavin Marriott Product Manager
Global Equities Q&A roadshow 216 #QAroadshow216 Gavin Marriott Product Manager June 216 For professional advisers only. This material is not suitable for retail clients Questions What will drive global
More information4Q17 Global & International Equity GLOBAL EQUITY. 10+ Years of Providing High Income Through Global Dividends
4Q17 Global & International Equity GLOBAL EQUITY INCOME FUND 10+ Years of Providing High Income Through Global Dividends A: HFQAX C: HFQCX I: HFQIX N: HFQRX S: HFQSX T: HFQTX Overall Morningstar Rating
More informationETF portfolio review, 30th September ETF portfolios with ESG overlay. market overview. portfolio performance
ETF portfolio review, 30th September 2017 market overview All our ETF portfolios performed better than s in September and all portfolios bar fixed-income continued to add to their gains year-to-date. Our
More informationINSTITUTIONAL INVESTMENT & FIDUCIARY SERVICES: Currency Conundrum Assessing the Currency Hedge Decision for Institutional Investors
INSTITUTIONAL INVESTMENT & FIDUCIARY SERVICES: Currency Conundrum Assessing the Currency Hedge Decision for Institutional Investors By Philip M. Fabrizio, CFA INTRODUCTION Over the past few years, the
More informationWhere is the króna headed? Exchange rate will remain fragile in the short term. Good long-term outlook for the króna
The Icelandic króna April 28 Where is the króna headed? The ISK exchange rate bears the hallmarks of an overshooting that will readjust itself in the longer term. In the short term, however, the króna
More informationPreference. Fund Performance Booklet. Performance Data. Risk Rating
Performance Data This booklet contains a number of different performance measures and time periods to help you assess the Preference fund range. The data used to arrive at the figures shown is provided
More informationPreference. Fund Performance Booklet. Performance Data. Risk Rating
Performance Data This booklet contains a number of different performance measures and time periods to help you assess the fund range. The data used to arrive at the figures shown is provided by Morningstar.
More informationCurrency Hedged Indexes
ISSUE BRIEF Currency Hedged Indexes Why Currency Returns and Currency Hedging Matter JULY 2015 The growth of international investing makes it important to understand the impact of currency movements. Institutional
More informationPreference. Fund Performance Booklet. Performance Data. Risk Rating
Performance Data This booklet contains a number of different performance measures and time periods to help you assess the Preference fund range. The data used to arrive at the figures shown is provided
More informationCapital Market Press Conference 2013 / Frankfurt, 5 December 2013
Capital Market Press Conference 2013 / 2014 Frankfurt, 5 December 2013 Key financial figures of KfW Group (IFRS) 2013: Solid business performance, decreasing profit, very sound capital basis 2011 2012
More informationNBIM Quarterly Performance Report Second quarter 2007
NBIM Quarterly Performance Report Second quarter 2007 Government Pension Fund Global Norges Bank s foreign exchange reserves Investment portfolio Buffer portfolio Government Petroleum Insurance Fund Norges
More information2nd Quarter 2018 Webcast
2nd Quarter 2018 Webcast Classic Large Cap Value Equity Presented by James J. Clarke Director of Fundamental Research & Portfolio Manager This material may not be reproduced or used in any form or medium
More informationCan You Time Managed Futures?
September 7 Can You Time Managed Futures? John Dolfin, CFA Chief Investment Officer Steben & Company, Inc. Christopher Maxey, CAIA Senior Portfolio Manager Steben & Company, Inc. This white paper addresses
More informationDividend Growth as a Defensive Equity Strategy August 24, 2012
Dividend Growth as a Defensive Equity Strategy August 24, 2012 Introduction: The Case for Defensive Equity Strategies Most institutional investment committees meet three to four times per year to review
More informationWeekly Market Commentary
LPL FINANCIAL RESEARCH Weekly Market Commentary November 18, 2014 Emerging Markets Opportunity Still Emerging Burt White Chief Investment Officer LPL Financial Jeffrey Buchbinder, CFA Market Strategist
More informationGlobal House View: Market Outlook
HSBC GLOBAL ASSET MANAGEMENT September 29 Global House View: Market Outlook Contents 1688/HSB1395a Market performance Macro-economic Picture Market Views: high level asset allocation Market Views: Equity
More informationII. Currency & Hedging 1
II. Currency & Hedging 1 Overview This presentation is designed to: 1. Address why currency is a significant consideration for institutional investors: Components of international returns to US investors
More information2015 Market Review & Outlook. January 29, 2015
2015 Market Review & Outlook January 29, 2015 Economic Outlook Jason O. Jackman, CFA President & Chief Investment Officer Percentage Interest Rates Unexpectedly Decline 4.5 10-Year Government Yield 4 3.5
More informationEndowment Funds Performance (Year ending March 31st, 2012)
Endowment Funds Performance (Year ending March 31st, 2012) Investment Management Committee Meeting June 20 th, 2012 (Note: all returns and values are expressed in Canadian Dollars- CAD s) 1 $ M Endowmwent
More informationMANAGING RISK FACTORS TO BUILD A BETTER PORTFOLIO. Investment products: No bank guarantee I Not FDIC insured I May lose value
MANAGING RISK FACTORS TO BUILD A BETTER PORTFOLIO Investment products: No bank guarantee I Not FDIC insured I May lose value Important information Investments in mutual funds involve risk. Stocks may decline
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JUNE 2018 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P 500 S&P
More informationArbitrage Activities between Offshore and Domestic Yen Money Markets since the End of the Quantitative Easing Policy
Bank of Japan Review 27-E-2 Arbitrage Activities between Offshore and Domestic Yen Money Markets since the End of the Quantitative Easing Policy Teppei Nagano, Eiko Ooka, and Naohiko Baba Money Markets
More informationWhy Investors Might Want to Hedge the Euro
WisdomTree Research MARKET INSIGHTS [ August 2012 ] Why Investors Might Want to Hedge the Euro BY JEREMY SCHWARTZ, CFA, DIRECTOR OF RESEARCH, & CHRISTOPHER JABARA, RESEARCH ANALYST To resolve its debt
More informationPost QE2 The Dollar to rally? --- The verdict
Post QE2 The Dollar to rally? --- The verdict Suresh Kumar Ramanathan Regional Rates/FX Strategist suresh.ramanathan@cimb.com +6 03 2084 9775 June 2011 3 camps with 3 different views Gradual exit - Doves
More informationW.E. Donoghue Power Dividend Total Return Index TM (PWRDXTR)
W.E. Donoghue Power Dividend Total Return Index TM (PWRDXTR) A Tactical Dividend Strategy for Today s Low Yield World For more information call: 800 642-4276 S&P 500 Index Since the Turn of the Millennium
More informationPortfolio Peer Review
Portfolio Peer Review Performance Report Example Portfolio Example Entry www.suggestus.com Contents Welcome... 3 Portfolio Information... 3 Report Summary... 4 Performance Grade (Period Ended Dec 17)...
More informationDEVELOPMENTS IN THE COST COMPETITIVENESS OF THE EUROPEAN UNION, THE UNITED STATES AND JAPAN MAIN FEATURES
DEVELOPMENTS IN THE COST COMPETITIVENESS OF THE EUROPEAN UNION, THE UNITED STATES AND JAPAN MAIN FEATURES The euro against major international currencies: During the second quarter of 2000, the US dollar,
More informationJULY 31, ANNUAL REPORT
JULY 31, 2017 2017 ANNUAL REPORT ishares Trust ishares Adaptive Currency Hedged MSCI EAFE ETF DEFA BATS ishares Currency Hedged MSCI ACWI ETF HACW NYSE Arca ishares Currency Hedged MSCI ACWI ex U.S. ETF
More informationEndowment Funds Performance (Year ending Sept 30 th, 2014)
Endowment Funds Performance (Year ending Sept 30 th, 2014) prepared for University Board of Governors (Note: all returns and values are expressed in Canadian Dollars- CAD s) 1 Quarterly Market Overview
More informationPRESS CONFERENCE 2 November 2012
PRESS CONFERENCE 2 November 212 3Q 212 Fund s market value Quarterly numbers, 3 September 212. Billions of kroner 4 3 5 Asset class Value Percentage fund Equities 2 247 6.3% 3 723 4 3 5 3 Fixed Income
More informationCredit Suisse Swiss Pension Fund Index Q1 2018
Credit Suisse Swiss Pension Fund Index Q1 2018 Q1 2018: 1.33% Performance correction in Q1 2018 Negative contribution from all asset classes except real estate and mortgages Equity component shows a fall
More informationSummit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri
Summit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri 63105 314.727.7211 Quarterly Review Global Equity Market Update GLOBAL EQUITY MARKETS CALENDAR YEAR RETURNS 2002 2003 2004 2005
More informationAspiriant Risk-Managed Equity Allocation Fund RMEAX Q4 2018
Aspiriant Risk-Managed Equity Allocation Fund Q4 2018 Investment Objective Description The Aspiriant Risk-Managed Equity Allocation Fund ( or the Fund ) seeks to achieve long-term capital appreciation
More informationAbsolute Return Fixed Income: Taking A Different Approach
August 2015 Absolute Return Fixed Income: Taking A Different Approach Executive Summary Historically low global fixed income yield levels present a conundrum for today s fixed income investors. Increasing
More informationSummit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri Monthly Economic & Capital Market Update
Summit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri 63105 314.727.7211 Monthly Economic & Capital Market Update July 2015 Yield to Maturity Monthly Change Jul-63 Jul-67 Jul-71 Jul-75
More informationSPILA Funds. Fund Performance Booklet. Performance Data. Risk Rating
Performance Data This booklet contains a number of different performance measures and time periods to help you assess the SPILA Funds fund range. The data used to arrive at the figures shown is provided
More informationMonthly Market Snapshot
ly Market Snapshot FEBRUARY 2017 The ly Market Snapshot publication provides commentary on the global economy and the performance of financial markets Key insights In February, economies of the major developed
More informationHedge of least regret: The benefits of managing international equity currency risk with a 50% hedging strategy
INSIGHTS SERIES Perspectives and viewpoints on investing in today s market Hedge of least regret: The benefits of managing international equity currency risk with a 50% hedging strategy Authors Executive
More informationHSBC Collective Investment Trust HSBC Asia Pacific ex Japan Equity Volatility Focused Fund
Important information: The Fund invests mainly in Asia Pacific ex Japan Equity. The Fund is subject to the risks of investing in emerging markets. The Fund may invest in financial derivative instruments
More informationCiti Dynamic Asset Selector 5 Excess Return Index
Multi-Asset Index Factsheet & Performance Update - 31 st August 2016 FOR U.S. USE ONLY Citi Dynamic Asset Selector 5 Excess Return Index Navigating U.S. equity market regimes. Index Overview The Citi Dynamic
More informationMonthly Mutual Fund Report
July, Monthly Mutual Fund Report Statistics for May-June Sales and Redemptions Total assets for all funds increased in May by $9. billion, or., to $.7 trillion. Money market funds had a net cash outflow
More informationCredit Suisse Swiss Pension Fund Index Q3 2015
Credit Suisse Swiss Pension Fund Index Q3 2015 YTD 2015: 1.47% Q3 2015: 1.31% Return on the Credit Suisse Pension Fund Index continues to fall, despite good July performance Annualized returns fall, while
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JULY 2018 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P 500 S&P
More informationPerformance Report October 2018
Structured Investments Indicative Report October 2018 This report illustrates the indicative performance of all Structured Investment Strategies from inception to 31 October 2018 Matured Investment Strategies
More information- Victor Haghani, Founder Elm. Watch the full talk here
"After more than 20 years in finance, from the LSE to Salomon Brothers to LTCM, you d have thought that I d have figured out how to invest my family s savings. Well, it was 2002, I just turned 40, and
More informationINVESTMENT MARKET UPDATE UBC FACULTY PENSION PLAN
INVESTMENT MARKET UPDATE UBC FACULTY PENSION PLAN MIKE LESLIE, FACULTY PENSION PLAN NEIL WATSON, LEITH WHEELER FEBRUARY 11, 2015 Presenters Mike Leslie Executive Director, Investments Faculty Pension Plan
More information> Macro Investment Outlook
> Macro Investment Outlook Dr Shane Oliver Head of Investment Strategy and Chief Economist October 214 The challenge for investors how to find better yield and returns as bank deposit rates stay low 9
More informationDAC Wealth Builder: $10,000 Growth from Inception
DAC Wealth Builder: $10,000 Growth from Inception $13,500 $13,416 $13,000 $12,500 $12,000 $11,500 $11,000 $10,500 $10,000 12/2014 03/2015 06/2015 09/2015 12/2015 03/2016 06/2016 09/2016 12/2016 03/2017
More informationTrend-following strategies for tail-risk hedging and alpha generation
Trend-following strategies for tail-risk hedging and alpha generation Artur Sepp FXCM Algo Summit 15 June 2018 Disclaimer I Trading forex/cfds on margin carries a high level of risk and may not be suitable
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JANUARY 2018 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) -80.00% ABCERI S&P GSCI ER
More informationNationwide Funds. A Nationwide Financial White Paper. Executive summary
Nationwide Funds A Nationwide Financial White Paper Emerging Markets Executive summary Emerging market economies have experienced faster population and economic growth than developed markets; a trend that
More informationINTRODUCTION TO THE FX MARKET MAREN ROMSTAD, BLINDERN, 25 TH MARCH
INTRODUCTION TO THE FX MARKET MAREN ROMSTAD, MRO@NBIM.NO BLINDERN, 25 TH MARCH Agenda Market characteristics Basic theories and models Investment strategies The currency basket of NBIM MARKET CHARACTERISTICS
More informationCredit Suisse Swiss Pension Fund Index Q1 2017
Credit Suisse Swiss Pension Fund Index Q1 217 YTD 217: 2.76% Q1 217: 2.76% Credit Suisse Pension Fund Index starts year at all-time high Allocation to foreign equities at all-time high; allocation to Swiss
More information+ Small caps typically have more direct access to local consumer sectors and local economies
WisdomTree Emerging Markets SmallCap Fund DGS The world economy is increasingly powered by the evolution of the emerging market consumer and growing manufacturing base. At the same time, consumers in developed
More informationQuarterly Report. Nordea 1 GBP Diversified Return Fund. Fund data. Overview. Portfolio Managers. Investment strategy. Third quarter 2018
This report has been produced for professional investors in the UK For professional investors only* Quarterly Report Third quarter 218 Nordea 1 GBP Diversified Return Fund ISIN: LU1224691151 (BI-GBP) Overview
More informationClassification: only to be shown if not public For professional investors only
CM17973 UK Connections matter For professional investors only Erik Rubingh, Managing Director Factor Investments Applying factor investing across asset classes Investment risks The value of investments
More informationSummit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri
Summit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri 63105 314.727.7211 Quarterly Review Global Equity Market Update GLOBAL EQUITY MARKETS CALENDAR YEAR RETURNS 2002 2003 2004 2005
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS SEPTEMBER 2018 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 140.00% 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX
More informationWisdomTree U.S. High Dividend Index CAD Russell 1000 Value Index (CAD) Russell 1000 Value Index (CAD) 7.36% 11.94%
WisdomTree U.S. High Dividend Strategy HID/HID.B In the past few decades, index-based investment strategies have gained traction for obtaining exposure to broad asset classes. Numerous benefits including
More informationCredit Suisse Swiss Pension Fund Index Q2 2017
Credit Suisse Swiss Pension Fund Index Q2 217 YTD 217: 3.94% Q2 217: 1.15% Positive second quarter, with slowdown in June Significant positive contribution from Swiss equities in reporting quarter Sharp
More informationDAC Wealth Protector: $10,000 Growth from Inception
DAC Wealth Protector: $10,000 Growth from Inception $11,600 $11,661 $11,400 $11,200 $11,000 $10,800 $10,600 $10,400 $10,200 $10,000 12/2014 03/2015 06/2015 09/2015 12/2015 03/2016 06/2016 09/2016 12/2016
More informationRupee can gain against Euro But, Rupee can fall against Emerging Currencies Can test 59-58, but can rebound towards
1 Jan-10 Apr-06 Oct-06 Apr-07 Apr-08 Oct-08 Oct-09 Apr-10 Oct-10 Apr-14 May-10 Aug-10 Dec-10 Mar-11 Jul-11 Jan-12 May-12 Aug-12 Dec-12 Mar-13 Jul-13 Jan-14 Aug-01 May-02 Mar-03 Dec-03 Sep-04 Jun-05 Mar-06
More informationState Street Global Advisors SPDR ETFs Chart Pack
State Street Global Advisors SPDR ETFs Chart Pack September 2017 Edition For Public Use Please see Appendix C for more information on investment terms used in this Chart Pack. Chart Pack Table of Contents
More informationCause & FX. The Rationale for the Rupee FOREIGN EXCHANGE STRATEGY. Global. FX Strategy Team. The Indian Rupee
******************************************************************************* FOREIGN EXCHANGE STRATEGY 19 October 2004 Foreign Exchange Strategy Cause & FX The Rationale for the Rupee Global FX Strategy
More informationDXJS WisdomTree Japan Hedged SmallCap Equity Fund
WisdomTree Japan Hedged SmallCap Equity Fund ETF.com segment: Equity: Japan - Small Cap Competing ETFs: SCJ, DFJ Related ETF Channels: Smart-Beta ETFs, Dividend, Currency Hedged, Broad-based, Small Cap,
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JULY 2018 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) -80.00% ABCERI S&P GSCI ER BCOMM
More informationThe role of inflation-linked bonds. September 2004
The role of inflation-linked bonds September 2004 Table of contents Who we are & our experience Inflation linked bonds: characteristics Performance and risks Applications in a portfolio Simulations and
More informationGlobal Convertible Bonds Investment Rationale
Marketing material for professional investors or advisers only Global Convertible Bonds Investment Rationale Strategy overview 10 year Schroders has been offering convertible bond strategies now for ten
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JULY 2017 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P 500 S&P
More informationElectrocomponents 2017 half-year financial results. 18 November 2016
Electrocomponents 2017 half-year financial results 18 November 2016 Agenda Overview of results Lindsley Ruth Financial results and performance update David Egan Performance Improvement Plan Lindsley Ruth
More informationTactical Risks in Strategic Currency Benchmarks By Arun Muralidhar and Philip Simotas FX Concepts, Inc. 1 October 29, 2001.
Tactical Risks in Strategic Currency Benchmarks By Arun Muralidhar and Philip Simotas FX Concepts, Inc. 1 October 29, 2001. Introduction Generally, pension funds or institutional investors make decisions
More informationEvolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets
March 2012 Evolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets Kent Hargis Portfolio Manager Low Volatility Equities Director of Quantitative Research Equities This information
More informationMonthly Market Snapshot
ly Market Snapshot NOVEMBER 2016 The ly Market Snapshot publication provides commentary on the global economy and the performance of financial markets Key insights Equity markets recovered in November
More informationEconWatch. Qualms of forex volatility; strong USD prior to policy tightening in the US. 21 August 2015
EconWatch 21 August 2015 Patricia Oh Swee Ling patricia-oh@ambankgroup.com 603-2036 2240 Qualms of forex volatility; strong USD prior to policy tightening in the US Investment Highlights Qualms of currency
More informationJULY 31, ANNUAL REPORT
JULY 31, 2017 2017 ANNUAL REPORT ishares Trust ishares Currency Hedged MSCI Europe Small-Cap ETF HEUS BATS ishares Edge MSCI Min Vol EAFE Currency Hedged ETF HEFV BATS ishares Edge MSCI Min Vol EAFE ETF
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JANUARY 2019 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 140.00% 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P
More information- Victor Haghani, Founder Elm. Watch the full talk here
"After more than 20 years in finance, from the LSE to Salomon Brothers to LTCM, you d have thought that I d have figured out how to invest my family s savings. Well, it was 2002, I just turned 40, and
More informationMULTI-ASSET CLASS 1 EQUITIES: DEVELOPED COUNTRIES 1 EQUITY EMERGING COUNTRIES 2
10 2 3 6 8 9 13 14 MULTI-ASSET CLASS 1 EQUITIES: DEVELOPED COUNTRIES 1 EQUITY EMERGING COUNTRIES 2 Alpha Current Previous Alpha Current Previous Alpha Current Previous weight weight weight weight weight
More informationUpdate on Oil Prices. Looking at the market s response as the oil price has fallen
Update on Oil Prices Looking at the market s response as the oil price has fallen Introduction and recap Frontier s Capital Markets and Asset Allocation Team (CMAAT) released a publication on oil in December
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS AUGUST 2018 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) -80.00% ABCERI S&P
More informationMulti-Strategy Linear Investments Limited
Multi-Strategy Linear Investments Limited June 2017 Linear Investments Limited Regulated by FCA. Registered in England and Wales No. 07330725 Linear Core Services Established in 2010 and authorised and
More informationFIVE KEYS TO EMERGING MARKET OUTLOOK John Lynch Chief Investment Strategist, LPL Financial Jeffrey Buchbinder, CFA Equity Strategist, LPL Financial
LPL RESEARCH WEEKLY MARKET COMMENTARY KEY TAKEAWAYS We favor emerging market and U.S. equities for tactical asset allocations based primarily on our outlooks for global economic growth and earnings. We
More informationProsper. Fund Performance Booklet. Performance Data. Risk Rating
Performance Data This booklet contains a number of different performance measures and time periods to help you assess the fund range. The data used to arrive at the figures shown is provided by Morningstar.
More informationThe dynamic nature of risk analysis: a multi asset perspective
The dynamic nature of risk analysis: a multi asset perspective Whitepaper Multi asset portfolios with return and volatility targets have a dual focus: return and risk. This means that there are two important
More informationState Street Global Advisors SPDR ETFs Chart Pack
State Street Global Advisors SPDR ETFs Chart Pack April 2018 Edition For Public Use Please see Appendix C for more information on investment terms used in this Chart Pack. Chart Pack Table of Contents
More information3. Global market returns (6 months) 4. Global market returns (1 week) 5. Global Market Risk and Return AU HU ID TH ZA CA NL DK IE MY BE CO PH LU PE
Axioma Risk Monitor AU4 Edition 7 November 2018 1. Global volatility hotspots 2. Global correlation hotspots www.axioma.com Greater than 1% rise over last week Greater than 1% fall over last week Greater
More informationMan AHL Diversified (Guernsey)
Man AHL Diversified (Guernsey) January 2011 AHL a market leading quantitative investment manager Strength through size, capital position, independence and global presence One of the world s largest, independent
More information- Victor Haghani, Founder Elm. Watch the full talk here
"After more than 20 years in finance, from the LSE to Salomon Brothers to LTCM, you d have thought that I d have figured out how to invest my family s savings. Well, it was 2002, I just turned 40, and
More informationLow Correlation Strategy Investment update to 31 March 2018
The Low Correlation Strategy (LCS), managed by MLC s Alternative Strategies team, is made up of a range of diversifying alternative strategies, including hedge funds. A distinctive alternative strategy,
More informationInvestors Have Allocated Less to Value
Investors Have Allocated Less to Value by Over $1 Trillion Compared to 10 Years Ago Equity Asset Under Management $20,000,000,000,000 $18,000,000,000,000 $16,000,000,000,000 $14,000,000,000,000 $12,000,000,000,000
More information