Axioma Insight Quarterly Risk Review
|
|
- Kristin Carpenter
- 6 years ago
- Views:
Transcription
1 Axioma Insight Quarterly Risk Review Third-Quarter 2015 Chinese Edition Analysis Date September 30, 2015 Melissa Brown, CFA Diana Rudean, PhD Natan Borshansky 2015 Axioma, Inc. Axioma Insight Quarterly Risk Review 1
2 What s Inside Focus on the Chinese Market Third-Quarter 2015 Overview 5 Factor Returns and Volatility 9 Implications for Tracking Error 13 Correlations and Cross-Sectional Dispersion 14 Sector and Stock Specific Risk 16 Figure 1. Short-Horizon Fundamental Model Predicted Volatility 4 Figure 2. Medium-Horizon Fundamental Model Predicted Volatility 4 Figure 3. Predicted Risk, Four Model Variants 5 Figure 4. Components of Risk, China Fundamental Models 5 Figure 5. Total Risk Spread, CSI Figure 6. Short-Medium Spread, CSI Figure 7. Statistical-Fundamental Spread, CSI Figure 8. Change-In-Risk Decomposition, CSI Figure Month Cumulative Factor Returns, China Fundamental Model 9 Figure 10. Minimum Active Risk Varied by Number of Names 13 Figure 11. Median Realized Asset-Asset Correlations and Percent Negative 14 Figure 12. Cross-Sectional Asset and Factor Dispension 14 Figure 13. Sector Predicted Risk and Contribution to Overall Risk 16 Table 1. Benchmark Predicted Volatility 3 Table 2. Monthly Style Factor Returns 9 Table 3. Style Factor Predicted Risk 10 Table 4. Industry Predicted Risk 11 Table 5. Style-Factor Correlations 15 Table 6. Biggest Changes in Medium-Horizon Fundamental Model Total Risk Axioma, Inc. Axioma Insight Quarterly Risk Review 2
3 Table 1. Benchmark Predicted Volatility, Axioma Fundamental and Macroeconomic¹ Models 2 All benchmarks, at both horizons, saw risk increase, many substantially, during Q3 * FTSE Europe minus FTSE Eurobloc **FTSE Developed Europe minus FTSE Eurobloc ***Portugal, Italy, Ireland, Greece and Spain from FTSE Eurobloc Source: FTSE, Russell Investments, Standard and Poor s, China Securities Index Company Ltd., Axioma Inc. ¹ US only ²Some of the markets Axioma covers do not have official benchmarks, but we are able to back into the risk estimates. For example, FTSE does not have a Euro Crisis index, but we are able to create a derivative by starting with the FTSE Developed Europe index and removing all countries except Portugal, Italy, Ireland, Greece and Spain. The remaining stocks are then reweighted in proportion to their original weights. In this report we will refer to these derivations as benchmarks, although we will only use the provider s name (e.g., FTSE) for their official indices. Source: FTSE, Russell Investments, Standard and Poor s, China Securities Index Company Ltd., Axioma Inc Axioma, Inc. Axioma Insight Quarterly Risk Review 3
4 Figure 1. Short-Horizon Fundamental Model Predicted Volatility China s risk similar to most other benchmarks a year ago stood out by the end of Q3 Figure 2. Medium-Horizon Fundamental Model Predicted Volatility In an unusual twist, Russell 2000 risk fell below Russell 1000 at the end of Q3 * FTSE Europe minus FTSE Eurobloc **FTSE Developed Europe minus FTSE Eurobloc ***Portugal, Italy, Ireland, Greece and Spain from FTSE Eurobloc Source: FTSE, Russell Investments, Standard and Poor s, China Securities Index Company Ltd., Axioma Inc Axioma, Inc. Axioma Insight Quarterly Risk Review 4
5 Focus on the Chinese Market Third-Quarter 2015 Overview Figure 3. Predicted Risk, Four Model Variants, CSI 300 China s risk soared in Q2 and continued to rise in Q3 Figure 4. Components of Risk, China Fundamental Models, CSI 300 Style risk has been extremely variable 2015 Axioma, Inc. Axioma Insight Quarterly Risk Review 5
6 Figure 5. Total Risk Spread, CSI 300 Model disagreement far exceeds that of any of the markets we cover closely The total risk spread is the difference between the highest and lowest risk forecasts from the four model variants (statistical, fundamental, short-horizon and medium-horizon). Figure 6. Short-Medium Spread, CSI 300 as short-horizon forecasts remained high above medium-horizon 2015 Axioma, Inc. Axioma Insight Quarterly Risk Review 6
7 Figure 7. Statistical-Fundamental Spread, CSI 300 and statistical forecasts were well above fundamental, suggesting risk not captured in fundamental factors 2015 Axioma, Inc. Axioma Insight Quarterly Risk Review 7
8 To understand what is driving the change in risk for each benchmark, we look at the contribution to change from each of the underlying components: portfolio composition/weights, portfolio stock characteristics, stock-specific volatility, factor volatility and factor correlations. The overall impact of assetlevel correlations is not seen until we combine these components, so to see the impact of changes in stock correlations we must also decompose the full asset covariance matrix. Figure 8. Change-In-Risk* Decomposition, CSI 300³ Volatilities rose substantially, but higher asset correlations also played a role in the higher risk forecast *China Medium-Horizon Fundamental Model 3 The components of a risk forecast are the portfolio holdings, its factor exposures, the covariance matrix, and stock-specific risk. In order to decompose the change in risk of a benchmark or portfolio, we employ the following methodology: We first look at the impact of the change in holdings, so we use last period s risk model with the current portfolio to calculate a risk forecast, and the difference is attributable solely to the change in holdings. Second, to evaluate the change in stocks characteristics, we update the factor exposures, and again use last period s risk model, but current holdings and exposures. Third, we look at the impact of specific risk changes by using current specific risk estimates but the prior period s covariance matrix. We calculate the impact of changes in correlation by using last period s correlations with all the other data as of the current period. Finally, the residual is the impact of the change in factor volatility. While the ordering described above will affect the results, we find that the results do not change substantially when we change the order. Intuitively we believe that the biggest impact will come from change in factor volatility, and our results bear out our intuition Axioma, Inc. Axioma Insight Quarterly Risk Review 8
9 Factor Returns and Volatility Table 2. Monthly Style Factor Returns, China Fundamental Model Style factor returns were much higher/lower than average in July and August, but settled down by September *Axioma medium-horizon model, January 1999 present Highlighted cells are one standard deviation above or below average Source: Axioma, Inc. Figure Month Cumulative Factor Returns, China Fundamental Model Value had a strong showing for the last 12 months in China Source: Axioma, Inc Axioma, Inc. Axioma Insight Quarterly Risk Review 9
10 Table 3. Style-Factor Predicted Risk, China Fundamental Models All style factors risk was in the top decile relative to history by the end of Q3 The Current Rank vs. History column shows how the quarter-end value compared with month-end values for the style factor since Source: Axioma, Inc Axioma, Inc. Axioma Insight Quarterly Risk Review 10
11 Table 4. Industry Predicted Risk, China Fundamental Models...as was risk for every industry Notes: Industries with risk in the top quartile are highlighted in pink, those with risk in the bottom quartile are highlighted in green. The Current Rank vs. History column shows how the quarter-end value compares with month-end values for the industry since Source: Axioma, Inc Axioma, Inc. Axioma Insight Quarterly Risk Review 11
12 Table 4. Con t. Notes: Industries with risk in the top quartile are highlighted in pink. Those with risk in the bottom quartile are highlighted in green. The Current Rank vs. History column shows how the quarter-end value compares with month-end values for the industry since Source: Axioma, Inc Axioma, Inc. Axioma Insight Quarterly Risk Review 12
13 Implications for Tracking Error Axioma users are often interested in how minimum active risk for a portfolio with a given number of names might have changed as risk changed. To accomplish this we use Axioma s frontier backtest capability, in which our objective is to minimize active risk while varying the number of names in the portfolio. Figure 10. Minimum Active Risk* Varied By Number of Names, CSI 300 The frontier shifted up substantially by mid-year 2015, and continued to rise in Q3 *China Medium-Horizon Fundamental Model 2015 Axioma, Inc. Axioma Insight Quarterly Risk Review 13
14 Correlation and Cross-Sectional Dispersion Figure 11. Median Realized Asset-Asset Correlations and Percent of Correlation That Were Negative, CSI 300 Median correlations neared 15-year highs during Q3 Figure 12. Cross-Sectional Asset and Factor Dispersion, CSI 300 Factor and asset dispersion ended the quarter at just about their long-term average levels 2015 Axioma, Inc. Axioma Insight Quarterly Risk Review 14
15 Table 5. Style-Factor Correlations Changes in many factor correlations were much larger than average during Q3 Source: Axioma, Inc Axioma, Inc. Axioma Insight Quarterly Risk Review 15
16 Sector and Stock-Specific Risk Figure 13. Sector Predicted Risk and Contribution to Overall Risk*, CSI 300 Risk for all sectors increased substantially in Q3, with the biggest gain in Materials *China Medium-Horizon Fundamental Model 2015 Axioma, Inc. Axioma Insight Quarterly Risk Review 16
17 Table 6. Biggest Changes in Medium-Horizon Fundamental Model Total Risk, CSI Largest Increases 20 Largest Decreases Russell 1000 and Russell 2000 are registered trademarks of Russell Investments. Copyright Russell Investments All rights reserved. FTSE Japan Index, FTSE Eurobloc Index, FTSE 350 Index, FTSE Europe Index, FTSE Asia ex-japan Index, FTSE Asia Pacific Index, FTSE North America Index, FTSE Developed Index, FTSE All-World Index; and FTSE Emerging Index are trademarks of FTSE. All rights reserved. S&P, S&P INDICES, and STANDARD & POOR S are registered trademarks of Standard & Poor s Financial Services LLC. CSI 300 is a registered trademark of China Securities Index Co., Ltd. Copyright China Securities Index Co., Ltd All rights reserved Axioma, Inc. Axioma Insight Quarterly Risk Review 17
18 United States and Canada: Europe: +44 (0) Asia: New York Axioma, Inc. 17 State Street Suite 2700 New York, NY Phone: Fax: Hong Kong Axioma, (HK) Ltd. Unit B, 17/F, Entertainment Building 30 Queen s Road Central Hong Kong Phone: Fax: Singapore Axioma, (Asia) Pte Ltd. 30 Raffles Place #23-00 Chevron House Singapore Phone: Fax: London Axioma, (UK) Ltd. 30 Crown Place London, EC2A 4EB Phone: +44 (0) Fax: +44 (0) Atlanta Axioma, Inc. 400 Northridge Road Suite 850 Atlanta, GA Phone: Fax: San Francisco Axioma, Inc. 201 Mission Street Suite 2150 San Francisco, CA Phone: Fax: Geneva Axioma CH Rue du Rhone 69, Floor Geneva, Switzerland Phone: Sales: sales@axioma.com Client Support: support@axioma.com Careers: careers@axioma.com 2015 Axioma, Inc. Axioma Insight Quarterly Risk Review 18
Stress Testing using Factor Risk Models in Axioma Portfolio Analytics
Stress Testing using Factor Risk Models in Axioma Portfolio Analytics November 2013 1 Introduction Portfolio stress testing provides a means to quantify how a portfolio would perform under extreme economic
More informationAxioma United States Equity Factor Risk Models
Axioma United States Equity Factor Risk Models Model Overview Asset Coverage Estimation Universe Model Variants (4) Model History Forecast Horizon Estimation Frequency As of 2013, the models cover over
More informationRisk Has Trended Down... So Should I Be Nervous?
Risk Has Trended Down... So Should I Be Nervous? Presentation to QWAFAFEW Melissa R. Brown, CFA Senior Director of Applied Research, Axioma January 8, 2013 Agenda Risk fell dramatically throughout 2012,
More informationThe Current Risk Landscape. Axioma Insight Findings Melissa R. Brown, CFA
The Current Risk Landscape Axioma Insight Findings Melissa R. Brown, CFA About Axioma Axioma provides portfolio construction, risk modeling and performance attribution tools to asset managers and asset
More informationAxioma Global Multi-Asset Class Risk Model Fact Sheet. AXGMM Version 2.0. May 2018
Axioma Global Multi-Asset Class Risk Fact Sheet AXGMM Version 2.0 May 2018 Axioma s Global Multi-Asset Class Risk (Global MAC ) is intended to capture the investment risk of a multi-asset class portfolio
More informationAxioma AX-WW 2.1 World-Wide Equity Factor Risk Model
May 2011 Model Overview Asset Coverage As of 2011, the model covers roughly 34,000 securities (over 58,000 historically), primarily from the following 48 markets: Argentina Denmark Ireland New Zealand
More informationAxioma Multi-Asset Class Risk Monitor
Analysis Date 2018-06-08 Axioma Multi-Asset Class Risk Monitor Figure 1. Factor Correlations (60 days) and Changes in Correlations (vs previous 60 days) 1. Correlations are unweighted and based on daily
More informationAxioma s Equity Factor Risk Model Suite
Axioma s Equity Factor Risk Model Suite Axioma offers investment professionals the most valuable suite of model capabilities and options available. We are the only provider of fundamental and statistical
More informationNORTH AMERICAN UPDATE
NORTH AMERICAN UPDATE December 6 th, 2018 INNOVATION INSIGHT GROWTH SINCE 1968 TOUGH YEAR FOR RETURNS AROUND THE WORLD Index Year-to-date Performance MSCI World -1.2% MSCI USA 3.9% MSCI Canada -3.9% MSCI
More informationAxioma Research Paper No. 051
Axioma Research Paper No. 051 April 30, 2014 Axioma s Macroeconomic Model: Insights into equity portfolios from a new perspective Melissa Brown, CFA Senior Director, Applied Research Axioma s recently
More informationQuarterly Investment Update First Quarter 2018
Quarterly Investment Update First Quarter 2018 Dimensional Fund Advisors Canada ULC ( DFA Canada ) is not affiliated with [insert name of Advisor]. DFA Canada is a separate and distinct company. Market
More informationAxioma Risk Monitor Developed Europe 2 May 2018
Axioma Risk Monitor Developed Europe 2 May 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 informationAxioma Risk Monitor Developed Europe 4 July 2018
Axioma Risk Monitor Developed Europe 4 July 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 informationGlobal Equity AN EXPANDED OPPORTUNITY SET CREATES ALPHA OPPORTUNITIES
PRICE PERSPECTIVE September 217 In-depth analysis and insights to inform your decision-making. Global Equity AN EXPANDED OPPORTUNITY SET CREATES ALPHA OPPORTUNITIES EXECUTIVE SUMMARY Pension plan sponsors
More informationAxioma s new Multi-Asset Class (MAC) Risk Monitor highlights recent trends in market and portfolio
Introducing the New Axioma Multi-Asset Class Risk Monitor Christoph Schon, CFA, CIPM Axioma s new Multi-Asset Class (MAC) Risk Monitor highlights recent trends in market and portfolio risk. The report
More informationGlobal ex US PE / VC Benchmark Commentary Quarter and Year Ending December 31, 2015
Global ex US PE / VC Benchmark Commentary Quarter and Year Ending December 31, 2015 Overview The Cambridge Associates LLC Global ex US Developed Markets Private Equity and Venture Capital (PE/VC) Index
More informationQuarterly Investment Update First Quarter 2017
Quarterly Investment Update First Quarter 2017 Market Update: A Quarter in Review March 31, 2017 CANADIAN STOCKS INTERNATIONAL STOCKS Large Cap Small Cap Growth Value Large Cap Small Cap Growth Value Emerging
More informationHARNESSING THE POWER OF FACTOR MODELS
HARNESSING THE POWER OF FACTOR MODELS Enabling an Integrated View of Risk and Return Jean-Maurice Ladure, CFA Head of Equity Applied Research in EMEA, MSCI October 2017 2015 MSCI Inc. All rights reserved.
More informationQuarterly Investment Update
Quarterly Investment Update Second Quarter 2017 Dimensional Fund Advisors Canada ULC ( DFA Canada ) is not affiliated with The CM Group DFA Canada is a separate and distinct company Market Update: A Quarter
More informationEUE3 vs. EUE2 July 2009 Model Structure Comparison
EUE3 vs. EUE2 Model Structure Comparison This document compares the re-estimated Barra European Equity Model (EUE3) to its predecessor, EUE2. We compare model structure, asset coverage, factors and descriptors
More informationMore than Just a Second Risk Number:
More than Just a Second Risk Number: UNDERSTANDING AND USING STATISTICAL RISK MODELS Christopher Martin, MFE, Anthony A. Renshaw, PhD, and Chris Canova, CFA Axioma, Inc. July 2016 Executive Summary Although
More informationMarket Overview As of 1/31/2019
Asset Class Leadership Periodic Table Worst Best 78.51 58.21 41.45 37.21 34.47 27.45 26.46 20.58 19.69 29.09 27.58 2 18.88 16.71 15.51 15.12 15.06 11.15 7.84 7.28 4.98 2.64 2.11 0.39-2.91-5.50-13.71 20.14
More informationMarket Overview As of 4/30/2018
Asset Class Leadership Periodic Table Worst Best 5.24-26.16-28.92-36.85-37.00-37.34-38.44-38.54-45.53 78.51 58.21 41.45 37.21 34.47 27.45 26.46 20.58 19.69 29.09 27.58 24.50 18.88 16.71 15.51 15.12 15.06
More informationMarket Overview As of 11/30/2018
Asset Class Leadership Periodic Table Worst Best 5.24-26.16-28.92-36.85-37.00-37.34-38.44-38.54-45.53 78.51 58.21 41.45 37.21 34.47 27.45 26.46 20.58 19.69 29.09 27.58 24.50 18.88 16.71 15.51 15.12 15.06
More information1000G 1000G HY
Asset Class Leadership Periodic Table Worst Best 5.24-26.16-28.92-36.85-37.00-37.34-38.44-38.54-45.53 78.51 58.21 41.45 37.21 34.47 27.45 26.46 20.58 19.69 29.09 27.58 24.50 18.88 16.71 15.51 15.12 15.06
More informationTHERE'S NO SUBSTITUTE FOR SKILL Sourcing active manager performance
ROBERT ALMEIDA Investment Officer MFS Investment Management THERE'S NO SUBSTITUTE FOR SKILL Sourcing active manager performance The views expressed in this presentation are those of the speaker and are
More informationMarket Overview As of 8/31/2017
Asset Class Leadership Periodic Table Worst Best 39.42 16.65 11.81 7.05 6.97 5.49 1.87-0.17-9.78 5.24-26.16-28.92-36.85-37.00-37.34-38.44-38.54-45.53 78.51 58.21 41.45 37.21 34.47 27.45 26.46 20.58 19.69
More informationMarket Overview As of 10/31/2017
Asset Class Leadership Periodic Table Worst Best 39.42 16.65 11.81 7.05 6.97 5.49 1.87-0.17-9.78 5.24-26.16-28.92-36.85-37.00-37.34-38.44-38.54-45.53 78.51 58.21 41.45 37.21 34.47 27.45 26.46 20.58 19.69
More informationGlobal ex US PE / VC Benchmark Commentary Quarter Ending September 30, 2016
Global ex US PE / VC Benchmark Commentary Quarter Ending September 30, 2016 Overview In USD terms, the Cambridge Associates LLC Global ex US Developed Markets Private Equity and Venture Capital Index returned
More informationMETHODOLOGY BOOK FOR:
METHODOLOGY BOOK FOR: - MSCI WORLD SELECT COUNTRIES YIELD LOW VOLATILITY 60 INDEX - MSCI WORLD SELECT COUNTRIES YIELD LOW VOLATILITY 60 5% DECREMENT INDEX May 2018 MSCI.COM PAGE 1 OF 14 CONTENTS 1 Introduction...
More informationFTSE All-World High Dividend Yield
FTSE Russell Factsheet High Dividend Index Data as at: 31 August 2018 bmktitle1 The High Dividend Index comprises stocks that are characterized by higherthan-average dividend yields, and is based on the
More informationTurning Negative Into Nothing:
Turning Negative Into Nothing: AN EXPLANATION OF ADJUSTED FACTOR-BASED PERFORMANCE ATTRIBUTION Factor attribution sits at the heart of understanding the returns of a portfolio and assessing whether a manager
More informationMercados Globales Larrain Vial
Mercados Globales Larrain Vial Investec Asset Management Thanos Papasavvas Head of Currency Management March 2007 Currency Management an alternative source of alpha This presentation has been prepared
More informationChina A-Shares: Too Big to Ignore
RESEARCH SPOTLIGHT China A-Shares: Too Big to Ignore China A-shares make up 34% of the total China investment opportunity set yet are often missing from a typical institutional investor s portfolio due
More informationAxioma Risk Monitor UK Edition 30 January 2019
Axioma Risk Monitor UK Edition 30 January 2019 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 informationInvesting in a Time of (Financial) Repression. Cyril Moullé-Berteaux, Head of Global Asset Allocation
Investing in a Time of (Financial) Repression Cyril Moullé-Berteaux, Head of Global Asset Allocation Overview Positioning for the long-term The growing Yield Bubble Europe outperformance may just be starting
More informationPortfolio Construction Research by
Portfolio Construction Research by Real World Case Studies in Portfolio Construction Using Robust Optimization By Anthony Renshaw, PhD Director, Applied Research July 2008 Copyright, Axioma, Inc. 2008
More informationDFA Global Equity Portfolio (Class F) Quarterly Performance Report Q2 2014
DFA Global Equity Portfolio (Class F) Quarterly Performance Report Q2 2014 This presentation has been prepared by Dimensional Fund Advisors Canada ULC ( DFA Canada ), manager of the Dimensional Funds.
More informationSan Francisco Retiree Health Care Trust Fund Education Materials on Public Equity
M E K E T A I N V E S T M E N T G R O U P 5796 ARMADA DRIVE SUITE 110 CARLSBAD CA 92008 760 795 3450 fax 760 795 3445 www.meketagroup.com The Global Equity Opportunity Set MSCI All Country World 1 Index
More informationChina Onshore Bonds. Insights
Insights China Onshore Bonds China s bond market is the third largest in the world after the U.S. and Japan. There have been positive recent developments to open up the onshore Chinese bond market The
More informationHOW DO YOU DEFINE YOUR BORDERS? THE MODERN INDEX STRATEGY. msci.com
HOW DO YOU DEFINE YOUR BORDERS? THE MODERN INDEX STRATEGY msci.com MSCI DELIVERS THE MODERN INDEX STRATEGY The MSCI EAFE Index is designed to represent the performance of large- and mid-cap securities
More informationDFA Global Equity Portfolio (Class F) Performance Report Q2 2017
DFA Global Equity Portfolio (Class F) Performance Report Q2 2017 This presentation has been prepared by Dimensional Fund Advisors Canada ULC ( DFA Canada ), manager of the Dimensional Funds. This presentation
More informationDFA Global Equity Portfolio (Class F) Performance Report Q3 2018
DFA Global Equity Portfolio (Class F) Performance Report Q3 2018 This presentation has been prepared by Dimensional Fund Advisors Canada ULC ( DFA Canada ), manager of the Dimensional Funds. This presentation
More informationDFA Global Equity Portfolio (Class F) Performance Report Q4 2017
DFA Global Equity Portfolio (Class F) Performance Report Q4 2017 This presentation has been prepared by Dimensional Fund Advisors Canada ULC ( DFA Canada ), manager of the Dimensional Funds. This presentation
More informationHOW DO YOU DEFINE YOUR BORDERS? THE MODERN INDEX STRATEGY. msci.com
HOW DO YOU DEFINE YOUR BORDERS? THE MODERN INDEX STRATEGY msci.com MSCI DELIVERS THE MODERN INDEX STRATEGY The MSCI EAFE Index is designed to represent the performance of large- and mid-cap securities
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 informationReal Estate Investment Beyond(?) the Global Credit Crisis
Real Estate Investment Beyond(?) the Global Credit Crisis James Valente (james.valente@ipd.com) Director, North America November 29 th 2011 2011 ipd.com Overview Variation in regional trends Global investment
More informationQuantitative Measure. February Axioma Research Team
February 2018 How When It Comes to Momentum, Evaluate Don t Cramp My Style a Risk Model Quantitative Measure Risk model providers often commonly report the average value of the asset returns model. Some
More informationDFA Global Equity Portfolio (Class F) Performance Report Q3 2015
DFA Global Equity Portfolio (Class F) Performance Report Q3 2015 This presentation has been prepared by Dimensional Fund Advisors Canada ULC ( DFA Canada ), manager of the Dimensional Funds. This presentation
More informationWhen do enhanced indexation managers add alpha? In previous papers, 1 we identified market circumstances that seem to have a positive
When do enhanced indexation managers add alpha? In previous papers, 1 we identified market circumstances that seem to have a positive Ingrid Tierens New York: 212-357-441 Originally published: October
More informationQuarterly Investment Update
Quarterly Investment Update Third Quarter 2017 Dimensional Fund Advisors Canada ULC ( DFA Canada ) is not affiliated with The CM Group DFA Canada is a separate and distinct company Market Update: A Quarter
More informationIT ONLY TAKES ONE INDEX TO CAPTURE THE WORLD THE MODERN INDEX STRATEGY. msci.com
IT ONLY TAKES ONE INDEX TO CAPTURE THE WORLD THE MODERN INDEX STRATEGY msci.com MSCI DELIVERS THE MODERN INDEX STRATEGY The MSCI ACWI Index, MSCI s flagship global equity benchmark, is designed to represent
More informationFTSE Global Equity Index Series
Methodology overview FTSE Global Equity Index Series Built for the demands of global investors Indexes for a global market The FTSE Global Equity Index Series (FTSE GEIS) includes objective, rules-based
More informationDOES YOUR PORTFOLIO REFLECT EUROPE? THE MODERN INDEX STRATEGY. msci.com
DOES YOUR PORTFOLIO REFLECT EUROPE? THE MODERN INDEX STRATEGY msci.com MSCI DELIVERS THE MODERN INDEX STRATEGY The MSCI Europe Index is designed to represent the performance of large- and mid-cap equities
More informationGround Rules. FTSE Multinational Index Series (Including the Local Index Series) v2.7
Ground Rules FTSE Multinational Index Series (Including the Local Index Series) v2.7 ftserussell.com June 2018 Contents 1.0 Introduction... 3 2.0 Management Responsibilities... 6 3.0 FTSE Russell Index
More informationGlobal Investment Outlook Russ Koesterich, CFA Managing Director, Global Allocation
Global Investment Outlook Russ Koesterich, CFA Managing Director, Global Allocation 6 Asset performance YTD Source: Thomson Reuters Datastream, BlackRock Investment Institute. Apr, 6 Note: Total return
More informationPotential Gains from the Reform Package
Chart 1 Potential Gains from the Reform Package GDP per capita, % 18 16 14 12 8 6 4 2 Ireland Germany Finland Portugal Spain France Greece Note: The estimated cumulative GDP impact from structural reforms
More informationGlobal Consumer Confidence
Global Consumer Confidence The Conference Board Global Consumer Confidence Survey is conducted in collaboration with Nielsen 4TH QUARTER 2017 RESULTS CONTENTS Global Highlights Asia-Pacific Africa and
More informationToward A Bottom-Up Approach in Assessing Sovereign Default Risk
Toward A Bottom-Up Approach in Assessing Sovereign Default Risk Dr. Edward I. Altman Stern School of Business New York University Keynote Lecture Risk Day Conference MacQuarie University Sydney, Australia
More informationMSCI MARKET NEUTRAL BARRA FACTOR INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI MARKET NEUTRAL BARRA FACTOR INDEXES METHODOLOGY November NOVEMBER CONTENTS 1 Introduction... 3 2 Main Characteristics of MSCI Market Neutral Barra Factor Indexes... 4 3 Constructing
More informationGlobal Select International Select International Select Hedged Emerging Market Select
International Exchange Traded Fund (ETF) Managed Strategies ETFs provide investors a liquid, transparent, and low-cost avenue to equities around the world. Our research has shown that individual country
More informationAt the end of this report, we summarize some important Year-End Considerations which employers should be prepared to address.
Global Report December 2009 Retirement Plan Accounting Assumptions at 2009 This report supplements our June 2009 Global Report, which presented the results of Hewitt Associates global survey of 2008 year-end
More informationJP Morgan Diversified Factor Global Developed Equity Index
FTSE Russell Factsheet JP Morgan Diversified Factor Global Developed Equity Index FEATURES Data as at: 31 January 2019 bmktitle1 The JP Morgan Diversified Factor Indexes are comprised of large and mid-cap
More informationExecutive Summary: A CVaR Scenario-based Framework For Minimizing Downside Risk In Multi-Asset Class Portfolios
Executive Summary: A CVaR Scenario-based Framework For Minimizing Downside Risk In Multi-Asset Class Portfolios Axioma, Inc. by Kartik Sivaramakrishnan, PhD, and Robert Stamicar, PhD August 2016 In this
More informationStrong performance for real estate assets
Strong performance for real estate assets Annualized returns, United States, 212 Percent 2 18 16 14 1 year 1 year 12 1 8 6 4 2 REITs Equities Real property Govt bonds CPI T-bills Sources: CBRE, NCREIF.
More informationAll-Country Equity Allocator February 2018
Leila Heckman, Ph.D. lheckman@dcmadvisors.com 917-386-6261 John Mullin, Ph.D. jmullin@dcmadvisors.com 917-386-6262 Charles Waters cwaters@dcmadvisors.com 917-386-6264 All-Country Equity Allocator February
More informationMSCI MARKET NEUTRAL BARRA FACTOR INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI MARKET NEUTRAL BARRA FACTOR INDEXES METHODOLOGY September SEPTEMBER CONTENTS 1 Introduction... 3 2 Main Characteristics of MSCI Market Neutral Barra Factor Indexes... 4 3 Constructing
More informationFTSE Core Infrastructure 50/50 Indexes (AUD)
FTSE Russell Factsheet FTSE Core Indexes (AUD) Data as at: 28 February 2019 bmktitle1 The Index and Index give participants an industry-defined interpretation of infrastructure and adjust the exposure
More informationGLOBAL REAL ESTATE PERFORMANCE IN 2017
RESEARCH INSIGHT GLOBAL REAL ESTATE PERFORMANCE IN 2017 Trends and Insights from MSCI s IPD Global Annual Property Index Bryan Reid May 2018 MAY 2018 CONTENTS Overview... 3 Summary... 3 About the Data...
More informationQuestions and answers about Russell Tax-Managed Model Strategies allocation changes
MAY 11, 2015 Questions and answers about Russell Tax-Managed Model Strategies allocation changes Summary The global financial markets are dynamic, never constant nor predictable. We believe investors should
More informationAll-Country Equity Allocator July 2018
Leila Heckman, Ph.D. lheckman@dcmadvisors.com 917-386-6261 John Mullin, Ph.D. jmullin@dcmadvisors.com 917-386-6262 Allison Hay ahay@dcmadvisors.com 917-386-6264 All-Country Equity Allocator July 2018 A
More informationDow Jones Dividend Indices Methodology
Dow Jones Dividend Indices Methodology S&P Dow Jones Indices: Index Methodology January 2018 Table of Contents Introduction 3 Highlights and Index Family 3 Supporting Documents 4 Eligibility Criteria and
More informationAxioma Risk Monitor Emerging Markets 3 May 2018
Axioma Risk Monitor Emerging Markets 3 May 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 informationNuance Mid Cap Value Fund (NMVLX)
Value Fund (NMVLX) Third Quarter Investment Objective The Value Fund seeks long term capital appreciation. The performance focus is on absolute return and Sharpe vs the Russell Midcap Value, primary benchmark,
More informationWhat s Inside. Geographic Analysis. Constituent Analysis. Performance as of 12/31/16. Three Month
COHEN & STEERS GLOBAL REALTY MAJORS ETF QUARTERLY SCORECARD GRI ETF Stats Ticker: GRI CUSIP: 00162Q 106 NAV per Share^: $41.94 Number of Holdings: 75 Dividend Freqency: Quarterly Gross Expense Ratio: 0.55%
More informationNimbus 9 PORTFOLIO MANAGEMENT
Nimbus 9 STRATEGY HIGHLIGHTS As of 31 December 2017 International Concentrated Equity Strategy Total International Concentrated Equity Strategy Assets: 1 $551.1 million 2 INVESTMENT APPROACH p Seeks long-term
More informationAxioma Risk Monitor Emerging Markets 6 November 2018
Axioma Risk Monitor Emerging Markets 6 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
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 informationAxioma Risk Monitor US4 Edition 26 April 2018
Axioma Risk Monitor US4 Edition 26 April 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 informationAxioma Risk Monitor US4 Edition 3 July 2018
Axioma Risk Monitor US4 Edition 3 July 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 than
More informationMARKET COMMENTARY. Horizon Asia Opportunity Q Commentary. February Horizon Kinetics LLC
Horizon Asia Opportunity Q4 2017 Commentary February 2018 2018 Horizon Kinetics LLC In the fourth quarter of 2017, the Horizon Asia Opportunity Institutional Composite (the Strategy ) gained 7.1%, net
More informationResults Fall Atradius Payment Practices Barometer. International survey of B2B payment behaviour Core results overall survey
Results Fall 2011 Atradius Payment Practices Barometer International survey of B2B payment Core results overall survey 2 Copyright by Atradius N.V. October 2011 Published by Atradius Corporate Communications
More informationMSCI MINIMUM VOLATILITY INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI MINIMUM VOLATILITY INDEXES METHODOLOGY May 2018 MAY 2018 CONTENTS 1 Introduction... 3 2 Characteristics of MSCI Minimum Volatility Indexes... 4 3 Constructing the MSCI Minimum Volatility
More informationGLOBAL PERSPECTIVES ON RISK & RETURN
GLOBAL PERSPECTIVES ON RISK & RETURN Considerations for effective investment strategy Simon Fairchild, Executive Director, MSCI 29 November 216 216 MSCI Inc. All rights reserved. Please refer to the disclaimer
More informationScience & innovation investment framework, A view from the City
UBS Investment Research Science & innovation investment framework, 2004-2014 - A view from the City European Equity Strategy Andrew Barker +44 20 7568 0468 ANALYST CERTIFICATION AND REQUIRED DISCLOSURES
More informationFRESNO COUNTY EMPLOYEES' RETIREMENT ASSOCIATION Franklin Templeton International Equity - Country Allocation & Returns Period Ending: June 30, 2007
FRESNO COUNTY EMPLOYEES' RETIREMENT ASSOCIATION Franklin Templeton International Equity - Country Allocation & Returns Period Ending: June 30, 2007 Franklin MSCI EAFE Index Difference % Countries Weight
More informationPatterns of Global Capital Flow
Patterns of Global Capital Flow Real Estate Capital Flows (from one continent to another) have been more than $100 billion in each of the last three years North America was the largest source of cross-regional
More informationChanges to Price Source, Data Delivery and Holiday Calendars for the FTSE Fixed Income Indexes (formerly the Citi Fixed Income Indexes)
Changes to Price Source, Data Delivery and Holiday Calendars for the FTSE Fixed Income Indexes (formerly the Citi Fixed Income Indexes) FTSE Russell has undertaken various initiatives to integrate the
More informationNimbus 9 PORTFOLIO MANAGEMENT
Nimbus 9 STRATEGY HIGHLIGHTS As of 31 December 2018 International Core Equity Strategy Total International Core Equity Strategy Assets: 1 $29.6 billion 2 INVESTMENT APPROACH p Emphasize companies with
More informationRebalancing International Equities: What to Know. What to Consider.
Success Should Not Be Cyclical Perspective Rebalancing International Equities: What to Know. What to Consider. Executive Summary Diversified investors may be frustrated by the underperformance of their
More informationFTSE Core Infrastructure 50/50 Indexes
FTSE Russell Factsheet FTSE Core Indexes Data as at: 31 December 2018 bmktitle1 The Index and Index give participants an industry-defined interpretation of infrastructure and adjust the exposure to certain
More informationMSCI DIVERSIFIED MULTIPLE-FACTOR INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI DIVERSIFIED MULTIPLE-FACTOR INDEXES METHODOLOGY February 2019 FEBRUARY 2019 CONTENTS 1 Introduction... 3 2 Index Construction Methodology... 4 2.1 Applicable Universe... 4 2.2 Constituent
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 informationSector Models: An Insightful View of Risk and Return
Barra Insight Using Barra Models to Better Understand the Investment Environment Israel Solares-Moya Israel.solares-moya@ An important component of an effective risk model is its ability to evaluate relevant
More informationFAQ. FTSE Global Equity Index Series Index Review Reference Data cut-off dates for 2019
FAQ FTSE Global Equity Index Series Index Review Reference Data cut-off dates for 2019 ftserussell.com January 2019 Contents FTSE Global Equity Index Series Review Schedule 2019... 3 1.0 Data cut-off date
More informationLONG SHORT STRATEGY INDEX ON MSCI JAPAN IMI CUSTOM (GROSS) 85% + CASH (JPY) 15% INDEX* METHODOLOGY
INDEX METHODOLOGY LONG SHORT STRATEGY INDEX ON MSCI JAPAN IMI CUSTOM (GROSS) 85% + CASH (JPY) 15% INDEX* METHODOLOGY * a custom index combining MSCI Japan IMI custom Liquidity and Yield Low Volatility
More informationRules-Based Investing
Rules-Based Investing Disciplined Approaches to Providing Income and Capital Appreciation Potential Focused Dividend Strategy International Dividend Strategic Value Portfolio (A: FDSAX) Strategy Fund (A:
More informationMSCI DIVERSIFIED MULTIPLE-FACTOR INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI DIVERSIFIED MULTIPLE-FACTOR INDEXES METHODOLOGY June 2017 JUNE 2017 CONTENTS 1 Introduction...3 2 Index Construction Methodology...4 2.1 Applicable Universe...4 2.2 Constituent Identification...4
More informationFTSE Developed ex US Comprehensive Factor Index
FTSE Russell Factsheet Comprehensive Index FEATURES Data as at: 31 October 2018 bmktitle1 The Comprehensive Index is a benchmark designed to capture exposure to five factors Quality, Value, Momentum, Low
More information55 East 52nd Street, New York, NY, 10055, U.S.A. BlackRock (Netherlands) B.V. Rembrandt Tower, 17th floor, Amstelplein, Amsterdam, Netherlands
PRESS RELEASE Brussels, 19 June 2018 17:40 (CET) Ageas and : Transparency notification REGULATED INFORMATION In accordance with the rules on financial transparency*, Blackrock has notified Ageas on 14
More information