- Value tilt portfolios that invest in stocks with low valuations like price-to-book ratios have historically outperformed the overall market. There are various methods to construct value tilt indexes and ETFs.
- There are rational explanations for the outperformance like receiving higher returns for bearing additional market risk, as well as behavioral explanations involving investor overreaction. However, some argue the outperformance could be coincidental and may not continue in the future.
- The document discusses several well-known value indexes from providers like MSCI, FTSE, and Russell, and analyzes the characteristics of a hypothetical value tilt portfolio that outperformed with similar risk to the overall market.
The casual analysis of market moves in Q1 2016 does not fully explain the performance of hedge funds over the period. In addition to changes in global macroeconomic conditions and market dynamics over the course of the quarter, hedge fund performance was driven by the impact of momentum and concentration across portfolios and the structure and behavior of multi-strategy funds.
The casual analysis of market moves in Q1 2016 does not fully explain the performance of hedge funds over the period. In addition to changes in global macroeconomic conditions and market dynamics over the course of the quarter, hedge fund performance was driven by the impact of momentum and concentration across portfolios and the structure and behavior of multi-strategy funds.
Global Value Equity Portfolio (March 2011)Trading Floor
This month we have adjusted our Global Value Equity Portfolio to include the reinvestment of gross dividends and introduced dynamic weights for the constituents. This reduces transaction costs, enhances excess return and makes the portfolio easier to replicate for investors.
Are simple indexes cost effective while trying to remain diversified with exposure to various asset classes? This short piece discusses the various costs of indexing using funds that are restricted to different indexes.
This presentation is about using well-known valuation principles in order to discover the stock market's expectation for a given company's stock. I begin by presenting a different take on the market and the best ways gain a competitive advantage for stock selection. Next, I present the PVGO Thought Process and the key factors that affect the formula. Finally, I walk through examples of using the PVGO Thought Process by analyzing the S&P 500, as well as in analyzing a stock that I would by today, McDonald's (NYSE:MCD).
The Risk and Return of the Buy Write Strategy On The Russell 2000 IndexRYAN RENICKER
Actionable trade ideas for stock market investors and traders seeking alpha by overlaying their portfolios with options, other derivatives, ETFs, and disciplined and applied Game Theory for hedge fund managers and other active fund managers worldwide. Ryan Renicker, CFA
The under-performing of value stocks and lowering of interest rates has compelled the investment managers to re-rate their strategies. Download the report by investment research experts at Aranca on value investing here!
Julia Butler - The Fiduciary Group - Best Practices for Meeting Fiduciary Dut...Downey Brand LLP
In her presentation at the 2015 Savannah Fiduciary Seminar, Julia Butler of the Fiduciary Group describes how plan sponsors, trustees, and investment committees can best meet their fiduciary duties to manage the plan’s investments. She outlines what should be in an effective Investment Policy Statement, and lays out the fiduciary processes to select, monitor, and replace the plan’s investment options. She also explains how a Section 3(38) fiduciary investment advisor can significantly reduce or eliminate a plan sponsor’s fiduciary liability for plan investments.
Global Value Equity Portfolio (March 2011)Trading Floor
This month we have adjusted our Global Value Equity Portfolio to include the reinvestment of gross dividends and introduced dynamic weights for the constituents. This reduces transaction costs, enhances excess return and makes the portfolio easier to replicate for investors.
Are simple indexes cost effective while trying to remain diversified with exposure to various asset classes? This short piece discusses the various costs of indexing using funds that are restricted to different indexes.
This presentation is about using well-known valuation principles in order to discover the stock market's expectation for a given company's stock. I begin by presenting a different take on the market and the best ways gain a competitive advantage for stock selection. Next, I present the PVGO Thought Process and the key factors that affect the formula. Finally, I walk through examples of using the PVGO Thought Process by analyzing the S&P 500, as well as in analyzing a stock that I would by today, McDonald's (NYSE:MCD).
The Risk and Return of the Buy Write Strategy On The Russell 2000 IndexRYAN RENICKER
Actionable trade ideas for stock market investors and traders seeking alpha by overlaying their portfolios with options, other derivatives, ETFs, and disciplined and applied Game Theory for hedge fund managers and other active fund managers worldwide. Ryan Renicker, CFA
The under-performing of value stocks and lowering of interest rates has compelled the investment managers to re-rate their strategies. Download the report by investment research experts at Aranca on value investing here!
Julia Butler - The Fiduciary Group - Best Practices for Meeting Fiduciary Dut...Downey Brand LLP
In her presentation at the 2015 Savannah Fiduciary Seminar, Julia Butler of the Fiduciary Group describes how plan sponsors, trustees, and investment committees can best meet their fiduciary duties to manage the plan’s investments. She outlines what should be in an effective Investment Policy Statement, and lays out the fiduciary processes to select, monitor, and replace the plan’s investment options. She also explains how a Section 3(38) fiduciary investment advisor can significantly reduce or eliminate a plan sponsor’s fiduciary liability for plan investments.
Why Emerging Managers Now? - Infusion Global Partners WhitepaperAndrei Filippov
Traditional asset classes appear to offer uninspiring beta returns at present, and recent years’ hedge fund returns have disappointed both in magnitude and diversification benefits, likely reflecting capacity pressures associated with the concentration of AUM and inflows with larger funds. We argue that, by contrast, Emerging hedge funds offer a rich opportunity set with far fewer capacity issues where skilled managers with concrete competitive advantages in less efficient, smaller capitalization market segments can generate better, more sustainable and less correlated excess returns. Emerging managers do involve more investment and operational risk than larger peers; to that challenge we offer some suggestions on a thoughtful and rigorous approach to constructing an Emerging Managers allocation and balancing effective due diligence with scalability.
The much-heralded decoupling of the financial markets between developed, emerging and frontier markets met its nemesis in the 2008/9 global financial crisis- The Great Recession. For the believer in a diversified global basket of stocks or indices this came as a crushing blow. This notwithstanding, we still believe that a globally-diversified passive buy-and-hold strategy provides the best chance at maximising net investment return. We test this empirically.
Proactive Alternatives strategies for the sophisticated HNW investor with actively managed accounts. A currency hedge works well against rising interest rate volatility.
The paper opens with an overview of the
commodity trading advisor (CTA) sector, highlighting the
significant growth that has taken place in the managed
futures industry in recent years and explaining how
the managed futures strategies that CTAs employ
work in practice. The breadth of sub-strategies under
the managed futures umbrella are then examined.
The third part of the paper examines the benefits and
perceived risks to investors of allocating to managed
futures strategies and also addresses various common
misunderstandings about CTAs.
The paper concludes by exploring the common ways
as to how investors can access the various investment
strategies that are available
Similar to 2012 what drives value tilt portfolios overperformance (20)
Turin Startup Ecosystem 2024 - Ricerca sulle Startup e il Sistema dell'Innov...Quotidiano Piemontese
Turin Startup Ecosystem 2024
Una ricerca de il Club degli Investitori, in collaborazione con ToTeM Torino Tech Map e con il supporto della ESCP Business School e di Growth Capital
What price will pi network be listed on exchangesDOT TECH
The rate at which pi will be listed is practically unknown. But due to speculations surrounding it the predicted rate is tends to be from 30$ — 50$.
So if you are interested in selling your pi network coins at a high rate tho. Or you can't wait till the mainnet launch in 2026. You can easily trade your pi coins with a merchant.
A merchant is someone who buys pi coins from miners and resell them to Investors looking forward to hold massive quantities till mainnet launch.
I will leave the what's app number of my personal pi vendor to trade with.
+12349014282
2. Elemental Economics - Mineral demand.pdfNeal Brewster
After this second you should be able to: Explain the main determinants of demand for any mineral product, and their relative importance; recognise and explain how demand for any product is likely to change with economic activity; recognise and explain the roles of technology and relative prices in influencing demand; be able to explain the differences between the rates of growth of demand for different products.
how to sell pi coins effectively (from 50 - 100k pi)DOT TECH
Anywhere in the world, including Africa, America, and Europe, you can sell Pi Network Coins online and receive cash through online payment options.
Pi has not yet been launched on any exchange because we are currently using the confined Mainnet. The planned launch date for Pi is June 28, 2026.
Reselling to investors who want to hold until the mainnet launch in 2026 is currently the sole way to sell.
Consequently, right now. All you need to do is select the right pi network provider.
Who is a pi merchant?
An individual who buys coins from miners on the pi network and resells them to investors hoping to hang onto them until the mainnet is launched is known as a pi merchant.
debuts.
I'll provide you the what'sapp number.
+12349014282
Yes of course, you can easily start mining pi network coin today and sell to legit pi vendors in the United States.
Here the what'sapp contact of my personal vendor.
+12349014282
#pi network #pi coins #legit #passive income
#US
how to swap pi coins to foreign currency withdrawable.DOT TECH
As of my last update, Pi is still in the testing phase and is not tradable on any exchanges.
However, Pi Network has announced plans to launch its Testnet and Mainnet in the future, which may include listing Pi on exchanges.
The current method for selling pi coins involves exchanging them with a pi vendor who purchases pi coins for investment reasons.
If you want to sell your pi coins, reach out to a pi vendor and sell them to anyone looking to sell pi coins from any country around the globe.
Below is the what'sapp information for my personal pi vendor.
+12349014282
The secret way to sell pi coins effortlessly.DOT TECH
Well as we all know pi isn't launched yet. But you can still sell your pi coins effortlessly because some whales in China are interested in holding massive pi coins. And they are willing to pay good money for it. If you are interested in selling I will leave a contact for you. Just what'sapp this number below. I sold about 3000 pi coins to him and he paid me immediately.
+12349014282
This presentation poster infographic delves into the multifaceted impacts of globalization through the lens of Nike, a prominent global brand. It explores how globalization has reshaped Nike's supply chain, marketing strategies, and cultural influence worldwide, examining both the benefits and challenges associated with its global expansion.
PPrreesseenntteedd bbyy:: GGrroouupp 66
GGlloobbaalliizzaattiioonn
o f
PP
oo
ll
yy
ee
ss
tt
ee
rr
RR
uu
bb
bb
ee
rr
EE
tt
hh
yy
ll
ee
nn
ee
VV
ii
nn
yy
ll
AA
cc
ee
tt
aa
tt
ee
GG
ee
nn
uu
ii
nn
ee
LL
ee
aa
tt
hh
ee
rr
SS
yy
nn
tt
hh
ee
tt
ii
cc
LL
ee
aa
tt
hh
ee
rr
CC
oo
tt
tt
oo
nn
C
o
u
n
t
r
i
e
s
I
n
v
o
l
v
e
d
Ni
k
e
h
a
s
m
o
r
e
t
h
a
n
7
0
0
s
h
o
p
s
i
n
c
o
n
t
r
a
c
t
w
i
t
h
w
o
r
l
d
w
i
d
e,
w
h
e
r
e
i
n
t
h
e
i
r
offi
c
e
s
a
n
d
i
n
d
e
p
e
n
d
e
n
t
fa
c
t
o
r
y
o
u
t
l
e
t
s
a
r
e
fo
u
n
d
w
i
t
h
i
n
t
h
e
p
r
e
m
i
s
e
s
of
ap
p
r
o
x
i
m
a
t
e
l
y
4
5
c
o
u
n
t
r
i
e
s.
AAuussttrraalliiaa
China
India
IInnddoonneessiiaa
TThhaaiillaanndd
TTuurrkkeeyy
USA
VViieettnnaamm
NNiikkee SSuuppppllyy CChhaaiinn
RRuubbbbeerr,, FFaabbrriicc
aanndd ootthheerr rraaww
mmaatteerriiaallss
Shoe
MMaannuuffaaccttuurriinngg
aanndd AAsssseemmbbllyy
MMaarrkkeettiinngg
SSppoorrttiinngg ggooooddss,,
ddeevveellooppmmeenntt
aanndd SShhooee ssttoorreess
OOnnlliinnee,, CCaattaalloogg
aanndd ootthheerr rreettaaiill
NNiikkee bbrraannddeedd
shoes
PPrroodduucctt
ddeevveellooppmmeenntt
CCuussttoommeerr nneeeeddss//wwaannttss ffeeeeddbbaacckk
NNiikk
Nike Supply Chain
Globalization of Nike
Nike Manufacturing Process
Rubber Materials Nike
Ethylene Vinyl Acetate Nike
Genuine Leather Nike
Synthetic Leather Nike
Cotton in Nike Apparel
Nike Shops Worldwide
Nike Manufacturing Countries
Cold Cement Assembly Nike
3D Printing Nike Shoes
Nike Product Development
Nike Marketing Strategies
Nike Customer Feedback
Nike Distribution Centers
Automation in Nike Manufacturing
Nike Consumer Direct Acceleration
Nike Logistics and Transport
when will pi network coin be available on crypto exchange.DOT TECH
There is no set date for when Pi coins will enter the market.
However, the developers are working hard to get them released as soon as possible.
Once they are available, users will be able to exchange other cryptocurrencies for Pi coins on designated exchanges.
But for now the only way to sell your pi coins is through verified pi vendor.
Here is the what'sapp contact of my personal pi vendor
+12349014282
2012 what drives value tilt portfolios overperformance
1. Part of State Street’s Vision thought leadership series
SSgA CAPITAL INSIGHTS THE EXCHANGE
What Drives Value Tilt
Portfolios’ Overperformance?
Markowitz and Sharpe’s Modern Portfolio Theory has notably
focused on the concept of efficient portfolios and the Capital Asset
Pricing Model, where any additional return from a market-cap
portfolio has an additional cost in terms of risk. Subsequent work
by Fama and French has since identified two further risk premia
that appear to provide additional structural return: the small cap
and the value premia.
Whereas the small-cap premium may be explained in terms
of beneficial low liquidity and high cost, the value premium
although apparently consistent, can be more difficult to
explain. The value premium can be captured through several
methodologies. Several academic explanations of value’s
overperformance, with both rational and irrational bases,
have been proposed. It does seem clear, however, that value
overperformance can be linked to
market risk.
Construction
At a basic level, value indexes tilt the market-cap portfolio
towards low valuation stocks. Low valuation stocks are defined
as having a low price relative to any fundamental accounting
figure. Historically, the typical figure used has been the
price-to-book ratio. This ratio was used to create one of the
first value and growth indexes.
Dividends may also be considered, and the index then becomes
a low price-to-dividend index, also known as a high dividend
yield index. Other common fundamental metrics are earnings,
sales or cash flow.
The weighting scheme can be a tilt applied to the market-cap
portfolio, or to an equal-weighted portfolio or it may be
constructed from an optimization. The universe can be the full
initial universe, half of it, in case of a value and growth index,
or a lower proportion, in the case of a high dividend yield index.
Although the basic idea is simple, there is now a proliferation of
value indexes in the market.
The Value Tilt Portfolio
Consider a Value Tilt portfolio that can be constructed by
splitting the investable universe into 20 market capitalization
buckets of 5% each, ranked by valuation. Each bucket is
then tilted according to the bucket valuation versus the total
average valuation. The valuation is computed using the 5-year
exponential average of 5 factors: sales, earnings, dividends,
book value and cash flow. This Value Tilt Portfolio is readjusted
once a year.
by
Frederic Jamet
Head of Investments, SSgA France
2. SSgA CAPITAL INSIGHTS | VALUE TILT PORTFOLIO
2
Overview of Available Value Indexes
Three of the Most Well-known Value indexes
FTSE RAFI Index Series Fundamentally-weighted index series developed in partnership with Research Affiliates LLC;
securities are ranked by the following four factors: dividends, cash flow, sales and book value.
MSCI Value Weighted Indices Alternatively-weighted indices where constituents are weighted by valuation factors including: sales,
earnings, cash earnings and book value; available for a number of MSCI Global Indices.
Russell Fundamental Indices Fundamentally-weighted index series developed in partnership with Research Affiliates LLC;
securities are ranked by the following three factors: adjusted sales, operating cash flow and
dividends plus buybacks.
Different Versions Also Available:
FTSE ActiveBeta Index Series Alternatively-weighted indices that were developed in partnership with Westpeak Global Advisors and
are constructed by ranking securities by value and momentum factors; index universes are derived
from FTSE’s All-World Index Series.
FTSE GWA Index Series Wealth-weighted indices developed in partnership with Global Wealth Allocation (GWA); constituents
are chosen based on their fundamentals: book value, cash flow and net income.
MSCI Factor Indices Alternatively-weighted, optimized indices, which utilize Barra’s risk model. Long-only factor indices
include momentum and value tilts; the base universe is the MSCI Europe Index.
Long-short factor indices include momentum, volatility, leverage, value, and earnings yield;
the base universes are MSCI Europe and MSCI USA.
MSCI Value and Growth Indices Market capitalization-weighted indices that generally categorize companies as growth or value based
on the following: Growth—high sales growth, high earnings change to price and momentum in the
current market; Value—high book value-to-price ratios, high earnings-to-price ratios and high
sales-to-price ratios.
Russell Value Indices Market capitalization-weighted indices that includes companies with lower price-to-book ratios and
lower forecasted growth values.
SP Growth and Value Indices Market capitalization-weighted indices that generally categorize companies as growth or value based
on the following: Growth—high sales growth, high earnings change to price and momentum in the
current market; Value—high book value-to-price ratios, high earnings-to-price ratios and high sales-
to-price ratios.
High Dividend Yield Indexes Considered to be a
Form of Value Index:
FTSE High Dividend Yield Index Dividend yield weighted index that was created in partnership with Vanguard; index consists of
stocks that have reported higher-than-average historical dividend yield. Index universe is based on
the US component of the FTSE Global Equity Index Series (GEIS).
MSCI High Dividend Yield Indices Family of dividend yield-weighted indices that consists of stocks that have historically yielded
higher than average dividend yields; can be based on all MSCI Developed Market Country and
Regional Indices.
SP Dividend Opportunities Indices Dividend yield-weighted indices that are comprised of historically high dividend paying companies;
index family includes: ASX Australia, CITIC China A-Share, Emerging Markets, Europe, Global,
International and Pan Asia indices.
SP High Yield Dividend Aristocrats Index Dividend yield-weighted index that is comprised of 60 companies with the highest dividend yields in
the SP Composite 1500 that have a consistent record of increasing dividend payments each year
over a period of 25 years.
Most of these indexes have tended to overperform in the long run.
The relative consistency of the several possible tilts is illustrated in Figure 1.
3. SSgA CAPITAL INSIGHTS | VALUE TILT PORTFOLIO
3
The analysis of the characteristics of the Value Tilt Portfolio
shows that this implementation can achieve the desired low
valuation tilt through a number of improvements over the
benchmark—higher dividend yield, lower Price/Earning, lower
Price/Cash Flow, lower Price/Book and lower Price/Sales.
The factor exposure that the Value Tilt Portfolio expresses can
be viewed through the Axioma factorial model. Axioma reports a
high exposure on the Axioma value factor and low exposure on
the Axioma growth factor.
This Hypothetical Value Tilt Portfolio has predominantly
overperformed for the past 22 years. Advantageously, from a
risk point of view the volatility, or the maximum drawdown of the
portfolio, remains in line with the MSCI World indexes.
Academic Explanation of Drivers of the Value Tilt Overperformance
From the above figures, it seems that value strategies have clearly
tended to overperform over the past 20 years, though there are
periods when value strategies can significantly underperform.
What are the possible drivers for this, and is it reasonable
to believe that those drivers are going to deliver similar
overperformance in the future?
The explanations can be grouped into 3 categories.
The first explanation is that the overperformance is coincidental.
The market is fully efficient and the market portfolio is
the best portfolio on the long term. Overperformance is a
coincidence relative to the period, and there is no reason for
this overperformance to continue in the future. If the market is
split between value and growth, in a certain period of time, one
style will overperform the other style; there may be no structural
reason for this. Malkiel (2005) supports this view with the
strong argument that there is no empirical evidence of any fund
having beat the market on a consistent basis. However, there
remains the long-term (more than 50 years) evidence of value
overperformance that would have to be explained away.
The second explanation is rational. The value tilt overperforms on
a structural basis but this overperfomance is the price paid for an
Figure 2: Characteristics of Hypothetical Value Tilt Portfolio
Characteristics Value Tilt MSCI World
Market Capitalization Average 66,213 69,905
Dividend Yield 3.41 2.87
Price/Earnings 11.79 12.72
P/E using FY1 Est. 10.81 11.78
Price/Cash Flow 8.88 10.48
Price/Book 5.41 6.59
Price/Sales 1.65 6.34
Source: SSgA, Factset. As of Dec 2011.
Past performance is not a guarantee of future results.
Characteristics are as of the date indicated, are subject to change, and should not be relied
upon as current thereafter.
Figure 3: Factor Exposure of Hypothetical Value Tilt Portfolio
Factor Exposure
Value Tilt
(%)
MSCI World
(%)
Difference
(%)
Value 15 -1 17
Leverage 5 0 6
Exchange Rate Sensitivity 0 -4 4
Short-Term Momentum 15 13 3
Volatility -7 -6 -1
Size 23 24 -1
Liquidity 18 26 -8
Medium-Term Momentum -4 6 -10
Growth -16 0 -16
Source: SSgA, Axioma. As of Dec 2011.
Above factor exposures are as of the date indicated, are subject to change,
and should not be relied upon as current thereafter.
Figure 1: Characteristics of Selected Value Indexes
Statistics Over 11/95–11/10
MSCI
World Index
MSCI World
Value Weighted
MSCI World BV
Value Weighted
MSCI World
Earnings Weighted
MSCI World Cash
Earnings Weighted
MSCI World
Sales Weighted
MSCI World
Dividend Weighted
Case Number 1 2 3 4 5 6 7
Return (%) 5.69 7.04 5.69 7.70 7.22 7.75 7.73
Risk (%) 16.10 16.80 17.80 16.50 16.10 16.70 16.10
Return / Risk 0.35 0.42 0.33 0.47 0.45 0.46 0.48
Tracking error (%) 0.00 3.54 3.76 3.52 2.82 3.73 4.60
t-stat 5.19 0.66 7.38 6.78 7.25 5.56
Source: MSCI
Past performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Characteristics are as of the date indicated, are subject to change, and should not be relied upon as current thereafter.
4. SSgA CAPITAL INSIGHTS | VALUE TILT PORTFOLIO
4
additional risk. This risk is not the basic risk of additional volatility
since it appears the volatility of the value tilt is comparable to the
volatility of the benchmark. The market is simply a more complex
framework than the classical CAPM. Fama and French (1996)
have developed this view through the 3 factors model where value
and size factors appear as additional risk premiums.
The third explanation has a behavioural basis. According to
behaviouralists, investors are not fully rational and tend to
overreact or are subject to irrational psychological bias. For
example, by extrapolating past performances, value stocks tend
to be too cheap and growth stocks tend to be too expensive.
When the overreaction is reversed, value stocks tend to
overperform growth stocks. Or substantial sales may be initiated
by some investors with other investors simply following this
trend; a behavior known as herding. A more recent approach
has been developed under the Noisy Market Hypothesis.
According to it, some trading activities are motivated by reasons
not related to price, and lead to distortions in price. Using a
fundamental approach may give an unbiased exposure. Arnott
(2005) has developed a new indexing approach following
this route.
Is the Hypothetical Value Tilt Portfolio Overperformance Linked
to Market Conditions?
Value Tilt strategy overperformance does not seem to
result in additional volatility. However, is it possible that the
overperformance is linked with a risk that appears only in
stressed markets? The Value Tilt Portfolio would then have no
overperformance in a quiet market.
We consider two quiet markets here: the low volatility market
and the high performance market. Low volatility months are
months where the past one-year volatility is below the average
one year volatility over the entire period. The high performance
months are the months where the past one-year performance
is above the average one-year performance over the entire
period. This is an ex post criteria—and as such is not an active
model for a portfolio—but simply a way to split the entire period
into stressed periods (higher volatility and lower performance
than average) and quiet periods (low volatility and higher
performance than average).
The High Performance Value Tilt portfolio is invested in the
Value Tilt portfolio in high performance markets and in the
MSCI World index in low performance markets.
Similarly, the Low Volatility Value Tilt portfolio is invested in the
Value Tilt portfolio in low volatility markets and in the MSCI
World index in high volatility markets.
It appears that the high performance value tilt portfolio or
the low volatility value tilt portfolios have returns and risks
comparable to the MSCI World. The greatest part of the value
tilt portfolio’s overperformance is achieved during stressed
markets, when volatility is high and performance is low.
The value premium, then, could be interpreted as a premium for
investors who are able to buy or to stay invested during periods
of stressed markets when the pressure to not invest or to sell is
higher. This pressure could be psychological, in which case the
explanation of the value premium is more behavioural, or it could
be material (legal risk ratio or risk of bankruptcy for instance), in
which case the explanation of the value premium is more rational.
Figure 5: Characteristics of Hypothetical Value Tilt Portfolio
(Gross of Fees)
Back-tested
Returns and Risk
Characteristics
Value Tilt
(%)
High
Performance
(%)
Low Volatility
Value
Tilt (%)
MSCI
World (%)
Annual Return 8.00 6.77 6.51 6.13
Volatility 15.97 15.66 15.60 15.68
Frequency of Value
Tilt Invested
100 63 51 0
Source: SSgA. From 1989 to 2011, in USD.
Figure 6: Relative Value Tilt Performance in Diverse Environments
(From Base 1)
Source: MSCI, Factset.
2
0
4
6
8
10
Jan
1989
2009 Jan
2011
200520011993 1997
— Value Tilt
— High Performance Value Tilt
— Low Volatility Value Tilt
— Msci World
Figure 4: Drawdown and Return Characteristics of Hypothetical
Value Tilt Portfolio (Gross of Fees)
Back-tested Returns
Characteristics
Value Tilt
(%)
MSCI World
(%)
Difference
(%)
Annual Return 8.00 6.13 1.87
Volatility 15.97 15.68 0.29
Max Drawdown -58.80 -53.70 -5.17
Tracking error 3.79
Source: SSgA. From 1989 to 2011, in USD.