IDS GmbH – Analysis and Reporting Services
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Transcript IDS GmbH – Analysis and Reporting Services
Dr. Luděk Koleček
Fixed Income Risk Controlling
Universität Passau
06.06.2012
2
IDS is a managed service provider operating worldwide
Regions
76% Europe
17% Asia
7% USA
Industry
63% Asset Managers
22% Insurance Companies
10% Banks
5% Other Sectors
IDS GmbH – Analysis and Reporting Services
100% subsidiary of Allianz SE
established in 2001
Structure
63% Allianz Group
37% Third Party
headquarter in Munich, branch in Frankfurt/Main
outposts at client sites in Minneapolis, Hong Kong, San
Francisco; under evaluation:Milan
More than 250 employees from about 30 nations with
sector-specific background
© IDS GmbH – Analysis and Reporting Services
Statistics based on legal entities
as of May 2011
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IDS provides operational investment controlling services
Asset Managers
Banks
Institutional Investors
Portfolio Manager, Fund Accounting
Department, Compliance Officers,
Marketing/Sales, Product Specialists,
Account Manager, Investment Controlling
Compliance Officers, Controller,
Custodian Bank/AMC-Controlling,
Sales/Account Management
COOs/CFOs/CIOs of Insurance
Companies, Pension Funds, Corporate
Treasury, Foundations
Operational Investment Controlling Services
One-stop shop
Flexible and high-grade
Consistent over all reports
Short set-up and processing times
Risk
Performance
Market Risk Measurement
Performance Measurement
Factsheets
Fund Data Hub / GroMiKV
DerivateV / UCITS III-guideline
Performance Attribution
KID
Customized Benchmarks
Market Risk Analysis
Outperformance Fee
Solvency Reporting
Liquidity Reporting
Composite Calculation
Guarantee Fund Controlling
GIPS Service
VAG Reporting: Investment
Funds §54d VAG
Controlling specific market
data (yield and credit curves
for long maturities and illiquid
markets, inflation rates)
Peer Group Analysis
Stock Option Plans
Reporting
Data Management
Major Shareholding
Reporting
Pension Fund Reporting
Customized Reporting
© IDS GmbH – Analysis and Reporting Services
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Agenda
1
2
2
3
4
5
Fixed Income instruments
Duration
Market Risk Models
Multifactor Risk Model (Wilshire Axiom)
Discussion
© IDS GmbH – Analysis and Reporting Services
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What are “Fixed Income Instruments”?
Bonds (government bonds, sovereign bonds, municipal bonds,
corporate bonds, agency bonds), inflation-linked bonds, etc.
Money market instruments (commercial papers)
Asset backed securities ABS (MBS, CDO, CMO,…)
Fixed income derivative instruments Swaps, repos, swaptions,
bond futures, interest rate futures, credit default swaps, currency
forwards,…
INTEREST
© IDS GmbH – Analysis and Reporting Services
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Interest rates
- Yield, Yield to maturity, bonds pricing
-Yield curves
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German sovereign yield curve (Bloomberg 31/05/2012)
© IDS GmbH – Analysis and Reporting Services
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Duration
-Quantification of price sensitivity to
yield
-Macauley Duration: measures
weighted average maturity of cash
flows
-Modified Duration: is a price
sensitivity measure
-Effective Duration: more exact
measure of price sensitivity
© IDS GmbH – Analysis and Reporting Services
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Effective duration (option adjused
duration)
7.0
Bearish Curve
6.0
Rising
5.0
Yield (%)
-The yield curve structure is taken into
account
-The embedded options (optionality) is
taken into account: callable bonds,
putable bonds, prepayment options
Pure Level (d1) Shift (+/- 100 bp)
Falling
4.0
Initial Curve
3.0
Bullish Curve
2.0
1.0
0
Duration „Versions“
5
10
15
20
25
30
Term (Years)
-
Modified duration at call, at worst, as maturity
Duration calculation for Inflation-linked bonds („yield beta“)
-
Spread duration – sensitivity of a bond price to changes in the spread
(credit)
© IDS GmbH – Analysis and Reporting Services
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Convexity
-
Typically the price is a convex function of interest rate changes
Convexity measures the curvature of the price-interest rate function
Mathematically: it is the 2nd derivation of the price with respect to
interest rate
© IDS GmbH – Analysis and Reporting Services
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Credit spread
- Spread is an amount that is added to the government yield curve to obtain
the market price
-Option Adjusted Spread (effective spread) – includes also the bond
optionalities
-Spread Duration
Sensitivity of a bond price to changes in the spread
Principally the same as regular duration.
Differences for floating bonds and mortgage back securities (prepayment)
-Rating
© IDS GmbH – Analysis and Reporting Services
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© IDS GmbH – Analysis and Reporting Services
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© IDS GmbH – Analysis and Reporting Services
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Market Risk
- Ex-post: derived from realized performance figures
Volatility (standard deviation of portfolio returns in the past)
Tracking error (standard deviation of relative portfolio returns, i.e.
difference of portfolio and benchmark returns)
Historic Portfolio/Benchmark holdings during the evaluation period
(e.g. 3 years)
- Ex-ante: derived from a market model
Absolute and relative (volatility and tracking error)
Value at Risk - maximal expected loss amount within a given time
horizon in the future
Current portfolio/benchmark holdings
© IDS GmbH – Analysis and Reporting Services
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Market Risk – Ex-ante Risk Models
- Time Series Models
Forecast of the expected risk on the basis of single security return
time series, like Historical Simulation techniques, Monte-Carlo
techniques
higher forecast accuracy
no explanation of risk sources
high computational effort
- Factor Models
Based on factor returns and factor exposures
lower forecast accuracy
explanation of risk sources available
Prespecified factor models vs. Principle component
© IDS GmbH – Analysis and Reporting Services
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Wilshire AXIOM – Multi Factor Model
Wilshire AXIOM Global Credit Risk Model
-
A model with pre-specified exposure based on observations in the market
between security returns and security characteristics.
Decomposition of security returns into yield, systematic effects and an
idiosyncratic term as
Local
security
return
ri ,t
Yield return
yi ,t
Yield return
comprises both
systematic and
idiosyncratic effects,
to the extent that
security pricing does
as well
© IDS GmbH – Analysis and Reporting Services
Idiosyncratic
return
Systematic factor effects
j
Di , j ,t
Security exposures
to systematic effects,
e.g., duration
j ,t
i ,t
Systematic effects,
e.g., magnitude of
parallel shift in yields
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Term structure factors – shift, twist, butterfly
Pure Level (d1) Shift (+/- 100 bp)
Pure Slope (d2) Shift (+/- 100 bp)
7.0
7.0
Bearish Curve
Bearish Curve
6.0
6.0
Steepening
5.0
Flattening
Rising
Falling
Yield (%)
Yield (%)
5.0
4.0
Initial Curve
4.0
Initial Curve
Bullish Curve
3.0
3.0
Bullish Curve
2.0
2.0
1.0
1.0
0
5
10
15
20
25
0
30
5
10
15
20
25
30
Term (Years)
Term (Years)
Pure Curvature (d3) Shift (+/- 100 bp)
7.0
Bearish Curve
6.0
Bulging
Yield (%)
5.0
Saucering
4.0
Initial Curve
3.0
Bullish Curve
2.0
1.0
0
5
10
15
20
25
30
Term (Years)
© IDS GmbH – Analysis and Reporting Services
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Estimated yield curve changes with D1, D2
and D3
f d t F
1
D
1 y / k
f d
t
t
t
D1 : Ft 1
t
t
D3 :
t
D2 : Ft 1 et / 7
Ft (t / 7) e(1t / 7)
t
Estimated vs. real yield curve change (GBP 09/2011 - 12/2011)
0.2
0.1
0
-0.1
-0.2
-0.3
-0.4
-0.5
-0.6
-0.7
0
5
10
15
Estimated Shift
© IDS GmbH – Analysis and Reporting Services
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25
30
35
yield curves change BB
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Wilshire AXIOM – Multi Factor Model (3) - Overview
Multi Factor Model
Yield
Term Structure Model
Sector
Quality
Currency
Other Spread (Euro
Country, Prepayment,
etc.)
© IDS GmbH – Analysis and Reporting Services
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Wilshire AXIOM – Multi Factor Model (2)
Wilshire AXIOM Global Credit Risk Model – Regression and Covariance Matrix
Returns to each of the factors are estimated with a two-stage crosssectional regression
The first stage includes the D1, D2, and D3 factors for all of the
currencies as well as the euro spread factors
The second stage estimates the credit factors
Regression universe: mainly Merrill Lynch
Regression period: 18 month equally weighted daily data
The covariance matrix is built from the daily estimated factor returns.
New matrices are created each month-end.
Ex-ante tracking error and risk estimates are determined by applying
the calculated sensitivities to the covariance matrix.
© IDS GmbH – Analysis and Reporting Services
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Cross Sectional Regression Process
First regression measures Treasury yield curve shifts by regressing local currency returns
in excess of yield and convexity effects on D1, D2, and D3 on Treasury bonds for each
currency in model:
Second regression measures spread changes by sector and quality buckets by
regressing return in excess of yield, convexity, and D1, D2, and D3 on spread durations
and elasticities for non-Treasury bonds for each currency in model:
© IDS GmbH – Analysis and Reporting Services
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Specific Risk
The specific risk factor coefficients are obtained through a two-step estimation
using the factor return residuals. The basic assumptions about the factor
return residuals specific risk from the regression are:
• The residuals follow a normal distribution.
• The residuals have no correlation with the factor returns.
• The estimated risk is proportional to the spread duration.
Step I : Sector coefficients calibrated with Aaa rated securities.
Step II : Quality coefficients calibrated with non-Aaa rated securities.
© IDS GmbH – Analysis and Reporting Services
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Specific Risk Illustration: Quality Coefficient
© IDS GmbH – Analysis and Reporting Services
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Risk Report
produced by: IDS GmbH
17/04/2012
Ludek Kolecek
++49 89 3800 15139
Risk Report 30/03/2012
Fund 1
Benchmark 1
Portfolio
Benchmark
Portfolio Description
84
SIMCORP:DIM
Base currency:
EUR
Asset type
No. of
Market
investm
Value
ents
Portfolio
Benchmark
Portfolio Database:
208
3,026
Eff
Dur
Spr
Dur
Avg
Cpon
Avg
Life
Yield to
Mat
Rating
Avg
% n.r.
Default
prob(%)
4.4
5.3
5.0
5.4
4.0
4.0
6.3
7.0
3.8
2.7
BBB+
A+
1.16
0.08
0.19
0.06
Rating Allocation in %
PF
MkVal
%
98.1
0.0
0.0
0.1
1.9
Bond
Future
Option
FX
Cash
BM
MkVal
%
100.0
0.0
0.0
0.0
0.0
PF
Eff Dur
Contr
4.1
0.3
0.0
0.0
0.0
Contribution to Effective Duration
BM
Eff Dur
Contr
5.3
0.0
0.0
0.0
0.0
PF
MkVal
%
25.6
12.8
43.6
12.4
4.5
1.2
AAA
AA
A
BBB
High Y
n.r.
BM
MkVal
%
43.8
16.4
30.6
7.7
1.4
0.1
Hedged Currency weights (%)
1.4
PF
BM
80
0.9
1.0
99.5
100
PF
BM
1.2
1.2
0.8
60
0.8
0.6
0.6
0.6
40
0.3
0.4
20
0.2
0.0
0.5
0.0
0
<1Y
1-3Y
3-5Y
5-7Y
7-10Y
10-20Y
>20Y
Sector risk (government by country)
%
Gov
Gov
PF(24)
BM
Gov_Relat Gov_Relat PF(1)
_Oth
BM
Gov_Relat Agenc
PF(13)
BM
Gov_Relat Local_Auth PF(1)
BM
Gov_Relat Sov
PF(3)
BM
Gov_Relat Supra
PF(6)
BM
Corp
Ind
PF(27)
BM
Corp
Util
PF
BM
Corp
Fin
PF(39)
BM
Sec
ABS
PF(38)
BM
Sec
CMBS
PF(11)
BM
Sec
Covered
PF(26)
BM
Sec
CMO
PF(9)
BM
Cash
Cash
PF(10)
BM
27.5
56.4
0.6
0.0
7.7
8.0
1.3
3.0
2.1
1.0
4.1
3.0
8.0
6.7
0.0
1.4
16.5
8.1
8.6
0.1
2.4
0.0
18.3
12.2
1.1
0.0
1.8
0.0
Edur
Contr
1.6
3.5
0.0
0.0
0.3
0.4
0.1
0.1
0.2
0.0
0.6
0.2
0.3
0.3
0.0
0.1
0.4
0.3
0.0
0.0
0.0
0.0
0.6
0.5
0.0
0.0
0.3
0.0
EUR
Other
Effective Duration contribution by sector
Sdur
Contr
1.6
3.5
0.0
0.0
0.3
0.4
0.1
0.1
0.2
0.0
0.6
0.2
0.3
0.3
0.0
0.1
0.6
0.4
0.3
0.0
0.0
0.0
0.7
0.5
0.1
0.0
0.3
0.0
Edur
Contr
0.1
0.2
0.3
0.2
0.2
1.0
0.4
0.4
0.0
1.0
0.8
0.8
0.0
0.0
0.1
0.3
0.1
0.0
0.6
0.2
0.0
0.0
%
AT
BE
DE
ES
FR
IT
LU
NL
PL
YY
Other
PF(1)
BM
PF(3)
BM
PF(2)
BM
PF(8)
BM
PF(1)
BM
PF(13)
BM
PF(2)
BM
PF(2)
BM
PF(1)
BM
PF(6)
BM
PF(9)
BM
1.1
2.9
4.2
3.6
2.4
17.1
9.7
7.2
0.2
15.6
14.5
13.1
1.3
0.1
1.0
4.6
1.3
0.3
4.1
3.0
3.6
3.9
Sdur
Contr
0.1
0.2
0.3
0.2
0.2
1.0
0.4
0.4
0.0
1.0
0.8
0.8
0.0
0.0
0.1
0.3
0.1
0.0
0.6
0.2
0.2
0.2
Gov
PF
BM
Gov_Relat_Oth
Agenc
Local_Auth
Sov
Supra
Ind
Util
Fin
ABS
CMBS
Covered
CMO
Cash
0
0.5
1
1.5
2
2.5
3
3.5
4
Risk (ex-ante) Wilshire Axiom Multi-Factor Model
Tracking Error (in bps)
Risk
Decomposition
Total
Factor Risk
Duration
Term
Sector
Quality
Other spread
Currency
Covariance
Specific Risk
Total Risk PF (in bps)
Total Risk BM (in bps)
20120330
20111230
20120330
20111230
20120330
20111230
105.4
97.1 (85%)
90.3
89.8
28.1
13.1
88.9
4.8
-125.2
41.2 (15%)
261.3
254.4 (95%)
11.4
47.8
28.1
9.0
268.1
9.8
-102.7
60.0 (5%)
280.7
277.4 (98%)
359.4
395.2
70.4
31.8
313.0
4.8
-558.9
42.7 (2%)
386.9
382.1 (98%)
444.6
457.9
65.6
24.6
77.5
9.8
-521.9
60.8 (2%)
340.2
340.1 (100%)
449.2
484.2
47.1
19.7
380.7
0.0
-684.1
7.6 (0%)
332.9
332.8 (100%)
450.0
464.0
43.5
18.3
340.0
0.0
-651.9
7.6 (0%)
92
175
245
260
1 Day VaR (95%) in tsd
TE Risk Decomposition in time
Total Risk and Effective Duration in time
234
80%
198
60%
162
40%
126
20%
90
0%
20110331
20110531
20110729
20110930
20111130
20120131
EFF DUR BM
TR PF
TR BM
400
7.00
366
5.60
332
4.20
298
2.80
Eff Dur
100%
TR in bps
TE in bps
EFF DUR PF
270
264
1.40
20120330
230
Duration
Term
Sector
Quality
OtherSpread
Currency
SpecificRisk
TE
0.00
20110331
20110531
20110729
20110930
20111130
20120131
20120330
Comments
Disclaimer: All details and information contained in this report have been carefully investigated and checked by IDS GmbH – Analysis and Reporting Services (IDS), however IDS does not assume liability for the accuracy and/or completeness of
the content. The content of the report must be considered confidential. The design of the report is subject to copyright ©.
© IDS GmbH – Analysis and Reporting Services
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Risk Report – part 1
© IDS GmbH – Analysis and Reporting Services
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Risk Report – part 2
Sector risk (government by country)
%
Gov
Gov
PF(24)
BM
Gov_Relat Gov_Relat PF(1)
_Oth
BM
Gov_Relat Agenc
PF(13)
BM
Gov_Relat Local_Auth PF(1)
BM
Gov_Relat Sov
PF(3)
BM
Gov_Relat Supra
PF(6)
BM
Corp
Ind
PF(27)
BM
Corp
Util
PF
BM
Corp
Fin
PF(39)
BM
Sec
ABS
PF(38)
BM
Sec
CMBS
PF(11)
BM
Sec
Covered
PF(26)
BM
Sec
CMO
PF(9)
BM
Cash
Cash
PF(10)
BM
27.5
56.4
0.6
0.0
7.7
8.0
1.3
3.0
2.1
1.0
4.1
3.0
8.0
6.7
0.0
1.4
16.5
8.1
8.6
0.1
2.4
0.0
18.3
12.2
1.1
0.0
1.8
0.0
Edur
Contr
1.6
3.5
0.0
0.0
0.3
0.4
0.1
0.1
0.2
0.0
0.6
0.2
0.3
0.3
0.0
0.1
0.4
0.3
0.0
0.0
0.0
0.0
0.6
0.5
0.0
0.0
0.3
0.0
Sdur
Contr
1.6
3.5
0.0
0.0
0.3
0.4
0.1
0.1
0.2
0.0
0.6
0.2
0.3
0.3
0.0
0.1
0.6
0.4
0.3
0.0
0.0
0.0
0.7
0.5
0.1
0.0
0.3
0.0
© IDS GmbH – Analysis and Reporting Services
Effective Duration contribution by sector
%
AT
BE
DE
ES
FR
IT
LU
NL
PL
YY
Other
PF(1)
BM
PF(3)
BM
PF(2)
BM
PF(8)
BM
PF(1)
BM
PF(13)
BM
PF(2)
BM
PF(2)
BM
PF(1)
BM
PF(6)
BM
PF(9)
BM
1.1
2.9
4.2
3.6
2.4
17.1
9.7
7.2
0.2
15.6
14.5
13.1
1.3
0.1
1.0
4.6
1.3
0.3
4.1
3.0
3.6
3.9
Edur
Contr
0.1
0.2
0.3
0.2
0.2
1.0
0.4
0.4
0.0
1.0
0.8
0.8
0.0
0.0
0.1
0.3
0.1
0.0
0.6
0.2
0.0
0.0
Sdur
Contr
0.1
0.2
0.3
0.2
0.2
1.0
0.4
0.4
0.0
1.0
0.8
0.8
0.0
0.0
0.1
0.3
0.1
0.0
0.6
0.2
0.2
0.2
Gov
PF
BM
Gov_Relat_Oth
Agenc
Local_Auth
Sov
Supra
Ind
Util
Fin
ABS
CMBS
Covered
CMO
Cash
0
0.5
1
1.5
2
2.5
3
3.5
4
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Risk report – part 3
Risk (ex-ante) Wilshire Axiom Multi-Factor Model
Tracking Error (in bps)
Risk
Decomposition
Total
Factor Risk
Duration
Term
Sector
Quality
Other spread
Currency
Covariance
Specific Risk
1 Day VaR (95%) in tsd
Total Risk PF (in bps)
Total Risk BM (in bps)
20120330
20111230
20120330
20111230
20120330
20111230
105.4
97.1 (85%)
90.3
89.8
28.1
13.1
88.9
4.8
-125.2
41.2 (15%)
261.3
254.4 (95%)
11.4
47.8
28.1
9.0
268.1
9.8
-102.7
60.0 (5%)
280.7
277.4 (98%)
359.4
395.2
70.4
31.8
313.0
4.8
-558.9
42.7 (2%)
386.9
382.1 (98%)
444.6
457.9
65.6
24.6
77.5
9.8
-521.9
60.8 (2%)
340.2
340.1 (100%)
449.2
484.2
47.1
19.7
380.7
0.0
-684.1
7.6 (0%)
332.9
332.8 (100%)
450.0
464.0
43.5
18.3
340.0
0.0
-651.9
7.6 (0%)
92
175
245
260
TE Risk Decomposition in time
Total Risk and Effective Duration in time
EFF DUR BM
TR PF
TR BM
400
7.00
234
80%
366
5.60
198
60%
332
4.20
162
40%
298
2.80
126
20%
264
1.40
90
20110331
Duration
Eff Dur
100%
TR in bps
TE in bps
EFF DUR PF
270
0%
20110531
Term
20110729
20110930
20111130
20120131
20120330
Sector
Quality
OtherSpread
Currency
SpecificRisk
TE
© IDS GmbH – Analysis and Reporting Services
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0.00
20110331
20110531
20110729
20110930
20111130
20120131
20120330
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Performance Attribution – part 1
produced by: IDS GmbH
05/03/2012
Ludek Kolecek
++49 89 3800 15139
Performance Attribution 30/12/2011 - 31/01/2012 (linked on-change)
Market Value
Return
Fund 1
Benchmark 1
Portfolio
Benchmark
2.66%
1.96%
0.71%
Active
Descriptive Summary
31/01/2012
Market
Value (mio)
No. of
investments
Eff
Dur
Spr
Dur
Avg
Cpon
Avg
Life
Yield to
Mat
Rating
Avg
Portfolio
Benchmark
81
228
2,996
4.8
5.2
5.5
5.3
4.6
4.1
6.7
6.9
4.2
3.0
AA+
Yield
Currency
?
Total
Model
Return
Selection /
Interaction /
Hedge costs
Performance
?
(%)
Effective
Duration
Term
Structure
Sector
Quality
Other
Factors
Portfolio
Benchmark
-0.56
-0.70
0.60
0.76
0.60
0.39
0.16
0.09
1.24
1.02
0.50
0.39
0.00
0.00
2.52
1.94
0.15
0.01
Active
0.14
-0.16
0.21
0.06
0.22
0.11
0.00
0.57
0.13
0.80
Total
2.66
1.96
0.71
0.71
0.70
0.57
0.60
0.50
0.40
0.30
0.20
0.22
0.21
in %
0.14
0.06
0.10
0.13
0.11
0.00
0.00
-0.10
-0.20
-0.16
-0.30
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Performance Attribution – part 2
Attribution detail
Government yield curves changes
0.25
Currency
Active exp.*
Return (%)
Effect
Top 3 contributors
0.20
United Kingdom
0.15
0.00
0.70
0.00
-0.85
0.00
0.00
0.00
-0.03
0.00
United States
0.85
-0.83
0.00
Australia
0.00
2.80
0.00
Euro
0.10
Denmark
yields
0.05
0.00
-0.05
0
5
10
15
20
25
30
-0.10
-0.15
Bottom 2 contributors
-0.20
-0.25
-0.30
years
EUR 12/11 - 01/12
Effective Duration
Sector
source: IDS
AUD 12/11 - 01/12
Active exp.*
USD 12/11 - 01/12
Return (%)
Effect
Top 3 contributors
Euro
0.70
0.18
0.10
0.15
0.60
0.09
United Kingdom Bank/Finance
0.06
0.42
0.02
Euro Supranational
0.24
0.09
0.01
0.02
0.48
0.01
-0.20
0.09
-0.02
0.09
-0.17
-0.01
-0.11
0.04
-0.01
0.02
-0.06
0.00
0.14
United States Finance
United Kingdom
0.07
0.03
0.00
Bottom 4 contributors
Denmark
0.00
-0.38
0.00
Euro Agency
Bottom 2 contributors
Australia Agency
Australia
0.09
-0.02
0.00
Euro Corporate/Industrial
United States
0.04
-0.04
0.00
United Kingdom Corporate/Industrial
Return (%)
Effect
Euro Bank/Finance
-0.13
Active exp.*
Return (%)
Euro Mortgage
-0.08
Term Structure
Active exp.*
Top 5 contributors
Effect
Quality
Top 4 contributors
Active exp.*
Return (%)
Effect
Top 3 contributors
D3 Australia
0.08
0.17
0.01
United Kingdom Baa
0.08
0.30
0.02
D3 United States
0.04
0.21
0.01
Euro Baa
0.03
0.37
0.02
D3 Denmark
0.00
0.23
0.00
United States A
0.08
0.19
0.01
D2 Denmark
0.00
0.07
0.00
Bottom 1 contributor
-0.21
0.02
0.00
Euro A
Bottom 5 contributors
D3 Euro
0.61
0.22
-0.11
D2 Euro
-0.44
-0.05
-0.05
D2 Australia
0.06
-0.29
-0.02
D3 United Kingdom
0.07
-0.05
0.00
Top 5 contributors
D2 United States
0.01
-0.10
0.00
Euro Country: Belgium
-0.22
0.34
0.12
Euro Country: Spain
-0.37
0.38
0.05
Euro Country: Portugal
-0.01
-4.23
0.03
Euro Country: Austria
-0.19
-0.06
0.02
-0.61
0.83
0.02
Yield
PF
BM
Active
Top 3 contributors
Other Factors
Active exp.*
Return (%)
Effect
United Kingdom
0.06
0.00
0.06
Euro Country: Italy
Euro
0.42
0.39
0.03
Bottom 3 contributors
United States
0.01
0.00
0.01
Euro Country: France
-1.18
0.02
-0.02
Euro Country: Netherlands
-0.11
0.03
-0.01
Euro Country: Finland
-0.06
0.05
0.00
No negative contributors
* as of beginning of reporting period
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Dr. Luděk Koleček
+49 89 3800 15139
[email protected]
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