Sentences with phrase «reference portfolio»

In this approach, a dynamic reference portfolio of ETFs that closely mimics the fund is constructed.

Our methodology addresses all of the above problems by comparing each fund against a custom reference portfolio of ETFs.

One variant of this methodology constructs a custom reference portfolio of ETFs with a fixed membership but variable weights that most closely tracks returns of an analyzed fund.

In addition, Alpholio ™ can also include active ETFs in reference portfolios for mutual funds if that improves the accuracy of fund analyses.

This aligns well with the typical monthly frequency of Alpholio ™ updates of reference portfolios for mutual funds.

Here are the ETFs weights in the constrained reference portfolio over the same analysis time span:

In the simplest application of its patented methodology, Alpholio ™ uses an ETF reference portfolio with fixed membership and weights.

(Alpholio ™ calculates such reference portfolios for all US mutual funds on an ongoing basis.)

When compared against the dynamic reference portfolio of exchange - traded products (ETPs) calculated by Alpholio ™, the fund's performance has been unimpressive:

The credit default swap synthetically transfers credit risk on the portion of the $ 6 billion reference portfolio from GSCM to the ISSUER with respect to credit events.»

The fund added a miniscule amount of value over the static reference portfolio but did so at the expense of slightly higher volatility (standard deviation of returns).

The first major trend is the rapid growth of the exchange - traded products (ETPs) that form reference portfolios in the Alpholio ™ analysis.

The latter period aligns with a typical frequency of reference portfolio updates provided by Alpholio ™.

While a wholesale substitution of an ETF with its multi-member reference portfolio may not always be practical, each of these portfolios

The above analyses uncovered reference portfolios for select iShares smart beta ETFs.

This enables Alpholio ™ to provide more and more accurate analysis of funds and portfolios by building better and better reference portfolios.

The following chart with related statistics shows the constant reference portfolio for the fund:

advising in relation to issues surrounding the eligibility of assets included in a CDO reference portfolio, including liaison with the FSA.

Finally, we do not use inverse or leveraged ETPs in reference portfolios, unless absolutely required by the nature of the analyzed fund or portfolio.

The following chart shows ETF weights in the fund's reference portfolio over the same analysis interval:

In contrast, Alpholio ™, through its RealAlpha ™ measure, clearly demonstrates how much value each fund added or subtracted on a truly risk - adjusted basis, i.e. with respect to a dynamic reference portfolio of exchange - traded products (ETPs).

Consequently, they can be analyzed with Alpholio ™'s patented methodology, which constructs a custom reference portfolio of ETFs for each analyzed fund.

To accomplish the latter, let's apply a variant of Alpholio ™'s patented methodology that constructs a custom reference portfolio of ETFs for each analyzed fund.

This static reference portfolio had an annualized standard deviation of 14.9 %.

But that was below the 6 percent return of GIC's reference portfolio of 65 percent global equities and 35 percent bonds.

Risk management and limitation is carried out by means of a system of reference portfolios, guidelines and limits.»

Over the same analysis period, SIZE outperformed THRK, the dominant position in its reference portfolio, in terms of a slightly larger annualized return, as well as higher Sharpe and Sortino ratios:

Since late 2014, the ETF failed to add value over its reference portfolio that had a slightly lower volatility.

The following chart with accompanying statistics depicts the composition of the reference portfolio for the iShares Edge MSCI USA Quality Factor ETF:

The ETF produced a return comparable to that of its reference portfolio, which had a lower volatility.

Although VLUE had a slightly higher annualized return than SPYV (the prevailing ETF in its reference portfolio), it underperformed SPYV in terms of both Sharpe and Sortino ratios:

In other words, instead of investing in carefully - analyzed individual stocks, the fund would do a comparable job investing in a reference portfolio of exchange - traded products (ETPs).

Unlike with the previous iShares smart beta ETFs, no single position was clearly dominant in its reference portfolio.

The next chart depicts ETF membership and weight changes in the reference portfolio over the same analysis period:

The ETF moderately outperformed its reference portfolio, which had a slightly higher volatility.

In addition, this reference portfolio would have a smaller volatility of returns.

In 2013, the reference portfolio continued to be dominated by the iShares Morningstar Large - Cap Growth ETF (JKE; average 12 - month weight of 51.3 %), iShares Morningstar Mid-Cap Growth ETF (JKH; 14.4 %), Vanguard Health Care ETF (VHT; 10.0 %), and PowerShares QQQ ™ ETF (QQQ; 5.4 %).

The fund's reference portfolio has not changed much since the last analysis, except the average historical weight of iShares MSCI Emerging Markets ETF (EEM) became smaller than that of the Vanguard Consumer Staples ETF (VDC):

Even prior to 2009, the fund's cumulative RealAlpha ™ was roughly flat, and since then, the fund mostly failed to beat its reference portfolio of exchange - traded funds (ETFs).

In all of the following analyses, the membership of the reference portfolio was restricted to no more than six ETFs.

Since 2005, investors would have achieved better results with a reference portfolio of ETFs and, in the last several years, higher returns with a comparable index fund.

The following chart shows ETF weights in the reference portfolio for the fund in the same period:

In contrast, let's take a look at the fund's performance from Alpholio ™'s perspective, i.e. using a dynamic reference portfolio of ETFs of a comparable risk as a benchmark:

Since early 2005, the fund's annualized RealAlpha ™ was negative 1.35 % with respect to a reference portfolio of comparable volatility.

A swap agreement could point to a «reference portfolio of lives» chosen from some neutral database, or could point to the actual lives that the plan sponsor is trying to hedge.

The composition of the reference portfolio over this shorter period was different from the previous one, although the top - six equivalent positions also accounted for more than 80 % of holdings.

In this approach, a reference portfolio of ETFs with fixed both membership and weights is constructed such that its returns most closely track those of the fund.

The chart clearly shows that on a cumulative RealAlpha ™ basis, the fund started to underperform its reference portfolio in late 2007, i.e. well before the onset of the financial crisis.

The final chart compares the long - term total return and traditional performance measures of the fund to those of dominant ETFs in its reference portfolios: