Accounting for Geographic Exposure in Performance and Risk Reporting for Equity Portfolios

Accounting for Geographic Exposure in Performance and Risk Reporting for Equity Portfolios — March 2015

Table of Contents

Executive Summary..........................................................................................................5

Introduction...................................................................................................................... 13

Section 1: Data and Methodology......................................................................................17

Section 2: Application to Performance and Risk Reporting................................... 25

Section 3: Application to Performance Attribution................................................. 39

Conclusions....................................................................................................................... 53

Appendix........................................................................................................................... 57

References......................................................................................................................... 75

About CACEIS Investor Services................................................................................. 77

About EDHEC-Risk Institute........................................................................................ 79

EDHEC-Risk Institute Publications and Position Papers (2012-2015)................ 83

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An EDHEC-Risk Institute Publication