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

Section 2: Application to Performance and Risk Reporting

Figure 18: FTSE Developped Asia Pacific (Developed/Emerging Breakdown)

Similarly, for STOXX Europe 50 companies (Figures 21 and 22), the sales exposure (or cap-weighted sales exposure) to emerging markets has more than doubled from 10% (11%) in FY2003 to 27% (27%) in FY 2012. Also the upward trend in exposure to emerging markets is smooth, implying the exposure has increased every year compared to the previous year. In complementary results, we also observe that the weight of stocks of companies in the index which are majorly exposed to Emerging markets (companies with more

markets is smooth, implying the exposure has increased every year compared to the previous year. These results are confirmed by supplementary analysis of the time trend of geographic exposure in the index. In fact, the weight of stocks of companies in the index which are majorly exposed to Emerging markets (companies with more than 50% exposure to Emerging markets) has increased from 2.33% in June 2004 to 6.56% in June 2013 (see Appendix: Table 30).

Figure 19: FTSE 100 (Developed/Emerging Breakdown)

Figure 20: FTSE 100 (Developed/Emerging Breakdown)

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An EDHEC-Risk Institute Publication