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

Executive Summary

the performance of Developed market indices of stocks with varied geographic exposure (either emerging market or local market exposure) differs noticeably. These findings highlight the usefulness of geographic segmentation data in risk reporting and performance attribution of equity portfolios This reporting will also allow investors to take account of the real geographic risks of their portfolios, whether involving the construction of a strategic or tactical allocation. It would be a shame if asset allocators compromised their asset allocation policy, which is often based on macro-economic scenarios that use regional dimensions, through poor evaluation of the geographic reality of their portfolio or benchmark.

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An EDHEC-Risk Institute Publication