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 1: Data and Methodology

Jun-06

99

1

5

0.79%

10

7.45%

0.00%

Jun-07

100

0

8

2.84%

6

3.65%

0.00%

Jun-08

98

0

8

0.89%

6

3.57%

0.07%

Jun-09

98

0

10

2.77%

6

0.36%

0.15%

Jun-10

97

0

10

2.72%

6

6.80%

0.21%

Jun-11

98

0

5

1.74%

7

7.54%

0.28%

Jun-12

97

0

4

0.92%

5

3.68%

0.12%

Jun-13

98

0

6

3.79%

5

4.10%

0.15%

STOXX Europe 50

Jun-04

50

1

1

1.37%

3

4.89%

0.48%

Jun-05

50

1

1

1.26%

3

4.18%

0.21%

Jun-06

50

0

1

0.88%

3

6.52%

0.22%

Jun-07

50

0

0

0.00%

2

4.47%

0.43%

Jun-08

50

0

0

0.00%

2

4.52%

0.47%

Jun-09

50

0

0

0.00%

2

5.42%

0.79%

Jun-10

50

0

0

0.00%

3

5.07%

1.48%

Jun-11

50

0

1

0.44%

3

5.96%

0.84%

Jun-12

50

0

0

0.00%

5

9.10%

0.74%

Jun-13 0.65% 1: Represents companies for which "Total Sales" data is not available on DataStream/Worldscope. For these companies, geographic breakdown of sales data is also not available. 2: Represents companies which report "Total Sales" data but for which geographic segment data is not available on DataStream/ Worldscope. 3: It is calculated as the sum of the value of "total sales" of companies for which segment data is not available divided by sum of value of "total sales" of all index constituents. 4: Represents companies for which sum of sales from different geographies is 10% more than the "total sales" reported by the company. These are companies in addition to those which either do not report total sales or geographic breakdown of sales. 5: It is calculated as the value of "total sales" of companies for which sum of sales from different geographies is 10% more than "total sales" reported by the company divided by the sum of value of "total sales" of all index constituents. To calculate this figure we do not include the companies which either do not report total sales or geographic breakdown of total sales. 6: It is calculated as the value of segment level sales that cannot be assigned to any geography divided by the sum total of segment level sales. This figures arises when companies report segment sales but the name of the corresponding reported geography does not make clear sense, such as "mountain" and "riverside". We also ignore values such as "reconciliation", which mainly arises due to a mismatch between total reported sales and the sum total of sales from individual geographic segments. Also, segment sales which have negative values are ignored. 50 0 0 0.00% 2 0.98%

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An EDHEC-Risk Institute Publication