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 2: S&P 500 (Regional Breakdown)

Figure 3: S&P 500 (Regional Breakdown)

this case too, we notice a similar trend. The sales exposure of US companies to regions other than the Americas is significant and has increased from 26% to 38% over a period of ten years. In terms of weight of stocks of companies in the index which are not majorly exposed to the US market (companies with less than 50% exposure to the US), we note that the market- capitalisation weight of such companies in the index has increased from 16.5% in June 2004 to 40% in June 2013 (see Appendix: Table 5). Figures 4 and 5 below report sales and cap-weighted sales exposure of STOXX Europe 600 index constituents to the four regions. Note that the sales exposure (or cap-weighted sales exposure) of the STOXX Europe 600 to Europe has fallen from 64% (53%) in FY 2003 to 55% (47%) in FY 2012, which highlights the high exposure of European stocks to non-European

years, the sales from the rest of the world have increased from 20% in FY 2003 to 27% in FY 2012, implying that exposure of US companies to the rest of the world has been increasing. We also observe that exposure of US companies to Asia Pacific has increased significantly from 7% to 12%, although in absolute terms it is less due to a lower base. Also, note that although the exposure to Africa and Middle East is lower, it has increased from 1.07% to 2.28%. The exposure of US companies to Europe has remained almost the same with an increase from 12% in FY 2003 to 13% in FY 2012. Beside Figure 2, we also provide cap- weighted sales exposure of companies in the S&P 500, wherein the sales exposure of a company to any region has been weighted by the market capitalisation weight of that company in the index. In

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