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 9: FTSE 100 (Regional Breakdown)

(50%) in FY 2003 to 45% (42%) in FY 2012, which again highlights the high exposure of European stocks to non-European regions. Also the exposure (or cap-weighted sales exposure) to Asia Pacific and Africa &Middle East has more than doubled from 9% to 22% and 2% to 5%, respectively. The sales exposure (or cap-weighted sales exposure) to the Americas has declined from 34% (40%) to 29% (31%). We also observe that the weight of stocks of companies in the index which are not majorly exposed to the Developed Europe market (companies with less than 50% exposure to Developed Europe) has increased from 57.28% in June 2004 to 84.48% in June 2013 (see Appendix: Table 23). To summarise, first we note that the exposure of companies in the three indices to non-domestic regions is

to Asia Pacific has more than doubled from 8% (10%) to 22% (25%). Similarly, the sales exposure and cap-weighted sales exposure of UK-listed companies to Africa and the Middle East has doubled from 2% to 4%, although the base is low. The sales exposure (or cap-weighted sales exposure) to the Americas has declined from 31% (42%) to 25% (28%). We also observe that the weight of stocks of companies in the index which are not majorly exposed to the UK market (companies with less than 50% exposure to UK) has increased from 71.15% in June 2004 to 83.20% in June 2013 (see Appendix: Table 29). We also analyse the exposure of STOXX Europe 50 constituents to the four regions. The sales exposure (or cap-weighted sales exposure) of index constituents to the European market has fallen from 56%

Figure 10: STOXX Europe 50 (Regional Breakdown)

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An EDHEC-Risk Institute Publication