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Slide 110/4/03Wolfgang Marty
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FIXED INCOME PERFORMANCE ATTRIBUTION
Wolfgang Marty16.10.2003Portfolio AnalyticsCSAM Zürich
A PRESENTATION TO THE EUROPEAN BOND COMMISSION
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1. INTRODUCTION
2. DECOMPOSING THE RETURN
3. FACTOR ANALYSIS
4. FIXED INCOME RISK MODELS
5. THE RISK MODELS OF WILSHIRE
6. EXAMPLES
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1. INTRODUCTION
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INTRODUCTIONTHE INVESTMENT PROCESS
Target asset allocation(Exante)
Performance evaluation(Expost)
Re-balancingOptimization
Market movements
Forecasts (active)
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INTRODUCTION PERFORMANCE MONITORING PROCESS
Portfolio Analytics / Risk Control(qualitative aspect)
PerformanceWatch List
PerformanceReporting
Considering of output (ex-post) and input (ex ante)
Performancemeasurement
Performanceaccounting
PerformanceAnalysis
PortfolioAnalytics
Feed Forward and Feed Back
Efficient monitoring of of Investment process
PerformanceReview
Production / Reporting(quantitative aspect)
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INTRODUCTION DEFINITION PORTFOLIO ANALYTICS
Portfolio analytics is concerned with quantifying the sources of the return and assessing the risk of a portfolio. It not only measures the evolution of the wealth over a certain time period but it provides a comprehensive discussion of the performance of specific portfolios.
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INTRODUCTION RETURN MEASUREMENT
• Different source of return (Currency return, local market return, return from high yield investment, etc.)
• Computation ideally daily
• Input data are critical
• Return is measured either absolute or relative to a reference portfolio (Benchmark)
• Return measurement is conceptually easier to understand than risk measurement
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INTRODUCTION RISK ASSESSMENT
• Different source of risk (Exchange rate risk, Interest rate risk, Credit risk, Sector risk, etc.)
• Computation based on historical data (time series)
• Updating once a month is sufficient
• In portfolio analytics we mostly consider variance or covariance as risk measures
• Differentiation between forward and backward looking risk
• Computation of absolute and relative risk measures
• Tracking Error is relative Risk Measure
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INTRODUCTIONDEFINITION PERFORMANCE ATTRIBUTION
Return attribution mathematically: Decompose a real number into a sum
ba
c
Risk attribution mathematically: Consider generalisation of theorem of Pythagoras
.
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INTRODUCTIONDEFINITION PERFORMANCE ATTRIBUTION
More precisely: Analyse the portfolio performance and the relative performance in terms of the decisions that generate returns.
Conclusion: Need mapping from the decision making process to a performance attribution model.
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2. DECOMPOSING THE RETURN
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THE WILSHIRE APPLICATION AXIOM RETURN OF A PORTFOLIO
(relative) return rp of a portfolio
• The arithmetic (relative return) of a portfolio is the (relative) weighted average (wi), (wi - bi), of the arithmetic return (ri) of the individual securities.
nn2211P rw......rwrwr
nnn222111BP r)bw(......r)bw(r)bw(rr
• On the right hand side and the left hand side is the same (no model)
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THE WILSHIRE APPLICATION AXIOM ABSOLUTE DECOMPOSITION
Consider portfolio of 3 securities
• Mac Donalds
• IBM
• CS Group
rP = w1 r1 + w2 r2 + w3 r3
USA Switzerland
Food
TMT Bank
Country
Sector
Portfolio return
w: weight
r: return
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THE WILSHIRE APPLICATION AXIOM SLICING THE INVESTMENT UNIVERSE
Sector (Subgroup)
Country (Subgroup)
UniverseMulti step decision
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Benchmark portfolioStarting point
)35()24(2)35(3)24(3254
2
4
3 5
x
y
Interaction
PortfolioEnding point
THE WILSHIRE APPLICATION AXIOMCROSS PRODUCT
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THE WILSHIRE APPLICATION AXIOMPROGRAM GLOBAL PERFORMANCE ATTRIBUTION• Universe: Bond Markets of JP Morgan Global Bond
Index
• The Application computes 3 different Model Returns (‘ Format ’) for 3 different return attribution
allows the measurement of 3 different investment processes
• Model 1 and 2 are based on a form of the capital asset pricing model.
leverage factor is ratio of Bond duration and Benchmark Duration
Model 1 uses short term rate, Model 2 uses yield of a bond
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THE WILSHIRE APPLICATION AXIOMPROGRAM GLOBAL PERFORMANCE ATTRIBUTION
• Model computes the Model return of a Bond
• The Application computes Buy and Hold return in USA Dollars:
Example: U.S. Treasury Bond
Price 07/01/2002: 98.148%
Price 07/31/2002: 101.00%
local return = ((end_price + end_accrued)/(begin_price + begin_accrued) -1)*100 = 3.29%
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THE WILSHIRE APPLICATION AXIOMPROGRAM GLOBAL PERFORMANCE ATTRIBUTION• The difference between Model Return and Buy and Hold return is the selection effect.• Illustration: Return due to Market Movement versus Return calculated by duration times yield change.
• Common in all Formats: Currency effect• The currency effect examines the impact of active
currency exposure of the portfolio versus the benchmark
• Return in Swiss Francs with currency return -0.47%: base currency return = ((1 + local_return/100) * (1 +
currency_return/100) - 1)*100 = 2.80%
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THE WILSHIRE APPLICATION AXIOMFORMAT 1: DURATION/COUNTRY
• Duration effect
• Value added by being longer than the benchmark in a country where interest rate fell and shorter than benchmark in a country where interest rose.
• It is only not zero if you have duration exposure in the benchmark and the portfolio.
This format measures the following decisions:
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THE WILSHIRE APPLICATION AXIOMFORMAT 1: DURATION/COUNTRY
• Country effect
• The country effect quantifies the effect of the managers active country bets on management
performance by taking the difference between the portfolio weights and the benchmark weights for each country and then multiplying this bet by the relative return to that country (relative to the average local benchmark).
• Asset allocation approach as it incorporates cross - country decisions
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THE WILSHIRE APPLICATION AXIOM FORMAT 2: YIELD/EXPOSURE
• Yield effect
• The yield component measures the return contribution in the portfolio relative to the benchmark by being invested in higher yielding securities (e.g. corporate bonds).
This format measures the following decisions:
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THE WILSHIRE APPLICATION AXIOM FORMAT 2: YIELD/EXPOSURE
• Market effect
• Is a combination of country-weighting and duration within country decisions. Thus a large country weighting offset by a short duration might result in a neutral or even negative net market exposure. In the duration/country format we would have a large country bet and a large negative
duration bet.
• Suited for investment process that centres around yield curve shifts
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3. FACTOR ANALYSIS
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THE WILSHIRE APPLICATION AXIOM FORMAT 3: FACTOR EXPOSURE• The Format measures
• the decomposition the returns in multi-currency portfolios in terms of different types of yield curve movements and currency changes.
• Characteristics:
• Measures investment process that makes bets on different sections of the yield curve
• Consistent with Risk model
• Best explanatory power of the three formats
• It is regression based and represents a detailed description of returns in terms of a common set of risk factors
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spot rate
term structure
time
shift(d1
)
THE WILSHIRE APPLICATION AXIOM EFFECTIVE DURATION
shift(d1
)
100bps
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THE WILSHIRE APPLICATION AXIOM EFFECTIVE DURATION
• Extension of flat yield concept
• In Wilshire the spot rates are held in cubic spline forms
• Takes shape of the spot rate curve into account
• Effective duration and option adjusted duration is the same
• Takes into account change of the bonds with different cash flows (callable bonds)
• Defined as price sensitivity of bond to shift in actual yield curve
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CHANGES OF THE YIELD CURVEWILSHIRE SHIFT SLOPE AND CURVATURE
spot rate
term structure
time
shift(d1
)
slope (d2)curvature
(d3)
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4. FIXED INCOME RISK MODEL
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Problem: Goodness of the fit
Specify factors Historical Data
FIXED INCOME RISK MODEL FACTOR ANALYSIS
Problem: Interpretation of factors
Principal components analysis
Regression analysis
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FIXED INCOME RISK MODEL COMPARISON
Prespecified by yield curve shapes with few parameters
Estimated by historical data
Wilshire Shift
Slope
Curvature
Barra
Shift
Twist
Butterfly
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FIXED INCOME RISK MODEL BARRA SHIFT TWIST AND BUTTERFLY
U.S.A.
-40
-20
0
20
40
60
80
100
120
Time to Maturity (Years)
Ba
sis
Po
ints
/Ye
ar
Shift Twist Bfly
Shift 61.61 80.97 91.36 95.08 93.93 88.49 77.38 58.92 50.06
Twist -17.89 -20.06 -17.07 -12.01 -5.05 5.81 20.29 36.89 44.13
Bfly 24.11 8.67 -0.21 -5.02 -7.5 -7.87 -5.08 3.93 9.44
1 2 3 4 5 7 10 20 30
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FIXED INCOME RISK MODEL BENCHMARK BOND EXPOSURES
Step 1: Compute by regression analysis the Risk Matrix given the risk factors d1,d2,d3, country and currencies.
Step 2: Compute the breakdown of the relative Risk (Tracking error)given the Portfolio Holdings and the Benchmark holdings.
• Different length of time periods (90, 180, 360 days,
exponential weightings)
• Independent of Portfolio
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5. THE RISK MODELS OF WILSHIRE
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• Wilshire Global Risk Model
• Wilshire Global Credit Risk Model
THE RISK MODELS OF WILSHIREDIFFERENT MODELS
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THE RISK MODELS OF WILSHIRESOME CHARACTERISTICS
• Factors in Global Risk Model (based on 13 Countries of J.P. Morgan GBI, Total: 47 factors)
• d1, d2, d3
• Currency
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THE RISK MODELS OF WILSHIRECHARACTERISTICS
• Factors in Credit Risk Model Total (16 countries, approx. 109 factor)
• d1, d2, d3
• Currency
• Sectors
• Quality Rating (Three Groups: Moody Aa, A, Baa)
• Other spreads
• Euro country spread
• special Instrument in USA (e.g. GNMA prepay)
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6. EXAMPLES
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EXAMPLE 1ILLUSTRATION: BUCKETING APPROACH
Benchmark: JPM EMU Index
Portfolio: All Bonds with Duration > 8 Years (subset of Benchmark)Returns Variancebc21002 vs. J P Morgan EMUFrom 30.04.2002 to 31.05.2002
Edur Exposures as of 30 .04.2002 Retur ContribDuration/Sector Portfolio Benchmark Difference Portfolio Benchmark Difference>15 Goverment 0 0 0 --- --- --- 8.5-15 Govermen 10.74 1.77 8.97 0.3 0.3 05.5-8.5 Goverme 1.02 1.78 -0.77 0.17 0.19 -0.024.5-5.5 Goverme 0 0.49 -0.49 0.16 0.16 03.5-4.5 Goverme 0 0.47 -0.47 0.11 0.11 02.5-3.5 Goverme 0 0.47 -0.47 0.12 0.12 01.5-2.5 Goverme 0 0.27 -0.27 0.1 0.1 0<1.5 Government 0 0.1 -0.1 0.13 0.13 0Total 11.76 5.36 6.4 0.28 0.16 0.12
11.76 5.35 6.4 1.09 1.11 -0.02
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EXAMPLE 1ILLUSTRATION: BUCKETING APPROACH
Benchmark: JPM EMU Index
Portfolio: All Bonds with Duration > 8 Years (subset of Benchmark)Returns Variance
bc21002 vs. J P Morgan EMUFrom 31.07.2003 to 29.08.2003
Edur Exposures as of 31.07.200 Returns ContributionDuration/Sector Portfolio Benchmark Difference Portfolio Benchmark Difference Sector Duration Selection Currency Total
>15 Goverment 1.48 0.05 1.43 -1.3 2.12 -3.42 0.14 0.06 -0.9 0.56 -0.138.5-15 Govermen 9.47 1.94 7.54 1.4 1.36 0.04 0.55 0.29 0.01 0 0.865.5-8.5 Goverme 0.96 1.72 -0.76 0.26 0.14 0.12 0.01 -0.03 0.01 0 04.5-5.5 Goverme 0 0.5 -0.5 -0.05 -0.05 0 0.02 -0.02 0 0 03.5-4.5 Goverme 0 0.57 -0.57 -0.13 -0.13 0 0.04 -0.02 0 0 0.022.5-3.5 Goverme 0 0.37 -0.37 -0.11 -0.11 0 0.03 -0.01 0 0 0.011.5-2.5 Goverme 0 0.31 -0.31 -0.05 -0.05 0 0.02 -0.01 0 0 0.01<1.5 Government 0 0.08 -0.07 2.61 0.03 2.59 0 0 0 0.02 0.02Total 11.92 5.55 6.37 1 0.22 0.79 0.83 0.25 -0.87 0.58 0.79
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EXAMPLE 1ILLUSTRATION: DURATION /COUNTRY FORMAT Some data provided by J .P. Morgan Securities Inc. All rights reserved.Global Performance Attribution (Duration/Country) (Wilshire 180-Day) Portfolio Summary Report BondKommission vs. J P Morgan EMU From 31.07.2003 to 29.08.2003 Base currency: Europe - Euro
Portfolio 1 - Benchmark 0.21 = Total Management 0.79 - Interaction -0.04 - Hedge Cost 0 = Management for Attr 0.83
which Duration -0.33Selection 0.79Country -0.22Country Currency 0.58Hedging 0
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EXAMPLE 1ILLUSTRATION: YIELD/EXPOSURE FORMAT Some data provided by J .P. Morgan Securities Inc. All rights reserved.Global Performance Attribution (Yield/Exposure) (Wilshire 180-Day) Portfolio Summary Report BondKommission vs. J P Morgan EMU From 31.07.2003 to 29.08.2003 Base currency: Europe - Euro
Portfolio 1 - Benchmark 0.21 = Total Management 0.79 - Interaction -0.04 - Hedge Cost 0 = Management for Attr 0.83
of which Yield 0.07Market -0.63Currency 0.58Selection 0.81Memo: Hedging 0
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EXAMPLE 1ILLUSTRATION: FACTOR FORMAT
Global Performance Attribution (Factor) (Wilshire 180-Day) Portfolio Summary Report BondKommission vs. J P Morgan EMU From 31.07.2003 to 29.08.2003 Base currency: Europe - Euro
Portfolio 1 - Benchmark 0.21 = Total Management 0.79 - Interaction -0.04 - Hedge Cost 0 = Management for Attr 0.83
Yield -0.02Duration -0.34D2 1.11D3 -0.48Currency 0.58Selection -0.02
Hedging 0
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EXAMPLE 2SAMPLE REPORT
WILSHIRE RETURN- AND RISKATTRIBUTIONSUMMARY PAGE
NAME (ID)PMBENCHMARKPERIOD 31.12.2002 - 31.07.2003
0835-441436-45-0
Return PF 5.25% Duration 0.13% Risk Portfolio 10.95%
Return BM 3.77% Selection 0.54% Risk Benchmark 10.64%
Return Relative 1.48% Country 0.30% Tracking Error 0.62%
Currency 0.64%
Hedging -0.12%
For comparison (PPR): Portfolio Return (Gross) 5.46% Benchmark Return 3.77%
RETURN ATTRIBUTION EFFECTSRETURN OVERVIEW RISK ATTRIBUTION EFFECTS
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EXAMPLE 2SAMPLE REPORTANALYSIS 1 - WEIGHTS AND DURATION (BEGINNING PERIOD) Currency PF Weight BM Weight Rel Weight
Austria -- 1.69% -1.69%
Belgium 12.22% 3.84% 8.38%
Finland -- 0.66% -0.66%
France 3.34% 10.50% -7.16%
Germany 24.61% 11.36% 13.25%
Greece -- 1.99% -1.99%
Ireland -- 0.41% -0.41%
Italy -- 11.25% -11.25%
Luxembourg -- -- --
Netherlands 9.43% 2.94% 6.49%
Portugal -- 0.93% -0.93%
Spain 2.82% 4.43% -1.61%
Euro(other) 2.02% -- 2.02%
Total EURO 54.44% 50.00% 4.44%
Australia -- -- --
Canada 0.24% -- 0.24%
Denmark -- -- --
Japan -- -- --
Norway -- -- --
Sweden -- -- --
Switzerland -- -- --
United Kingdom 0.29% -- 0.29%
United States 45.03% 50.00% -4.97%
Total 100 % 100 % 0%
-- -- --
-- --
0.28%
-0.92%
6.10%
--
--
--
4.49%
--
-5.54%
-0.08%
-5.10%
-3.25%
--
-3.74%
-1.76%
-5.31%
-6.63%
Rel Duration
-5.18%
1.50%
-4.93%
--
5.57%
--
--
--
--
--
--
5.54%
5.15%
5.10%
5.62%
--
5.31%
5.43%
5.31%
6.63%
BM Duration
5.18%
5.31%
4.93%
0.28%
4.65%
--
--
--
--
4.49%
--
--
6.10%
--
5.07%
--
2.37%
--
PF Duration
--
6.81%
--
1.57%
3.67%
--
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EXAMPLE 2 SAMPLE REPORT
ANALYSIS 1 - GRAPH WEIGHTS
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Total EURO Australia Canada Denmark Japan Norway Sweden Switzerland UnitedKingdom
UnitedStates
PF Weight BM Weight
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EXAMPLE 2SAMPLE REPORTANALYSIS 2 - RETURN ATTRIBUTION EFFECTS (WHOLE PERIOD)
Currency PF Return BM Return Duration Selection Country Interaction TOTAL
Austria - 0.16% - - -0.03% -0.07% -0.16% Belgium 1.20% 0.35% 0.11% -0.07% 0.16% 0.34% 0.85% Finland - 0.06% - - -0.01% -0.03% -0.06% France 0.43% 0.93% -0.02% 0.07% -0.02% -0.22% -0.51% Germany 1.81% 1.00% -0.03% 0.18% 0.11% 0.27% 0.80% Greece - 0.19% - - -0.04% -0.08% -0.19% Ireland - 0.04% - - -0.01% -0.02% -0.04% Italy - 0.98% - - -0.18% -0.42% -0.98% Luxembourg 0.05% - - - 0.02% 0.01% 0.05% Netherlands 1.12% 0.25% 0.01% 0.10% 0.15% 0.37% 0.87% Portugal - 0.09% - - -0.02% -0.04% -0.09% Spain 0.27% 0.42% -0.04% 0.03% -0.04% -0.05% -0.15% Euro(other) 0.37% 0.02% - 0.04% - 0.12% 0.35%
Euro 5.25% 4.50% 0.03% 0.36% 0.08% 0.20% 0.74%
Australia 0.10% - - - 0.01% 0.05% 0.10% Canada 0.14% - - - 0.04% 0.02% 0.14% Denmark - - - - - - - Japan - - - - - - - Norway - - - - - - - Sweden 0.04% - - - 0.02% 0.04% 0.04% Switzerland - - - - - 0.01% - United Kingdom 0.07% - - - 0.05% -0.03% 0.07% United States -0.27% -0.68% 0.10% 0.18% 0.10% -0.24% 0.42% Total (unhedged) 5.34% 3.82% 0.13% 0.54% 0.30% 0.02% 1.51%
Hedge Cost -0.04% - Interaction -0.05% -0.06% Total 5.25% 3.77%
Hedging
--0.03%
- -
-0.05% - - -
-0.03% -
-0.01%
-
-0.01%
-0.14%
-0.01% 0.02%
0.08% -0.03% -0.12%
- -
-0.04% -0.01%
-
Currency
-0.06% 0.34% -0.02% -0.32% 0.32% -0.07% -0.01% -0.38%
0.27% -0.03% -0.04%
0.02%
0.20%
0.21%
0.05% 0.06%
-0.03% 0.31% 0.64%
- -
0.02% -
-
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EXAMPLE 2SAMPLE REPORTANALYSIS 2 - GRAPH RETURN ATTRIBUTION EFFECTS
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
Duration Selection Country Currency Hedging Interaction TOTAL
Euro Australia Canada Denmark Japan Sweden Switzerland United Kingdom United States Total (unhedged)
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EXAMPLE 2SAMPLE REPORTANALYSIS 3- INDIVIDUAL BONDS (BEGINNING PERIOD)
Description Holdings SEDOL Coupon Maturity Yield % Cap
GERMANY(FED REP 15,000 719912 4.500 8/18/06 3.18% 5.23%
BELGIUM(KINGDOM 12,250 542359 5.500 3/28/28 4.85% 4.53%
US 4.3750% TR 13,000 U828AJ9* 4.375 8/15/12 3.81% 4.32%
US 5.375% 30Y 11,500 U810FP8* 5.375 2/15/31 4.79% 4.00%
DUTCH GOVT 3.75 11,560 560036 3.750 7/15/09 3.72% 3.86%
US 5.00% 10Y 11,000 U8276T4* 5.000 2/15/11 3.59% 3.85%
BELGIUM(KINGDOM 10,000 409463 7.000 5/15/06 3.13% 3.83%
GERMANY(FED REP 11,000 556364 4.125 7/4/08 3.57% 3.78%
USD CASH 11,583 USDCASH1 1.687 1/1/03 1.69% 3.63%
IADB5 3/4 02/26 10,000 458182CC 5.750 2/26/08 3.18% 3.57%
GERMANY(FED REP 9,000 517871 6.000 1/4/07 3.30% 3.43%
GERMANY(FED REP 9,000 728146 5.000 1/4/12 4.13% 3.28%
BELGIUM(KINGDOM 8,000 414516 6.500 3/31/05 2.82% 2.96%
6 3/8 % REG. KA 8,000 C15390DT 6.375 7/21/05 2.17% 2.84%
SPAIN(KINGDOM O 7,500 597973 4.950 7/30/05 3.27% 2.61%
FRANCE(GOVT OF) 7,000 559551 4.500 7/12/03 2.77% 2.37%
ASIAN DEV BK GL 7,000 045167AR 6.125 3/9/04 1.48% 2.35%
FEDERAL NATL MT 7,000 31359MDF 5.250 1/15/03 -0.27% 2.25%
EUROPEAN INVT B 6,000 298785CE 7.125 9/18/06 2.75% 2.21%
RABOBANK NEDERL 13,000 542400 5.250 3/12/13 4.49% 2.13%
115.33
105.65
Price
104.36
108.39
104.54
109.05
99.94
109.89
112.09
102.53
100.00
112.14
109.90
106.08
107.84
110.38
104.00
100.87
105.45
100.22
3.33%
13.42%
7.67%
14.07%
5.71%
6.58%
2.97%
4.86%
0.00%
3.45%
4.41%
7.68%
Eff. Dur
0.52%
1.14%
0.04%
3.25%
7.01%
2.05%
2.32%
2.40%
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EXAMPLE 2SAMPLE REPORTANALYSIS 4 - TRACKING ERROR ATTRIBUTION (END OF PERIOD)
Country (Annual Variance) D1 D2 D3 Currency Country Total
Austria - - - - 0.01% 0.01% Belgium - - - - - - Finland - - - - - - France - - - - - - Germany - - - - - - Greece - - - - 0.01% 0.01% Ireland - - - - - - Italy - - - - - - Luxembourg - - - - - - Netherlands - - - - - - Portugal - - - - - - Spain - - - - - - Euro(other) 0.13% -0.02% 0.01% 0.08% 0.23% 0.43%
Euro 0.13% -0.02% 0.01% 0.08% 0.25% 0.44%
Australia - - - - - - Canada - - - - - - Denmark - - - - - - Japan - - - - - - Norway - - - - - - Sweden - - - 0.06% - 0.06% Switzerland - - - - - - United Kingdom - - - - - - United States - - - - - - Total (Annual Variance) 0.13% -0.02% 0.01% 0.14% 0.25% 0.50%
Tracking Error (Annual Std Dev) 0.62% VaR Analysis (95%) Percent Value
Portfolio Total Risk (Annual Std Dev) 10.95% One Month Relative VaR 0.29% 1,357,156 Benchmark Total Risk (Annual Std Dev) 10.64% One Month VaR 5.22% 24,005,331
Slide 5010/4/03Wolfgang Marty
Date:Produced by:
EXAMPLE 2SAMPLE REPORT
ANALYSIS 4 - GRAPH TRACKING ERROR ATTRIBUTION
-0.10%
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
D1 D2 D3 Currency Country Total
Euro Australia Canada Denmark Japan Sweden Switzerland United Kingdom United States
Slide 5110/4/03Wolfgang Marty
Date:Produced by:
EXAMPLE 2SAMPLE REPORTANALYSIS 5- INDIVIDUAL BONDS (END OF PERIOD)
Description Holdings SEDOL Rate Maturity Country Currency Sector Marg Risk Marg TE
CFWD EUR-USD, 200310 2,100 FX002656 EU USD TREA 0.047 0.062 High
CFWD EUR-USD, 200310 7,782 FX002682 EU USD TREA 0.047 0.062 Risk
CFWD EUR-USD, 200310 3,003 FX002687 EU USD TREA 0.047 0.062
CFWD EUR-USD, 200310 3,026 FX002624 EU USD TREA 0.047 0.062
CFWD EUR-USD, 200310 5,982 FX002695 EU USD TREA 0.047 0.062
CFWD EUR-USD, 200310 2,984 FX002697 EU USD TREA 0.047 0.063
CFWD EUR-USD, 200310 2,965 FX002707 EU USD TREA 0.047 0.062
CFWD SEK-USD, 200310 28,495 FX002664 SE USD TREA 0.044 0.060
BELGIUM(KINGDOM) 5.5 18,250 542359 5.5 28/03/28 BE EUR B 0.042 0.067
RABOBANK NEDERLAND 5 13,000 542400 5.25 12/03/13 NL NLG B 0.033 0.054
FRANCE(GOVT OF) 5% O 5,040 703341 5 25/10/16 FR EUR TREA 0.033 0.054
CFWD AUD-USD, 200310 5,190 FX002625 AU USD TREA 0.028 0.044
CFWD AUD-USD, 200310 5,504 FX002647 AU USD TREA 0.027 0.044
FRTR4 3/4 10/25/12 13,475 742688 4.75 25/10/12 FR EUR TREA 0.026 0.045
GERMANY(FED REP) 5% 10,950 728146 5 04/01/12 DE EUR TREA 0.024 0.042
VOLKSWGN FIN SV NV 5 1,400 729219 5.375 25/01/12 LU EUR F 0.024 0.042
C 3 7/8 05/21/10 1,161 759179 3.875 21/05/10 US EUR MISC 0.021 0.038
HYDRO-QUEBEC 5.375% 6,000 542846 5.375 19/03/08 CA DEM UE 0.019 0.034
DUTCH GOVT 3.75% BDS 11,560 560036 3.75 15/07/09 NL EUR TREA 0.019 0.035
SUEZ 5.875% BDS 13/1 2,000 578877 5.875 13/10/09 FR EUR UE 0.018 0.033
ICO 3 12/22/08 3,000 759782 3 22/12/08 ES EUR MISC 0.017 0.032
UBS AG 5.75% BDS 12/ 4,000 520289 5.75 12/03/07 CH DEM B 0.016 0.028
GERMANY(FED REP) 4.1 9,600 556364 4.125 04/07/08 DE EUR TREA 0.015 0.029
BTNS3 1/2 01/12/08 5,800 753753 3.5 12/01/08 FR EUR MISC 0.013 0.027 CFWD CAD-USD, 200310 5,001 FX002681 CA USD TREA 0.013 0.019
Price
1.12
1.12
1.12
1.12
1.12
1.12
1.12
0.12
108.71
108.20
106.55
0.64
0.64
104.70
107.65
103.95
97.85
107.65
100.79
100.78
0.71
106.54
97.35
107.40
103.91