The Accumulation chart decomposes the strategy’s returns into: (1) market returns [yellow]; (2) factor returns [grey]; and (3) non-factor (alpha) returns [blue] since October 2009.
We note the following:
- the strategy increased by over 600% against around 240% for the MSCI World Accum Ex-Aust benchmark (primary y-axis)
- the green “Fund/Benchmark” line (secondary y-axis) plots the strategy’s return against the benchmark: an upward (downward) sloping curve denotes relative out(under)performance; and shows the strategy largely kept up with the benchmark up until 2014 and took-off strongly, thereafter
- Around 15% of the strategy’s returns came from its factor exposure; 10% from its non-factor (or idiosyncratic) exposure; and market beta explains the rest
- the strategy’s median market beta was 1.1; it peaked at 1.2 and, with a low of 0.89 (based on rolling 2 year data)
It’s clear that this strategy would have greatly benefited your international equity exposure over the last decade.
Care to guess the strategy …?
Might even be a prize in it, for the first right answer.Disclaimer