3 e orecas e ll pro a ili dis ri ion
o
re re rns i non-normal dis ri ions
r ris model is agnos ic o an par ic lar ris
me ric a ser is es o se ola ili
condi ional val e a ris do nside devia ion
in er ar ile range s e ness r osis and man
o er meas res can e calc la ed direc l
rom e pro a ili dis ri ion a is o p
rom o r model
3 e accommoda e a range o ime ori ons
ere is no need o g ess e er a short-term
model or long-term model ma c es o r
inves men ori on
Region
Emerging Europe
0.78
Developed Europe
0.46
Developed Asia-Pacific
Developed Americas
0.23
0.08
3 e ma e no ass mp ion a comovemen o
re rns is e cl sivel linear e common
prac ice o ilding and anal ing onl a covariance ma ri misses e ac a s oc s can
e perience ail even s a e same ime r model
direc l cap res ig er comomen s o re rns
ena ling e cons r c ion o por olios a can
con rol ail ris
e ended niverse e onl se s oc s in e
es ima ion niverse o derive model parame ers
is ens res e model parame ers are no
in enced illi id s oc s i nrelia le da a
r er e ass me a e ac ors driving
re rns in small illi id s oc s li e c rrenc and
region are e same ac ors a drive re rns
or large s oc s
e defined an es ima ion niverse o inves a le
companies i relia le da a on ic o
ild e model oc s o side e es ima ion
niverse generall illi id s oc s i
small mar e capi ali a ions are relega ed o e
e aim or a road selec ion o companies
across regions and sec ors a are li id eno g
o e inves a le or mos inves ors and are large
eno g o represen a large por ion o e
inves a le niverse e fil ering process res l s in
Sector
Currency
Financial Services
Technology
JPY
0.21
CHF
0.16
0.11
EUR
0.03
Consumer Defensive
0.09
NZD
0.00
0.03
Utilities
0.08
GBP
Emerging Asia-Pacific
0.02
Basic Materials
0.08
AUD
Emerging Americas
0.02
Consumer Cyclical
0.07
CAD
Healthcare
0.06
Industrials
0.05
0.46
0.55 0.55
Energy
Emerging Middle East
Developed Europe
0.73 0.73
Communication Services
0.01
Real Estate
0.01
Financial Services
0.79
-0.03
-0.39
-0.49
0.62
CHF
Developed Asia-Pacific
0.14
Utilities
Emerging Asia-Pacific
0.14
Technology
0.15
EUR
0.07
Developed Americas
0.13
Industrials
0.13
GBP
0.04
0.04
0.43
JPY
0.53
Emerging Europe
0.07
Consumer Cyclical
0.09
NZD
Emerging Middle East
0.05
Consumer Defensive
0.08
AUD
-0.41
Emerging Americas
0.02
Energy
0.07
CAD
-0.44
Healthcare
0.07
Basic Materials
0.06
Communication Services
0.02
Real Estate
0.01
39
Table of Contents for the Digital Edition of Morningstar Magazine - October/November 2016