EFTA Document EFTA01364452
Cash Equity Risk Premia Portfolio Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia Data from 31-Jan-02 Value to 31-Oct-16 Average of Quality Momentum Low Beta Premia Statistics IRR 5.4% 2.2% Volatility 8 6% 6.5% IRRNolatility 0.63 0.34 Max Drawdown -25% -24% 1.0% 8.1% 0.13 -27% 6.3% 7.3% 0.86 -27% Beta to MSCI World 16% -18% 10% 19% Risk-weighted Portfolio: Cash Equity Risk Premia 3.7% 4.4% 7.6% 0.49 -26% 3.2% 1.38 -7% 7
Summary
Cash Equity Risk Premia Portfolio Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia Data from 31-Jan-02 Value to 31-Oct-16 Average of Quality Momentum Low Beta Premia Statistics IRR 5.4% 2.2% Volatility 8 6% 6.5% IRRNolatility 0.63 0.34 Max Drawdown -25% -24% 1.0% 8.1% 0.13 -27% 6.3% 7.3% 0.86 -27% Beta to MSCI World 16% -18% 10% 19% Risk-weighted Portfolio: Cash Equity Risk Premia 3.7% 4.4% 7.6% 0.49 -26% 3.2% 1.38 -7% 7
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Cash Equity Risk Premia Portfolio Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia Data from 31-Jan-02 Value to 31-Oct-16 Average of Quality Momentum Low Beta Premia Statistics IRR 5.4% 2.2% Volatility 8 6% 6.5% IRRNolatility 0.63 0.34 Max Drawdown -25% -24% 1.0% 8.1% 0.13 -27% 6.3% 7.3% 0.86 -27% Beta to MSCI World 16% -18% 10% 19% Risk-weighted Portfolio: Cash Equity Risk Premia 3.7% 4.4% 7.6% 0.49 -26% 3.2% 1.38 -7% 7
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