EFTA Document EFTA01364396

Risk Premia Implementation Motivation for Isolating Risk Premia ■ Correlations between Relative Performance risk premia are significantly lower than among Long Only Risk Premia Long Only Risk Premia Correlations Value Quality Momentum Low Beta MSCI World Value 96% 89% 91% 96% Quality 94% 92% 98% Momentum 88% 93% Low Beta 92% MSCI World Relative Performance Risk Premia Correlations Value Quality Momentum low Beta MSCI World Value -15% -49% 2% 25% Quality -18%