Investimento fattoriale attraverso gli
ETF
Enrico Camerini - iShares
Head of Institutional Clients in Italy
Milano, 25 Maggio 2015
For professional clients / qualified investors only
EMEAiS-0981
Introduzione allo Smart Beta investing in BlackRock
EMEAiS-0981
La definizione di Smart Beta data da BlackRock
Lo Smart Beta offre in termini di rendimento alcuni dei vantaggi propri delle strategie attive, preservando allo stesso
tempo molti dei noti benefici delle strategie passive
Cos’è lo Smart Beta?
Cosa può fare lo Smart Beta per il portafoglio?
 La costruzione del portafoglio è rules-based, trasparente ed
in genere non cap-weighted
 Si propone di migliorare il rendimento risk-adjusted attraverso
l’esposizione a persistenti e desiderabili risk premia e
anomalie di mercato
 Lo Smart Beta in BlackRock può operare nell’ambito di
gestioni di portafogli azionari, obbligazionari o multi-asset
Un potente strumento che può migliorare i risultati
dell’investimento:
 Sfrutta le note debolezze dei benchmark tradizionali
 Cattura molti dei temi presenti nei portafogli attivi ad una
frazione del loro costo
 Offre una visione del mondo basata sui fattori, contribuendo
così a migliorare la comprensione dei portafogli e a risolvere i
problemi dell’investitore in modo creativo
Le strategie Smart Beta si collocano in un continuum tra gestioni attive e passive
β
Passive Funds
Smart Beta
Active Funds
α
Allocazioni diverse da quelle di mercato (market cap weight)
Capacità
Commissioni e costi di negoziazione
Basso
For Professional Clients/Sophisticated Investors/Qualified Investors Only
Alto
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Lo Smart Beta è già parte della gestione attiva tradizionale…….
Investment
Return
Cap-weighted
Index Return
Active Return
Return from
Average
Exposures to
Smart Betas
“Pure Alpha”
Return
Security
Selection
Macro,
industry,
country
Smart Beta
Timing
Lo Smart Beta è già parte sia dei portafogli indicizzati, sia delle gestioni attive tradizionali
 Le esposizioni Smart Beta hanno un rendimento atteso positivo, ma che può essere catturato tramite un processo di investimento
passivo
 Il puro alfa rappresenta l’intuizione che va oltre il beta e lo smart beta, e che pertanto richiede capacità di gestione
 La conoscenza dello Smart Beta ci fornisce un metodo che ci consente di comprendere meglio le fonti del rendimento e
del rischio del portafoglio
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…ed è spesso una quota significativa del rischio attivo
Lo Smart Beta rappresenta una porzione significativa
degli active risk budgets1
 In media il 35% del rischio attivo dei fondi azionari globali è spiegato dallo
Smart Beta. Per circa 1/3 dei fondi studiati, lo Smart Beta rappresenta il
50% o più del rischio attivo
% of Active Risk Explained by Smart Beta
Study of 138 Global Equity Funds1
Single Fund Analysis
 Il combinare più gestori di portafoglio – come molti investitori fanno –
porta ad un ulteriore aumento dell’esposizione media allo Smart Beta,
riducendosi con la diversificazione il contributo del rischio specifico
 Per portafogli casuali composti da 10 fondi, il 43% del rischio attivo è
spiegato dalle esposizioni Smart Beta. Per più della metà di questi
portafogli multi-manager, lo Smart Beta contribuisce per il 50% o più del
rischio attivo
 L’importanza delle esposizioni Smart Beta è ancora più evidente nei fondi
fixed income, dove in media il 67% del rischio attivo dei portafogli US
Core Plus è spiegato dallo Smart Beta
 Per portafogli casuali composti da 10 fondi fixed income, l’88% del rischio
attivo è spiegato dallo Smart Beta
Ten-Fund Portfolio Analysis
Gli investitori possono ricercare i rendimenti da tutte le
fonti disponibili
 Gli investitori possono beneficiare del puro alfa dei manager attivi
 Le strategie Smart Beta assemblano i fattori remunerativi in una
strategia sistematica e rule based – ad un costo inferiore
1Fonte:
BlackRock, eVestment 4/11 to 3/14. I dati sui fondi Global Equity includono tutte le 138 strategie attive
globali incluse nel database eVestment. I dati sui fondi Fixed income includono tutte le 121 strategie US Core Plus
Fixed Income presenti nel database eVestment.
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Ridefinizione dell’universo investibile:
Collocazione dello Smart Beta all’interno del portafoglio
Le soluzioni Smart Beta possono aiutare gli investitori a risolvere una molteplicità di problematiche
Sostituire e completare
strategie attive
 Rappresentano un modo
trasparente, ben
diversificato ed a basso
costo per la sostituzione di
strategie attive a basso
rischio
Rendimenti maggiori al
netto dei costi
Ottenere di più dal Beta
S
 Migliorare il rendimento
risk-adjusted atteso
preservando la trasparenza
e l’efficienza propria del
Beta
Rendimenti maggiori
Completamento
 Complementare le
esposizioni fattoriali dei
manager esistenti ed
implementare le view
tattiche in ottica fattoriale
Riduzione dei rischi non
desiderati e ricerca dei
rendimenti incrementali
For Professional Clients/Sophisticated Investors/Qualified Investors Only
Contenimento del Rischio
 Introdurre una protezione
esplicita al rischio di
downside o diversificare i
rischi non desiderati
Riduzione dei rischi non
desiderati
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Introduzione agli iShares Factor ETFs
EMEAiS-0981
Cosa sono i fattori?
Definizione di
Fattore
Forte
radicamento nella
ricerca
accademica
 I fattori sono caratteristiche relative ai singoli titoli aventi un elevato potere esplicativo del loro profilo
rischio/rendimento
 Uno dei modi attraverso i quali gli investitori si espongono al mercato è quello di esprimere le loro
view di investimento attraverso fattori globali, regionali, di paese o settoriali. Un altro modo di vedere
il mercato è quello di investire utilizzando fattori specifici alla singola società, selezionando ad
esempio azioni sottovalutate (Value) o di bassa capitalizzazione (Size)
 Sono stati condotti diversi studi accademici per migliorare la comprensione delle
determinanti del rischio e del rendimento del portafoglio. Il famoso modello a tre fattori di
Fama e French 1 ha evidenziato l’importanza dei fattori value e size. Il loro lavoro è stato
ulteriormente sviluppato da Carhart 2, che ha spiegato il momentum in ottica fattoriale. Il
lavoro di Sloan 3 ha validato il fattore quality. I contributi di Dechow, Ge and Schrand 4 hanno
riguardato anch’essi le diverse misure del fattore quality.
1 - Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
2 - Carhart, M. (1997), “On Persistence in Mutual Fund Performance,” the Journal of Finance 52(1), 57-82
3 - Sloan, R. (1996), “Do stock prices fully reflect information in accruals and cash flows about future earnings?” The Accounting Review 71: 289-315.
4 - Dechow, Patricia, Weili Ge, and Catherine Schrand (2010), “Understanding earnings quality: A review of the proxies, their determinants and their
consequences,” Journal of Accounting and Economics. Vol. 50, Issue 2-3, pp. 344-401.
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Cosa determina la performance dell’investimento?
La ricerca e l’innovazione pluridecennale sui fattori ha avuto in BlackRock uno dei
principali contributori
1979
Barclays Global Investors
(ora BlackRock) crea il
primo programma per
computer di cui si ha
notizia per identificare le
azioni con il più alto
dividend yield
1934
Graham,
Dodd
Value
investing
1971
Wells Fargo
crea il primo
index fund
1952
Markowitz
Diversification,
risk
1964
Sharpe
Market or beta
1976
Ross
Multiple
drivers of
expected
returns
1974
Barr Rosenberg
Style & industry
characteristics,
founds Barra
1985
Rosenberg, Reid,
Lanstein
Book/price and
specific-returnreversal strategies
1984
Nasce l’indice
Russell 2000 per
misurare la
performance
delle small cap
stock
1994
Grinold, Kahn
Applying factors and
science with systematic
investment process
2000s
BlackRock è il
primo AM ad
aggiungere la
earnings quality nel
2000 (prima di
Enron,Tyco,
Worldcom, Imclone
etc.)
2012
Kozlov,
Petajisto
Earnings quality
enhances value,
size strategies
1992
Fama, French
Value and size factors
1980s
BlackRock offre
prodotti con
“semplici” variazioni
in favore di valori
fondamentali (P/B,
P/E etc.) ed altre
generiche
determinanti dei
rendimenti azionari
1996
Sloan
Accruals vs. cash
flow in earnings
2011
Beckers, Thomas
Style overlays
enhance returns
Fonte: BlackRock, dati al 2013.
iS-11041 FOR INSTITUTIONAL USE ONLY - NOT FOR PUBLIC DISTRIBUTION
EMEAiS-0981
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iShares Factor ETFs
Value
Quality
Momentum
Size
iShares MSCI
World Value
Factor UCITS
ETF
iShares MSCI
World Quality
Factor UCITS
ETF
iShares MSCI
World Momentum
Factor UCITS
ETF
iShares MSCI
World Size Factor
UCITS ETF
iShares MSCI
World Minimum
Volatility UCITS
ETF
iShares S&P 500
Minimum
Volatility UCITS
ETF
IWVL
IWQU
IWMO
IWSZ
MVOL
SPMV
30bps
30bps
30bps
30bps
30bps
20bps
iShares MSCI
Europe Value
Factor UCITS
ETF
iShares MSCI
Europe Quality
Factor UCITS
ETF
iShares MSCI
Europe
Momentum
Factor UCITS
ETF
iShares MSCI
Europe Size
Factor UCITS
ETF
iShares MSCI
Europe Minimum
Volatility UCITS
ETF
iShares Emerging
Markets Minimum
Volatility UCITS
ETF
IEFV
IEFQ
IEFM
IEFS
MVEU
EMMV
25bps
25bps
25bps
25bps
25bps
40bps
Min Vol
Perché investire negli iShares factor (Momentum, Quality, Size, Value, Volatility) ETFs?
 Prodotti best in class da iShares ed MSCI
 Affinare l’allocazione azionaria attraverso l’esposizione a ben documentate fonti di
overperformance nel lungo periodo
 Beneficiare di una molteplicità di strategie che utilizzano i Factor ETFs
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Catturare l’esposizione fattoriale attraverso gli ETFs
 Fino a poco tempo fa la possibilità sfruttare i fattori era unicamente riservata ai gestori attivi di portafoglio
 Negli ultimi 10 anni tuttavia gli index providers sono stati in grado di catturare queste esposizioni fattoriali in
modo oggettivo (rule-based) e trasparente
 Gli iShares Factor ETF consentono l’accesso agli indici del leader di mercato MSCI, concepiti per offrire un’alta
esposizione al fattore desiderato tenendo conto della liquidità, dei costi di transazione e dell’investibilità della
strategia
Le allocazioni fattoriali passive combinano gli elementi di interesse delle gestioni passive tradizionali e di quelle attive
Passive investing
Market
return
Factor investing
Rules
based &
Transparent
Active Management
Active
return
Discretionary
implementation
Source: MSCI, “Foundations of Factor Investing”, December 2013, page 15
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Quali sono gli obiettivi che i fattori si propongono di raggiungere?
Con quale finalità la strategia è stata concepita?
Value
Quality
Momentum
Size
Minimum Volatility
Ragioni per investire in questa strategia
 Offrire esposizione alle azioni
sottovalutate sulla base dei loro
fondamentali
 In previsione che nel lungo periodo un
portafoglio di azioni sottovalutate
conseguirà una migliore performance
rispetto al mercato
 Offrire esposizione alle società con
solidi bilanci e utili stabili
 In previsione che le azioni di società
con solidi bilanci avranno un rischio
inferiore e rendimenti superiori
rispetto al mercato nel lungo periodo
 Offrire esposizione alle azioni che
hanno recentemente conseguito
buone performance relative
 In previsione che la tendenza dei
prezzi di queste azioni persisterà,
generando rendimenti relativi superiori
a quello del mercato
 Offrire esposizione alle azioni di più
bassa capitalizzazione
 In previsione che nel lungo periodo un
portafoglio composto da azioni di
bassa capitalizzazione verrà
remunerato per il maggiore rischio
assunto rispetto al mercato
 Offrire esposizione alle azioni che in
aggregato mostrano una minore
volatilità rispetto all’indice da cui
derivano
 Beneficiare di una ridotta volatilità
rispetto a quella dell’indice originario
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Visione d’insieme delle metodologie alla base degli indici
Metodologia di costruzione del fattore
 Il fattore è costruito sulla base di tre indicatori value:
 Price to forward earnings
 Price to book value
Value
 Enterprise Value (EV) to operating cash flow*
 Le azioni sono confrontate all’interno del loro settore
d’appartenenza e viene introdotto il vincolo di uguale
ponderazione settoriale rispetto all’indice di provenienza
 Il fattore è costruito sulla base di tre indicatori di quality:
Ragioni sottostanti la metodologia scelta
 L’utilizzo di tre rapporti su utili, valore contabile e cash
flow rappresenta un modo diversificato di catturare le
azioni value
 EV prende in considerazione la leva finanziaria ed
evita così un’eccessiva esposizione alle società con
alto leverage
 Il confronto tra le azioni all’interno del rispettivo
settore può portare a differenze nei livelli di
valutazione settoriali
 Il rischio di cadere nella “value trap” è inferiore con
l’utilizzo dei forward earnings rispetto agli storici
 Return on equity (ROE)
 Leverage (misurato dal rapporto Debt to Equity)
Quality
 Earnings variability (deviazione standard della crescita y-o-y
degli EPS negli ultimi 5 anni)
 Le azioni sono confrontate all’interno del loro rispettivo settore
e viene introdotto il vincolo di uguale ponderazione settoriale
rispetto all’indice di provenienza
 Il punteggio assgnato al fattore Momentum si basa:
Momentum
 Sulla performace di prezzo in valuta locale a 6 e 12 mesi,
corretta per il tasso risk free locale
 Quanto sopra è ulteriormente corretto per la volatilità
Size
 L’esposizione al fattore è ottenuta attraverso la selezione e
l’equiponderazione delle componenti Mid-Cap (azioni con la più
bassa capitalizzazione) dell’indice di provenienza
Minimum
Volatility
 L’indice seleziona un portafoglio azionario la cui volatilità attesa
è in aggregato inferiore a quella dell’indice di provenienza
 Più ratios sono utilizzati per catturare le azioni
di buona qualità
 Il confronto tra le azioni all’interno del rispettivo
settore può portare a differenze tra
fondamentali di settori diversi
 Utilizzo dei rendimenti a 6 e 12 mesi per la
determinazione del momentum
 Penalizza il punteggio delle società più volatili
 Metodologia semplice ed intuitiva
 L’equiponderazione porta a vendere le società che
hanno conseguito un aumento di capitalizzazione e
a comprare quelle dalla capitalizzazione inferiore
 Considera sia le correlazioni che le volatilità. Vengono
imposti vincoli per contenere gli scostamenti rispetto
all’indice originario
*Per I titioli del settore Financial vengono utilizzati solo price to forward earnings e price to book ratios poichè l’alta leva finanziaria può fortemente influenzare il segnale value del
rapporto EV to operating cash flow
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EMEAiS-0981
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L’allocazione negli Indici Fattoriali
Il caso d’investimento e le sue implementazioni
EMEAiS-0981
Esposizione fattoriale – evoluzione dei metodi di costruzione degli
indici
Style indices
Fundamental indices
Style indices: Essenzialmente
strategie Value e Growth; approccio
rules based; ponderazione marketcapitalisation.
Value
Stocks
Stocks with similar
Growth/Value
characteristics
Azioni con caratteristiche
value (totale del 50% MC)
vengono selezionate
dall’indice originario e
ponderate per la loro MC.
Fundamental indices: Principalmente
strategie Value, Core, Growth;
approccio rules based; ponderazione
fundamentally-weighted.
Growth
stocks
Stocks with Value features
Azioni con caratteristiche
growth (totale del 50% MC)
vengono selezionate
dall’indice originario e
ponderate per la loro MC.
Tutte le azioni con caratteristiche value presenti
nell’indice originario sono ponderate per la loro
esposizione value.
.
Factor indices
Factor indices: Value,
Momentum, Quality, Size,
Volatility; approccio rules based;
ponderazione factor-weighted.
Value
factor
~400 azioni con il più alto
punteggio fattoriale sono
selezionate dall’indice
originario e ponderate in base
al loro fattore
MSCI World Value Index
MSCI World Value-weighted Index
MSCI World Enhanced Value Index
Indice originario: MSCI World
Indice originario: MSCI World
Indice originario: MSCI World
Criteri: Book value to Price, 12m Forward
Earnings to Price, Dividend Yield.
Criteri: Sales, Book value, Earnings, Cash
earning.
Criteri: Price to 12m Forward Earnings,
Price to book, EV to operating cash.
Target Market Capitalisation: 50% of the
parent index.
Target Market Capitalisation: not
applicable.
Target Market Capitalisation: 10-30% of
the parent index.
Numero di component: 819
Numero di component: 1,612
Numero di component: ~400.
Ponderazione: Market capitalisation
Ponderazione: Value-weighted
Ponderazione: Factor-weighted
Fonte: BlackRock, MSCI, a fine settembre 2014. MSCI World Index è compost da 1,615 titoli. Con finalità puramente illustrativa.
http://www.msci.com/resources/factsheets/index_fact_sheet/msci-world-value-index.pdf http://www.msci.com/resources/factsheets/index_fact_sheet/msci-world-value-weightedindex.pdf
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Un modo diverso di vedere i fattori
Molecola del DNA
MSCI World: Esposizioni fattoriali
Novartis
HSBC
Roche Holdings
Verizon Communications
Procter & Gamble
Jpmorgan Chase
Nestle
Chevron Corp
General Electric
Wells Fargo & Co
Johnson & Johnson
Microsoft
Exxon Mobil
Apple Inc
Growth
-3
-2
-1
Volatility
Momentum
0
1
Value
2
 Come la molecola del DNA codifica le istruzioni genetiche di un organismo, i fattori azionari rappresentano le
caratteristiche intrinseche del titolo che ne determinano il comportamento e la fisionomia.
 Se osserviamo i principali titoli dell’indice MSCI World, notiamo che azioni appartenenti allo stesso settore industriale
(ad esempio Apple e Microsoft) presentano DNA fattoriali diversi.
Fonte: MSCI, al 29 agosto 2014.
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I diversi modi di rappresentare l’analisi fattoriale e la sua interpretazione
Opzione 1: Web chart
Opzione 2: Bar chart
MSCI World Barra
GEM2 Factor exposure
0,500
Growth
Financial
Leverage
Volatility
0,400
-0,040 0,008
-0,068
0,048
-0,031
Growth
0,300
0,321
0,100
Liquidity 0,000
-0,092
-0,100
0,020
Size
Nonlinearity
-0,200
Momentum
0,321
Size
MSCI World
31 July 2014
0,048
0,200
Value
Opzione 3: Table
0,020
0,008
-0,040
-0,031
-0,092
-0,068
-0.040
Financial Leverage
Liquidity
-0.031
Momentum
0.020
Size
0.321
Size Nonlinearity
-0,300
MSCI World
Growth
Financial Leverage
Liquidity
Momentum
Size
Size Nonlinearity
Value
Volatility
0.008
-0.092
Value
0.048
Volatility
-0.068
I grafici e la tabella mostrano un esempio di analisi di attribuzione del rischio del portafoglio relativamente ad un
benchmark globale. La scomposizione del rischio ottenuta con GEM2 mostra che:
• Il singolo fattore che contribuisce di più al rischio attivo è Size (maggiore esposizione alle azioni Large Cap)
• Il secondo maggiore driver del rendimento è il fattore Value
• Il portafoglio ha una considerevole esposizione negativa al fattore Volatility (minore esposizione alle azioni con alta
volatilità)
Fonte: MSCI. Solo con finalità illustrative. Le esposizioni fattoriali sono indicate in termini di deviazioni standard dalla media. Per le single azioni I valori variano approssimativamente da -3 a +3 deviazioni standard. Per
I portafogli i valori tendono ad assumere valori più bassi in termini assoluti. Tipicamente esposizioni inferiori a -0.2 e superiori a +0.2 possono essere considerate significative a livello di portafoglio.
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Caso 1
Caso 1: Esprimere le vostre views macro
 La gamma composta dai 12 ETF fattoriali consente di seguire il ciclo e di beneficiare al meglio del contesto di mercato.
La liquidità degli ETF fattoriali e la loro facile accessibilità rende la rotazione fattoriale prontamente implementabile al
primo segnale di mutamento del ciclo.
Early cycle: recovery
Mid cycle: slowdown
Quality
Momentum
Late cycle: pickup
Contraction - recession
Min. Volatility
Quality
Size
Value
Momentum
Value
Source: BlackRock, for illustrative purposes only.
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Caso 2
Caso 2: aggiustamento fattoriale
 L’incremento della performance del portafoglio può provocare un aumento della volatilità dei suoi rendimenti. Gli
investitori possono introdurre tilts fattoriali per conseguire simultaneamente molteplici obiettivi d’investimento come ad
esempio migliorare la performance, ridurre la volatilità o migliorare i rendimenti risk-adjusted.
Portafoglio 1: Introdurre il 10% di
size tilt per migliorare la performance
Portafoglio 2: Introdurre il 10%
di min volatility tilt per limitare il
downside
Portafoglio 3: Introdurre il 10% di
size e il 10% di min volatility tilts per
raggiungere entrambi gli obiettivi
10%
10%
10%
10%
90%
90%
World
Factor exposure
0,6
World
World Size Factor
Size tilt: diminuzione
dell’esposizione alle
azioni Large Cap
80%
World Volatility Factor
Factor exposure
0,6
Volatility tilt: aumento
dell’esposizione in
azioni Low Vol
World
World Size Factor Size e Vol:
World Vol Factor
simultanea
diminuzione alle
Factor exposure
LC ed aumento
alle esposizioni
0,6
Low Vol
0,4
0,4
0,4
0,2
0,2
0,2
0,0
0,0
0,0
-0,2
-0,2
-0,2
-0,4
-0,4
MSCI World
Growth
Momentum
-0,4
Portfolio 1
Size
Value
Volatility
MSCI World
Growth
Momentum
Portfolio 2
Size
Value
Volatility
MSCI World
Growth
Momentum
Portfolio 3
Size
Value
Volatility
Fonte: MSCI, BlackRock. L’analisi utilizza i rispettivi Indici MSCI. Le esposizioni fattoriali sono espresso in deviazioni standard dalla media. I loro valori sono approssimativamente compresi per le single azioni
nell’intervallo da -3 a +3 deviazioni standard. Per I portafogli questo numero tende ad essere inferiore in termini assoluti ed esposizioni inferiori a -0.2 e superiori a +0.2 possono essere considerate significative.
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Caso 2
Performance storica del portafoglio
 I portafogli 3 (size e volatility tilts) ed 1 (size tilt) hanno conseguito le migliori performance mentre il portafoglio 2 (low
volatility tilt) ha conseguito il minor rischio.
Cumulative Returns
Cum ulative Perform ance
220
Portfolio 3: Size and
Vol tilt
200
Growth of $100
180
Portfolio 1: Size tilt
160
Portfolio 2: Min Vol
tilt
140
120
100
Benchmark
80
60
31/12/98
29/12/00
MSCI World w ith a Min Vol Tilt
31/12/02
31/12/04
MSCI World w ith a Small Size Tilt
29/12/06
31/12/08
MSCI World w ith Min Vol & Small Size Tilts
31/12/10
31/12/12
30/09/14
MSCI World NR USD
Source: BlackRock, MPI, Morningstar, Bloomberg. 01/12/98 - 30/09/14. Frequency: month. USD.
Source: MSCI, BlackRock, Bloomberg, Morningstar, MPI. Respective MSCI indices have been used in the analysis. Period analysed: 01/12/1998 – 30/09/2014. Frequency: Monthly. Currency: USD.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
20
Caso 2
Profili rischio-rendimento storici
 Osservando i rispettivi profili rischio-rendimento, tutti e tre i portafogli hanno conseguito negli ultimi 15 anni una
migliore performance ed in due casi una minore volatilità rispetto all’indice MSCI World
Risk/Return
Risk-Return
profile
01/01/99 - 30/09/14
Total Annualized Return, %
5
Portfolio 3: Size and Vol tilt
Portfolio 1: Size tilt
Portfolio 2: Min Vol tilt
Benchmark
4
15
16
Total Annualized StdDev, %
MSCI World with a Min Vol Tilt
MSCI World with a Small Size Tilt
MSCI World with Min Vol & Small Size Tilts
MSCI World NR USD
Source: BlackRock, MPI, Morningstar, Bloomberg. 01/12/98 - 30/09/14. Frequency: month. USD.
Source: MSCI, BlackRock, Bloomberg, Morningstar, MPI. Respective MSCI indices have been used in the analysis. Period analysed: 01/12/1998 – 30/09/2014. Frequency: Monthly. Currency: USD.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
21
Caso 2
Diversificazione settoriale e regionale di portafoglio
 Ciascuno dei tre portafogli è rimasto ben diversificati ed ha mantenuto un profilo molto simile a quello dell’indice MSCI
World in termini di allocazione regionale e settoriale
Regional exposure
Sector exposure
Consumer
Discretionary
North America
Consumer Staples
Energy
Europe
Financials
Health Care
Pacific ex Japan
Industrials
Information
Technology
Japan
Materials
Telecommunicatio
n Services
Israel
Utilities
0%
20%
40%
60%
80%
0%
5%
10%
15%
20%
25%
MSCI World
MSCI World - Size Tilt
MSCI World
MSCI World - Size Tilt
MSCI World - Min Vol Tilt
MSCI World - Size & Min Vol Tilts
MSCI World - Min Vol Tilt
MSCI World - Size & Min Vol Tilts
Source: MSCI, BlackRock as at 31 October 2014.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
22
Caso 3
Caso 3: Costruzione di portafogli fattoriali
 In base a diverse ricerche effettuate esiste una lista di fattori che hanno persistentemente generato e continuano a
generare equity risk premium (ERP). Per un portafoglio investito in modo tradizionale, la selezione diversificata di quei
fattori può essere utilizzata per aggiungere al portafoglio una fonte di ERP nel lungo termine
 Costruire portafogli basati su varie combinazioni di quei fattori permette di produrre una varietà di allocazioni che
riflettono specifici obiettivi di investimento
Portfolio 1: Defensive
Factor portfolio
Portfolio 2: Balanced
Factor portfolio
Portfolio 3: Dynamic
Factor portfolio
Growth
Growth
Growth
Financial
Leverage
Volatility
Value
Value
Liquidity
Size
Nonlinearity
Size
Factor exposure
World Low Volatility Factor
World Value Factor
World Quality Factor
Financial
Leverage
Volatility
Liquidity
Size
Nonlinearity
Momentum
MSCI World
Financial
Leverage
Volatility
Momentum
Value
Liquidity
Size
Nonlinearity
Momentum
Size
Size
MSCI World
Balanced Factor Portfolio
MSCI World
Dynamic Factor Portfolio
Factor exposure
Weight
Factor exposure
Weight
Defensive Factor Portfolio
Weight
33%
33%
33%
World Size Factor
World Low Volatility Factor
World Momentum Factor
World Value Factor
World Quality Factor
20%
20%
20%
20%
20%
World Size Factor
World Momentum Factor
World Value Factor
33%
33%
33%
Source: MSCI, BlackRock. Respective MSCI indices have been used in the analysis.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
23
Caso 3
Performance storiche e analisi della volatilità
Cumulative Performance
Cum ulative Perform ance
Portfolio 3: Dynamic
Growth of $100
350
300
Portfolio 2: Balanced
250
Portfolio 1: Defensive
200
Benchmark
150
100
50
31/12/98
29/12/00
31/12/02
MSCI World Balanced Factor Portfolio
31/12/04
29/12/06
MSCI World Dynamic Factor Portfolio
31/12/08
31/12/10
MSCI World Defensive Factor Portfolio
31/12/12
30/09/14
MSCI World
Source: BlackRock, MPI, Morningstar, Bloomberg. 01/12/98 - 30/09/14. Frequency: month. USD.
12 months Rolling Volatility
12 Month Rolling Risk
Total Annualized StdDev, %
40
35
30
Portfolio 3: Dynamic
25
Portfolio 2: Balanced
20
Portfolio 1: Defensive
15
10
Benchmark
5
0
30/11/99
31/12/02
MSCI World Balanced Factor Portfolio
31/12/04
29/12/06
MSCI World Dynamic Factor Portfolio
31/12/08
31/12/10
MSCI World Defensive Factor Portfolio
31/12/12
30/09/14
MSCI World
Source: BlackRock, MPI, Morningstar, Bloomberg. 01/12/98 - 30/09/14. Frequency: month. USD.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
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Caso 3
Performance storica e analisi della volatilità
Annualised Performance
Annualized Performance
Total Annualized Return, %
20
16.72
15
12.94
11.54 11.03
17.56
17.93
16.51
12.20
11.50 11.33 10.88 10.86
10
8.92
9.37
8.49
7.12
7.13
7.79
7.17
4.13
5
0
1 Yr
3 Yrs
MSCI World Balanced Factor Portfolio
5 Yrs
MSCI World Dynamic Factor Portfolio
10 Yrs
15 Yrs
MSCI World Defensive Factor Portfolio
MSCI World
Source: BlackRock, MPI, Morningstar, Bloomberg. 01/12/98 - 30/09/14. Frequency: month. USD.
Annualised Sharpe Ratio
Annualized Sharpe Ratio
2.0
Sharpe Ratio
1.5
1.53
1.51
1.32
1.23
1.48
1.49
1.47
1.33
0.90
1.0
0.80
0.87
0.79
0.54
0.52
0.52
0.5
0.42
0.41
0.42
0.42
0.21
0.0
1 Yr
MSCI World Balanced Factor Portfolio
3 Yrs
5 Yrs
MSCI World Dynamic Factor Portfolio
10 Yrs
MSCI World Defensive Factor Portfolio
15 Yrs
MSCI World
Source: BlackRock, MPI, Morningstar, Bloomberg. 01/12/98 - 30/09/14. Frequency: month. USD.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
25
Caso 3
Diversificazione regionale e settoriale
 Ciascuno dei tre portafogli è rimasto ben diversificato in termini di allocazione geografica e settoriale
Regional exposure
Sector exposure
Consumer
Discretionary
North America
Consumer Staples
Energy
Europe
Financials
Health Care
Pacific ex Japan
Industrials
Information
Technology
Japan
Materials
Telecommunicatio
n Services
Israel
Utilities
0%
20%
40%
60%
80%
0%
5%
10%
15%
20%
25%
MSCI World
Balanced Factor Portfolio
MSCI World
Balanced Factor Portfolio
Dynamic Factor Portfolio
Defensive Factor Portfolio
Dynamic Factor Portfolio
Defensive Factor Portfolio
Source: MSCI, BlackRock as at 31 October 2014.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
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Caso 4: Costruzione di un portafoglio multi-fattoriale
basato sul modello di “Fama-French”
Caso 4
 Il caso riguarda la costruzione di più portafogli basati sul modello Fama-French, esposti in diversa misura ai fattori Size e
Value
 La performance dei tre portafogli viene poi confrontata con l’indice MSCI World.
Dalla teoria (modello Fama-French)…
…alla pratica (custom factor portfolios)
Nell’asset pricing e nella gestione del portafoglio il
modello a tre fattori di Fama-French è usato per
descrivere i rendimenti azionari sulla base dei seguenti
indicatori: market, size e value (1992, 1993):
120%
100%
25%
80%
50%
60%
75%
40%
75%
50%
20%
25%
0%
Portfolio 1
Portfolio 2
World Size Factor
Portfolio 3
World Value Factor
Source: BlackRock. For illustrative purposes only.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
27
Analisi della performance
Caso 4
Andamento del portafoglio di periodo ed annuale
Cumulative
performance
Cumulative Performance
450
400
Growth of $100
350
300
250
200
150
100
50
31/12/98
29/12/00
31/12/02
MSCI World Value & Size Portfolio 1
31/12/04
29/12/06
MSCI World Value & Size Portfolio 2
31/12/08
31/12/10
MSCI World Value & Size Portfolio 3
31/12/12
30/09/14
MSCI World
Source: BlackRock, MPI, Morningstar, Bloomberg. 01/12/98 - 30/09/14. Frequency: month. USD.
Annual Performance
Annualized Performance
Total Annualized Return, %
20
17.89
17.14
17.93
16.39
15
12.37
12.20
10.58
10
9.47
8.79
9.80 10.12
10.86
8.98 8.95
8.91
8.75
7.12
8.24 7.71
4.13
5
0
1 Yr
MSCI World Value & Size Portfolio 1
3 Yrs
5 Yrs
MSCI World Value & Size Portfolio 2
10 Yrs
MSCI World Value & Size Portfolio 3
15 Yrs
MSCI World
Source: BlackRock, MPI, Morningstar, Bloomberg. 01/12/98 - 30/09/14. Frequency: month. USD.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
28
Analisi della performance
Caso 4
Rendimenti in eccesso annualizzati
12 Month Rolling Excess Returns to MSCI World
12 Month Rolling Excess Returns to MSCI World
Excess Annualized Return, %
14.0
12.5
11.0
9.5
8.0
6.5
5.0
3.5
2.0
0.5
-1.0
-2.5
-4.0
29/01/99
29/12/00
31/12/02
MSCI World Value & Size Portfolio 1
31/12/04
29/12/06
MSCI World Value & Size Portfolio 2
31/12/08
31/12/10
31/12/12
30/09/14
MSCI World Value & Size Portfolio 3
Source: BlackRock, MPI, Morningstar, Bloomberg. 01/12/98 - 30/09/14. Frequency: month. USD.
12 months rolling Tracking Error to MSCI World
Annualized Tracking Error
12 Month Rolling Tracking Error to MSCI World
9.9
9.1
8.3
7.5
6.7
5.9
5.1
4.3
3.5
2.7
1.9
1.1
0.0
31/12/99
31/12/02
MSCI World Value & Size Portfolio 1
31/12/04
29/12/06
MSCI World Value & Size Portfolio 2
31/12/08
31/12/10
31/12/12
30/09/14
MSCI World Value & Size Portfolio 3
Source: BlackRock, MPI, Morningstar, Bloomberg. 01/12/98 - 30/09/14. Frequency: month. USD.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
29
Caso 5: Correggere esposizioni fattoriali non desiderate
nell’attuale allocazione / Completamento di portafoglio
Caso 5
 Nei portafogli globali assemblati con la logica bottom-up, il basket risultante può talvolta presentare esposizioni fattoriali
non volute
 Il portafoglio target (portfolio 1) è esposto ad una molteplicità di società quotate nei paesi sviluppati con un sovrappeso
geografico verso il Giappone
 Dopo aver svolto l’analisi fattoriale è emerso uno scostamento indesiderato in favore delle azioni ad alta volatilità ed una
esposizione negativa al fattore momentum
 L’utilizzo degli ETF fattoriali ha consentito di neutralizzare lo scostamento indesiderato mantenendo l’esposizione in linea
con l’indice MSCI World
Portfolio 1: Global equity portfolio with 20% Japan
overweight vs MSCI World
Portfolio 2: Global equity portfolio with 20% Japan
overweight – Volatility and Momentum bias corrected
5%
28%
21%
4%
3%
Europe
Canada
Japan
17%
15%
23%
43%
34%
3%
USA
Pac ex Japan
3%
Europe
USA
Canada
Pac ex Japan
Japan
Volatility
Momentum
Source: MSCI, BlackRock. Respective MSCI indices have been used in the analysis.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
30
Caso 5
Diversificazione settoriale e regionale di portafoglio
 Il portafoglio 2 ha mantenuto il desiderato sovrappeso in azioni giapponesi presentando al contempo un profilo più
vicino all’indice MSCI World per diversificazione settoriale e regionale
Regional exposure
Sector exposure
Consumer Discretionary
North America
Consumer Staples
Energy
Europe
Financials
Health Care
Pacific ex Japan
Industrials
Information Technology
Japan
Materials
Telecommunication Services
Israel
Utilities
0%
MSCI World
20%
Portfolio
1
Japan
O/W
40%
60%
0%
80%
Portfolio
2 - Vol & Momentum Correction
Japan
O/W
MSCI World
Portfolio
1
Japan
O/W
5%
10%
15%
20%
25%
Portfolio
2 - Vol & Momentum Correction
Japan
O/W
Source: MSCI, BlackRock as at 31 October 2014.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
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Caso 6: dare liquidità all’attuale esposizione fattoriale
Caso 6
 I grandi investitori istituzionali hanno storicamente implementato la loro esposizione fattoriale attraverso mandati segregati
custom-based
 Per allineare il peso dei fattori a quello della strategia, gli ETFs fattoriali rappresentano una soluzione liquida, flessibile e a
basso costo per la gestione degli scostamenti dai pesi originari in fase di ribilanciamento del portafoglio.
Original portfolio
World
Value ETF
Overlay
World Value ETF
Overlay
Global
Active
Momentum
Fund,
25%
Dimensional
Global
Value fund,
35%
3% World Value
+
2% World Momentum
=
Global
Active
Momentum
Fund,
25%
Dimensional
Global
Value
fund, 35%
5% World
Global
Index
mandate,
40%
Global
Indexed
Mandate,
40%
World ETF Overlay
For illustrative purposes only.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
32
Appendice
EMEAiS-0981
Factor definitions for MSCI Barra GEM2 model
These definitions are used in the subsequent case studies
Factor
Descriptions
High value
Low/negative value
Shows exposure to stocks with higher beta (higher volatility)
than the market
Higher exposure to
volatile stocks
Lower exposure to
volatile stocks
Momentum
Stocks that strongly outperform the underlying parent index are
likely to be considered positive momentum stocks
Higher exposure to
stocks with positive
momentum
Lower exposure to
stocks with positive
momentum
Size
Captures the effect of large-cap stocks moving differently from
small-cap stocks
High exposure to
large cap stocks
Lower exposure to
large cap stocks
Identifies stocks that are priced low based on fundamentals
Higher exposure to
value stocks
Lower exposure to
value stocks
Growth
Differentiates stocks based on their prospects for sales or
earnings growth
High exposure to
stocks with good
growth prospects
Lower exposure to
stocks with good
growth prospects
Nonlinear Size
Represents a portfolio that goes long mid-cap stocks, and
shorts-large and small cap stocks
Higher exposure to
mid-cap stocks
Lower exposure to
mid-cap stocks
Liquidity
Describes return patterns to stocks based on relative trading
activity
High exposure to
high-turnover stocks
Lower exposure to
high-turnover
stocks
Leverage
Captures the return difference between high-leverage and lowleverage stocks
Higher exposure to
higher leveraged
stocks
Lower exposure to
higher leveraged
stocks
Volatility
Value
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
34
Excess return correlation of MSCI World Factor indices
Dec 98 - Sep 14
MSCI World Momentum
MSCI World Size
MSCI World Quality SN
MSCI World Value SN
MSCI World MV
MSCI
World
Momentum
MSCI
World
Size
MSCI
World
Quality
SN
MSCI
World
Value
SN
MSCI
World
MV
1.00
0.11
0.09
-0.03
0.19
0.11
1.00
-0.32
0.52
-0.02
0.09
-0.32
1.00
-0.19
0.34
-0.03
0.52
-0.19
1.00
-0.08
0.19
-0.02
0.34
-0.08
1.00
Source: MSCI, Bloomberg, BlackRock. Period: December 1998 – Septemer 2014.
For Professional Clients/Sophisticated Investors/Qualified Investors Only
EMEAiS-0981
Value - Key metrics (1/2)
Risk and return statistics
MSCI World Enhanced Value
MSCI World
MSCI World
Enhanced
Value
Total return (ann.)
4.4%
9.9%
Total risk (ann.)
15.8%
18.1%
Sharpe ratio
0.12
0.42
Information ratio
N/A
0.93
Max drawdown
57.8%
62.0%
MSCI World
500
400
300
200
100
Source: MSCI, in USD, net returns over 31/12/1998 – 30/09/2014
set-14
dic-13
mar-13
giu-12
set-11
dic-10
giu-09
mar-10
set-08
dic-07
giu-06
mar-07
set-05
dic-04
giu-03
mar-04
set-02
dic-01
giu-00
mar-01
set-99
0
dic-98
Index levels rebased at 100
Cumulative performance
Source: MSCI, in USD, net returns over 31/12/1998 –
30/09/2014
Valuation metrics
Active factor exposure relative to MSCI World
Source: MSCI, over 01/06/1999 – 02/06/2014
MSCI World
MSCI World
Enhanced
Value
Price to book
2.2
1.2
Price to cash
earnings
10.2
6.1
Price to
earnings
18.6
14.7
Price to sales
1.2
0.5
Dividend yield
2.3%
2.8%
ROE
12.5%
8.3%
Source: MSCI, Monthly averages over 31/12/1998 – 30/09/2014
Please note: “Sizenonl” is a measure of mid-cap exposure, where as “Size” is a measure of large cap exposure
EMEAiS-0981
36
Value - Key metrics (2/2)
Country breakdown
60
MSCI World Enhanced Value
56.4
MSCI World
36.3
35
28.6
30
Respective values below are in %
25
20
15
Portugal
New Zealand
Ireland
Finland
Austria
Belgium
Sweden
0.6 1.4 0.6 0.3 0.5 0.5 0.3 1.2 0.2 0.1 0.2 0.3 0.0 0.1 0.0 0.1 0.0 0.1
Norway
3.0
Australia
0.8 0.6 0.8
Singapore
Canada
Italy
Hong Kong
Germany
France
UK
Japan
0
USA
3.6
1.3 1.1 1.2 0.2 1.0 0.6 0.9
Spain
4.2
1.7 1.1 1.6 1.0 1.6
Switzerland
3.9 5.1 3.5
Denmark
7.2
5
Israel
9.5 8.4
Netherlands
8.3
10
Sector breakdown (this strategy has a sector neutral constraint)
25
21
21
20
14
15
13
12
12
12
12
11
11
10
9
9
9
10
5
5
4
5
3
3
3
0
Financials
Information
Technology
Health Care
Consumer
Discretionary
Industrials
Energy
Consumer
Staples
Materials
Telecommunication
Services
Utilities
Source: MSCI, as of 30th September 2014
EMEAiS-0981
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Quality - Key metrics (1/2)
Risk and return statistics
MSCI World
MSCI World
Sector Neutral
Quality
Total return (ann.)
4.4%
5.6%
150
Total risk (ann.)
15.8%
15.1%
100
Sharpe ratio
0.12
0.21
Information ratio
N/A
0.38
Max drawdown
57.8%
54.5%
MSCI World Sector Neutral Quality
MSCI World
300
250
200
50
0
dic-98
lug-99
feb-00
set-00
apr-01
nov-01
giu-02
gen-03
ago-03
mar-04
ott-04
mag-05
dic-05
lug-06
feb-07
set-07
apr-08
nov-08
giu-09
gen-10
ago-10
mar-11
ott-11
mag-12
dic-12
lug-13
feb-14
set-14
Index levels rebased at 100
Cumulative performance
Source: MSCI, in USD, net returns over 31/12/1998 – 30/09/2014
Source: MSCI, in USD, net returns over 31/12/1998 –
30/09/2014
Valuation metrics
Active factor exposure relative to MSCI World
Source: MSCI, over 01/06/1999 – 02/06/2014
MSCI World
MSCI World
Sector Neutral
Quality
Price to book
2.2
3.5
Price to cash
earnings
10.2
11.5
Price to
earnings
18.6
15.8
Price to sales
1.2
1.8
Dividend yield
2.3%
2.4%
ROE
12.5%
22.3%
Source: MSCI, Monthly averages over 31/12/1998 – 30/09/2014
Please note: “Sizenonl” is a measure of mid-cap exposure, where as “Size” is a measure of large cap exposure. A Quality
factor does not exist in the Barra risk model, however, Low “Leverage” can be viewed as a proxy for high Quality
factor
EMEAiS-0981
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Quality - Key metrics (2/2)
Country breakdown
62 60.6
60
MSCI World Sector Neutral Quality Index
58
MSCI World Index
56.4
Respective values below are in %
11.0
10
8.4
8.3
8
5.9
3.9
1.1
2
1.7
0.6
1.3 1.2 1.2 1.1 1.1
3.5
0.9
0.3 0.8 0.6 0.7
1.4
0.7
0.4 0.3 0.2
1.0
0.2 0.5 0.1 0.1 0.0 0.1 0.0 0.2 0.0 0.1 0.0 0.1
Italy
Norway
Germany
Spain
Singapore
Finland
France
Netherlands
Sweden
Japan
Denmark
Canada
Australia
Hong Kong
Switzerland
UK
USA
0
New Zealand
2.5
Austria
4.2
Israel
3.4 3.0 3.0
Portugal
4.3
Ireland
3.6
4
Belgium
6
Sector breakdown (this strategy has a sector neutral constraint)
25
21
21
20
15
13
13
13
12
12
12
11
11
9
10
9
10
10
5
5
5
3
3
3
3
0
Financials
Information
Technology
Health Care
Consumer
Discretionary
Industrials
Energy
Consumer
Staples
Materials
Telecommunication
Services
Utilities
Source: MSCI, as of 30th September 2014
EMEAiS-0981
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Momentum – Key metrics (1/2)
MSCI World Momentum
Risk and return statistics
MSCI World
MSCI World
Momentum
Total return (ann.)
4.4%
6.6%
Total risk (ann.)
15.8%
16.3%
Sharpe ratio
0.12
0.26
Information ratio
N/A
0.26
Max drawdown
57.8%
55.8%
MSCI World
300
250
200
150
100
50
0
dic-98
lug-99
feb-00
set-00
apr-01
nov-01
giu-02
gen-03
ago-03
mar-04
ott-04
mag-05
dic-05
lug-06
feb-07
set-07
apr-08
nov-08
giu-09
gen-10
ago-10
mar-11
ott-11
mag-12
dic-12
lug-13
feb-14
set-14
Index levels rebased at 100
Cumulative performance
Source: MSCI, in USD, net returns over 31/12/1998 – 30/09/2014
Source: MSCI, in USD, net returns over 31/12/1998 –
30/09/2014
Valuation metrics
Active factor exposure relative to MSCI World
Source: MSCI, over 01/06/1999 – 02/06/2014
MSCI World
MSCI World
Momentum
Price to book
2.2
3.0
Price to cash
earnings
10.2
12.3
Price to
earnings
18.6
21.8
Price to sales
1.2
1.6
Dividend yield
2.3%
1.7%
ROE
12.5%
14.1%
Source: MSCI, Monthly averages over 31/12/1998 – 30/09/2014
Please note: “Sizenonl” is a measure of mid-cap exposure, where as “Size” is a measure of large cap exposure
EMEAiS-0981
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Momentum - Key metrics (2/2)
Country breakdown
70
69.6
MSCI World Momentum Index
MSCI World Index
65
Respective values below are in %
60
56.4
8.4
SINGAPORE
AUSTRIA
NETHERLANDS
NEW ZEALAND
PORTUGAL
IRELAND
BELGIUM
HONG KONG
FINLAND
AUSTRALIA
DENMARK
GERMANY
JAPAN
FRANCE
UK
CANADA
USA
0
3.6
3.5
3.0
1.2
0.5
0.1
1.1
1.6 1.0 1.3
1.1
0.7 1.4 0.6 0.2 0.5
0.5 0.3 0.4
0.4 0.3 0.2
0.2
0.1 0.1 0.1
0.1 0.1 0.0
0.0 0.6 0.0 0.1
NORWAY
0.6
2.1
SWEDEN
2.5
ISRAEL
3.1
SPAIN
3.9 3.9
SWITZERLAND
4.2 4.7
5
8.3
ITALY
7.5
Sector breakdown
25
24
21
20
15
15
12
13
13
11
12
12
9
10
10
12
10
5
5
5
3
3
3
2
3
0
Health Care
Industrials
Information
Technology
Financials
Energy
Consumer
Discretionary
Consumer
Staples
Materials
Utilities
Telecommunication
Services
Source: MSCI, as of 30th September 2014
EMEAiS-0981
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Size - Key metrics (1/2)
MSCI World Mid-Cap Equal Weight
Risk and return statistics
MSCI World
MSCI World
Mid-cap Equal
Weighted
Total return (ann.)
4.4%
7.7%
Total risk (ann.)
15.8%
17.1%
Sharpe ratio
0.12
0.31
Information ratio
N/A
0.63
Max drawdown
57.8%
59.5%
MSCI World
400
350
300
250
200
150
100
50
0
dic-98
lug-99
feb-00
set-00
apr-01
nov-01
giu-02
gen-03
ago-03
mar-04
ott-04
mag-05
dic-05
lug-06
feb-07
set-07
apr-08
nov-08
giu-09
gen-10
ago-10
mar-11
ott-11
mag-12
dic-12
lug-13
feb-14
set-14
Index levels rebased at 100
Cumulative performance
Source: MSCI, in USD, net returns over 31/12/1998 – 30/09/2014
Source: MSCI, in USD, net returns over 31/12/1998 –
30/09/2014
Valuation metrics
Active factor exposure relative to MSCI World
Source: MSCI, over 01/06/1999 – 02/06/2014
MSCI World
MSCI World
Mid-cap Equal
Weighted
Price to book
2.2
1.7
Price to cash
earnings
10.2
9.7
Price to
earnings
18.6
23.1
Price to sales
1.2
0.8
Dividend yield
2.3%
2.0%
ROE
12.5%
7.8%
Source: MSCI, Monthly averages over 31/12/1998 – 30/09/2014
Please note: “Sizenonl” is a measure of mid-cap exposure, where as “Size” is a measure of large cap exposure
EMEAiS-0981
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Size - Key metrics (2/2)
Country breakdown
60
56.4
MSCI World Mid Cap Equal Weighted Index
38.4
MSCI World Index
35
Respective values below are in %
30
25
22.7
20
15
8.4
Portugal
Ireland
Norway
Israel
New Zealand
Austria
Belgium
Finland
Denmark
Spain
Italy
Netherlands
Sweden
Hong Kong
Singapore
Switzerland
Canada
UK
Japan
USA
0
4.2 4.3 3.0 3.8 3.9
3.6
2.1 3.5 2.0
1.8 1.1 1.6 1.2 1.6
0.6 1.5 1.1 1.5 1.0 1.1 1.4 0.8 0.6 0.8 0.3 0.7 0.5 0.6 0.2 0.6 0.1 0.5 0.1 0.5 0.3 0.4 0.1 0.2 0.1
Germany
5.7
5
France
6.6
Australia
8.3
10
Sector breakdown
25
21
21
20
17
17
15
11
12
13
12
10
10
9
9
10
5
7
6
6
5
5
3
2
3
0
Financials
Industrials
Consumer
Discretionary
Information
Technology
Materials
Health Care
Energy
Consumer
Staples
Utilities
Telecommunication
Services
Source: MSCI, as of 30th September 2014
EMEAiS-0981
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Minimum Volatility - Key metrics (1/2)
MSCI World Minimum Volatility
Risk and return statistics
MSCI World
MSCI World
Minimum
Volatility
Total return (ann.)
4.4%
5.8%
Total risk (ann.)
15.8%
11.1%
Sharpe ratio
0.12
0.30
Information ratio
N/A
0.18
Max drawdown
57.8%
48.2%
MSCI World
300
250
200
150
100
50
0
dic-98
lug-99
feb-00
set-00
apr-01
nov-01
giu-02
gen-03
ago-03
mar-04
ott-04
mag-05
dic-05
lug-06
feb-07
set-07
apr-08
nov-08
giu-09
gen-10
ago-10
mar-11
ott-11
mag-12
dic-12
lug-13
feb-14
set-14
Index levels rebased at 100
Cumulative performance
Source: MSCI, in USD, net returns over 31/12/1998 – 30/09/2014
Source: MSCI, in USD, net returns over 31/12/1998 –
30/09/2014
Valuation metrics
Active factor exposure relative to MSCI World
Source: MSCI, over 01/06/1999 – 02/06/2014
MSCI World
MSCI World
Minimum
Volatility
Price to book
2.2
2.5
Price to cash
earnings
10.2
10.4
Price to
earnings
18.6
18.7
Price to sales
1.2
1.4
Dividend yield
2.3%
2.6%
ROE
12.5%
13.4%
Source: MSCI, Monthly averages over 31/12/1998 – 30/09/2014
Please note: “Sizenonl” is a measure of mid-cap exposure, where as “Size” is a measure of large cap exposure
EMEAiS-0981
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Minimum Volatility - Key metrics (2/2)
Country breakdown
MSCI World Minimum Volatility Index
58 57.5
56.4
MSCI World Index
13.1
Respective values below are in %
12
10
9.1
8.4
8.3
8
7.0
6
Portugal
Ireland
Norway
Sweden
Hong Kong
Singapore
Switzerland
Germany
France
Australia
Canada
UK
Japan
USA
0
1.4
1.2
1.1
1.0
0.4 0.6 0.3 0.1 0.3
0.2 0.1 0.1 0.5 0.0
0.0
0.0
0.0 0.3 0.0 0.1 0.0 0.3 0.0 0.1
Israel
0.7 0.2 0.5
New Zealand
0.8
Austria
0.6 0.9
Belgium
1.8
Finland
1.1
3.0
Denmark
2
3.9
3.5
Spain
3.6
Italy
3.6 3.8
Netherlands
4.2
4
Sector breakdown
25
21
20
15
17
16
15
12
10
10
11
13
12
10
11
8
9
8
7
5
5
5
3
3
3
0
Health Care
Financials
Consumer
Staples
Consumer
Discretionary
Industrials
Utilities
Telecommunication Information
Services
Technology
Energy
Materials
Source: MSCI, as of 30th September 2014
EMEAiS-0981
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Disclaimer
Regulatory Information
BlackRock Advisors (UK) Limited, which is authorised and regulated by the Financial Conduct Authority ('FCA'), having its registered office at 12 Throgmorton Avenue, London, EC2N 2DL,
England, Tel +44 (0)20 7743 3000, has issued this document for access by Professional Clients only and no other person should rely upon the information contained within it. For your
protection, calls are usually recorded. iShares plc, iShares II plc, iShares III plc, iShares IV plc, iShares V plc, iShares VI plc and iShares VII plc (together 'the Companies') are open-ended
investment companies with variable capital having segregated liability between their funds organised under the laws of Ireland and authorised by the Central Bank of Ireland.
For investors in Austria
The funds mentioned in this document are registered for public offer in Austria. The Sales Prospectuses for the Companies, Key Investor Information Document and other documents as
well as the annual and semi-annual reports have been published in Austria and are available free of charge from UniCredit Bank AG Vienna Branch, Julius Tandler Platz 3, 1090 Vienna,
Austria, the Austrian paying and information agent and are also available on the website www.ishares.com. Any decision to invest must be based solely on the information contained in the
Company’s Prospectus, Key Investor Information Document and the latest half-yearly report and unaudited accounts and/or annual report and audited accounts. Investors should read the
fund specific risks in the Key Investor Information Document and the Company’s Prospectus. The Companies intend to fulfil the requirements for treatment of all of their sub-funds as
reporting funds. Therefore the Companies have an Austrian tax representative who calculates the Austrian Deemed Distributed Income figures once a year and files an electronic tax return
with the Austrian Control Bank. However, it cannot be guaranteed that the requirements will be met in the future. The Companies reserve the right to give up the reporting fund status and
to not undertake such tax filings.
For investors in Denmark
This document is directed at Professional Investors in Denmark only and the Funds are authorised by Finanstilsynet, the Danish Financial Supervisory Authority. Any decision to invest
must be based solely on the information contained in the Company’s Prospectus, Key Investor Information Document and the latest half-yearly report and unaudited accounts and/or
annual report and audited accounts and the Danish country supplements. Investors should read the fund specific risks in the Key Investor Information Document and the Company’s
Prospectus. Copies of all documentation can be obtained free of charge from offices of the paying agent in Denmark BlackRock Copenhagen Branch, filial af BlackRock Investment
Management (UK) Limited Harbour House, Sundkrogsgade 21, 2100 København Ø, Denmark. This document is strictly confidential and may not be distributed without authorisation from
BlackRock Advisors (UK) Limited.
For investors in Finland
The funds mentioned are registered for public distribution in Finland and are authorised by the Finanssivalvonta (Fiva), the Financial Supervisory Authority (FIN-FSA), in Finland. Any
decision to invest must be based solely on the information contained in the Company’s Prospectus, Key Investor Information Document and the latest half-yearly report and unaudited
accounts and/or annual report and audited accounts. Investors should read the fund specific risks in the Key Investor Information Document and the Company’s Prospectus. This document
is strictly confidential and may not be distributed without authorisation from BlackRock Advisors (UK) Limited.
For investors in France
Any subscription for shares in a sub-fund of one of the companies will be carried out according to the conditions specified in the full Prospectus, Key Investor Information Document, the
French Addendum and in the Supplements of Companies as the case may be. These documents can be obtained by contacting the paying agent of the Company: BNP Paribas Securities
Services, 3 rue d'Antin, 75002 Paris, tel: 00 33 1 42 98 10 00 or by visiting the French part of the site www.iShares.eu. The companies are undertakings for collective investment in
transferable securities (UCITS) governed by foreign laws and approved by the Financial Regulator in the home state as a UCITS complying with European regulations. The European
Directive 2009/65/EC of July 13, 2009 on UCITS, as amended, establishes common rules in order to allow the cross-border marketing of UCITS which comply with it. This common
foundation did not prohibit different methods of implementation. This is why a European UCITS may be marketed in France even though the activity of such scheme would not respect rules
identical to those which govern the approval of this type of product in France. This sub fund has been authorized for marketing in France by the Autorité des Marchés Financiers. Please
note that the distribution of shares of some sub funds of funds is not allowed in France. This document does not constitute an offer or a solicitation in relation to the shares of the funds.
EMEAiS-0981
46
Disclaimer
For investors in Germany
The Sales Prospectus and Key Investor Information Document, as well as the annual and semi-annual reports are available free of charge from Commerzbank Kaiserplatz, 60311 Frankfurt
am Main, Germany. The Companies intend to fulfil the prerequisites for treatment of their sub-funds as so-called "transparent funds" pursuant to §§ 2 and 4 of the German Investment Tax
Act (Investmentsteuergesetz – InvStG). However, it cannot be guaranteed that the requirements will be met. The Companies reserve the right to give up the "transparent status" and to not
undertake the necessary publications. Any decision to invest must be based solely on the information contained in the Company’s Prospectus, Key Investor Information Document and the
latest half-yearly report and unaudited accounts and/or annual report and audited accounts. Investors should read the fund specific risks in the Key Investor Information Document and the
Company’s Prospectus. Please note that important information about iShares VII funds is available in the current prospectus and other documents that can be obtained free of charge from
the paying agent, Deutsche Bank AG Taunusanlage 12, 60325 Frankfurt am Main, Federal Republic of Germany.
For investors in Israel
BlackRock Advisors (UK) Limited is not licensed under Israel’s Regulation of Investment Advice, Investment Marketing and Portfolio Management Law, 5755-1995. No action has been or
will be taken in Israel that would permit a public offering or distribution of the Funds mentioned in this document to the public in Israel. The Funds mentioned in this document have not been
approved by the Israeli Securities Authority. In addition, the Funds mentioned in this document are not regulated under the provisions of Israel’s Joint Investment Trusts law, 5754- 1994
(the “Joint Investment Trusts Law”). This document has not been approved by the Israel Securities Authority and will only be distributed to Israeli residents in a manner that will not
constitute “an offer to the public” under sections 15 and 15a of the Israel Securities Law, 5728-1968 (the “Securities Law”) or section 25 of the Joint Investment Trusts Law, as applicable.
The document is being offered to those categories of investors listed in the First Addendum (the “Addendum”) to the Securities Law, (“Institutional Investors”); in all cases under
circumstances that will fall within the private placement or other exemptions of the Joint Investment Trusts Law, the Securities Law and any applicable guidelines, pronouncements or
rulings issued from time to time by the Israel Securities Authority. This document may not be reproduced or used for any other purpose, nor be furnished to any other person other than
those to whom copies have been sent. Nothing in this document should be considered investment advice or investment marketing as defined in the Regulation of Investment Counselling,
Investment Marketing and Portfolio Management Law, 5755-1995. This document does not constitute an offer to sell or solicitation of an offer to buy any securities, nor does it constitute an
offer to sell to or solicitation of an offer to buy from any person or persons in any state or other jurisdiction in which such offer or solicitation would be unlawful, or in which the person
making such offer or solicitation is not qualified to do so, or to a person or persons to whom it is unlawful to make such offer or solicitation.
For investors in Italy
This document is directed at professional investors in Italy only. The funds mentioned in this document are mutual investment funds with exchange traded fund nature (ETF) and they are
admitted for the marketing in Italy among authorised intermediaries and among professional investors. Certain sub-funds are currently listed on the Mercato Telematico Fondi of Borsa
Italiana S.p.A., where the respective shares, may be purchased, through authorised intermediaries, also by private investors. The publication of the listing document (Documento di
quotazione) related to the ETF does not imply any judgment by Consob on the proposed investment. The list of the sub-funds and of the funds listed in Italy, the Prospectus, the Key
Investor Information Document, the listing document (Documento di quotazione) of the Companies and of the funds are published (i) on the Companies' internet website at the address
www.iShares.com and (ii) on Borsa Italiana S.p.A's website at the address www.borsaitalia.it (on the indicated websites there are also published the latest annual and semi annual reports
of the Companies). Any decision to invest must be based solely on the information contained in the Prospectus, in the Key Investor Information Document and in the latest annual and semi
annual report of the Companies. For comprehensive information on specific risks, on the expenses charged to a fund and fees applicable to investors, please refer to the Prospectus, the
KIID and the listing document (Documento di quotazione) of each sub-funds. These documents are available for the public in Italian version with certification that such documents are a
faithful translation of the original documents. Investors are entitled to receive free of charge, even at home, a copy of the above documents, upon written request forwarded to the
Companies. Unless otherwise specified, all information contained herein is updated to the date appearing on the front cover.
For investors in Luxembourg
The Companies have been notified to the Commission de Surveillance du Secteur Financier in Luxembourg in order to market their shares for sale to the public in Luxembourg and the
Companies are notified Undertaking in Collective Investment for Transferable Securities (UCITS). The Companies have not been listed on the Luxembourg Stock Exchange, investors
should contact their broker for further information. Investment is subject to the Prospectus, Key Investor Information Document and all documents (the main/umbrella Prospectus, the
Supplement[s], the latest and any previous annual and semi-annual reports of the Companies and the Memorandum and Articles of Association of the Companies) will be available in the
Luxembourg, free of charge, from the offices of the Local Agent, BNP Paribas Securities Services, Luxembourg Branch 33, rue de Gasperich Howald – Hesperange L-2085 Luxembourg or
by visiting the website on www.iShares.com. Investors should read the fund specific risks in the Key Investor Information Document and the Company’s Prospectus.
EMEAiS-0981
47
Disclaimer
For investors in Norway
The funds mentioned are registered for public distribution in Norway and are authorised by Kredittilsynet, the Financial Supervisory Authority of Norway. Any application for shares in the
funds is on the terms of the Prospectus, Key Investor Information Document for the Companies. Any decision to invest must be based solely on the information contained in the Company’s
Prospectus, Key Investor Information Document and the latest half-yearly report and unaudited accounts and/or annual report and audited accounts. Investors should read the fund specific
risks in the Key Investor Information Document and the Company’s Prospectus. This document is strictly confidential and may not be distributed without authorisation from BlackRock
Advisors (UK) Limited.
For investors in Spain
The funds mentioned are registered for public distribution in Spain.The sales Prospectus has been registered with the Spanish Securities Market Commission (Comisión Nacional del
Mercado de Valores ('CNMV')). The funds which are registered in the official registry of the Spanish Securities and Exchange Commission (CNMV) are iShares plc (registration number
801), iShares II plc (registration number 802) and iShares III plc (registration number 806), iShares IV plc (registration number 1402), iShares V plc (registration number 977), iShares VI plc
(registration number 1091), iShares VII plc (registration number 886) and iShares (Lux) (registration number 905). The official registry, CNMV, must always be checked to see which sub
funds of the funds mentioned are registered for public distribution in Spain. Any decision to invest must be based solely on the information contained in the Company’s Prospectus, Key
Investor Information Document and the latest half-yearly report and unaudited accounts and/or annual report and audited accounts, copies of which can be obtained free of charge at
www.iShares.es. Investors should read the fund specific risks in the Key Investor Information Document and the Company’s Prospectus.
For investors in Sweden
The Funds mentioned herein are registered for public distribution in Sweden and are authorised by Finansinspektionen, the Swedish Financial Supervisory Authority. Any application for
shares in the funds is on the terms of the Prospectus, Key Investor Information Document, for the Companies. Important information relating to the Companies is contained in the relevant
Prospectus, Key Investor Information Document and other documents, copies of which can be obtained free of charge from offices of the paying agent BlackRock Investment Management
(UK) Limited, Stockholm Filial Mäster Samuelsgatan 1, Box 609 S-11411 Stockholm, Sweden. Any decision to invest must be based solely on the information contained in the Company’s
Prospectus, Key Investor Information Document and the latest half-yearly report and unaudited accounts and/or annual report and audited accounts. Investors should read the fund specific
risks in the Key Investor Information Document and the Company’s Prospectus. Please note that important information about iShares V funds is available in the current prospectus and
other documents that can be obtained free of charge from the paying agent BlackRock Investment Management (UK) Limited, Stockholm Filial Mäster Samuelsgatan 1, Box 609 S-11411
Stockholm, Sweden.
For investors in Switzerland
The distribution of the Fund in Switzerland will be exclusively made to qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended and its
implementing ordinance. Accordingly, some of the Funds have not been registered with the Swiss Financial Market Supervisory Authority (“FINMA”). This document may be made available
in Switzerland solely to qualified Investors. In respect of the registered funds, BlackRock Asset Management Schweiz AG, Bahnhofstrasse 39, CH-8001 Zürich, is the Swiss Representative
and JPMorgan Chase Bank, National Association, Columbus, Zürich Branch, Dreikönigstrasse 21, 8002 Zurich, the Swiss Paying Agent of the Fund. The Prospectus, Key Investor
Information Document, the Articles of Incorporation, the latest and any previous annual and semi-annual reports of the Fund are available free of charge from the Swiss representative.
Investors should read the fund specific risks in the Key Investor Information Document and the Prospectus.
For investors in the UK
Most of the protections provided by the UK regulatory system do not apply to the operation of the Companies, and compensation will not be available under the UK Financial Services
Compensation Scheme on its default. The Companies are recognised schemes for the purposes of the Financial Services and Markets Act 2000. Any decision to invest must be based
solely on the information contained in the Company’s Prospectus, Key Investor Information Document and the latest half-yearly report and unaudited accounts and/or annual report and
audited accounts. Investors should read the fund specific risks in the Key Investor Information Document and the Company’s Prospectus.
EMEAiS-0981
48
Disclaimer
Restricted Investors
This document is not, and under no circumstances is to be construed as an advertisement or any other step in furtherance of a public offering of shares in the United States or Canada.
This document is not aimed at persons who are resident in the United States, Canada or any province or territory thereof, where the companies/securities are not authorised or registered
for distribution and where no prospectus has been filed with any securities commission or regulatory authority. The companies/securities may not be acquired or owned by, or acquired with
the assets of, an ERISA Plan.
Risk Warnings
Investment in the products mentioned in this document may not be suitable for all investors. Past performance is not a guide to future performance and should not be the sole factor of
consideration when selecting a product. The price of the investments may go up or down and the investor may not get back the amount invested. Your income is not fixed and may
fluctuate. The value of investments involving exposure to foreign currencies can be affected by exchange rate movements. We remind you that the levels and bases of, and reliefs from,
taxation can change.
BlackRock has not considered the suitability of this investment against your individual needs and risk tolerance. The data displayed provides summary information. Investment should be
made on the basis of the relevant Prospectus which is available from the manager.
In respect of the products mentioned this document is intended for information purposes only and does not constitute investment advice or an offer to sell or a solicitation of an offer to buy
the securities described within. This document may not be distributed without authorisation from BlackRock Advisors (UK) Limited.
Index Disclaimers
iShares funds are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or any index on which such funds are based. The Prospectus
contains a more detailed description of the limited relationship that MSCI has with BlackRock Advisors (UK) Limited and any related funds.
© 2014 BlackRock, Inc. All Rights reserved. BLACKROCK, BLACKROCK SOLUTIONS, iSHARES, BUILD ON BLACKROCK, SO WHAT DO I DO WITH MY MONEY and the stylized i logo
are registered and unregistered trademarks of BlackRock, Inc. or its subsidiaries in the United States and elsewhere. All other trademarks are those of their respective owners.
EMEAiS-0981
49