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Figure 2 Eligible MFI Investor Vintages, By Year (Where 0 = The Base Investor Vintage For The Year*) MFI Selection Year MFI SVIX Index 2004 2005 2006 2007 2008 2009 2005 2005 0 1 2 3 4 5 2006 2006 0 1 2 3 4 2007 2007 0 1 2 3 2008 2008 0 1 2 2009 2009 0 1 2010 2010 0 Composite All Investor Vintages, in order of inclusion How to read this table: The Investor Vintages formed during a year belong to the MFI SVIX annual index in the period they are created, no matter the MFI’s Selection Year. For instance, the MFI SVIX 2009 (light blue) contains the 2009 results of all Investor Vintages formed in 2008, from all MFIs selected for 2009 and all prior periods (indicated in the 2008 light blue column). Source: Wall’s Street Advisor Services *Not all MFIs will add a new Investor Vintage every year, so Investor Vintage numbers used here are for illustrative purposes only. VË?ÄËÁjWjÜjaË?ÄËW?ÄËaÜajaÄÇ VËËWÁj?ÄjÄË®ÄÄjÄ¯ËËÍjÁËÄ?ÁjËwËÍjËW¬?ß¾ÄËMËÜ?ÖjË ?ÁÄ~ËwÁËjÍËWjË®jÍËÄÄjÄ¯ËwÁË Ë¬jÁ?ÍÄÇ VËËWÁj?ÄjÄË®ÄÄjÄ¯ËËÍjËÜ?ÖjËwËÍjÁËÄ?ÁjËwËÍjËW- ¬?ß¾ÄËMËÜ?ÖjË?ÁÄ~ËwÁËaÖÍËwËÍjÁËÝjÁ- Ä¬Ë wÁË jÝË ÄÄÖjÄË wË Ä?ÁjÄË ®wÁ?ÍË Íß¬W?ßË jMjaajaËË?ÖaÍjaËw?W?ËÄÍ?ÍjjÍÄ¯ÇË?a VËË+ÁWjjaÄË ?ÁÄ~Ë wÁË Ä?jÄË wË ÍjÁË jÖÍßË ¬ÄÍÄË ®ÖÄÖ?ßË j~Í?ÍjaË ?aË wÁjÖjÍßË ÍË ¬ÖMWßË aÄ- WÄja¯Ë ÝjË Ë jÝË Ä?ÁjÄË ?ÁjË ÄÄÖja±Ë .ÖWË ÍÁ?Ä?W- ÍÄË?ÁjËwÍjËW?jaË»ÄjWa?ÁßËÄ?jÄ±¼ 0Ë ÍjÄjË jjjÍÄË wË Ä?ÁjajÁË Ü?Öj^Ë jË ÖÄÍË ?ÄË ?aaËÍjË¬?WÍËwËjÞW?~jËÁ?ÍjËÜjjÍÄËËÜ?Öj^ËjÄ¬j- W?ßËÝjËWM~ËwÁ?ÍË?WÁÄÄËMÁajÁÄ±Ë ÁËajÞË¬ÖÁ¬ÄjÄ^Ë8..ËajÄËÍËWÖaj^ËË?ßËÝ?ß^Ë ÍjËw?W?ËÜ?ÖjÄËÍ?ÍË?ßËÜjÄÍÁÄËËWÁw?WjË ÄjjË ÍË ?Þãj^Ë ÄÖWË ?ÄË ÍjË Ö?Í?Á?Ë WÍÁMÖÍÄË ?Ë Ë?ßË?jËË¬ÁË¬j¬j¾ÄËÜjÄË?ÄË?ËÁjÄÖÍËwËÍjÁË ÄjÁÜWjÄ±Ë0jË?ÍÍjÁËÄË?Ë¬ÁÍ?ÍËWÄajÁ?ÍËwÁË?ßË ÜjÄÍÁÄË Ë WÁw?Wj^Ë ?aË ?ßË j?a~Ë ¬Á?WÍÍjÁÄË ?Á~ÖjË Í?ÍË Ä¾Ë w?W?Ë ÁjÄÖÍÄË ÄÖaË MjË WÄÍÁ?jaË ?ÄË ÖWË?ÄË¬ÄÄMjÊ¬Á?WÍW?Mj^ËËw?ÜÁËwËÍjË¬ÁËWjÍÄ± 8 ÖÍË?ÍË¬ÁjÄjÍ^Ë?ÍËj?ÄÍ^ËÍjÁjË?ÁjËwjÝËWßË?WWj¬ÍjaË j?ÄÖÁjÄËwË Ä¾ËÄW?Ë¬jÁwÁ?WjË?aËÁj?ÍjaËÍjÄjÁjÄË a?Í?ËÄÖwwWjÍËÍËWÖajËÍjÄjËËajÞËW?WÖ?ÍÄ± Ë #WjË ÄÖWË wÁ?ÍË ÄË Ë ¬?Wj^Ë 8..Ë ÝÖaË WÄajÁË ÝË ÍË ~ÍËWÁ¬Á?ÍjËÍjÄjËÍËÍjËajÞjÄ¾ËÁjÄÖÍÄ± Grouping MFIs’ Shareholders Into ’Investor Vintages’ ÁË¬ÖÁ¬ÄjÄËwËj?ÄÖÁ~ËW?~jÄËË».?ÁjajÁË7?Öj^¼Ë ÍjË ajÞË jÍa~ßË ÁjW~ãjÄË Í?ÍË Ä?ÁjajÁÄË Ë ?Ë ËÝËjÞ¬jÁjWjËawwjÁjÍËÁjÄÖÍÄËaj¬ja~ËËÍjËÍjÁÄË ?aËÍ~ËwËÍjÁËjÍÁßË?aËjÞÍÄËÍËÍjËW?¬Í?ËwËÍjË ^Ë MÖÍËÍ?ÍËÄÖWËwÁ?ÍËÄ¾ÍËWßË?Ü??MjËjÞWj¬ÍË?ÄË ?~~Áj~?ÍjaËË Ëw?W?ËÄÍ?ÍjjÍÄ±Ë0jÁjwÁj^ËÄ?ÁjajÁÄ¾ËÜjÄÍjÍÄË?ÁjË~ÁÖ¬jaËÍË?Ë»ÜjÄÍÁË7Í?~j¼ËMßËÍjË ßj?ÁËÝjËÍjßËwÁÄÍËÜjÄÍË?ÄË?Ë ¾ÄËÄ?ÁjajÁ±Ë .Ë wÁË ÄÍ?Wj^Ë ?Ë Ä?ÁjajÁÄË ¬ÁjÄjÍË Ë ÍjË M?ÄjË ßj?ÁË ËÝWË?Ë ËjÍjÁÄËÍjËajÞË?ÁjËajjjaËjMjÁÄËwËÍjË ¾ÄË.?ÁjajÁËÜjÄÍÁË7Í?~jËwÁËÍ?ÍËßj?ÁË®ÄßMËsË. 0¯± ÜjÄÍÁÄËÍ?ÍËjÍjÁËajÞË ÄËÄÖMÄjÖjÍßË?ÁjË~ÁÖ¬jaË Í~jÍjÁËËÍjË¬jÁaËÍjßËjÍjÁË?aË?ÁjËajÄ~?ÍjaË. 1^Ë. 2^Ë . 3^ËjÍW±^ËÍË. Ë®. ËÄ~wß~ËÍjËÍËÜjÄÍÁË7Í?~jËË?Ë ¾ÄËajÞËwj¯± ÍËÄË¬ÁÍ?ÍËÍËÁjjMjÁËÍ?ÍËÍËjÜjÁßË Ë?ÄËjÝË ÜjÄÍÁÄË jÜjÁßË ßj?Á^Ë ?aË ?ÄË ?Ë ÁjÄÖÍ^Ë ÄjË ÄË ?ßË Ä¬Ë ßj?ÁÄË MjÍÝjjË . 0 Ë ?aË . 1 Ë wÁË ÄÍ?Wj±Ë Ä^Ë ?Ë ÜjÄÍÁË 7Í?~jËW?Ë~ËÖÍËwËjÞÄÍjWjqj±~±^Ë. 0 Ë?ßËÄjËÖÍËW- ¬jÍjßËÍË?ËjÝËÄjÍËwËÄ?ÁjajÁÄËËÄÖMÄjÖjÍËßj?ÁÄ±ËÁË jÞ?¬j^Ë?ËÄ~jË¬ÁÜ?ÍjËjÖÍßËwÖaË?ßËMÖßËÍËÍjË Ë ËÔååÉ^ËwÁ~ËÍ?ÍË ¾ÄËÜjÄÍÁË7Í?~jËÔååÉ±ËwËÍ?ÍË+Ë wÖaË ÝjÁjË ÍË W¬jÍjßË ÄjË ÖÍË ÍÄË ¬ÄÍË Ë Ôååo^Ë ÍjË ¾ÄË ÜjÄÍÁË 7Í?~jË ÔååÉË ÝÖaË Wj?ÄjË ÍË jÞÄÍË ?aË Í?ÍË ËÝÖaË?ÜjËËwÖÁÍjÁËÁj¬ÁjÄjÍ?ÍËËÍjË8..Ë Ë .79ËwÁË7ÔååÉËÄjÁjÄËwÁËÔååËÝ?Áa± 0jË8..Ë Ë.79ËjÍa~ßË?ÄÄÖjÄËÜjÄÍÁË7Í?~jË jMjÁÄË¬?ÁÍW¬?ÍjËËWÁ¬Á?ÍjË?WÍÄË¬Á¬ÁÍ?ÍjßËÍË ÍjÁËÝjÁÄ¬ËjÜjË?aËj~MÍjÄ±ËwË8..Ë?ÄËwÁ?ÍË ÍjÁÝÄj^ËÍËÝË?ÍÍj¬ÍËÍË?ÜjËÍjËa?Í?ËÁjwjWÍËÍjËw?WÍÄ±Ë ÖÁÁjÍß^Ë ÍjË 8..Ë Ë .79Ë ÄjÁjÄË ?ÁjË ajÜj¬jaË wÁË ?Ö?Ë ?ÖaÍjaË ÄÍ?ÍjjÍÄË ß^Ë ÄË ÜjÄÍÁË 7Í?~jÄË ?ÁjË WÄÍÁÖWÍjaË »MßË ßj?Á¼Ë ßÇË ÍjÄjË ajÞjÄË W?Ë ßË MjË Ö¬a?ÍjaË WjË ¬jÁË ßj?Á±Ë ÖÍÖÁjË ¬ÁÜjjÍÄË Ë Ë aÄ- WÄÖÁj^Ë jÞÍja~Ë ÍË ajÍ?jaË Äj?Ö?Ë ?aÊÁË Ö?ÁÍjÁßË ¬ÖMWËÄÍ?ÍjjÍÄ^ËÝË?ÝËÍjËÄjÁjÄËÍËMjË¬ÁaÖWjaËÁjË wÁjÖjÍßË?aËËwjÁËajÍ?±Ë Selecting MFIs For Index Inclusion: The MFI Selection Year Concept ÄË jÍjaË j?ÁjÁ^Ë ÄË Í?jË ?ßË j~?Ë wÁÄ^Ë ?aË ?Ë Í?MjË wj?ÍÖÁjË wË ÍjË aÖÄÍÁßË ÄË Í?ÍË jÝË Ä?ÁjajÁ M?ÄjaËÄÍÍÖÍÄË?ÁjËMj~ËWÁj?ÍjaË?ËÍjËÍj^ËÁË?ÁjËMj~Ë ÍÁ?ÄwÁjaËwÁË!#ÄËÍËÄ?Ája~ËjÍÍjÄ±ËË?aaÍ^Ë ?ßË ÄË ?ÜjË ~Ë ~ÁÝÍË Á?ÍjÄË ?aË ÁjÖÁjË ?aaÍ?Ë jÖÍßËW?¬Í?ËÍË¬ÁÖajÍ?ßËÄÖÄÍ?ËÄÖWË~ÁÝÍ±Ë www.journalofindexes.com January / February 2011 43
Figure 3 Establishing MFI SVIX Annual Vintage Results Source: Wall’s Street Advisor Services Note: For illustrative purposes only - not actual data or results. 2004 2005 2006 2007 2008 Vintage 2005 MFI Shareholder Values - Base Period 2004 MFI 1 S 0 V $ $100.0 $100.0 $100.0 $100.0 $100.0 MFI 2 S 0 V $ $200.0 $240.0 $288.0 $345.6 $414.7 MFI 3 S 0 V $ $300.0 $300.0 $300.0 $300.0 $300.0 V2005 SV $ $600.0 $640.0 $688.0 $745.6 $814.7 MFI SVIX 2005 - Index levels 100.00 106.67 114.67 124.27 135.79 MFI SVIX 2005 - Index’s annual results 0.0% 6.7% 7.5% 8.4% 9.3% Vintage 2006 MFI Shareholder Values - Base Period 2005 MFI 1 S 1 V $ $100.0 $100.0 $100.0 $100.0 MFI 2 S 1 V $ $100.0 $120.0 $144.0 $172.8 MFI 3 S 1 V $ $200.0 $300.0 $300.0 $300.0 MFI 4 S 0 V $ $100.0 $100.0 $100.0 $100.0 MFI 5 S 0 V $ $200.0 $240.0 $288.0 $345.6 MFI 6 S 0 V $ $300.0 $300.0 $300.0 $300.0 V2006 SV $ $1,000.0 $1,160.0 $1,232.0 $1,318.4 MFI SVIX 2006 - Index levels 100.00 116.00 123.20 131.84 MFI SVIX 2006 - Index’s annual results 0.0% 16.0% 6.2% 7.0% So, for the WSAS MFI SVIX to be as broad and representative as possible, MFIs are considered for inclusion in the indexes on an annual review basis. That is, every year a list of MFIs (those reporting to MIX Market, a firm that keeps track of MFI-related data) is reviewed for eligibility, and MFIs are added to coverage. For purposes of tracking when MFIs first become members of the index, they are grouped into an “MFI Selection Year.” For consideration for inclusion in the WSAS MFI Indexes, MFIs must have the following qualities: VËË0jßË ÖÄÍË MjË Ä?Ája~Íß¬jË W¬?jÄqM?Ä^Ë ! ÄËÁËÁÖÁ?ËM?ÄqÄÍjaËËÍjË 9Ë ?ÁjÍÇË VËË0jßË ÖÄÍË ?ÜjË ?Ë 9Ë ?ÁjÍË Ö?ÍßwaÄWÄÖÁjË ajÄ~?ÍËwË»|Ë?aÄ¼ËÁËMjÍÍjÁqÍ?ÍËÄ^ËÍjË Ë must have issued audited financial statements for the ¬jÁaËÖajÁËÁjÜjÝÇ 10 VËË0jßË ÄÖaË ?ÜjË ÍÍ?Ë jÖÍßË W?¬Í?Ë Ë 2±.±Ë a?ÁË terms such that 20 percent of that amount is equal to or greater than the median amount of equity investments made in the review year, as recorded in WSAS’ database of MFI equity investments 11 (for the MFI SVIX 2005 and ÔååÉËajÞjÄ^ËÍÄË?ÖÍËÄËg|yå^ååå¯Ç VËËÍË ÍjË ÍjË wË ÁjÜjÝËwÁËWÖÄ^ËÍjË ËÄÖaË not be 95 percent or more owned by one party that has expressed or demonstrated its intention to retain Í?ÍË jÜjË wË WÍÁÇË ?aË ?ÄÄÖ~Ë ÍjË ¬ÁjWja~Ë qualifications are met, VËË+ÁjwjÁjWjËwÁË ËWÖÄÄËÝËMjË?ajËwÁË¬ÖÁ¬ÄjÄË of increasing the number of countries covered, maximizing the number of microcredit clients served, and representing the share-denominated MFI universe. Starting with a July 2009 qualifying universe of 378 MFIs from MIX Market’s database (with total 2005 equity capital of $1.92 billion), WSAS “screened in” 64 MFIs. 2¬ËwÖÁÍjÁËajÍ?jaËÁjÜjÝËwËÍjÄjË Ä^ËÏåË ÄËÖ?fied for the MFI SVIX 2005 and 21 for the MFI SVIX 2006. Their combined end-2005 equity capital represented about 40 percent of the 378 MFI universe, making the MFI SVIX series quite representative. MFI Investor Vintages And Their Inclusions In The MFI SVIX Composite Index MFIs that are constituents in one MFI Selection Year may have shareholder value changes included in subsequent years’ MFI SVIX, if they have new Investor Vintages formed in subsequent periods. For instance, the MFI SVIX 2005 has a base period of 2004. The only Investor Vintage contained in the Selection Year 2005 Index, throughout its history, will be that present at the end of 2004. An Investor Vintage formed in 2005 in MFIs from Selection Year 2005 will have its results added to the Investor Vintage 2006, and carry through in that index throughout its history. In other words, portions of an MFI’s results may be represented in several annual indexes, as Investor Vintages are formed. The MFI SVIX Composite includes all Investor Vintages’ results, so all MFIs and their related Investor Vintages are carried in the SVIX Composite from when they become represented in any Vintage Index. The MFI SVIX Composite Index therefore represents the dollar-weighted results of all investors in all the selected MFIs. 44 January / February 2011
Page 1 and 2: Improved Beta? Noël Amenc, Felix G
Page 3 and 4: Contributors Noël Amenc Noël Amen
Page 5 and 6: FREE SUBSCRIPTION OFFER! The Journa
Page 7 and 8: David Smith Publisher dsmith@fa-mag
Page 9 and 10: Editor’s Note Considering Alterna
Page 11 and 12: Improved Beta? A comparison of inde
Page 13 and 14: volatility and correlation (for min
Page 15 and 16: Figure 2 Risk/Reward Difference Com
Page 17 and 18: show marginal statistical significa
Page 19 and 20: Figure 5 Appendix: Risk/Reward Diff
Page 21 and 22: The Evolution Of Equal Weighting Ad
Page 23 and 24: Figure 3 1 0.8 0.6 0.4 0.2 0 Figure
Page 25 and 26: Russell’s sector equal-weighted i
Page 27 and 28: structures in the U.S. large- and s
Page 29 and 30: negative alpha is observed for both
Page 31 and 32: The Weight Debate A roundtable 30 J
Page 33 and 34: for perceived growth is constantly
Page 35 and 36: isks and active risks in active str
Page 37 and 38: Core Vs. Blend Index investing in t
Page 39 and 40: that given size range. In contrast,
Page 41 and 42: Benchmarking Microfinance Equity In
Page 43: Figure 1 Illustration: Determining
Page 47 and 48: Figure 5 WSAS MFI SVIX Series - Bas
Page 49 and 50: aggregation and resultant “smooth
Page 51 and 52: Talking Indexes Sorting And Digging
Page 53 and 54: News Indexes Regain Edge Over Activ
Page 55: News version of it, which excludes
Page 58 and 59: policies won’t change, Guggenheim
Page 60 and 61: Global Index Data Selected Major In
Page 62 and 63: Morningstar U.S. Style Overview Jan
Page 64 and 65: Exchange-Traded Funds Corner Larges
Page 66 and 67: INVESTING IN THE FUTURE OF THE U.S.
Page 68: RYDEX EQUAL WEIGHT ETFs Find out wh

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