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Figure 4 WSAS MFI SVIX Composite Index: Calculation Elements Illustrated Source: Wall’s Street Advisor Services Note: For illustrative purposes only - not actual data or results. 2004 2005 2006 2007 2008 A) V2005 SV $ $600.0 $640.0 $688.0 $745.6 $814.7 % SVIX Composite 100.0% 39.0% 37.2% 37.7% 38.2% B) V2006 SV $ $1,000.0 $1,160.0 $1,232.0 $1,318.4 % SVIX Composite 61.0% 62.8% 62.3% 61.8% C) MFI SVIX Composite SV$ (gross) $600.0 $1,640.0 $1,848.0 $1,977.6 $2,133.1 less: period IV SV added $600.0 $1,000.0 = MFI SVIX Composite SV for period – $640.0 $1,848.0 $1,977.6 $2,133.1 Annual Result % 0.0% 6.7% 12.7% 7.0% 7.9% MFI SVIX Composite Index 100.00 106.67 120.20 128.62 138.74 Deletions From Index Coverage MFIs may be deleted from index coverage for any of the following reasons: VËË0jË Ë?ÄË~jËÖÍËwËjÞÄÍjWjËÍÁÖ~ËjÁ~jÁËÁË M?ÁÖ¬ÍWßÇ VËË0jË ËÄËajjjaËÍË?ÜjËWj?ÄjaËMj~Ë?ËWÁw?WjË ÄÍÍÖÍËË¬Á?WÍWjÇ 12 or VËË0jË Ë?ÄËÄjÝËW?~jaËÍÄËWÁ¬Á?ÍjËwÁËwÁË a shareholder-based entity. Company And Country Exposures 0jË 8..Ë Ë .79Ë ajÞjÄË ÁjW~ãjË Í?ÍË ÜjÄÍÁÄË w?WjË WÄÍÁ?ÍÄËÍ?ÍËÄÖaËMjËÁjwjWÍjaËË¬jÁ?Í?ËMjW?ÁÄ^Ë MÖÍËÍ?ÍËÍjßË?ÄËÝ?ÍËÄÍÁ?Íj~WËMjW?ÁÄËÍ?ÍËWjË?ÄËWÄjË ?ÄË¬ÄÄMjËÍËÁj¬ÁjÄjÍ~ËÍjË»?ÁjÍË¬¬ÁÍÖÍß±¼Ë ÁË¬jÁ?Í?ËMjW?ÁÄ^ËÜjÄÍÁÄËÍß¬W?ßËÖÄÍËW- ÄajÁË ÍjÁË ÁjÄ¬jWÍÜjË ¬ÁÖajÍ?Ë ®ÁË Áj~Ö?ÍÁß¯Ë aÜjÁÄwW?- ÍËjjaÄÊÁjÖÁjjÍÄ^ËÄÖWË?ÄËaÜaÖ?ËW¬?ßËjÞ¬- ÄÖÁjË ÍÄË ?aË WÖÍÁßË jÞ¬ÄÖÁjË ÍÄ±Ë #ÍjÁË ¬jÁ?Í?Ë ÁjÖÁjjÍÄË?ßËWÖajË?Þã~ËÄ¬Áj?aËwËÜjÄÍjÍÄË ?~ËÍ?Á~jÍËWÖÍÁjÄËÁËÁj~Ä±Ë ËÄÍÁ?Íj~WËMjW?Á^ËÝjÜjÁ^ËÁj¬ÁjÄjÍÄËÍjË?W?ÍË ?aË¬jÁwÁ?WjËwËÍjËW¬jÍjË»¬¬ÁÍÖÍßËÄjÍ±¼ËwËjËÁË ÍÝË ÄËÝjÁjËÜjÁßË?Á~j^ËÁËÄÍËwËÍjËj~MjË ËjÖÍßË ÄËËa?ËÁË+jÁÖ^ËwÁËjÞ?¬j^ËÄÖWË?ËMjW?ÁËÝÖaËÍÍË ÍÝ?ÁaËÄÖWËWWjÍÁ?ÍjaËjÞ¬ÄÖÁjÄ±Ë 0jË8..Ë Ë.79¾ÄË Ë7Í?~jËÄjjWÍË~ÖajjÄË ?ÁjË ajÄ~jaË ÍË M??WjË ÍjË ¬jÁ?Í?Ë ?aË ÄÍÁ?Íj~WË MjW?ÁËjjaÄ^ËMÖÍËÝÍË?ËW?ÍËÍËÍjËÄÍÁ?Íj~WË benchmark category. ÄËÍjËajÞËÄjÁjÄË~?ÄË¬ÖMWËjÞ¬ÄÖÁj^ËÖÄjÁËwjjaM?WË ÝËMjËw?WÍÁjaËÍËÍjË ËÄjjWÍË~ÖajjÄ±ËÍËÄË?ÄË ¬ÄÄMjËÍ?ÍËÍjËÄjÁjÄËW?ËMjËjÞ¬?ajaËÍË¬ÁÜajË?ÍjÁ?- ÍÜjËj?ÄÖÁjÄ^ËWÖa~ËÄÖWËÍ~ÄË?ÄËÁj~?ËÁËWÖÍÁßË MjW?ÁÄ^Ë?aÊÁË»M??WjaËÄWÁjW?Áa¼ÄWÁjjjaË Ä±Ë Methodology For Compiling The Index Series 8jË wÁÄÍË WÄajÁ~Ë ÍjË WÁj?ÍË wË ÍjË ajÞË ÄjÁjÄ^Ë 8..ËÄÍ?ÁÍjaËwÁËÍÝËM?ÄWË?ÄÄÖ¬ÍÄ] VË0?ÍËajÞËÁjÄÖÍÄËÄÖaËMjËa?ÁÝj~ÍjaÇË?a VËË0?ÍË ÍjÁjË Ý?Ä¾ÍË ?Ë ÄÖwwWjÍßË ~j~Á?¬W?ßË aÜjÁÄwjaË?aËMÁ?aË»WÁÍW?Ë?ÄÄ¼ËwË ËÄ?ÁjajÁËjÖÍßË ÖÍË?ÁÖaËÔååy±Ë The WSAS MFI SVIX Annual Vintage Series 0jË8..Ë Ë.79Ë?Ö?Ë7Í?~jËÁjÄÖÍÄËÁj¬ÁjÄjÍË ÍjËÜ?ÖjÝj~ÍjaËW?~jÄËËÄ?ÁjajÁËÜ?ÖjËwÁËÍjË ÜjÄÍÁË7Í?~jËËj?WË Ë¬ÁjÄjÍËwÁËÍjËM?ÄjËÜ?ÖjË wËÍjË Ë.jjWÍË:j?ÁË®wÁËjÝßËÄjjWÍjaË Ä¯^Ë?aË wÁËÍjËÜjÄÍÁË7Í?~jÄËwÁjaËj?WËßj?ÁËË ÄËwÁË ¬ÁjÜÖÄË.jjWÍË:j?ÁÄ± 0jË8..Ë Ë.79ËÄjÁjÄËÄËMÖÍËwÁËÍjË.jjWÍË:j?ÁË ?aËÜjÄÍÁË7Í?~jÁjÄÖÍËjÜj^ËÖ¬±Ë0?ÍËÄ]Ë VËËÁÄÍ^Ë8..ËÄjjWÍÄË ÄËj?WËßj?ÁËËÍjËM?ÄÄËwËÍjË ~ÖajjÄË?Áj?aßËÖÍja^Ë?a VËË0jÁj?wÍjÁ^Ë8..ËajÜj¬ÄËwÁ?ÍËËj?WË ¾ÄËÜjÄÍÁË 7Í?~jË?aËÍÄË¬jÁwÁ?WjËÁjÄÖÍÄ^Ë¬jÁaËMßË¬jÁa± .^Ë wÁË ÄÍ?Wj^Ë ÍjË 8..Ë Ë .79Ë ÔååyË ®.79Ôååy¯^Ë ÝÍË?ËM?ÄjË¬jÁaËwËÔåå|^ËÄËÍjËwÁÄÍË?Ö?ËajÞËÄjÁjÄ^Ë ?aËßË7ÔååyË®Ôååy¾ÄË. å Ë¯ËÁjÄÖÍÄËÝË?wwjWÍËÍjË.79Ôååy± 0jË ÁjÄÖÍÄË wË ÄÖMÄjÖjÍË ÜjÄÍÁË 7Í?~jÄË Ë ÄË ÄjjWÍjaË wÁË .79Ë WÜjÁ?~jË ?ÁjË WÖajaË Ë ÍjË ¬jÁaË ÍjË ÜjÄÍÁË7Í?~jÄË?ÁjËjÄÍ?MÄja±Ë ÁËÄÍ?Wj^ËÍjËÁjÄÖÍÄËwË?ËÜjÄÍÁË7Í?~jËjÄÍ?M- ÄjaË aÖÁ~Ë ÔååyË Ë ?Ë .jjWÍË :j?ÁË ÔååyË Ë ÝÖaË wÁËÍjËM?ÄjË¬jÁaËÜ?ÖjËwÁËÍ?ÍË ¾ÄËÁjÄÖÍÄËWÍÁ- MÖÍË Ë ÍjË .79ÔååÉ^Ë ?aË ÍjË ¾ÄË ÜjÄÍÁË 7Í?~jË jÄÍ?MÄjaË Ë ÔååÈË ÝÖaË wÁË ÍjË M?ÄjË ¬jÁaË Ü?ÖjË wÁËÍ?ÍË ¾ÄËWÍÁMÖÍËÍËÍjË.79Ôååo¾ÄËÁjÄÖÍÄË®ÄjjË jÞ?¬jËË~ÖÁjËÔ¯±Ë ~ÖÁjË ÏË ÖÄÍÁ?ÍjÄË ÝË ÍjË ÁjÄÖÍÄË wË ÜjÄÍÁË 7Í?~jÄË at the MFI level get carried into the MFI year in which the ÜjÄÍÁË7Í?~jÄË?ÁjËwÁja±Ë!ÍjËÍ?ÍË ÄË!Ä±Ë¤^ËÔË?aË Ï^ËwÁË Ë.jjWÍËÔååy^Ë?ÜjËÜ?ÖjËÜÜjaËË.79ÔååÉË wÁËjÝËÜjÄÍÁË7Í?~jÄË®. 1 7g¯ËwÁjaËËÔååy±Ë The WSAS MFI SVIX Composite Series 0jË8..Ë Ë.79Ë¬ÄÍjËWMjÄËÍjËÁjÄÖÍÄËwË?Ë www.journalofindexes.com January / February 2011 45
Figure 5 WSAS MFI SVIX Series - Basic Data & Results MFI SVIX 2005 Source: Wall’s Street Advisor Services *All values for the years after 2006 will change as new MFIs & annual Investor Vintages are added 2004 2005 2006 2007 2008 Index levels, US$ terms, end of period 100.00 145.20 203.47 431.01 408.29 Number of MFIs included 30 30 30 30 30 IV ‘05 Shareholder Value, USD mn. $395.08 $573.66 $803.86 $1,702.83 $1,613.08 IV ‘05 SV, USD Change % 45.2% 40.1% 111.8% -5.3% MFI SVIX 2006 Index levels, US$ terms, end of period 100.00 99.42 148.46 248.28 Number of MFIs included 29 29 29 29 IV ‘06 Shareholder Value, USD mn. end-period $204.25 $203.07 $303.23 $507.11 IV ‘06 SV, USD Change % 0.0% -0.6% 49.3% 67.2% MFI SVIX Composite * Index levels, US$ terms, end of period 100.00 145.20 187.95 374.44 395.74 Number of MFIs included 30 30/51 51 51 51 Combined IVs’ SV, USD mn. end-period $395.08 $777.91 $1,006.93 $2,006.07 $2,120.20 Combined IVs’ SV USD, Change % 0.0% 45.2% 29.4% 99.2% 5.7% Investor Vintages from all MFIs. The simplified illustration in Figure 4 uses the data from Figure 3 to show how this works. It should be pointed out that the SVIX Composite result for 2006 in Figure 4 is based on the year 2005 Composite’s SV, “adding back” the $1,000 in 2005 SV arising from the addition of 2006’s base period SV. Note that V2005’s SV $’s share of the Composite’s SV at the close of 2005 was 39 percent, meaning the 2006 results of V2005’s SV provides 39 percent of SVIX Composite’s 2006 result. Results From The WSAS MFI SVIX Series So far, WSAS has compiled complete Investor Vintage data through the end of 2008 for 30 MFIs from the MFI Selection Year 2005 (whose results comprise the MFI SVIX 2005), and for 21 MFIs from MFI Selection Year 2006, whose results—together with those of the eight 2006 Investor Vintages formed in Selection Year 2005 MFIs—form the MFI SVIX 2006. The MFI SVIX Composite blends these results, according to the changes in their U.S.-dollar-denominated shareholder values. Please note that while the MFI SVIX Composite results are shown here through the end of 2008, the years subsequent to 2006 will be revised when the MFI SVIX 2007 and 2008 results are available, which should be in the fall of 2010, and the MFI SVIX 2009 series before the end of 2010. Changes To Shareholder Value Figure 5 presents the MFI SVIX 2005, 2006 and Composite results and related data, through the end of 2008. Looking at the annual changes in shareholder value, some things quickly become apparent. In general, the results are quite positive: MFI SVIX 2005 shows a cumulative four-year growth of 308 percent (a 42 percent compound annual growth rate), while MFI SVIX 2006 shows a three-year cumulative growth of 148 percent (35 percent CAGR), and the MFI SVIX Composite has a four-year cumulative growth of 295 percent (41 percent CAGR). At the same time, the timing of entry investments seems to have a big impact on returns, and year-to-year changes in shareholder value can be quite variable. Regardless, the dollar value of “shareholder value” of the indexes is micro by almost any institutional investor’s standard, even after the period’s high growth. It should also be noted that while most of the MFIs’ Investor Vintages show positive returns in the period, a few “home run” results bring up the averages, as is typical for private equity investment. MFI SVIX 2005 Highlights: VËË0jË ajÞË WÖajÄË ÏåË ÄË wÁË Ô|Ë WÖÍÁjÄa?Ë had four; Bolivia, Mexico and Peru had two each; and the other countries one each; VËËÔÈË ÄË¬ÁaÖWjaË¬ÄÍÜjË.?ÁjajÁË7?ÖjËË2±.±Ëa?ÁË terms over the period, while three produced declines; VËËÍË ÍjË Ë jÜj^Ë ÍjË ?ÜjÁ?~jË WÖÖ?ÍÜjË WÁj?ÄjË was about 369 percent; leaving out three “home run” results, the average cumulative increase was about 151 percent (26 percent CAGR); VËË.¬?a??Ë ®a?¯Ë Ý?ÄË ÍjË MjÄÍË aÜaÖ?Ë ¬jÁwÁjÁ^Ë with Investor Vintage 2005 Shareholder Value growing at a 155 percent CAGR over the four years; VËË+?¬Ö?Ë!jÝËÖj?Ë WÁw?WjË¬ÁaÖWjaËÍjË~Áj?ÍjÄÍË decline in IV2005 Shareholder Value, a cumulative loss of -70 percent over the four years; and VËËË ÍjÁÄË wË Áj~?Ë WWjÍÁ?ÍË wË ÜjÄÍÁË 7Í?~jË 46 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 and 44: Figure 1 Illustration: Determining
Page 45: Figure 3 Establishing MFI SVIX Annu
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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