Portfolios - EDHEC-Risk

Selection Risk – Relative Returns
• Depending on market conditions, different strategies work
differently; he worst performing strategy in one sub-period can
turn out to be the best performer in subsequent sub-period
period.
Sub­period
MSCI USA Minimum
Volatility Index
FTSE EDHEC Risk
Efficient US Index
2003 (Jan­Jun) ‐4.72% 2.46%
2003 (Jul­Dec) ‐2.93% 3.46%
2004 (Jan­Jun) 0.05% 3.28%
2004 (Jul­Dec) 2.64% 3.18%
2005 (Jan­Jun) 4.58% 3.95%
2005 (Jul­Dec) ‐3.85% 2.04%
2006 (Jan­Jun) ‐0.70% 0.82%
2006 (Jul­Dec) ‐2.54% ‐2.30%
2007 (Jan­Jun) ‐1.63% 2.06%
2007 (Jul­Dec) 1.51% ‐3.31%
2008 (Jan­Jun) 0.38% 1.46%
2008 (Jul­Dec) 10.10% ‐2.40%
2009 (Jan­Jun) ‐4.10% 7.58%
2009 (Jul­Dec) ‐3.75% 6.96%
2010 (Jan­Jun) 1.67% 3.73%
2010 (Jul­Dec) ‐2.06% 2.26%
2011 (Jan­Jun) 4.01% 3.39%
2011 (Jul­Dec) 6.36% ‐2.32%
The table shows excess return over the cap‐weighted index (the S&P 500 index) of MSCI USA Minimum Volatility Index and FTSE EDHEC Risk Efficient US Index computed over
16 half yearly sub‐periods. Weekly return data from 3 January 2003 to 30 December 2011 is used for the analysis.
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