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Document Mentions (9 shared documents)
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Multi-Asset Risk Premia Portfolio — TV5 Performance Overview 180%, 160% 140% 120% 100% SO% 60% 40% 20% 0% Historical Performance vs MSCI World and Barclays Agg Risk Premia Portfolio —MCI World - Excess Return —Bardays Agg Execcs Return Q s 1- s • t, Summary Statistics Risk Premia
A88 - Portfolio Excess Excess Return Return Compounded Annual Growth 8.5% 9.2% 2.1% Volatility 4.8% 11.8% 3.2% Sharpe 1.76 0.78 0.66 Max Drawdown -4.0% -18.1% -4.9% CAGR/ Max Drawdown 2.12 0.51 0.43 Max Drawdown Volatility 0.83 1.53 1.54 Correlation to MSCI World Excess Rtn -5% -1
2 mentions1 same-page
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Multi-Asset Risk Premia Portfolio — TV5 Performance Overview 180%, 160% 140% I 120% 100% 80% I 60% 40% 20% 0% Historical Performance vs MSCI World and Barclays Agg Risk Premia Portfolio —MSCI World - Excess Return —Banlays Agg F:xectcs Return Q s s • P Summary Statistics Risk Premia Da
Agg- Portfolio Excess Excess Return Return Compounded Annual Growth 8.5% 9.2% 2.1% Volatility 4.8% 11.8% 3.2% Sharpe 1.76 0.78 0.66 Max Drawdown -4.0% -18.1% -4.9% CAGR/ Max Drawdown 2.12 0.51 0.43 Max Drawdown / Volatility 0.83 1.53 1.54 Correlation to MSCI World Excess Rtn -5%
2 mentions1 same-page
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Multi-Asset Risk Premia Portfolio — TV8 Performance Overview Historical Performance vs MSCI World and Barclays Agg 200% ISO% 160% 140% 120% 100% 80% 60% 40% 20% 0% Fcb-12 Risk Prania Portfolio MSCI World • Excess Return Agg - Excess
b-15 Summary Statistics Data From 24-Feb-012 to 24-Feb-17 Compounded Annual Growth Volatility Sharpe Risk Premia Portfolio 12.4% 6.3% 1.97 Max Drawdown -5.3 CAGR / Max Drawdown 2.33 Max Drawdown / Volatility 0.85 Correlation to MSCI World Excess Rtn -7% Correlation to Barclays Agg Excess Rtn
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2 mentions1 same-page
Page ?Same page
Multi-Asset Risk Premia Portfolio — TV5 Performance Overview 180%, 160% 140% I 120% 100% 80% 60% 40% 20% 0% Historical Performance vs MSCI World and Barclays Agg Risk Prcmia Portfolio —MSCI World - Excess Return —Ban.lays Agg Excess Return • Q s 1- s • t, s ▪ s Summary Statistics
Excess Return Barclays A88 - Excess Return Compounded Annual Growth 8.5% 9.2% 2.1% Volatility 4.8% 11.8% 3.2% Sharpe 1.76 0.78 0.66 Max Drawdown -4.0% -18.1% -4.9% CAGR/ Max Drawdown 2.12 0.51 0.43 Max Drawdown Volatility 0.83 1.53 1.54 Correlation to MSCI World Excess Rtn -5% -1
2 mentions1 same-page
Page ?Same page
Multi-Asset Risk Premia Portfolio — TV8 Performance Overview Historical Performance vs MSCI World and Barclays Agg 200% ISO% 160% 140% 120% 100% 80% 60% 40% 20% 0% Fcb-12 Risk Prania Portfolio MSCI World • Excess Return Agg - Excess
b-15 Summary Statistics Data From 24-Feb-012 to 24-Feb-17 Compounded Annual Growth Volatility Sharpe Risk Premia Portfolio 12.4% 6.3% 1.97 Max Drawdown -5.3 CAGR / Max Drawdown 2.33 Max Drawdown / Volatility 0.85 Correlation to MSCI World Excess Rtn -7% Correlation to Barclays Agg Excess Rtn
2 mentions1 same-page
Page ?Same page
Multi-Asset Risk Premia Portfolio — TV5 Performance Overview 180%, 160% 140% I 120% 100% 80% 60% 40% 20% 0% Historical Performance vs MSCI World and Barclays Agg Risk Premia Portfolio —MSCI World - Suess Return —Ban.lays Agg FIxeecs Return Q s s • P Summary Statistics Risk Premia Dat
ASS - Portfolio Excess Excess Return Return Compounded Annual Growth 8.5% 9.2% 2.1% Volatility 4.8% 11.8% 3.2% Sharpe 1.76 0.78 0.66 Max Drawdown -4.0% -18.1% -4.9% CAGR/ Max Drawdown 2.12 0.51 0.43 Max Drawdown / Volatility 0.83 1.53 1.54 Correlation to MSCI World Excess Rtn -5%
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2 mentions1 same-page
Page ?Same page
Multi-Asset Risk Premia Portfolio — TV8 Performance Overview Historical Performance vs MSCI World and Barclays Agg 200% ISO% 160% 140% 120% 100% 80% 60% 40% 20% 0% Fcb-12 Risk Prania Portfolio MSCI World • Excess Return Agg - Excess
b-15 Summary Statistics Data From 24-Feb-012 to 24-Feb-17 Compounded Annual Growth Volatility Sharpe Risk Premia Portfolio 12.4% 6.3% 1.97 Max Drawdown -5.3 CAGR / Max Drawdown 2.33 Max Drawdown / Volatility 0.85 Correlation to MSCI World Excess Rtn -7% Correlation to Barclays Agg Excess Rtn
2 mentions1 same-page
Page ?Same page
Multi-Asset Risk Premia Portfolio — TV5 Performance Overview 180%, 160% 140% I 120% 100% 80% 60% 40% 20% 0% Historical Performance vs MSCI World and Barclays Agg Risk Premia Portfolio —MSCI World - Suess Return —Ban.lays Agg FIxeecs Return Q s s • P Summary Statistics Risk Premia Dat
ASS - Portfolio Excess Excess Return Return Compounded Annual Growth 8.5% 9.2% 2.1% Volatility 4.8% 11.8% 3.2% Sharpe 1.76 0.78 0.66 Max Drawdown -4.0% -18.1% -4.9% CAGR/ Max Drawdown 2.12 0.51 0.43 Max Drawdown / Volatility 0.83 1.53 1.54 Correlation to MSCI World Excess Rtn -5%
2 mentions1 same-page
Page ?Same page
Multi-Asset Risk Premia Portfolio — TV8 Performance Overview Historical Performance vs MSCI World and Barclays Agg 200% ISO% 160% 140% 120% 100% 80% 60% 40% 20% 0% Fcb-12 Risk Prania Portfolio MSCI World • Excess Return Agg - Excess
b-15 Summary Statistics Data From 24-Feb-012 to 24-Feb-17 Compounded Annual Growth Volatility Sharpe Risk Premia Portfolio 12.4% 6.3% 1.97 Max Drawdown -5.3 CAGR / Max Drawdown 2.33 Max Drawdown / Volatility 0.85 Correlation to MSCI World Excess Rtn -7% Correlation to Barclays Agg Excess Rtn
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Mutual Connections (11)
Entities connected to both MSCI World and Max Drawdown
Sharpe
ORGANIZATION27 w/ MSCI·9 w/ Max
Bloomberg L.P.
ORGANIZATION18 w/ MSCI·14 w/ Max
Fed Funds
ORGANIZATION9 w/ MSCI·9 w/ Max
Multi-Asset Risk Premia Portfolio
ORGANIZATION9 w/ MSCI·9 w/ Max
NDDUWI
ORGANIZATION9 w/ MSCI·9 w/ Max
Barclays Agg Total
ORGANIZATION9 w/ MSCI·9 w/ Max
MSCI World Excess Return
ORGANIZATION5 w/ MSCI·5 w/ Max
LBUSTRUU
ORGANIZATION4 w/ MSCI·4 w/ Max
Agg FIxeecs Return
ORGANIZATION2 w/ MSCI·2 w/ Max
MSCI World - Excess Return
ORGANIZATION2 w/ MSCI·2 w/ Max
MSCI World - Suess Return
ORGANIZATION2 w/ MSCI·2 w/ Max