ALYING TH RINSON-HOOD- OWR MTHOD TO TH RISK SID - DCISION-ORINTD DCOMOSITION OF X-ANT RISK Dr. Stefa Illmer, Clet Reportg & rojects erformace Attrbuto Roudtable Zurch, 28. September 2005 CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 2
AGNDA Itroducto x-post retur attrbuto x-ate rsk attrbuto x-ate absolute rsk attrbuto x-ate relatve rsk attrbuto xample for ex-ate rsk attrbuto CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 3
INTRODUCTION CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 4
INTRODUCTION RFORMANC ATTRIUTION OVRVIW erformace attrbuto absolute ortfolo echmark Cotrbutos Retur ex post relatve Rsk ex ate Sectors / strumets e.g. coutres, sectors, curreces, securtes Decso makers e.g. clet, cosultat, portfolo maager, research team ortfolo maagemet actvtes e.g. bechmarks, strategc ad tactcal asset allocato CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 5
INTRODUCTION QUSTIONS TO TH ORTFOLIO MANAGR Geeral questos What s the level of absolute rsk for the portfolo? Ad comparso to the bechmark? What s the level of relatve rsk for the portfolo? What are the cotrbutos to absolute ad relatve rsk? tc. Specfc questos What happes to the absolute ad relatve rsk f the portfolo costtuecy chages? What are the maagemet decsos that cotrbutes to the absolute ad relatve rsk? tc. CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 6
X-OST RTURN ATTRIUTION CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 7
X-OST RTURN ATTRIUTION NCSSARY INUTS Weghts of the dfferet asset classes or asset segmets for the portfolo for each perod Weghts of the dfferet asset classes or asset segmets for the bechmark for each perod Retur of the dfferet asset classes or asset segmets for the portfolo for each perod Retur of the dfferet asset classes or asset segmets for the bechmark for each perod CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 8
X-OST RTURN ATTRIUTION USING TH RINSON-HOOD-OWR MTHOD xcess retur = retur of portfolo - retur of bechmark Re = Re = = Re ( w Re w Re ) xcess retur = retur cotrbuto due to asset allocato + retur cotrbuto due to stock pckg + retur cotrbuto due to teracto Re = Re + Re + Re AA S IA CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 9
X-OST RTURN ATTRIUTION USING TH RINSON-HOOD-OWR MTHOD Retur cotrbuto due to asset allocato Re AA = = ( w w ) Re Retur cotrbuto due to stock pckg Re S = = ( Re Re ) Retur cotrbuto due to teracto w Re IA = = ( w w ) ( Re Re ) CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 0
RISK ATTRIUTION CRDIT SUISS; Clet Reportg & rojects, AMCR Sete
X-ANT RISK ATTRIUTION NCSSARY INUTS Weghts of the dfferet asset classes or asset segmets for the portfolo for the relevat perod Weghts of the dfferet asset classes or asset segmets for the bechmark for the relevat perod stmated covaraces betwee asset classes or asset segmets for the portfolo ad the bechmark for the relevat perod CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 2
X-ANT RISK ATTRIUTION TYS OF RISK ATTRIUTION Rsk Attrbuto x-post Aalyss x-ate Aalyss Absolute Rsk Decomposto of Volatlty ad xcess- Volatlty Absolute Rsk Attrbuto Relatve Rsk Decomposto of Trackg rror Relatve Rsk Attrbuto CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 3
X-ANT ASOLUT RISK ATTRIUTION CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 4
Sete 5 CRDIT SUISS; Clet Reportg & rojects, AMCR X-ANT ASOLUT RISK ATTRIUTION GNRAL IDA Step : Calculate the absolute rsk for the portfolo ad for the bechmark ad aalyse the dvdual fgures ad ther dfferece. Step 2: Furthermore decompose the fgures accordg to maagemet actvtes or/ad asset classes. [ ] [ ] w w Cov w w w w Cov w w M K M K
X-ANT ASOLUT RISK ATTRIUTION USING TH RINSON-HOOD-OWR MTHOD x-ate absolute excess rsk = ex-ate absolute rsk of portfolo - ex-ate absolute rsk of bechmark R A = R A = w = j= R A w j Cov (, j) w w Cov (, j) = j= j x-ate absolute excess rsk = ex-ate rsk cotrbuto due to asset allocato + ex-ate rsk cotrbuto due to stock pckg + ex-ate rsk cotrbuto due to teracto R = R + R + R A AA A S A IA A CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 6
X-ANT ASOLUT RISK ATTRIUTION USING TH RINSON-HOOD-OWR MTHOD x-ate absolute excess rsk cotrbuto due to asset allocato R AA A = = j= [( w w ) ( w w )] Cov (, j) j x-ate absolute excess rsk cotrbuto due to stock pckg R S A = w = j= w j x-ate absolute excess rsk cotrbuto due to teracto R IA A = = j= j [ Cov (, j) Cov (, j) ] [( w w ) ( w w )] [ Cov (, j) Cov (, j) ] j j CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 7
X-ANT ASOLUT RISK ATTRIUTION USING TH RINSON-HOOD-OWR MTHOD x-ate absolute excess rsk cotrbuto due to asset allocato for asset class R AA A () = [ ( w w ) ( w w )] Cov (, j) j= j j x-ate absolute excess rsk cotrbuto due to stock pckg for asset class R S A [ ] () = w w Cov (, j) Cov (, j) j= j x-ate absolute excess rsk cotrbuto due to teracto for asset class R IA A () = [ ( w w ) ( w w )] [ Cov (, j) Cov (, j) ] j= j j => assumg dstrbuted covaraces by rows CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 8
X-ANT RLATIV RISK ATTRIUTION CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 9
Sete 20 CRDIT SUISS; Clet Reportg & rojects, AMCR X-ANT RLATIV RISK ATTRIUTION GNRAL IDA [ ],, w w w w Cov Cov Cov Cov w w w w M M K K Step : Geerate a log/short portfolo where the log posto cossts of the portfolo ad the short posto s the correspodg bechmark. Step 2: Calculate ad aalyse the absolute rsk for ths log/short portfolo. Step 3: Furthermore decompose the fgures accordg to maagemet actvtes or/ad asset classes.
X-ANT RLATIV RISK ATTRIUTION USING TH RINSON-HOOD-OWR MTHOD x-ate relatve rsk R R = T = R = w = j= or = A ( ;) + R w matrx D Cov otato Cov = ex-ate trackg error of the portfolo versus the bechmark = ex-ate absolute rsk of portfolo + ex-ate absolute rsk of bechmark - ex-ate dversfcato effect betwee portfolo ad bechmark ( ;), (, j) + w w Cov (, j) 2 w w Cov (, j) w, Cov Cov w [ w w ] ( 2 2 matrx) ; for =,..., A j, = j= Cov j = j= j CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 2
X-ANT RLATIV RISK ATTRIUTION USING TH RINSON-HOOD-OWR MTHOD x-ate relatve rsk = ex-ate relatve rsk cotrbuto due to asset allocato + ex-ate relatve rsk cotrbuto due to stock pckg + ex-ate relatve rsk cotrbuto due to teracto R = R + R + R R AA R S R IA R CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 22
X-ANT RLATIV RISK ATTRIUTION USING TH RINSON-HOOD-OWR MTHOD x-ate relatve rsk cotrbuto due to asset allocato R AA R = 0 = j=, ( w w ) ( Cov (, j) + Cov (, j) 2 Cov (, j) ) (, j) + ( w w ) ( w w ) Cov (, j) = 0 0 Cov = j= = j= 2 0 = J=, ( w w ) Cov (, j) = = j= ( w w ) ( w w ) Cov (, j) or matrx otato j j = =, 0 Cov Cov [ 0 w w ] ( 2 2 matrx ) Cov Cov w w [ w w ] [ Cov (, j) ] [ w w ] ( matrx) ; for =,...,, ; for =,..., CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 23
X-ANT RLATIV RISK ATTRIUTION USING TH RINSON-HOOD-OWR MTHOD x-ate relatve rsk cotrbuto due to stock pckg R S R = w w Cov j = j= = j=, (, j) + w w Cov (, j) 2 w w Cov (, j) j = J= j = w = j= w j, ( Cov (, j) + Cov (, j) 2 Cov (, j) ) or matrx otato = Cov w, Cov Cov w [ w w ] ( 2 2 matrx) ; for =,...,, Cov CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 24
X-ANT RLATIV RISK ATTRIUTION USING TH RINSON-HOOD-OWR MTHOD x-ate relatve rsk cotrbuto due to teracto R IA R = R = R R [ w w ] [ 0 w w ] R Cov Cov Cov Cov Cov Cov Cov Cov Cov w, Cov Cov w [ w w ] ; for =,..., AA R S R,,, Cov,, w w w 0 w x-ate relatve rsk cotrbuto due to maagemet actvtes for asset class by summg up all covaraces for the row CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 25
XAML FOR X-ANT RISK ATTRIUTION CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 26
XAML FOR X-ANT RISK ATTRIUTION ASSUMTIONS (/3) Startg pot s a herarchcal decso makg process where the asset allocater ad the stock pcker ca vest e dfferet asset classes of asset segmets: Moey market CHF, bods CHF, foreg bods hedged, foreg bods uhedged, mortgages, Swss equty, foreg equty, Swss real estate ad foreg real estate CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 27
XAML FOR X-ANT RISK ATTRIUTION ASSUMTIONS (2/3) echmark weght Moey Market CHF 0% ods CHF 63% Foreg bods hedged 0% Foreg bods uhedged 5% Mortgages 0% Swss equty 8% Foreg equty 4% Swss real estate 0% Foreg real estate 0% CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 28
XAML FOR X-ANT RISK ATTRIUTION ASSUMTIONS (3/3) The actve portfolo maagemet s smulated by the retur of the correspodg sector averages of the mutual fuds compay for peso fuds ("Alagestftuge"), respectvely dvdual mutual fuds for peso fuds f a sector average s ot avalable Covarace s calculated based o logarthmc mothly retur for the perod st of February 995 tll 3st of Jauary 2005 CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 29
XAML FOR X-ANT RISK ATTRIUTION DFINITIONS x-ate absolute rsk s measured usg the varace or the volatlty ad s approxmated usg the hstorcal mothly returs of the relevat dces for the last 0 years x-ate excess rsk s measured usg the varace or the volatlty (tackg error) ad s approxmated usg the hstorcal mothly returs or mothly excess returs x-ate absolute excess rsk dfferece betwee the absolute rsk of two portfolos x-ate relatve excess rsk Varace or volatlty (trackg error) of the retur dffereces of two portfolos CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 30
XAML FOR X-ANT RISK ATTRIUTION INUT - UNDRLYING INDICS Moey market CHF Ctgroup 3 moths uro deposte CHF ods CHF Swss od Idex ad before 0.0.998 ctet od Idex Foreg bods uhedged JM GI Traded World Foreg bods hedged JM GI Traded World hedged CHF Mortgages Fuds Customzed Idex Mortgages Swss quty SI (r) Foreg quty MSCI World (r) Swss real estate Fuds Customzed Idex Real state Foreg real estate Fuds Foreg Real state CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 3
XAML FOR X-ANT RISK ATTRIUTION INUT - COVARIANZMATRIX INDICS J Morga Global GI Hedged CHF TR Cust echm CSA Hypotheke Schwez Aualserte Covaraze Ctgroup CHF 3 Moths urodepost Swss od Idex Domestc Govermet TR J Morga Gl. Traded Swss erformace Idex TR MSCI World TR Cust echm CSA Immoble Schwez US- Immoble Auslad Ctgroup CHF 3 Moths urodepost 0.000009 0.000022 0.000024 0.000005 0.00000-0.000029-0.000066 0.000002-0.000050 Swss od Idex Domestc Govermet TR 0.000022 0.00202 0.000626 0.00006 0.000240-0.00089-0.00692-0.000053-0.000287 J Morga Global GI Hedged CHF TR 0.000024 0.000626 0.000946 0.000676 0.0008-0.000982-0.0069-0.00022-0.0008 J Morga Gl. Traded 0.000005 0.00006 0.000676 0.004605 0.000052 0.003898 0.007854 0.000227 0.003473 Cust echm CSA Hypotheke Schwez 0.00000 0.000240 0.0008 0.000052 0.0006-0.00040-0.000557-0.000005-0.0007 Swss erformace Idex TR -0.000029-0.00089-0.000982 0.003898-0.00040 0.030362 0.025639 0.000836 0.007943 MSCI World TR -0.000066-0.00692-0.0069 0.007854-0.000557 0.025639 0.03580 0.000855 0.00735 Cust echm CSA Immoble Schwez 0.000002-0.000053-0.00022 0.000227-0.000005 0.000836 0.000855 0.004776 0.00069 US-Immoble Auslad -0.000050-0.000287-0.0008 0.003473-0.0007 0.007943 0.00735 0.00069 0.009046 Aualserte Varaze 0.000009 0.00202 0.000946 0.004605 0.0006 0.030362 0.03580 0.004776 0.009046 Aualserte Volatltäte 0.30% 3.47% 3.08% 6.79%.08% 7.42% 8.92% 6.9% 9.5% CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 32
XAML FOR X-ANT RISK ATTRIUTION INUT - CORRLATIONMATRIX INDICS J Morga Global GI Hedged CHF TR Cust echm CSA Hypotheke Schwez Korrelato Ctgroup CHF 3 Moths urodepost Swss od Idex Domestc Govermet TR J Morga Gl. Traded Swss erformace Idex TR MSCI World TR Cust echm CSA Immoble Schwez US- Immoble Auslad Ctgroup CHF 3 Moths urodepost.00 0.2 0.27 0.02 0.33-0.06-0.2 0.0-0.8 Swss od Idex Domestc Govermet TR 0.2.00 0.59 0.03 0.64-0.5-0.26-0.02-0.09 J Morga Global GI Hedged CHF TR 0.27 0.59.00 0.32 0.55-0.8-0.20-0.06-0.06 J Morga Gl. Traded 0.02 0.03 0.32.00 0.07 0.33 0.6 0.05 0.54 Cust echm CSA Hypotheke Schwez 0.33 0.64 0.55 0.07.00-0.22-0.27-0.0-0. Swss erformace Idex TR -0.06-0.5-0.8 0.33-0.22.00 0.78 0.07 0.48 MSCI World TR -0.2-0.26-0.20 0.6-0.27 0.78.00 0.07 0.60 Cust echm CSA Immoble Schwez 0.0-0.02-0.06 0.05-0.0 0.07 0.07.00 0. US-Immoble Auslad -0.8-0.09-0.06 0.54-0. 0.48 0.60 0..00 CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 33
XAML FOR X-ANT RISK ATTRIUTION INUT - UNDRLYING ACTIV ORTFOLIOS Moey market CHF eer Average Moey Market CHF ods CHF eer Average ods CHF Domestc Foreg bods uhedged eer Average ods Worldwde Foreg bods hedged Fuds ods Hedged CHF ad before eer Average ods CHF Domestc Mortgages CSA Mortgages Swss quty eer Average Stocks Swtzerlad Foreg quty eer Average Stocks Worldwde Swss real estate eer Average Real state Swtzerlad Foreg real estate Fuds Foreg Real state CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 34
XAML FOR X-ANT RISK ATTRIUTION INUT - COVARIANZMATRIX ACTIV ORTFOLIOS ods CHF LOM-Obl- ods CSA- Stocks Stocks Real. US- Aualserte Covaraze Moey M. CHF Domestc Hedged CHF Worldwde Hypoth.Schwez Swtzerlad Worldwde Swtzerlad Immob.Auslad Moey M. CHF 0.00002 0.000025 0.000032 0.00007 0.00003-0.000050-0.000080-0.000004-0.000046 ods CHF Domestc 0.000025 0.000658 0.000549 0.000202 0.00036-0.000385-0.0024-0.000002-0.00030 LOM-Obl-Hedged CHF 0.000032 0.000549 0.00033 0.000709 0.0006-0.000663-0.00059 0.000000-0.000080 ods Worldwde 0.00007 0.000202 0.000709 0.003599 0.00006 0.003249 0.006429-0.000063 0.00368 CSA-Hypoth.Schwez 0.00003 0.00036 0.0006 0.00006 0.000062-0.000370-0.000483-0.000007-0.00032 Stocks Swtzerlad -0.000050-0.000385-0.000663 0.003249-0.000370 0.0355 0.02525-0.00023 0.007735 Stocks Worldwde -0.000080-0.0024-0.00059 0.006429-0.000483 0.02525 0.034926 0.000052 0.0048 Real. Swtzerlad -0.000004-0.000002 0.000000-0.000063-0.000007-0.00023 0.000052 0.00047-0.000069 US-Immob.Auslad -0.000046-0.00030-0.000080 0.00368-0.00032 0.007735 0.0048-0.000069 0.009046 Aualserte Varaze 0.00002 0.000658 0.00033 0.003599 0.000062 0.0355 0.034926 0.00047 0.009046 Aualserte Volatltäte 0.35% 2.57% 3.2% 6.00% 0.78% 7.76% 8.69%.2% 9.5% CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 35
XAML FOR X-ANT RISK ATTRIUTION INUT - CORRLATIONMATRIX ACTIV ORTFOLIOS ods CHF LOM-Obl- ods CSA- Stocks Stocks Real. US- Korrelato Moey M. CHF Domestc Hedged CHF Worldwde Hypoth.Schwez Swtzerlad Worldwde Swtzerlad Immob.Auslad Moey M. CHF.00 0.29 0.29 0.08 0.47-0.08-0.2-0.0-0.4 ods CHF Domestc 0.29.00 0.67 0.3 0.68-0.08-0.23-0.0-0.05 LOM-Obl-Hedged CHF 0.29 0.67.00 0.37 0.46-0.2-0.8 0.00-0.03 ods Worldwde 0.08 0.3 0.37.00 0.03 0.30 0.57-0.09 0.56 CSA-Hypoth.Schwez 0.47 0.68 0.46 0.03.00-0.27-0.33-0.08-0.8 Stocks Swtzerlad -0.08-0.08-0.2 0.30-0.27.00 0.76-0.06 0.46 Stocks Worldwde -0.2-0.23-0.8 0.57-0.33 0.76.00 0.02 0.59 Real. Swtzerlad -0.0-0.0 0.00-0.09-0.08-0.06 0.02.00-0.06 US-Immob.Auslad -0.4-0.05-0.03 0.56-0.8 0.46 0.59-0.06.00 CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 36
XAML FOR X-ANT RISK ATTRIUTION INUT - ASST ALLOCATION, TC. Gewchte per 3.0.2005 ortfolo Mmum Maxmum Weghts echmark Moey Market CHF.79% 0.00% 00.00% Moey Market CHF 0.00% ods CHF 5.06% 53.00% 73.00% ods CHF 52.07% Foreg ods Hedged 8.56% 0.00% 20.00% Foreg ods Hedged 8.45% Foreg ods Uhedged 5.0% 3.00% 8.00% Foreg ods Uhedged 5.00% Mortages 5.92% 0.00% 00.00% Mortages 7.50% Swss quty 8.63% 6.00%.00% Swss quty 8.00% Foreg quty 4.73% 0.00% 9.00% Foreg quty 4.00% Swss Real state 4.30% 8.00% 3.00% Swss Real state 4.98% Foreg Real state 0.00% 0.00% 5.00% Foreg Real state 0.00% Total 00.00% Total 00.00% CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 37
XAML FOR X-ANT RISK ATTRIUTION X-ANT ASOLUT RISK (/4) 4.22% 4.20% 4.8% 4.6% 4.4% 4.2% 4.0% 4.08% VolatlIty (aualzed)) ortfolo 4.20% ortfolo (Cov-Idex) 4.30% echmark 4.% 4.06% ortfolo echmark VolatlIty (aualzed)) CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 38
XAML FOR X-ANT RISK ATTRIUTION X-ANT ASOLUT RISK (2/4) Absolutes xcess Absolutes Rsk Maagemet ffects Rsk ortfolo echmark Dfferece Asset Allocato Stock ckg Iteracto Absolute Rsk (Varace) 0.007647 0.0069 0.0000737 0.000588-0.0000986 0.000035 Absolute Rsk (Volatlty) 4.20% 4.% Rsk Cotrbuto % of the Absolute Rsk 4.36% 9.39% -5.83% 0.80% Rsk Cotrbuto % - Moey Market CHF 0.00% 0.00% 0.00% 0.03% 0.00% -0.3% Rsk Cotrbuto % - ods CHF 5.87%.98% -6.% -2.9% 88.68% 65.94% Rsk Cotrbuto % - Foreg ods Hedged 0.96%.02% -0.06% -.02% -0.92% 2.65% Rsk Cotrbuto % - Foreg ods Uhedged 4.46% 5.6% -0.7% 2.64% 2.32% -5.09% Rsk Cotrbuto % - Mortages -0.06% 0.8% -0.24% -0.79% 3.94% 7.23% Rsk Cotrbuto % - Swss quty 30.83% 26.86% 3.98% 43.57% -9.8% 3.87% Rsk Cotrbuto % - Foreg quty 57.95% 53.63% 4.32% 70.74% -4.92% -0.59% Rsk Cotrbuto % - Swss Real state 0.00%.7% -.7% -2.26% 20.08% 26.2% Rsk Cotrbuto % - Foreg Real state 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Rsk Cotrbuto % - Total 00.00% 00.00% 0.00% 00.00% 00.00% 00.00% CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 39
XAML FOR X-ANT RISK ATTRIUTION X-ANT ASOLUT RISK (3/4) 00.0% 80.0% 60.0% 40.0% 20.0% 0.002000 0.00500 0.00000 0.0% -20.0% Aktuelles Rsko ortfolo (Gewcht ortfolo ud Covaraz ortfolo) Aktuelles Rsko echmark (Gewcht echmark ud Covaraz Idex) Überschussrsko Asset Allocato ffect ortfolo (Delta Gewcht ud Covaraz Idex) Stock ckg ffect ortfolo (Gewcht echmark ud Delta Covaraz) Iteracto ffect ortfolo (Delta Gewcht ud Delta Covaraz) Relatves Überschussrsko als Atel des absolute Rskos des ortfolos 0.000500-0.0% -0.000500 Aktuelles Rsko ortfolo (Gew cht ortfolo ud Covaraz ortfolo) Aktuelles Rsko echmark (Gew cht echmark ud Covaraz Idex) Überschussrsko Asset Allocato ffect be ortfolo (Delta Gew cht ud Covaraz Idex) Varaz (aualsert) Stock ckg ffect be Iteracto ffect be ortfolo (Gew cht ortfolo (Delta Gew cht echmark ud Delta ud Delta Covaraz) Covaraz) 8.0% 6.0% 4.0% 2.0% 0.0% -2.0% -4.0% -6.0% -8.0% Überschussrsko Asset Allocato ffect ortfolo (Delta Gewcht ud Covaraz Idex) Stock ckg ffect ortfolo (Gewcht echmark ud Delta Covaraz) Iteracto ffect ortfolo (Delta Gewcht ud Delta Covaraz) Relatves Überschussrsko als Atel des absolute Rskos des ortfolos CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 40
XAML FOR X-ANT RISK ATTRIUTION X-ANT ASOLUT RISK (4/4) Absolute Rsk 00.0% 80.0% 60.0% Absolute Rsk 40.0% 20.0% Rsk Cot rbuto % - Foreg Real stat e 0.0% Rsk Cotrbuto % - Swss Real stat e Rsk Cotrbuto % - Foreg qut y -20.0% -40.0% Asset Allocato Stock ckg Iteracto Rsk Cotrbuto % - Swss qut y Rsk Cotrbut o % - Mort ages Rsk Cotrbuto % - Moey Market CHF Rsk Cotrbuto % - Foreg ods Hedged Rsk Cotrbuto % - Mortages Rsk Cotrbuto % - Foreg quty Rsk Cotrbuto % - Foreg Real state Rsk Cotrbuto % - ods CHF Rsk Cotrbuto % - Foreg ods Uhedged Rsk Cotrbuto % - Sw ss quty Rsk Cotrbuto % - Sw ss Real state Rsk Cotrbuto % - Foreg ods Uhedged Absolute Rsk Rsk Cotrbut o % - Foreg ods Hedged 2.0% Rsk Cotrbut o % - ods CHF 0.0% Rsk Cotrbuto % - Moey Market CHF 8.0% -0.0% 0.0% 0.0% 20.0% 30.0% 40.0% 50.0% 60.0% 70.0% 6.0% ortfolo echmark Dfferece 4.0% 2.0% 0.0% -2.0% -4.0% -6.0% -8.0% Dfferece Asset Allocato Stock ckg Iteracto Rsk Cotrbuto % of the Absolute Rsk CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 4
XAML FOR X-ANT RISK ATTRIUTION X-ANT RLATIV RISK (/4) 0.90% 0.80% 0.70% 0.60% 0.50% 0.40% 0.30% Trackg rror (aualzed) ortfolo 0.78% 0.20% 0.0% 0.00% ortfolo Trackg rror (aualzed) CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 42
XAML FOR X-ANT RISK ATTRIUTION X-ANT RLATIV RISK (2/4) Relatve Rsk Maagemet ffects ortfolo echmark Dfferece Asset Allocato Stock ckg Iteracto Relatve Rsk (Varace) 0.0000607 0.0000000 0.0000607 0.0000059 0.0000666-0.00008 Relatve Rsk (Volatlty) 0.78% Rsk Cotrbuto % of the Relatve Rsk 00.00% 9.70% 09.70% -9.40% Rsk Cotrbuto % - Moey Market CHF 0.03% -0.33% 0.00% -0.33% Rsk Cotrbuto % - ods CHF 47.59% 3.4% 54.36% 63.6% Rsk Cotrbuto % - Foreg ods Hedged 2.27% -0.33% 2.30%.4% Rsk Cotrbuto % - Foreg ods Uhedged 3.4% 0.% 2.04% -6.00% Rsk Cotrbuto % - Mortages 0.70% 2.09%.3% 4.8% Rsk Cotrbuto % - Swss quty 2.52% 4.87% 0.38% 0.2% Rsk Cotrbuto % - Foreg quty 27.2% 53.28% 20.98% 5.02% Rsk Cotrbuto % - Swss Real state 6.27% 0.5% 8.64% 2.63% Rsk Cotrbuto % - Foreg Real state 0.00% 0.00% 0.00% 0.00% Rsk Cotrbuto % - Total 00.00% 00.00% 00.00% 00.00% CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 43
XAML FOR X-ANT RISK ATTRIUTION X-ANT RLATIV RISK (3/4) 00.0% 80.0% 60.0% 40.0% 20.0% 0.0% 0.002000 0.00800 0.00600 0.00400 0.00200 0.00000 0.000800-20.0% Aktuelles Rsko ortfolo (Gewcht ortfolo ud Covaraz ortfolo) Aktuelles Rsko echmark (Gewcht echmark ud Covaraz Idex) Aktuelles Rsko ortfolo (Trackg rror) Asset Allocato ffect be ortfolo (Trackg rror) Stock ckg ffect be ortfolo (Trackg rror) Relatver Trackg rror als Atel des relatve Rskos des ortfolos Iteracto ffect be ortfolo (Trackg rror) 0.000600 0.000400 0.000200 4.0% - -0.000200 Aktuelles Rsko ortfolo (Gew cht ortfolo ud Covaraz ortfolo) Aktuelles Rsko echmark (Gew cht echmark ud Covaraz Idex) Aktuelles Rsko ortfolo (Trackg rror) Asset Allocato ffect Stock ckg ffect be Iteracto ffect be be ortfolo (Trackg ortfolo (Trackg rror) ortfolo (Trackg rror) rror) 3.5% 3.0% 2.5% 2.0% Varaz (aualsert).5%.0% 0.5% 0.0% -0.5% -.0% Aktuelles Rsko ortfolo (Trackg rror) Asset Allocato ffect be ortfolo (Trackg rror) Stock ckg ffect be ortfolo (Trackg rror) Iteracto ffect be ortfolo (Trackg rror) Relatver Trackg rror als Atel des relatve Rskos des ortfolos CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 44
XAML FOR X-ANT RISK ATTRIUTION X-ANT RLATIV RISK (4/4) Relatves Rsko 70.0% 60.0% Relatves Rsko 50.0% 40.0% Rsk Cotrbuto % - Foreg Real state Rsk Cotrbuto % - Sw ss Real state Rsk Cotrbuto % - Foreg quty Rsk Cotrbuto % - Sw ss quty Rsk Cotrbuto % - Mortages Rsk Cotrbuto % - Foreg ods Uhedged Rsk Cotrbuto % - Foreg ods Hedged Rsk Cotrbuto % - ods CHF Rsk Cotrbuto % - Moey Market CHF 0.0% 5.0% 0.0% 5.0% 20.0% 25.0% 30.0% 35.0% 40.0% 45.0% 50.0% ortfolo 30.0% 20.0% 0.0% 0.0% -0.0% Asset Allocato Stock ckg Iteracto Rsk Cotrbuto % - Moey Market CHF Rsk Cotrbuto % - ods CHF Rsk Cotrbuto % - Foreg ods Hedged Rsk Cotrbuto % - Foreg ods Uhedged Rsk Cotrbuto % - Mortages Rsk Cotrbuto % - Sw ss quty Rsk Cotrbuto % - Foreg quty Rsk Cotrbuto % - Sw ss Real state Rsk Cotrbuto % - Foreg Real state Relatves Rsko 20.0% 00.0% 80.0% 60.0% 40.0% 20.0% 0.0% -20.0% -40.0% Dfferece Asset Allocato Stock ckg Iteracto Rsk Cotrbuto % of the Relatv e Rsk CRDIT SUISS; Clet Reportg & rojects, AMCR Sete 45