Windham Factors
Time series definitions for Windham's set of factors
The Windham Portfolio Advisor includes a number of factor time series for analysis. All factors are denominated in local currency and do not have embedded currency risk. The U.S. investor's currency risk is captured by the WCM Dollar factor, representing the USD against a basket of trade-weighted currencies.
Windham Factor
Time Series Construction
WCM Global Equity
MSCI AC World (unhedged)
WCM US Equity
MSCI USA minus MSCI AC World (unhedged)
WCM Europe Equity
MSCI Europe (unhedged) minus MSCI AC World (unhedged)
WCM Asia Equity
MSCI Asia (unhedged) minus MSCI AC World (unhedged)
WCM Emerging Markets Equity
MSCI Emerging Markets minus MSCI AC World (unhedged)
WCM Value-Growth
MSCI US Prime Market Value minus MSCI US Prime Market Growth
WCM Small-Large
MSCI US Small Cap 1750 minus MSCI US Large Cap 300
WCM US Bonds
Bloomberg Barclays US Aggregate Bonds
WCM Term Structure
Bloomberg Barclays Treasury Long minus Bloomberg Barclays Treasury Short
WCM Credit
Bloomberg Barclays US Aggregate Long Credit (BAA) minus Bloomberg Barclays US Government Long
WCM High Yield
Merill Lynch US High Yield Master II minus Barclays US Aggregate Long Credit (BAA)
WCM Inflation
US CPI All Urban (Seasonally-Adjusted)
WCM Inflation Surprise
US Cleveland Fed Reserve 1Year Inflation Expectations minus WCM Inflation
WCM Dollar
US Dollar Trade-Weighted Exchange Index
WCM Volatility
CBOE SPX Volatility VIX
WCM Commodities
GSCI Commodity Total Return
Additional factors can be added as a custom time series. To load custom factors, specify “Factor” as the Asset Class type. Please see also Managing Custom Time Series.
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