Windham Portfolio Advisor
  • Windham Portfolio Advisor Support
  • Installation
    • Installing the Windham Portfolio Advisor
    • Installation Prerequisites
    • Installation FAQ
      • License Key Management
  • Time Series
  • Managing Custom Time Series
  • Custom Time Series Excel Add-in
  • Custom Time Series Utility
  • Updating the Windham Time Series Database
  • Mixing Data Periodicities within a Case File
  • Hedged and Unhedged Time Series
  • Overlays
  • Expected Risk
    • Annualizing Volatility and Return
    • Correlation
    • Covariance
    • Exponential Risk
    • Quiet and Turbulent Risk
    • Series Filter
    • Views (Risk and Correlation)
  • Expected Returns
    • Historical Returns
    • Equilibrium Returns
    • Implied Returns
    • Black-Litterman
    • Blend
    • Estimating Future Value: Arithmetic or Geometric
  • Optimization
    • Multi-goal Optimization
    • Transaction Costs and Turnover Controls
    • Risk Aversion
    • Full-Scale Optimization
  • Simulation
    • Simulation Methods
  • Exposure to Loss
    • Value at Risk
    • Probability of Loss
  • Risk Budgets
    • Risk Budgets
    • Value at Risk Sensitivities
  • Factor Analysis
    • Windham Factors
    • Factor Analysis
  • Cash Flow Analysis
    • Cash Flow Rules
    • Distribution of Wealth
    • Target Wealth Probability
  • Miscellaneous
    • Effective Tax Rates
    • Shadow Assets, Shadow Liabilities, and Illiquidity
    • Asset-liability Optimization
Powered by GitBook
On this page
  1. Factor Analysis

Windham Factors

Time series definitions for Windham's set of factors

PreviousValue at Risk SensitivitiesNextFactor Analysis

Last updated 3 years ago

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