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.