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.

Last updated