On average investors are rewarded for the systematic risks they take. The charts included here compare the cumulative rewards attributable to assuming FTSE USA levels of exposure to the FTSE BIRR macroeconomic factors with the total return to the FTSE USA Index for the periods indicated.
Cumulative total returns are calculated over a five or one-year period for a US$1.00 initial investment.
The FTSE BIRR Macro Economic Risk model was developed by four leading academics – Edwin Burmeister, Roger Ibbotson, Stephen A. Ross and Richard Roll – to analyse US portfolios for exposures/
sensitivities to a range of macroeconomic factors.
FTSE Group purchased BIRR Portfolio Analysis, Inc in March 2010.