FTSE BIRRSMV compares a user-defined portfolio (and any custom factors) to a benchmark (e.g. FTSE US) and provides the following breakdowns:
Portfolio analysis – macroeconomic risk exposure comparison, other statistics (including Treasury Bills mean return, asset-specific return, BIRR R-squared, CAPMR-square, CAPMBeta, CAPMAlpha), and attribution of weighted portfolio sample period return.
Exposure analysis – identifies risk exposures ('betas') for the portfolio, benchmark, and each of the portfolio's holdings. Components analysis – provides data on each of the portfolio's holdings and their effect on the difference between the portfolio's risk exposure profile and that of its benchmark.
Tracking error – identifies the predicted tracking error and wealth ratio for the portfolio, together with each holding's marginal and absolute contributions.
Value at Risk – analyses the VaR over the requested number of future months for the specified confidence level and forecast scenario, optionally supplemented by predicted means and covariances of the portfolio holdings. Attribution – provides a breakdown by holdings and by risk exposures of the portfolio's forecast return for the specified reporting period (6 months by default).
MeanVar – identifies the means, variances, and covariances for the portfolio and its component assets averaged over the specified reporting period.
See here for more background information. Over 1000 indices are available in the FTSE BIRR database, including FTSE's range of global all cap, large, mid and small cap indices, plus the FTSE Global Style (Value and Growth) Index Series at regional and country levels. View the FTSE BIRR Indices Catalogue here.
FTSE BIRR Performance Analyzer
The FTSE BIRR Performance Analyzer enables users to create an optimal mix of funds, managers or portfolios that meet the user's tolerance for exposures to economy-wide surprises in interest rates, inflation, real economic growth and market sentiment. More background information is available here.
FTSE BIRRSMV and FTSE BIRR Performance Analyser are supported by the FTSE BIRR Database, which is updated on a monthly basis and provided as a download to users.
About FTSE BIRR
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.