Risk Monitor - China Equities - March 2013.pdf

MSCI Risk Monitor: China Equities March 2013 Insights from the Barra China Equity Model (CNE5S) Highlights Performance of Equities and Other Asset Classes -4% -2% 0% 2% 4% 6% 8% BarCap Global Aggregate -1.8% BarCap EM Bonds -0.9% SP GSCI -0.2% BarCap US Aggregate -0.2% Cash (USD Libor TR) 0.1% MSCI EM 0.1% MSCI CHINA H 0.4% HFRX Global 2.4% MSCI USA/REITS 4.0% MSCI EAFE 4.3% MSCI AC ASIA PACIFIC 4.7% MSCI ACWI IMI 4.9% MSCI CHINA A (CNY) 6.5% MSCI USA 6.6% MSCI CHINA A 6.6% YTD returns YTD range: December 31, 2012 - February 28, 2013. All returns in USD, unless noted otherwise. ? Absolute Performance: Year-to-date, MSCI China A and MSCI USA were the best performing indices with +6.6 percent return, while BarCap Global Aggregate remained the worst performer (-1.8 percent). By comparison, the YTD return of MSCI China H was only +0.4 percent compared to +5.8 percent last month. Hedge funds, as measured by HFRX Global, were up by 2.4%, while Commodities were down by 0.2% as measured by SP GSCI (see page 1). ? Risk Forecast: The forecast risk of MSCI China A Index increased from 21.6 percent on January 31to 22.46 percent on February 28 (see page 3). ? Risk Adjusted Factor Returns: Among Style factors, Momentum (0.97) had the highest Sharpe ratio while Liquidity (-1.02) had the lowest in February. Among Industry factors, Commercial and Professional Services (1.91) was the best and Diversified Metals (-1.48) was the worst performing factor (see page 4). ? Style Factor Returns: Over the past 12 months, Momentum had the strongest cumulative performance followed by Beta, while Liquidity had the worst performance (see page 7). ? Specific Returns: Keda Industrial had the highest risk-adjusted specific return in February, which benefited from market’s recent focus on the clean energy companies (see page 8). ? Volatility Regime Adjustment: The Volatility Regime Multiplier moved up further in February, indicating increased market volatility d