Global Security Investment: By-Abdullah Kuwari

Global Security
Investment
By- Abdullah Kuwari
Active Risk and Common Risk

Westwood Portfolio :
Active: 0.01
Common: 0.004 / 56.04%
EAM Portfolio :
Active: 0
Common: 98.51 %
AB Portfolio :
Active: 3.60
Common: 3.15 / 89.15%
DFA Portfolio :
Active: 2.60
Common: 2.41/ 99.47%
Westwood Risk Decomposition

Risk Source
Portfolio Risk
Active Risk
% Portfolio Risk
% Active Risk
Total Risk
16.02
0.01
100.00%
0.00%
Local Market Risk

Common Factor Risk
12.08
0.01
11.99
56.89%
0.00
56.04%
0.00%
0.00%
Industry
11.06
0.00
47.71%
0.00%
Style
1.39
0.00
0.75%
0.00%
Factor Interaction
N/A
N/A
7.58%
0.00%
Selection Risk
1.48
0.00
0.85%
0.00%
Currency Risk
4.86
0.00
9.22%
0.00%
Currency/Market Interaction
N/A
N/A
33.90%
0.00%
Value at Risk Horizon:

Value at Risk Confidence Level:
252 days
95.00
EAM Risk Decomposition

Risk Source
Portfolio Risk
Active Risk
% Portfolio Risk
% Active Risk
Total Risk
20.84
0.00
100.00%
0.00%
Local Market Risk

Common Factor Risk
20.84
0.00
20.69
100.00%
0.00
98.51%
0.00%
0.00%
Industry
13.69
0.00
43.14%
0.00%
Style
11.65
0.00
31.26%
0.00%
Factor Interaction
N/A
N/A
24.11%
0.00%
Selection Risk

2.54
0.00
252 days
95.00
1.49%
0.00%
AB Risk Decomposition
Risk Source
Portfolio Risk
Active Risk
% Portfolio Risk
% Active Risk
Total Risk
14.92
3.60
100.00%
100.00%
Local Market Risk

Common Factor Risk
14.23
3.73
14.08
91.02%
3.15
89.15%
107.39%
76.53%
Industry
11.76
1.70
62.12%
22.39%
Style
2.73
2.52
3.35%
48.95%
Factor Interaction
N/A
N/A
23.68%
5.20%
Selection Risk
2.04
2.00
1.86%
30.86%
Currency Risk
2.87
0.90
3.71%
6.30%
N/A
N/A
5.27%
-13.69%

252 days
95.00
DFA Risk Decomposition

Risk Source
Portfolio Risk
Active Risk
% Portfolio Risk
% Active Risk
Total Risk
17.27
2.60
100.00%
100.00%
Local Market Risk

Common Factor Risk
17.27
2.60
17.23
100.00%
2.41
99.47%
100.00%
85.82%
Industry
13.42
0.63
60.34%
5.83%
Style
7.85
2.27
20.64%
76.38%
Factor Interaction
N/A
N/A
18.48%
3.62%
Selection Risk

1.26
0.98
252 days
95.00
0.53%
14.18%

Equal Weight
Risk Source
Portfolio Risk
Active Risk
% Portfolio Risk
% Active Risk
Total Risk
15.74
2.19
100.00%
100.00%
Local Market Risk

Common Factor Risk
11.81
2.11
11.78
56.28%
1.67
55.98%
92.99%
58.56%
Industry
10.88
1.04
47.78%
22.60%
Style
1.39
1.16
0.78%
28.26%
Factor Interaction
N/A
N/A
7.42%
7.70%
Selection Risk
0.87
1.28
0.30%
34.43%
Currency Risk
4.78
0.35
9.23%
2.51%
N/A
N/A
34.48%
4.50%

252 days
95.00

Share Weighted
Risk Source
Portfolio Risk
Active Risk
% Portfolio Risk
% Active Risk
Total Risk
15.90
1.33
100.00%
100.00%
Local Market Risk

Common Factor Risk
11.94
1.19
11.84
56.34%
1.01
55.43%
80.34%
57.08%
Industry
10.98
1.00
47.73%
56.18%
Style
1.48
0.34
0.87%
6.57%
Factor Interaction
N/A
N/A
6.84%
-5.68%
Selection Risk
1.52
0.64
0.91%
23.26%
Currency Risk
4.90
0.42
9.49%
10.05%
N/A
N/A
34.17%
9.61%

252 days
95.00
EAM Risk DecompositionEqual Weighted

Risk Source
Portfolio Risk
Active Risk
% Portfolio Risk
% Active Risk
Total Risk
20.65
1.53
100.00%
100.00%
Local Market Risk

Common Factor Risk
20.65
1.53
20.53
100.00%
1.04
98.82%
100.00%
45.87%
Industry
13.66
0.63
43.79%
16.91%
Style
11.70
0.86
32.11%
31.55%
Factor Interaction
N/A
N/A
22.92%
-2.59%
Selection Risk

2.24
1.13
252 days
95.00
1.18%
54.13%
EAM Risk DecompositionShare Weighted

Risk Source
Portfolio Risk
Active Risk
% Portfolio Risk
% Active Risk
Total Risk
20.57
1.89
100.00%
100.00%
Local Market Risk

Common Factor Risk
20.57
1.89
20.38
100.00%
1.20
98.13%
100.00%
40.51%
Industry
13.83
0.65
45.17%
11.77%
Style
11.02
1.07
28.67%
32.20%
Factor Interaction
N/A
N/A
24.28%
-3.46%
Selection Risk

2.82
1.45
252 days
95.00
1.87%
59.49%
AB Risk Decomposition Equal

Weighted
Risk Source
Portfolio Risk
Active Risk
% Portfolio Risk
% Active Risk
Total Risk
15.33
4.06
100.00%
100.00%
Local Market Risk

Common Factor Risk
14.58
4.21
14.42
90.49%
3.60
88.49%
107.23%
78.63%
Industry
11.80
1.81
59.24%
19.82%
Style
3.05
2.96
3.96%
52.91%
Factor Interaction
N/A
N/A
25.29%
5.90%
Selection Risk
2.17
2.17
2.00%
28.60%
Currency Risk
2.95
0.91
3.69%
5.00%
N/A
N/A
5.81%
-12.23%

252 days
95.00
AB Risk Decomposition Share

Weighted
Risk Source
Portfolio Risk
Active Risk
% Portfolio Risk
% Active Risk
Total Risk
13.92
3.45
100.00%
100.00%
Local Market Risk

Common Factor Risk
13.25
3.44
12.97
90.59%
2.32
86.75%
99.28%
45.39%
Industry
11.70
1.83
70.59%
28.15%
Style
1.98
1.35
2.02%
15.38%
Factor Interaction
N/A
N/A
14.14%
1.85%
Selection Risk
2.73
2.53
3.84%
53.90%
Currency Risk
2.51
0.67
3.24%
3.73%
N/A
N/A
6.17%
-3.02%

252 days
95.00

Equal Weighted
Risk Source
Portfolio Risk
Active Risk
% Portfolio Risk
% Active Risk
Total Risk
17.88
0.09
100.00%
100.00%
Local Market Risk

Common Factor Risk
17.88
0.09
17.86
100.00%
0.07
99.75%
100.00%
58.72%
Industry
13.41
0.03
56.27%
10.52%
Style
9.59
0.06
28.75%
39.74%
Factor Interaction
N/A
N/A
14.73%
8.45%
Selection Risk

0.89
0.06
252 days
95.00
0.25%
41.28%

Share Weighted
Risk Source
Portfolio Risk
Active Risk
% Portfolio Risk
% Active Risk
Total Risk
17.06
2.56
100.00%
100.00%
Local Market Risk

Common Factor Risk
17.06
2.56
17.03
100.00%
2.45
99.61%
100.00%
91.97%
Industry
13.45
0.57
62.17%
5.01%
Style
7.62
2.35
19.92%
84.13%
Factor Interaction
N/A
N/A
17.53%
2.83%
Selection Risk

1.06
0.73
252 days
95.00
0.39%
8.03%
EAM Index
Initial Portfolio
Name:
Abdullah_EAM
Holdings Date:
2014/10/01
Portfolio Summary
Trading Statistics
Description
Initial
Final
Change
Description
Result
Assets
204.00
203.00
-1.00
Turnover
0.00%
Value($mil)
114.83
114.83
0.00
Min Trade
0.00%
0.00
0.00
0.00
Max Trade
0.00%
Cover Buy
Buy
Sell
Short
Total
Assets
0.00
0.00
0.00
0.00
0.00
Shares
0.00
0.00
0.00
0.00
0.00
Value Transacted($mil)
0.00
0.00
0.00
0.00
0.00
Transaction Cost($k)
0.00
0.00
0.00
0.00
0.00
Cash($k)
Trading Summary
Description
AB Index
Initial Portfolio
Name:
Abdullah_Ab
Holdings Date:
2014/10/01
Portfolio Summary
Description
Trading Statistics
Initial
Final
Change
Description
Result
66.00
1,298.00
1,232.00
Turnover
89.06%
915.02
915.02
0.00
Min Trade
0.00%
0.00
0.00
0.00
Max Trade
2.66%
Cover Buy
Buy
Sell
Short
Total
Assets
0.00
1,263.00
65.00
0.00
1,328.00
Shares
0.00
104,144,456.92
58,662,174.29
0.00
162,806,631.21
0.00
814.94
814.94
0.00
1,629.88
0.00
0.00
0.00
0.00
0.00
Assets
Value($mil)
Cash($k)
Trading Summary
Description
DFA_Index
Initial Portfolio
Name:
Abdullah_DFA
Holdings Date:
2014/10/01
Portfolio Summary
Trading Statistics
Description
Initial
Final
Change
Description
Result
Assets
726.00
725.00
-1.00
Turnover
41.04%
Value($mil)
176.07
176.07
0.00
Min Trade
0.00%
0.00
0.00
0.00
Max Trade
0.94%
Cover Buy
Buy
Sell
Short
Total
Assets
0.00
472.00
253.00
0.00
725.00
Shares
0.00
10,520,294.49
4,183,692.94
0.00
14,703,987.44
0.00
72.26
72.26
0.00
144.52
0.00
0.00
0.00
0.00
0.00
Cash($k)
Trading Summary
Description
Westwood Index
Initial Portfolio
Name:
Abdullah_Westwood
Holdings Date:
2014/10/01
Portfolio Summary
Trading Statistics
Description
Initial
Final
Change
Description
Result
Assets
845.00
835.00
-10.00
Turnover
0.09%
3,917,717.71
3,917,717.71
0.00
Min Trade
0.00%
0.00
0.00
0.00
Max Trade
0.05%
Cover Buy
Buy
Sell
Short
Total
Assets
0.00
823.00
21.00
0.00
844.00
Shares
0.00
6,048,171,541.56
526,055,071.05
0.00
6,574,226,612.61
0.00
3,364.33
3,364.33
0.00
6,728.66
0.00
0.00
0.00
0.00
0.00
Value($mil)
Cash($k)
Trading Summary
Description

Global Security Investment: By-Abdullah Kuwari

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Global Security

Active Risk and Common Risk

Westwood Risk Decomposition

Local Market Risk

Value at Risk Horizon:

EAM Risk Decomposition

Local Market Risk

Value at Risk Horizon:

Local Market Risk

Value at Risk Horizon:

DFA Risk Decomposition

Local Market Risk

Value at Risk Horizon:

Westwood Risk Decomposition

Local Market Risk

Value at Risk Horizon:

Westwood Risk Decomposition

Local Market Risk

Value at Risk Horizon:

EAM Risk DecompositionEqual Weighted

Local Market Risk

Value at Risk Horizon:

EAM Risk DecompositionShare Weighted

Local Market Risk

Value at Risk Horizon:

AB Risk Decomposition Equal

Local Market Risk

Value at Risk Horizon:

AB Risk Decomposition Share

Local Market Risk

Value at Risk Horizon:

DFA Risk Decomposition

Local Market Risk

Value at Risk Horizon:

DFA Risk Decomposition

Local Market Risk

Value at Risk Horizon:

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