Schroders QEP
[For professional clients only. Not suitable for retail clients]
8
Appendix
Disclosure details of figures and models
Figures 1: Source Schroders, MSCI, Each month all stocks in the Global Mega to Small universe, which covers stocks that
had Market Capitalization of US$1Billion of historic equivalent are ranked by a Global Quality Rank with High Quality and
being the top 20% of the respective ranks. We then calculate the Return on Equity and Margins of this High Quality group 24
months after we designated the stock as high quality.
Figure 2: Source Schroders, MSCI, 1988-June 2014. All returns are in USD (gross) based on QEP Market Impact Weights
(MIW) and portfolios are rebalanced monthly. Each month all stocks in the Global Mega to Small universe, which covers
stocks that had Market Capitalization of US$0.5Billion of historic equivalent are sorted into cash flow negative and cash flow
positive stocks. All Stocks that are cash flow negative are rebalanced at month end and Market Impact Weighted returns are
calculated with transaction costs taken into account relative to all stocks in the Mega to Small Universe. Performance shown
represents past performance. Past performance is no guarantee of future results and current performance may be higher or
lower than the performance shown.
Figure 3: Source Schroders, MSCI, 1988-June 2014. Each month all stocks in the Global Mega to Small universe, which
covers stocks that had Market Capitalization of US$0.5Billion or historic equivalent are ranked by a Global Quality Rank with
High Quality Strategy being the top 20% of the respective ranks. Over the next 12 months we then count the number of
times a stock in the respective universe had the defined event occur and compare it against the universe average.
Figures 4: Source Schroders, MSCI, 1988-June 2014. All returns are in USD (gross) based on QEP Market Impact Weights
(MIW) and portfolios are rebalanced monthly. Each month all stocks in the Global Mega to Small universe, which covers
stocks that had Market Capitalization of US$0.5Billion or historic equivalent are ranked by a Global Quality Rank and broken
into 5 buckets. Stocks are rebalanced at month end and returns are calculated with transaction costs taken into account.
Performance shown represents past performance. Past performance is no guarantee of future results and current
performance may be higher or lower than the performance shown.
Figures 5: Source Schroders, MSCI, 1988-June 2014. All returns are in USD (gross) based on QEP Market Impact Weights
(MIW) and portfolios are rebalanced monthly. Each month all stocks in the Global Mega to Small universe, which covers
stocks that had Market Capitalization of US$0.5Billion or historic equivalent are ranked by a Global Quality Rank, Profitability
Rank, Stability Rank and Financial Strength Rank and broken into 5 buckets. We report only the performance to the top 20%
of the respective ranks. Stocks are rebalanced at month end and returns are calculated with transaction costs taken into
account. Performance shown represents past performance. Past performance is no guarantee of future results and current
performance may be higher or lower than the performance shown.
Figures 6: Source Schroders, MSCI, 1988-June 2014. All returns are in USD (gross) based on QEP Market Impact Weights
(MIW) and portfolios are rebalanced monthly. Each month all stocks in the Global Mega to Small universe, which covers
stocks that had Market Capitalization of US$0.5Billion or historic equivalent are ranked by a Global Quality Rank and broken
into 5 buckets. Stocks are rebalanced at month end and returns are calculated with transaction costs taken into account.
Realized volatility is then calculated as the standard deviation of returns of the different quality buckets. Performance shown
represents past performance. Past performance is no guarantee of future results and current performance may be higher or
lower than the performance shown.
Figures 7: Source Schroders, MSCI, 1988-June 2014. Each month all stocks in the Global Mega to Small universe, which
covers stocks that had Market Capitalization of US$0.5Billion of historic equivalent are ranked by a Global Quality Rank.
Stocks are selected from the top 1/3
rd
of the rank Stocks are rebalanced at month end with returns calculated taking into
account transaction costs creating a simulated Portfolio series. Performance in market environments (rising, falling, value,
growth, large and small) defined using MSCI indices. Hit rate is calculated using monthly returns. The value of your
investment can go down as well as up and is not guaranteed.
Figures 8: Source Schroders, MSCI, 1988-June 2014. Each month all stocks in the Global Mega to Small universe, which
covers stocks that had Market Capitalization of US$0.5Billion of historic equivalent are ranked by a Global Quality Rank.
Stocks are selected from the top 1/3
rd
of the rank Stocks are rebalanced at month end with returns calculated taking into
account transaction costs creating a simulated Portfolio series. Average returns of this series and the MSCI Value & MSCI
World index during different periods of volatility are then calculated and excess annualised returns are calculated. High
Volatility are periods that are associated with being in the historic top 1/3 of volatility and falling markets, low volatility are
periods that are in the bottom top 1/3 of historic volatility and associated with rising markets. All periods is the average return
each month since 1988.
The performance presented in this presentation includes back-tested performance. The cumulative returns are thus
hypothetical rather than actual. There can be no assurance that this performance could actually have been achieved using