A Division of Windham Capital Management, LLC

Windham Factors

The Windham Software includes the following list of factor time series for analysis. All factors are denominated in their respective local currency and therefore without any embedded currency risk. Currency risk is captured by the WCM Dollar factor, representing the USD against a basket of trade-weighted currencies.
 

Factor Time Series Proxy
WCM Global Equity MSCI All Country World
WCM US Equity MSCI USA - MSCI All Country World
WCM Europe Equity MSCI Europe - MSCI All Country World
WCM Asia Equity MSCI Asia - MSCI All Country World
WCM Emerging Markets Equity MSCI Emerging Markets - MSCI All Country World
WCM Value-Growth MSCI US Prime Market Value - MSCI US Prime Market Growth
WCM Small-Large MSCI US Small Cap 1750 - MSCI US Large Cap 300
WCM US Bonds Barclays US Aggregate
WCM Term Structure Barclays Tresury Long - Barclays Treasury Short
WCM Credit Barclays US Aggregate Long Credit (BAA) - Barclays US Government Long
WCM High Yield Merill Lynch US High Yield Master II - Barclays US Aggregate Long Credit (BAA)
WCM Inflation US CPI All Urban (Seasonally Adjusted)
WCM Inflation Surprise US Cleveland Fed Reserve 1-Year Inflation Expectations - US CPI All Urban
WCM Dollar Dollar Trade-Weighted Exchange Index
WCM Volatility CBOE SPX Volatility VIX
WCM Commodities GSCI Commodity Total Return


Additional factors can be added as a custom time series. To load custom factors, specify “Factor” as the Asset Class type. Please see How to Use The Windham Time Series Utility on loading custom time series.

Notes

  1. Inflation Surprise is not seasonally adjusted.


Related Articles

  1. How to Use The Windham Time Series Utility
  2. Loading Custom Time Series Using The Windham Excel Add-on


Category:Understanding the Software -> Factor Analysis

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