Peer Index Comparison Report - Foreign Equity - Large Quantitative Index
Foreign Equity - Large Quantitative Index
Peer Index Comparison Report
September 30, 2024
Value Added Monthly Index
Monthly Return
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
4.41%
5.15%
3.54%
-3.12%
2.06%
1.23%
4.06%
-1.14%
-0.43%
16.54%
2023
1.72%
1.88%
3.03%
2.99%
-0.18%
3.03%
1.82%
1.46%
-2.73%
-1.00%
3.57%
1.50%
18.29%
2022
-1.70%
-4.88%
-0.83%
-1.44%
-0.22%
-4.40%
4.64%
-1.91%
-3.00%
8.21%
2.18%
-4.74%
-8.58%
2021
0.17%
1.36%
5.95%
2.53%
2.14%
3.37%
3.78%
2.94%
-2.96%
0.72%
3.38%
2.87%
29.30%
2020
3.19%
-5.11%
-8.73%
3.38%
2.93%
-1.36%
0.55%
1.95%
0.02%
-1.01%
6.10%
-0.12%
0.91%
2019
4.13%
4.99%
0.84%
3.49%
-3.48%
4.73%
1.83%
-0.20%
2.22%
0.15%
3.99%
-0.81%
23.76%
2018
1.29%
-0.35%
-0.24%
2.34%
-0.24%
1.72%
2.68%
3.64%
0.68%
-5.19%
-1.62%
-3.75%
0.57%
2017
-1.86%
1.50%
1.77%
3.78%
2.57%
-2.29%
-1.41%
1.08%
2.99%
4.33%
3.22%
-1.45%
14.84%
2016
-2.60%
-1.04%
-0.65%
1.95%
5.27%
-2.93%
2.05%
0.53%
-1.15%
-1.50%
4.19%
4.24%
8.22%
2015
3.74%
4.66%
1.24%
-1.22%
3.60%
-2.64%
5.92%
-2.87%
-2.11%
5.27%
-2.07%
-2.03%
11.40%
Return and Risk Report
Name
Return 1m
Return 3m
Return 12m
Return 3y
Return Incp
Std. Dev. 12m
Std. Dev. 3y
Std. Dev. Incp
Max Drawdown 12m
Max Drawdown 3y
Max Drawdown Incp
Foreign Equity - Large Quantitative Index
-0.43%
2.43%
21.28%
10.52%
5.35%
8.67%
10.40%
11.32%
-3.12%
-13.21%
-47.24%
BlackRock Advantage Intl Equity Fund
-0.73%
1.02%
24.44%
11.45%
6.04%
9.75%
12.12%
11.94%
-3.53%
-16.85%
-43.82%
Dimensional Global Core Equity Trust
-0.72%
2.70%
20.16%
9.75%
7.30%
10.17%
11.59%
12.28%
-3.55%
-13.95%
-41.77%
Dimensional Global Large Company Trust
-0.68%
2.16%
22.37%
11.15%
5.36%
9.34%
11.46%
11.70%
-3.16%
-14.67%
-46.86%
AXA IM Sustainable Equity
0.29%
4.38%
22.15%
10.45%
13.43%
7.69%
10.06%
9.93%
-3.12%
-12.86%
-12.86%
Acadian Global Managed Volatility Eq A
-0.67%
4.25%
16.72%
10.18%
12.18%
7.40%
8.42%
8.28%
-2.09%
-6.64%
-12.52%
Arrowstreet Global Equity Fund
-0.57%
-0.85%
19.22%
11.28%
9.94%
9.58%
10.51%
11.57%
-3.21%
-13.61%
-37.29%
Schroder Global Sustainable Equity - WC
-0.97%
1.10%
18.97%
9.47%
10.20%
9.38%
10.61%
9.66%
-3.55%
-12.62%
-13.35%
Franklin Global Systematic Equity A
-0.06%
1.53%
24.91%
12.88%
5.44%
10.28%
12.47%
12.37%
-3.84%
-16.12%
-55.03%
State Street Global Equity
0.25%
5.61%
22.36%
7.55%
10.04%
8.37%
10.70%
9.88%
-2.87%
-13.80%
-15.57%
Total Return Summary
Name
Total Return 1m
Total Return 3m
Total Return 12m
Total Return 2y
Total Return 3y
Total Return 5y
Total Return Incp
Foreign Equity - Large Quantitative Index
-0.43%
2.43%
21.28%
45.20%
34.99%
69.85%
263.53%
BlackRock Advantage Intl Equity Fund
-0.73%
1.02%
24.44%
55.12%
38.42%
83.44%
327.24%
Dimensional Global Core Equity Trust
-0.72%
2.70%
20.16%
44.03%
32.20%
69.78%
251.15%
Dimensional Global Large Company Trust
-0.68%
2.16%
22.37%
49.29%
37.30%
81.19%
253.46%
AXA IM Sustainable Equity
0.29%
4.38%
22.15%
41.85%
34.74%
67.43%
260.11%
Acadian Global Managed Volatility Eq A
-0.67%
4.25%
16.72%
35.08%
33.76%
48.38%
332.95%
Arrowstreet Global Equity Fund
-0.57%
-0.85%
19.22%
50.35%
37.81%
95.56%
441.79%
Schroder Global Sustainable Equity - WC
-0.97%
1.10%
18.97%
39.72%
31.19%
56.89%
322.58%
Franklin Global Systematic Equity A
-0.06%
1.53%
24.91%
56.42%
43.83%
92.12%
270.78%
State Street Global Equity
0.25%
5.61%
22.36%
35.27%
24.41%
38.72%
179.61%
Rolling Return
12 Month Rolling Return
-51%
-40%
-20%
0%
20%
40%
60%
70%
2003
2005
2007
2009
2011
2013
2015
2017
2019
2021
2023
Foreign Equity - Large Quantitative Index
AXA IM Sustainable Equity
Acadian Global Managed Volatility Eq A
Arrowstreet Global Equity Fund
BlackRock Advantage Intl Equity Fund
Dimensional Global Core Equity Trust
Dimensional Global Large Company Trust
Franklin Global Systematic Equity A
Schroder Global Sustainable Equity - WC
State Street Global Equity
36 Month Rolling Return
-82%
-50%
0%
50%
100%
150%
170%
2005
2007
2009
2011
2013
2015
2017
2019
2021
2023
Foreign Equity - Large Quantitative Index
AXA IM Sustainable Equity
Acadian Global Managed Volatility Eq A
Arrowstreet Global Equity Fund
BlackRock Advantage Intl Equity Fund
Dimensional Global Core Equity Trust
Dimensional Global Large Company Trust
Franklin Global Systematic Equity A
Schroder Global Sustainable Equity - WC
State Street Global Equity
Sharpe Ratio Summary
Name
12m
2y
3y
5y
Incp
Foreign Equity - Large Quantitative Index
BlackRock Advantage Intl Equity Fund
Dimensional Global Core Equity Trust
Dimensional Global Large Company Trust
AXA IM Sustainable Equity
Acadian Global Managed Volatility Eq A
Arrowstreet Global Equity Fund
Schroder Global Sustainable Equity - WC
Franklin Global Systematic Equity A
State Street Global Equity
Rolling Sharpe Time
Risk/Return
Risk/Return 1 Year
Risk
Performance Return
5.0%
6.0%
8.0%
10.0%
12.0%
14.0%
15.0%
15.0%
18.0%
21.0%
24.0%
27.0%
30.0%
Foreign Equity - Large Quantitative Index
AXA IM Sustainable Equity
Acadian Global Managed Volatility Eq A
Arrowstreet Global Equity Fund
BlackRock Advantage Intl Equity Fund
Dimensional Global Core Equity Trust
Dimensional Global Large Company Trust
Franklin Global Systematic Equity A
Schroder Global Sustainable Equity - WC
State Street Global Equity
Average Risk/Return
Ave. Return 21.26%
Ave. Risk
9.06%
Ave. Return 21.26%
Ave. Risk
9.06%
Ave. Return 21.26%
Ave. Risk
9.06%
Ave. Return 21.26%
Ave. Risk
9.06%
Ave. Return 21.26%
Ave. Risk
9.06%
Ave. Return 21.26%
Ave. Risk
9.06%
Ave. Return 21.26%
Ave. Risk
9.06%
Ave. Return 21.26%
Ave. Risk
9.06%
Ave. Return 21.26%
Ave. Risk
9.06%
Ave. Return 21.26%
Ave. Risk
9.06%
Ave. Return 21.26%
Ave. Risk
9.06%
Risk/Return 2 Year
Risk
Performance Return
5.0%
6.0%
8.0%
10.0%
12.0%
14.0%
15.0%
10.0%
15.0%
20.0%
25.0%
30.0%
Foreign Equity - Large Quantitative Index
AXA IM Sustainable Equity
Acadian Global Managed Volatility Eq A
Arrowstreet Global Equity Fund
BlackRock Advantage Intl Equity Fund
Dimensional Global Core Equity Trust
Dimensional Global Large Company Trust
Franklin Global Systematic Equity A
Schroder Global Sustainable Equity - WC
State Street Global Equity
Average Risk/Return
Ave. Return 20.48%
Ave. Risk
10.12%
Ave. Return 20.48%
Ave. Risk
10.12%
Ave. Return 20.48%
Ave. Risk
10.12%
Ave. Return 20.48%
Ave. Risk
10.12%
Ave. Return 20.48%
Ave. Risk
10.12%
Ave. Return 20.48%
Ave. Risk
10.12%
Ave. Return 20.48%
Ave. Risk
10.12%
Ave. Return 20.48%
Ave. Risk
10.12%
Ave. Return 20.48%
Ave. Risk
10.12%
Ave. Return 20.48%
Ave. Risk
10.12%
Ave. Return 20.48%
Ave. Risk
10.12%
Risk/Return 3 Year
Risk
Performance Return
5.0%
6.0%
8.0%
10.0%
12.0%
14.0%
15.0%
5.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Foreign Equity - Large Quantitative Index
AXA IM Sustainable Equity
Acadian Global Managed Volatility Eq A
Arrowstreet Global Equity Fund
BlackRock Advantage Intl Equity Fund
Dimensional Global Core Equity Trust
Dimensional Global Large Company Trust
Franklin Global Systematic Equity A
Schroder Global Sustainable Equity - WC
State Street Global Equity
Average Risk/Return
Ave. Return 10.47%
Ave. Risk
10.84%
Ave. Return 10.47%
Ave. Risk
10.84%
Ave. Return 10.47%
Ave. Risk
10.84%
Ave. Return 10.47%
Ave. Risk
10.84%
Ave. Return 10.47%
Ave. Risk
10.84%
Ave. Return 10.47%
Ave. Risk
10.84%
Ave. Return 10.47%
Ave. Risk
10.84%
Ave. Return 10.47%
Ave. Risk
10.84%
Ave. Return 10.47%
Ave. Risk
10.84%
Ave. Return 10.47%
Ave. Risk
10.84%
Ave. Return 10.47%
Ave. Risk
10.84%
Risk/Return Incp
Risk
Performance Return
5.0%
6.0%
8.0%
10.0%
12.0%
14.0%
15.0%
0.0%
3.0%
6.0%
9.0%
12.0%
15.0%
Foreign Equity - Large Quantitative Index
AXA IM Sustainable Equity
Acadian Global Managed Volatility Eq A
Arrowstreet Global Equity Fund
BlackRock Advantage Intl Equity Fund
Dimensional Global Core Equity Trust
Dimensional Global Large Company Trust
Franklin Global Systematic Equity A
Schroder Global Sustainable Equity - WC
State Street Global Equity
Average Risk/Return
Ave. Return 8.53%
Ave. Risk
10.89%
Ave. Return 8.53%
Ave. Risk
10.89%
Ave. Return 8.53%
Ave. Risk
10.89%
Ave. Return 8.53%
Ave. Risk
10.89%
Ave. Return 8.53%
Ave. Risk
10.89%
Ave. Return 8.53%
Ave. Risk
10.89%
Ave. Return 8.53%
Ave. Risk
10.89%
Ave. Return 8.53%
Ave. Risk
10.89%
Ave. Return 8.53%
Ave. Risk
10.89%
Ave. Return 8.53%
Ave. Risk
10.89%
Ave. Return 8.53%
Ave. Risk
10.89%
Drawdown
Correlation
Foreign Equity - Large Quantitative Index
AXA IM Sustainable Equity
Acadian Global Managed Volatility Eq A
Arrowstreet Global Equity Fund
BlackRock Advantage Intl Equity Fund
Dimensional Global Core Equity Trust
Dimensional Global Large Company Trust
Franklin Global Systematic Equity A
Schroder Global Sustainable Equity - WC
State Street Global Equity
Foreign Equity - Large Quantitative Index
AXA IM Sustainable Equity
Acadian Global Managed Volatility Eq A
Arrowstreet Global Equity Fund
BlackRock Advantage Intl Equity Fund
Dimensional Global Core Equity Trust
Dimensional Global Large Company Trust
Franklin Global Systematic Equity A
Schroder Global Sustainable Equity - WC
State Street Global Equity
Foreign Equity - Large Quantitative Index
1.00
0.97
0.91
0.96
0.98
0.98
0.99
0.97
0.97
0.91
AXA IM Sustainable Equity
0.97
1.00
0.92
0.91
0.95
0.91
0.95
0.92
0.93
0.88
Acadian Global Managed Volatility Eq A
0.91
0.92
1.00
0.85
0.87
0.85
0.87
0.83
0.87
0.87
Arrowstreet Global Equity Fund
0.96
0.91
0.85
1.00
0.94
0.93
0.94
0.93
0.92
0.84
BlackRock Advantage Intl Equity Fund
0.98
0.95
0.87
0.94
1.00
0.97
0.99
0.97
0.94
0.86
Dimensional Global Core Equity Trust
0.98
0.91
0.85
0.93
0.97
1.00
0.98
0.96
0.96
0.86
Dimensional Global Large Company Trust
0.99
0.95
0.87
0.94
0.99
0.98
1.00
0.97
0.96
0.87
Franklin Global Systematic Equity A
0.97
0.92
0.83
0.93
0.97
0.96
0.97
1.00
0.94
0.86
Schroder Global Sustainable Equity - WC
0.97
0.93
0.87
0.92
0.94
0.96
0.96
0.94
1.00
0.84
State Street Global Equity
0.91
0.88
0.87
0.84
0.86
0.86
0.87
0.86
0.84
1.00
Performance Review
Performance Metrics
value
Last Month
-0.43%
3 Months Return
2.43%
1 Year Return
21.28%
3 Years Average Return
10.52%
Since Inc. Average Return
5.35%
1 Year Std. Dev. (Annual)
8.67%
3 Year Std. Dev. (Annual)
10.40%
Since Inc Std. Dev. (Annual)
11.32%
1 Year Max Drawdown
-3.12%
3 Year Max Drawdown
-13.21%
Success Ratios
Performance Metrics
value
Average Winning Month
2.65%
Winning Month (%)
58.92%
Average Losing Month
-2.61%
Best Month
1.99%
Consecutive Winning Month
12
Consecutive Losing Month
6
Losing Months (%)
41.08%
Winning Year (%)
72%
Losing Year (%)
28%
