Calendar-year 20053 an underwhelming 7.7%
2005 Tot Ret Std Dev account 7.7% 12% emerging mkts 34.5% 20% non-US equity 14.0% 10% small US equity 4.6% 15% large US equity 4.9% 8% non-US gov bond -9.2% 6% US 10y gov bond 3.2% 6% US 30-day bills 3.3% 0%
Annual returns
acct emerg nonUS smUS lgUS xUSGov US10y TBill 1999 12% 67% 27% 21% 21% -8% -8% 5% 2000 10% -31% -14% -3% -9% 6% 17% 6% 2001 1% -2% -21% 2% -12% 3% 6% 3% 2002 3% -6% -16% -20% -22% 16% 15% 2% 2003 36% 56% 39% 47% 29% 18% 1% 1% 2004 17% 26% 21% 18% 11% 12% 5% 1% 2005 8% 35% 14% 5% 5% -9% 3% 3% annlzd 11.9% 15.9% 4.9% 8.3% 1.8% 5.0% 5.2% 3.1% stdev 12.9% 21.8% 14.9% 20.4% 15.0% 7.0% 7.4% 0.5%
No charts just yet.
Linear regression versus indexes9.
Estimate Std Err t stat Pr >|t|
(Intercept) 0.003 0.003 1.3 0.21
emerging mkts 0.13 0.07 1.7 0.09 .
non-US equity 0.22 0.13 1.6 0.11
small US equity 0.32 0.07 4.5 2e-05 ***
large US equity -0.26 0.12 -2.1 0.04 *
non-US gov bond 0.30 0.13 2.3 0.03 *
volatility -0.05 0.03 -1.8 0.07 .
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Multiple R-Squared: 0.67, Adjusted R-squared: 0.65
F-statistic: 27 on 6 and 77 DF, p-value: <2e-16
Note: this adds emerging markets to previous cuts.
The anova table shows why emerging markets are in the headline model, but US 10-year bonds are not.
Sum Sq Df F value Pr(>F)
emerging mkts 0.001 1 2.8 0.10 .
non-US equity 0.001 1 2.6 0.11
small US equity 0.010 1 20.2 2e-05 ***
large US equity 0.002 1 4.4 0.04 *
US 10y gov bond 4e-07 1 7e-04 0.98
non-US gov bond 0.002 1 3.2 0.08 .
volatility 0.002 1 3.3 0.07 .
Residuals 0.038 76
Not currently traded -- long story.
1This page is not a formal presentation or an advertisment. I am an individual, not an investment firm, and hence I have no composite. This page is for illustrative purposes and I make no guarantees about its contents. I endeavored to follow calculations standards and have tried to make "every reasonable effort to assure that [my] performance information is a fair, accurate, and complete presentation of [my] performance." That said, I very explicitly have not prepared or presented this information in compliance with the Performance Presentation Standards of the Association for Investment Management and Research (AIMR-PPS®), the U.S. and Canadian version of the Global Investment Performance Standards (GIPS®). AIMR has not been involved in the preparation or review of my performance calculation or presentation in any way.
In re the size and density of that footnote, better safe than sorry.
2 Soon-to-reappear on a separate page. Tables convey more detail.
3 Total return calculated using the hoary old modified Dietz method.
4 40/20/40 index blend represents a monthly total return blend of 40% GFD World Ex-US, 20% Russell 2000 and 40% US 10-Year Government Bond indexes.
5 Allocation format is non-US equity/US equity/bonds/cash. Numbers may not add to 100 due to rounding. Exchange-traded funds and mutual funds are classified according to their mandates.
6 Tracking error (TE) is the standard deviation of monthly out-/underperformance versus a benchmark index. Information ratio (IR) is the out-/underperformance versus the index divided by the tracking error.
7 Risk premium (RP) is the monthly total return in excess of T-Bill return, a proxy for the true risk-free return. Sharpe ratio (Sharpe) is this average risk premium divided by its standard deviation, the original [1966, 1975] version of Sharpe's differential ratio. Cf his updated 1994 paper in the Journal of Portfolio Management.
8Regressions statistics calculated with R.
9 Indexes used are the Global Financial Emerging Markets for emerging markets, the GFD World ex-US for non-US equity, the Russell 2000 for small US equity, the S&P 500 for large US equity, the JP Morgan World ex-US Government for non-US bond, the US 10-year Total Return Bond from GFD for US bonds and the month-to-month change of the CBOE VIX for volatility.
10 Lags are benchmark index returns lagged for one or more months. The rationale is similar to that in "Do Hedge Funds Hedge," Asness, Krail and Liew (2001)